doerfler: @ADD: lti::choleskyDecomposition decomposes a symmetric, positive-definite matrix into a Cholesky factor which is either upper (U) or lower triangular: A = L*L' or A=U'*U, where U is the transpose of L: U=L' and vise versa. It can be used for faster solution of equation systems (using forwardSubstitution and backSubstitution) or inversion of covariance matrices.