Code covered by the BSD License  

Highlights from
UD Factorization & Kalman Filtering

5.0

5.0 | 2 ratings Rate this file 39 Downloads (last 30 days) File Size: 73 KB File ID: #32537

UD Factorization & Kalman Filtering

by

 

15 Aug 2011 (Updated )

UD and LD factorization of nonnegative matrices and associated Kalman filter implementations.

| Watch this File

File Information
Description

Description:

To enhance the efficiency and accuracy of Kalman filter computations, in particular the time and measurement updates, UD factorization is employed.
An interesting feature of the current implementation is the extension to semi-positive (nonnegative) matrices and systems with a time-varying state dimension. The matlab implementation is through both m files and mex files written in c. The mex files speed up the computations which contain several for loops. Use the function mexudu to compile all .c mex files in the current folder

As a complete mirror image of UD factorization, LD factorization may be employed. Depending on the application, one may have an advantage over the other.
Or, to obtain computational symmetry, both may be required. Therefore dual to each UD function a dual LD version is provided.

References:
Factorization methods for discrete sequential estimation, 1977, Gerald J. Bierman

L.G. van Willigenburg, W.L. De Koning, 2004, "UDU factored discrete-time Lyapunov recursions solve optimal reduced-order LQG problems", European Journal of Control, 10, pp. 588-601

http://www.gvw007.yolasite.com/resources/EJC2005_1.pdf

MATLAB release MATLAB 7.5 (R2007b)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.
Comments and Ratings (2)
23 Aug 2012 BILL XUE  
06 Jan 2012 afu2007 ??

sounds very good, let me check carefully

Updates
16 Aug 2011

In sym2ut.m the 3rd output argument inz has been added. In the readme.m file utinv is now correctly mentioned to compute the inverse of u.

31 Aug 2011

The application to systems with time-varying state-dimension has been implemented.
The efficiency of sym2ud, sym2ut and psdr has been improved.
In uduex associated additional examples have been added.

23 Sep 2011

LDL mirror images of each function are added.
The comments of several functions are corrected or improved.

17 Jan 2012

kmudu and kmldl are updated to also produce a Kalman gain for vector updates.
Functions ud2ut, ld2lt, ut2ud, lt2ld are added. uduex and ldlex are updated. Code and comments of several functions are corrected or improved.

03 Mar 2012

UDU is replaced with UD in the title and some desciptions, notably in the readme.m and modifications.txt file. The internet link to one reference is updated.

14 Apr 2013

The internet link in the description has been updated. No changes to the files.

Contact us