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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.

[u,d]=ud2ud(ud)
% UD2UD : Recover separate u,d from ud, an udu factorization
%
%         [u,d]=ud2ud(ud)
%
%         See also ud2sym, udt2sym, sym2ud, udinv
%
%         References: Factorization methods for discrete sequential estimation
%                     1977, Gerald J. Bierman
%
% L.G. van Willigenburg, W.L. de Koning, Update August 2011

  function [u,d]=ud2ud(ud)

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

  d=diag(diag(ud));
  u=ud-d+diag(ones(1,n));

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