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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.

[ut]=ud2ut(ud)
% UD2UT: Conversion from UDU' to UU'
%
%        [ut]=ud2ut(ud)
%
%        ud : UDU' factorization matrix
%        ut : UU'  factorization matrix
%
% GvW 11-1-2012
function [ut]=ud2ut(ud)

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

ut=ud;
for i=1:n
  si=sqrt(ud(i,i)); ut(1:i,i)=si*[ud(1:i-1,i);1];
end

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