Cholesky decomposition of a real symmetric positive-definite matrix
For a real symmetric positive-definite matrix, A, the Cholesky decomposition, A=LLT (where L is lower-triangular), is more efficient than the LU-decomposition. Read the book and/or Wikipedia article Cholesky-decomposition.
Implement Cholesky decomposition of a real symmetric positive-definite matrix using Cholesky-Banachiewicz or Cholesky-Crout algorithms.
Try implement also the corresponding linear equation solver, calculation of determinant, and calculation of the inverse matrix.