The Cholesky Decomposition <Back to Last Page>     <Full Glossary>

Definition of The Cholesky Decomposition: Given a symmetric positive definite square matrix X, the Cholesky decomposition of X is the factorization X=U'U, where U is the square root matrix of X, and satisfies:

(1) U'U = X
(2) U is upper triangular (that is, it has all zeros below the diagonal)

Once U has been computed, one can calculate the inverse of X more easily, because X^-1 = U^-1(U')^-1, and the inverses of U and U' are easier to compute. (Econterms)

Terms related to The Cholesky Decomposition:

• Cholesky factorization

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