In this paper we outline an alternative derivation of the square-root-free Cholesky decomposition of P - pp' based on square-root-free variants of a standard algorithm in statistical computing.

This is an expository article that develops the Kalman filter from a Cholesky factorization perspective. In particular, the Kalman filter is shown to be a modification of the Cholesky factorization ...

One of the most used algorithms in numerical simulation is the solving of large, dense matrices. Thermal analysis, boundary element methods and electromagnetic wave calculations all depend on the ...