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KF UD decomposition pseudo code implementation advanced [2]
2022-07-06 12:54:00 【Proletarians】
I don't say much nonsense , Directly on pseudo code ,matlab edition , Easy to read .
be based on UD Of KF In two parts :
The first part realizes the residual sum v Update ;
The second part is about D\U\b Update of three parts .
%% be based on UD Disintegrated KF Simulation code
% ------ Part One Start ------
% This part implements J>1 Residual calculation and v Update
for J=n:-1:2
z=z-a(J)*x(J); % residual=delta_z
for K=1:J-1
a(J)=a(J)+U(K,J)*a(K); % f=U^T*a, After the assignment a(J) Namely f
end
v(J)=U(J,J)*a(J);% vi=di*fi
end
% This part implements J=1 Residual calculation and v Update
z=z-a(1)*x(1);
v(1)=U(1,1)*a(1);
% ------ Part One Last ------
% ------ Part Two Start------
% This part implements J=1 matrix D、 matrix U、 Unweighted KF gain b Three part update
alpha=r+v(1)*a(1);
gamma=1.0/alpha;
U(1,1)=U(1,1)*r*gamma;
b(1)=v(1);
% This part implements J>1 matrix D、 matrix U、 Unweighted KF gain b Three part update
for J=2:N
beta=alpha; % take alpha(J-1) Plug in
alpha=alpha+v(J)*a(J); % to update alpha(J)
p=-a(J)*gamma; % take gamma(J-1) Plug in
gamma=1.0/alpha; % to update gamma(J)
U(J,J)=U(J,J)*beta*gamma; % to update D
b(J)=v(J);
for I=1:J-1
beta=U(I,J);
U(I,J)=beta+b(I)*p; % to update U
b(I)=b(I)+v(J)*beta;% to update b
end
end
z=z/alpha; % delta_z=delta_z/alpha, namely delta_z Is the weighted residual
for J=1:N
x(J)=x(J)+b(J)*z; % x_=x+(k)*delta_z=x+(b/alpha)*delta_z, namely k=b/alpha, Realized with b A weighted
end
% ------ Part Two Last ------
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