Gaussian variable elimination as Gaussian elimination

Summary

The computations involved in Gaussian variable elimination are the same as those used to compute the Cholesky decomposition of the covariance matrix.

Context

This concept has the prerequisites:

Core resources (we're sorry, we haven't finished tracking down resources for this concept yet)

Supplemental resources (the following are optional, but you may find them useful)

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Walk-sums and belief propagation in Gaussian graphical models
Location: Section 2.2, up to "Loopy belief propagation"
Authors: Dmitry M. Malioutov,Jason K. Johnson,Alan S. Willsky

See also

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