Entete, menu et pied de page

F o r e v e r

Forever

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#


Forever

Copyright : Moulong Armel Rodrigue, 2012

Contact: moulongarmel@yahoo.fr