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j.c.
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Trace of multiplied positive definite matrices

I have to compute $Tr(K^{-1}\Sigma)$ where both $K$ and $\Sigma$ are symmetric positive definite matrices.

Question is considering that I have computed the Cholesky, $L_1$ of $K$ previously, is there any sort of structure I can exploit to get $Tr(K^{-1}\Sigma)$?

If not what if I compute the Cholesky, $L_2$ of $\Sigma$, would this help?

sachinruk
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