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UD Factorization & Kalman Filtering

UD Factorization & Kalman Filtering



15 Aug 2011 (Updated )

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

% 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)

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


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