Cholesky decomposition

http://en.m.wikipedia.org/wiki/Cholesky_decomposition

In linear algebra, the Cholesky decomposition or Cholesky triangle is a decomposition of a Hermitian, positive-definitematrix into the product of a lower triangular matrix and itsconjugate transpose. It was discovered by André-Louis Choleskyfor real matrices. When it is applicable, the Cholesky decomposition is roughly twice as efficient as the LU decomposition for solving systems of linear equations.[1] In a loose, metaphorical sense, this can be thought of as the matrix analogue of taking the square root of a number.

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