Code covered by the BSD License  

Highlights from
UD Factorization & Kalman Filtering

UD Factorization & Kalman Filtering



15 Aug 2011 (Updated )

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

% 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)

if n~=m; error('  ut must be square'); end

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

Contact us