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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.

[ld]=lt2ld(lt)
% LT2LD: Conversion from LL' to LDL'
%
%        [ld]=lt2ld(ut)
%
%        lt : LL'  factorization matrix
%        ld : LDL' factorization matrix
%
% GvW 11-1-2012
function [ld]=lt2ld(lt)

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

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

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