The Cholesky Decomposition in .NET (C#, Visual Basic)
With the cholesky decomposition a symmetric real or hermitian complex matrix $A$ is factorized into a lower triangular matrix $L$. It is necessary that the matrix $A$ is positive definite.
$$ A = L \cdot L^*$$
where $^*$ indicates the transpose and complex conjugate.
Using the Cholesky Decomposition in .NET (C#, Visual Basic)
If the matrix A is not positive definite L will contain a submatrix that is lower triangular.