Code covered by the BSD License  

Highlights from
UD Factorization & Kalman Filtering

UD Factorization & Kalman Filtering

by

 

15 Aug 2011 (Updated )

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

[ud]=ut2ud(ut)
% UT2UD: Conversion from UU' to UDU'
%
%        [ud]=ut2ud(ut)
%
%        ut : UU'  factorization matrix
%        ud : UDU' factorization matrix
%
% GvW 11-1-2012
function [ud]=ut2ud(ut)

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

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

Contact us