matlab对称矩阵,matlab执行对称矩阵的u-d分解

UDFactor

[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.' = P

when uflag is set to TRUE. Setting uflag to FALSE is equivalent to

running UDFactor with only one argument.

The alogrithm of UDFactor is similar to the Cholesky decomposition except

that the matrix is factored into a unitary upper triangular matrix (U)

and diagonal matrix (D) such that P = U*D*U.' (or U.'*D*U). Note that

while this is equivalent to P = (U*D^0.5)*(U*D^0.5).' = S*S.' where S is

the upper triangular square root of P, no square roots are taken in the

calculations of U and D. This makes this factorization ideal for a

square-root implementation of a Kalman filter (a U-D filter). For more

details, see Bierman, G. J., Factorization methods for discrete

sequential estimation, 1977.

Note: This factorization is only guaranteed to work for symmetric

matrices.

Examples:

%create symmetric matrix

P = rand(5)*10;, P = triu(P)+triu(P).';

%factor

[U1,D1] = UDFactor(P);

[U2,D2] = UDFactor(P,true);

%check factorization

P - U1.'*D1*U1

P - U2*D2*U2.'