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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.

[p]=lt2sym(lt)
% LT2SYM : Recover P from LT=L', P=L*L', L lower triangular, P nonnegative symmetric
%          L is a lower triangular Cholesky factorization of P
%
%          [p]=lt2sym(lt)
%
%          p=lt*lt'
%
%          see also sym2lt, ltinv, ltt2sym
%
%          References: Factorization methods for discrete sequential estimation
%                      1977, Gerald J. Bierman
%
% L.G. van Willigenburg, W.L. de Koning, Update August 2011

  function [p]=lt2sym(lt)
  
  [n,m]=size(lt);
  if n~=m; error('  lt must be square'); end;
  if n==0; error('  Compatible but empty inputs'); end;

  p=lt*lt';

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