Module bayes_estimate::cholesky [−][src]
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Cholesky and Modified Cholesky factorisations.
UdU’ and LdL’ factorisations of positive semi-definite matrices. Where: U is unit upper triangular d is diagonal L is unit lower triangular
Storage: UD format of UdU’ factor strict_upper_triangle(UD) = strict_upper_triangle(U), diagonal(UD) = d, strict_lower_triangle(UD) ignored or zeroed LD format of LdL’ factor strict_lower_triangle(LD) = strict_lower_triangle(L), diagonal(LD) = d, strict_upper_triangle(LD) ignored or zeroed
Reference G+A: “Kalman filtering Theory and Practice” Mohinder S. Grewal, Angus P. Andrews QA402.3.G695 1995