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by dragonissimo
October 7th, 2005, 6:49 pm
Forum: Technical Forum
Topic: Montecarlo & Cholesky decomposition
Replies: 28
Views: 198594

Montecarlo & Cholesky decomposition

<t>Rector,can you please elaborate on your remark about the 2nd algorithm used by Higham? I read the paper but I saw only an implementation of the first algorithm (the slow one exploiting the alternating projections method). I guess that the second method you are mentioning is the semidefinite progr...