UDU factorization

On May 27, 1:20 am, dbo...@gmail.com wrote:

If you really need to write RLS (I assume Recursive Least Square
identification) code, you can use this resource:
http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId –07&objectType=FILE
This code is written in Matlab. However syntax is fairly simple and
can be easily translated in any other programming language.

Do you understand how RLS works at all? Are you sure you need to use
UDU' decomposition?
If I remember correctly, UDU factorization is needed if RLS algorithm
is applied to ill conditioned matrix. If matrix P is ill conditioned,
then numerical problem can arise when calculating new iterative
parameter estimation. In such cases, matrix inversion P^(-1) become
problematic.
Anway, in the above link you can find code for UDU' factorization.

Best regards,
Asim Vodencarevic

Thanks for answering and puting that link. yes i understand how RLS
works, but i don't know how UDU' factorization helps solving numerical
problem. i was looking for literature which could explain it. How did
someone come on idea to decompose  matrix on one diagonal and other
upper-triangular. it didn't fall from the sky .  Best regards
(Pozdrav)!