decompose.m

文件夹中NPFMain.m为滤波算法主运行程序

%%%Cholesky Decompose
%%%对称正定阵的Cholesky正交分解
%%%Decompose.m
function L=Decompose(A)

Width1=length(A(:,1));
Width2=length(A(1,:));
Sum1=0;
Sum2=0;
U=zeros(Width1,Width2);
for i=1:Width1
    if i==1
        for j=i:Width2
           U(i,i)=sqrt(A(i,i));
           U(i,j)=A(i,j)/U(i,i);
        end
    else
        for j=i:Width2
            Sum1=0;
            for k=1:i-1
                Sum1=Sum1+U(k,i)^2;
            end
            U(i,i)=sqrt(A(i,i)-Sum1);
            Sum2=0;
            for k=1:i-1
                Sum2=Sum2+U(k,i)*U(k,j);
            end
            U(i,j)=(A(i,j)-Sum2)/U(i,i);
        end
    end
end

L=U';