Cholesky Decomposition and Its Applications in Python
2 years ago
92
In this video, we go over Cholesky decomposition of symmetric matrices. In terms of solving systems of linear equations, it is very similar to LU decomposition. I will show how to do the decomposition in and how to solve a system of linear equations using Numpy’s and Scipy’s built-in functions. Then we will explore how we can use this to generate correlated random variables. This has applications in finance where one might wish to do a Monte Carlo simulation on two or more correlated stocks.
Github: https://github.com/kpmooney/numerical_methods_youtube/blob/master/matrix_decomposition/Cholesky%20Decomposition.ipynb
Tip Jar: https://patpal.me/kpmooney
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