The Cholesky decomposition is another way of solving systems of linear equations. It can be significantly faster and uses a lot less memory than the LU decomposition, by exploiting the property of symmetric matrices. However, the matrix being decomposed must be Hermitian (or real-valued symmetric and thus square) and positive definite. This means that the A matrix is decomposed as A=LLT, where L is a lower triangular matrix with real and positive numbers on the diagonals, and LT is the conjugate transpose of L.
Let's consider another example of a system of linear equations where the A matrix is both Hermitian and positive definite. Again, the equation is in the form of Ax=B, where A and B take the following values:
Let's represent these matrices as NumPy arrays:
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Cholesky decomposition with NumPy
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