what does a cholesky transformation do
In linear algebra, the Cholesky decomposition or Cholesky factorization is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose, which is useful e.g. for efficient numerical solutions and Monte Carlo simulations.hen A has real entries, L has real entries as well and the factorization may be written A = LLT. The Cholesky decomposition is unique when A is positive definite; there is only one lower triangular matrix L with strictly positive diagonal entries such that A = LL *.