Functions/Subroutines
subroutine	phalf (nrhs, x, Px)
	subroutine to take a full state vector x and return \(P^{1/2}x\) in state space. More...

Function/Subroutine Documentation

subroutine phalf	(	integer, intent(in)	nrhs,
		real(kind=rk), dimension(state_dim,nrhs), intent(in)	x,
		real(kind=rk), dimension(state_dim,nrhs), intent(out)	Px
	)

subroutine to take a full state vector x and return \(P^{1/2}x\) in state space.

Given \(x\) compute \(P^{\frac{1}{2}}x\)

where \(P = (Q^{-1} +H^TR^{-1}H)^{-1} = Q^{\frac{1}{2}}(I + Q^{\frac{1}{2}}H^TR^{-1}HQ^{\frac{1}{2}})^{-1}Q^{\frac{1}{2}}\)

This is required for the Zhu Equal weights particle filter equivalent_weights_filter_zhu

Parameters

[in]	nrhs	the number of right hand sides
[in]	x	the input vector
[out]	px	the resulting vector where Px \(= P^{\frac{1}{2}}x\)

Definition at line 11 of file phalf.f90.

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Functions/Subroutines