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updated 1 year ago

UD Factorization & Kalman Filtering by Gerard Van Willigenburg

UD and LD factorization of nonnegative matrices and associated Kalman filter implementations. (udu factorization, ldl factorization, kalman filter)

[P,K,xhat]=kmfmu(c,w,P,xhat,y)

[P,xhat]=kmftu(Phi,V,P,xhat,Gam,u)

[l,d]=ld2ld(ld)

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