UDU Factorization & Kalman Filtering 1.0

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 dimension. The matlab implementation is through both m files and mex files written in c. The mex files speed up the computations which contain several for loops.As a complete mirror image of UDU factorization, LDL factorization may be employed. Depending on the application, one may have an advantage over the other. Or, to obtain computational symmetry, both may be required. Therefore dual to each UDU function a dual LDL version is provided.References:Factorization methods for discrete sequential estimation, G.J. Bierman, 1977L.G. van Willigenburg, W.L. De Koning, 2004, UDU factored discrete-time Lyapunov recursions solve optimal reduced-order LQG problems, European Journal of Control, 10, pp. 588-601

Requirements:	No special requirements
Platforms:	Matlab
Keyword:	Advantage,  Discrete,  Factorization,  Function,  Methods,  Provided,  References,  Required,  Version
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