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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]=ut2sym(ut)
% UT2SYM : Recover P from UT=U', P=U*U', U upper triangular, P nonnegative symmetric
%          U is a upper triangular Cholesky factorization of P
%
%          [p]=ut2sym(ut)
%
%          p=ut*ut'
%
%          see also sym2ut, utinv, utt2sym
%
%          References: Factorization methods for discrete sequential estimation
%                      1977, Gerald J. Bierman
%
% L.G. van Willigenburg, W.L. de Koning, Update August 2011

  function [p]=ut2sym(ut)
  
  [n,m]=size(ut);
  if n~=m; error('ut must be square'); end;
  if n==0; error('  Compatible but empty inputs'); end;

  p=ut*ut';

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