... sigma=M(i,j); for k=1:j-1, sigma=sigma-C(i,k)*C(j,k); end; if i==j C(i,j)=sqrt(sigma); else C(i,j)=sigma/C(j,j) end; end; end; for j=m :-1 :1, for i=j :-1 :1, sigma=M(i,j); for k=j+1:m, sigma=sigma-C(i,k)*C(j,k); ... upper triangular matrix (U is overwritten with U À1 ) for i=m :-1 :1, for j=m :-1 :i+1, U(i,j)=-U(i,j); for k=i+1:j-1, U(i,j)=U(i,j)-U(i,k)*U(k,j); end; end; end; Computational complexity: m
m À ... square-root Kalman ®ltering, with other forms presented in the following section The two selected forms of square-root ®ltering are 6.5 SQUARE-ROOT AND UD FILTERS 239 Carlson±Schmidt square-root...