文件列表:

compmex.m (924, 2011-08-15)
kmfmu.m (654, 2011-08-31)
kmftu.m (764, 2011-08-15)
kmldl.m (3982, 2012-01-18)
kmsldl.c (6964, 2011-09-24)
kmsldl.m (2575, 2011-09-21)
kmsudu.c (6946, 2011-09-24)
kmsudu.m (2574, 2011-08-15)
kmudu.m (3998, 2012-01-18)
ktldl.c (6367, 2011-09-24)
ktldl.m (3191, 2011-09-02)
ktudu.c (6579, 2011-08-31)
ktudu.m (3126, 2011-09-02)
ld2ld.c (1687, 2011-09-24)
ld2ld.m (543, 2011-09-01)
ld2lt.m (334, 2012-01-18)
ld2sym.c (2484, 2011-09-24)
ld2sym.m (721, 2011-09-01)
ldinv.c (3650, 2011-09-28)
ldinv.m (1591, 2011-09-28)
ldladd.c (5376, 2011-09-24)
ldladd.m (2378, 2011-09-02)
ldlex.m (3855, 2012-01-18)
ldt2sym.c (2605, 2011-09-24)
ldt2sym.m (808, 2011-09-02)
license.txt (1323, 2016-12-08)
lt2ld.m (333, 2012-01-18)
lt2sym.c (2133, 2011-09-24)
lt2sym.m (616, 2011-09-21)
ltinv.c (3421, 2012-01-13)
ltinv.m (1550, 2012-01-14)
ltt2sym.c (1977, 2011-09-24)
ltt2sym.m (702, 2011-09-21)
mexudu.m (342, 2011-08-15)
modifications.txt (2701, 2012-03-04)
psdr.m (680, 2011-08-17)
sym2ld.c (4209, 2011-09-24)
sym2ld.m (1978, 2011-09-22)
sym2ldv.c (3711, 2011-09-24)
... ...

% README: Contents UD & LD Toolbox % % To enhance the efficiency and accuracy of Kalman filter computations, % in particular the time and measurement updates, UD 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. % Use the function mexudu to compile all .c mex files in the current folder % % As a complete mirror image of UD factorization, LD 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 UD function a dual LD version is provided. % % References: % Factorization methods for discrete sequential estimation % 1977, Gerald J. Bierman % % L.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 % http://www.sco.wur.nl/NR/rdonlyres/B575A290-A91F-4FB6-8A0C-AB7E4678BAC6/47048/EJC2005_1.pdf % % uduex : examples and tests of all UD toolbox functions through % comparison of conventional with udu' factored computations % % ldlex : examples and tests of all LD toolbox functions through % comparison of conventional with ldl' factored computations % % ktudu : udu' factored Kalman filter time update % ktldl : ldl' factored Kalman filter time update % kmudu : udu' factored Kalman filter measurement update based on scalar updates % Produces Kalman gains for scalar updates but now also for vector updates % kmldl : ldl' factored Kalman filter measurement update based on scalar updates % Produces Kalman gains for scalar updates but now also for vector updates % kmsudu : scalar udu' factored measurement update kalman filter % kmsldl : scalar ldl' factored measurement update kalman filter % sym2ud : symmetric to udu' conversion % sym2ld : symmetric to ldl' conversion % sym2udv : vectorized udu' factorization % ud2sym : udu' to symmetric conversion % ld2sym : ldl' to symmetric conversion % sym2ut : symmetric to uu' conversion (Cholesky type factorization) % sym2lt : symmetric to ll' conversion (Cholesky type factorization) % ut2sym : uu' to symmetric conversion % lt2sym : ll' to symmetric conversion % udinv : inverse of u and d % ldinv : inverse of l and d % utinv : inverse of u % ltinv : inverse of l % udt2sym : p=u'*d*u, used to compute inverse % inv(p)=udt2sym(udinv(sym2ud(p))) % ldt2sym : p=l'*d*l, used to compute inverse % inv(p)=ldt2sym(ldinv(sym2ld(p))) % utt2sym : p=u'*u, used to compute inverse % inv(p)=utt2sym(utinv(sym2ut(p))) % ltt2sym : p=l'*l, used to compute inverse % inv(p)=ltt2sym(ltinv(sym2lt(p))) % uduadd : pn=c1*p1+c2*p2, c1,c2 scalars % ldladd : pn=c1*p1+c2*p2, c1,c2 scalars % ud2ud : ud to u,d conversion % ld2ld : ld to l,d conversion % ud2ut : ud to ut conversion % ld2lt : ld to lt conversion % ut2ud : ut to ud conversion % lt2ld : lt to ld conversion % % kmftu : conventional Kalman filter time update % kmfmu : conventional Kalman filter measurement update % psdr : generation random symmetric positive or nonnegative matrix % % mexudu : compile all .c mex files in current folder % (after setting the correct compiler using mex -setup) help readme

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