Cholesky Decomposition - Computing The Cholesky Decomposition

Computing The Cholesky Decomposition

There are various methods for calculating the Cholesky decomposition. The computational complexity of commonly used algorithms is O(n3) in general. The algorithms described below all involve about n3/3 FLOPs, where n is the size of the matrix A. Hence, they are half the cost of the LU decomposition, which uses 2n3/3 FLOPs (see Trefethen and Bau 1997).

Which of the algorithms below is faster depends on the details of the implementation. Generally, the first algorithm will be slightly slower because it accesses the data in a more irregular manner.