The Cholesky decomposition is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose.
Questions tagged [cholesky-decomposition]
145 questions
-1
votes
1 answer
Cholesky decomposition how to prove
From calculation of the Cholesky decomposition of covariance matrix, prove whether a symmetric matrix being positive or not can be determined from signs of principal diagonal minors.
riya
- 1