Square-root Kalman Filter Algorithm

Hi,

Currently I am using traditional Kalman Filter algorithm for my problem
but
the code has problems with inverting some matrices. Some one told me that
square-root algoritm is more stable. Does some-one have its algorithm?

Thanks,
Boihon

Or you can use the UDU transpose factored mathod. Yes it is better to
use a square root algorithm. You will find it in the literature.

Naebad