Linear Stochastic Control Using the UDUT Matrix Factorization
Catherine L. Thornton; Robert A. Jacobson · Journal of Guidance Control and Dynamics · 1978
The classical LQG stochastic control law is reformulated using the matrix factorization S equals UDU super T. This method yields a statistical guidance analysis algorithm that is numerically superior to the classical solution yet requires negligible additional computation and storage. Moreover, experience with U-D algorithms has shown them to be adaptable and easy to implement on a variety of problems.