UD Factorization & Kalman Filtering by Gerard Van Willigenburg

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

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

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

[l,d]=ld2ld(ld)