Cholesky Decomposition A positive definite Hermite matrix is decompose to lower triangular matrix L and its conjugate transpose matrix L*. It is used for covariance matrix decomposition many times since it can be applied to semi-positive definite matrix. This is special case of LU decomposition that utilizes characteristic of Hermiticity. Code QR decomposition QR decomposition … Continue reading Cholesky and QR Decomposition