Triangular Decomposition of a Positive Definite Matrix Plus a Symmetric Dyad with Applications to Kalman Filtering
NATIONAL RANGE OPERATIONS DIRECTORATE WHITE SANDS MISSILE RANGE NM ANALYSIS AND COMPUTATION DIV
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An algorithm for the triangular decomposition of the sum of a positive definite matrix and a symmetric dyad is described. Several applications of the algorithm to the implementation of a square root Kalman filter are given.
- Theoretical Mathematics