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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]=ltt2sym(lt)
% LTT2SYM : Recovers P=LT'*LT, LT lower triangular, P nonnegative symmetric
%
%           [p]=ltt2sym(lt)
%
%           p=lt'*lt
%
%           Used to compute : inv(p)=inv(l)'*inv(l)
%           [lti]=utinv(lt) computes inv(l)
%           Then: inv(p)=ltt2sym(ltinv(sym2ld(p)))
%
%           See also ltinv, lt2sym, sym2lt
%
%           References: Factorization methods for discrete sequential estimation
%                       1977, Gerald J. Bierman
%
% L.G. van Willigenburg, W.L. de Koning, Update August 2011

  function [p]=ltt2sym(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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