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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]=utt2sym(ut)
% UTT2SYM : Recovers P=UT'*UT, UT upper triangular, P nonnegative symmetric
%
%           [p]=utt2sym(ut)
%
%           p=ut'*ut
%
%           Used to compute : inv(p)=inv(u)'*inv(u)
%           [uti]=utinv(ut) computes inv(u)
%           Then: inv(p)=utt2sym(utinv(sym2ud(p)))
%
%           See also utinv, ut2sym, sym2ut
%
%           References: Factorization methods for discrete sequential estimation
%                       1977, Gerald J. Bierman
%
% L.G. van Willigenburg, W.L. de Koning, Update August 2011

  function [p]=utt2sym(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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