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UD Factorization & Kalman Filtering

UD Factorization & Kalman Filtering

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15 Aug 2011 (Updated )

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

[l,d]=ld2ld(ld)
% LD2LD : Recover separate l,d from ld, an ldl factorization
%
%         [u,d]=ld2ld(ld)
%
%         See also ld2sym, ldt2sym, sym2ld, ldinv
%
%         References: Factorization methods for discrete sequential estimation
%                     1977, Gerald J. Bierman
%
% L.G. van Willigenburg, W.L. de Koning, Update August 2011

  function [l,d]=ld2ld(ld)

  [n,m]=size(ld);
  if n~=m; error('  ld must be square'); end;
  if n==0; error('  Compatible but empty inputs'); end;

  d=diag(diag(ld));
  l=ld-d+diag(ones(1,n));

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