UDU factorization

If you really need to write RLS (I assume Recursive Least Square identification) code, you can use this resource:

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)!