Bierman

[U D] = UDFactor(P) returns matrices U and D such that U.'*D*U = P[U D] = UDFactor(P,uflag) returns matrices U and D such that U*D*U.' = Pwhen uflag is set to TRUE. Setting uflag to FALSE is equivalent torunning UDFactor with only one argument.The alogrithm of UDFactor is similar to the Cholesky...


Platforms: Matlab

To enhance the efficiency and accuracy of Kalman filter computations, in particular the time and measurement updates, UDU factorization is employed. An interesting feature of the current implementation is the extension to semi-positive (nonnegative) matrices and systems with a time-varying state...


Platforms: Matlab