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UD Factorization & Kalman Filtering

UD Factorization & Kalman Filtering


Gerard Van Willigenburg


15 Aug 2011 (Updated )

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

% LD2SYM : Recover P from LD, an LDL factorization of P
%          L lower unit triangular, D diagonal, P nonnegative symmetric
%          [p]=ld2sym(ld)
%          p=l*d*l'; l unit lower triangular, d diagonal
%                    both stored in ld
%          See also sym2ld, ldt2sym, ldinv
%          References: Factorization methods for discrete sequential estimation
%                      1977, Gerald J. Bierman
% L.G. van Willigenburg, W.L. de Koning, Update August 2011
  function [p]=ld2sym(ld)
  if n~=m; error('ld must be square'); end;
  if n==0; error('  Compatible but empty inputs'); end;


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