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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.

[lt]=ld2lt(ld)
% LD2LT: Conversion from LDL' to LL'
%
%        [lt]=ld2lt(ld)
%
%        ld : LDL' factorization matrix
%        lt : LL'  factorization matrix
%
% GvW 11-1-2012
function [lt]=ld2lt(ld)

[n,m]=size(ld);
if n~=m; error('  ud must be square'); end

lt=ld;
for i=1:n
  si=sqrt(ld(i,i)); lt(i:n,i)=si*[1;ld(i+1:n,i)];
end

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