Module bayes_estimate::cholesky
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Cholesky and modified Cholesky factorisations.
UdU’ factorisations of positive semi-definite matrices. Where: U is unit upper triangular d is diagonal
Matrix condition
The reciprocal condition number ‘rcond’ is is easily computed from the ‘d’ factors as a measure of the conditioning of the matrix.
Storage
UD format of UdU’ factor strict_upper_triangle(UD) = strict_upper_triangle(U), diagonal(UD) = d, strict_lower_triangle(UD) ignored or zeroed
Reference
G+A: “Kalman filtering Theory and Practice” Mohinder S. Grewal, Angus P. Andrews QA402.3.G695 1995