Sample Question #23 (applied math – linear algebra)
In linear algebra, why are we interested in matrix decompositions? Explain each of the following:
- LU decomposition
- Singular value decomposition (SVD)
- Cholesky decomposition
- QR decomposition
When and how is each of these decomposition techniques applied?
(Comment: matrix operations, including decompositions, are extremely important in applied quantitative finance – they are often the clue between modeling and implementation)