Cholesky Method

Cholesky Method 

In linear algebra, the Cholesky decomposition or Cholesky triangle is a decomposition of a symmetric, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose. It was discovered by André-Louis Cholesky for real matrices and is an example of a square root of a matrix. When it is applicable, the Cholesky decomposition is roughly twice as efficient as the LU decomposition for solving systems of linear equations.

U=Lt

AX=b

LLtX=b