Computes the Cholesky decompositions of the given symmetric positive definite matrix, A: as A = L_Ch L_Ch^T; and as A = L D L^T. ('T' means 'transpose', but is indicated by prime in the results.) A symmetric positive definite matrix, A is such that x^TAx > 0 (x ≠ 0). (It has positive diagonal elementws.)

† Am. or Eu. data: data can be given in American (Am.) or European (Eu.) style (such as in 'csv' files), i.e., with decimal mark point (e.g., 12.3, 4.7...) or comma (e.g., 12,3; 4,7...) and optional coherent separators (such as tab).

• Google: Cholesky decomposition

• Wikipedia Monte Carlo simulation (application in)

• Algowiki software implementation (source of the code used)

• Vandenberghe, Lieven, 12. Cholesky factorization.pdf (Appl. Num. Computing)

• Rosetta Code Cholesky decomposition (source of the base data)

• Haugh, Martin, 2004, The Monte Carlo Framework, Examples from Finance and Generating Correlated Random Variables.pdf (Columbia Univ.)

• 1625-08-13: Bartholin, Erasmus (1698-11-04).