cholupdate: Cholesky rank-1 update (downdate)

In piotrek-orlowski/ukfRcpp: R and C++ Unscented Kalman Filter

Description

Let RMat be the lower triangular Cholesky factor of PMat. This function calculates the lower-triangular Cholesky factor of P1 = P + nu^(0.5) * xVec %*% t(xVec). For downdate take nu < 0.

Usage

cholupdate(RMat, xVec, nu)

Arguments

RMat	square matrix, cholesky decomposition (lower) of matrix A
xVec	numeric vector such that length(xVec) = dim(RMat)[j], j=1,2
nu	real, positive for update, negative for downdate. Mind the square root in description.

Details

This follows the definition in van der Merwe PhD Thesis “Sigma-Point Kalma Filters for Probabilistic Inference in Dynamic State-Space Models”

piotrek-orlowski/ukfRcpp documentation built on July 21, 2020, 11:51 a.m.