CholeskyDecomposition

CholeskyDecomposition[m] gives the Cholesky decomposition of a positive definite matrix m.

Examples

Cholesky decomposition:

CholeskyDecomposition[{{4, 2}, {2, 5}}]
(* {{2, 1}, {0, 2}} *)

Verify L.L^T = M:

l = CholeskyDecomposition[{{4, 12}, {12, 37}}];
Transpose[l] . l
(* {{4, 12}, {12, 37}} *)

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