# Cholesky decomposition with implementation

## Theory

The Cholesky decomposition is helpful in gaussian process simulations and

linear system resolution. Given a symmetric positive definite matrix , the Cholesky decomposition

is an upper triangular matrix with strictly positive diagonal entries such that A=LL'.
It is shown that :

and

## Implementation

This is one implementation performed with C#

Copyright : Moulong Armel Rodrigue, 2012

Contact: moulongarmel@yahoo.fr