ukfUtilities

Defines

UKF_MAX_DIM

Functions

void ukfQRDJustR(double *sourceMat, int32_t nRow, int32_t nCol, double *destMat)

int32_t ukfLInv(double *sourceMat, int32_t nRow, int32_t nCol, double *destMat)

int32_t ukfUInv(double *sourceMat, int32_t nRow, int32_t nCol, double *destMat)

int32_t ukfLUD(double *sourceMat, int32_t nRow, int32_t nCol, double *destMat, int32_t *indx)

int32_t ukfLUBckSlv(double *sourceMat, int32_t nRow, int32_t nCol, int32_t *indx, double *bmat, double *destMat)

int32_t ukfMatInv(double *sourceMat, int32_t nRow, int32_t nCol, double *destMat)

int32_t ukfCholDecomp(double *sourceMat, int32_t nRow, int32_t nCol, double *destMat)

int32_t ukfCholDownDate(double *rMat, double *xVec, double beta, int32_t nStates, double *rOut)