/cholesky_decomposition

Definition
L=[l1100l21l220l31l32l33],LT=[l11l21l310l22l3200l33] L = \begin{bmatrix} l_{11} & 0 & 0 \\ l_{21} & l_{22} & 0 \\ l_{31} & l_{32} & l_{33} \end{bmatrix} ,\: L^T = \begin{bmatrix} l_{11} & l_{21} & l_{31} \\ 0 & l_{22} & l_{32} \\ 0 & 0 & l_{33} \end{bmatrix} \\[5px] SolveLLTX=Bfor X to solve the system\text{Solve}\: LL^TX = B \: \text{for X to solve the system}LetLTX=Y\text{Let}\: L^TX = YFirst solveLY=BforYand then solveLTX=YforX\text{First solve}\: LY = B \: \text{for}\: Y \: \text{and then solve} \: L^TX = Y\: \text{for}\: X
Matrix
[A][A]
{x}\{x\}
==
[B][B]