here is the algorithm: given: W, P0, xbar0 = 0 (xbar is the a priori state deviation) phi = I R = chol(inv(P0))(posted 8816 days ago)b = R * xbar0
start loop, proces each obs
time update X and phi calculate measurement residual y calculate H matrix
bbar = b Rbar = R * inv(phi)
[ R b ] [ Rbar bbar ] [ 0 e ] = givens [ sqrt(W) * H sqrt(W) *y ]
end loop
xhat = backsub([R b]) As far as Ubar0, Dbar0...Pbar0 = Ubar0 * Dbar0 * Ubar0' If Pbar0 is diagonal then Ubar0 = I and Dbar0 = Pbar0 Dave G.