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trambolin is offline
Jun18-09, 03:40 AM
P: 341
If you write a little bit more prettier, you can define a new B matrix as
\hat B \hat B^T = \left[\begin{array}{cc}B_1 &B_2\end{array}\right]\left[\begin{array}{cc}\gamma &0\\0 &R^{-1}\end{array}\right]\left[\begin{array}{cc}B_1 &B_2\end{array}\right]^T
Now, your [tex]\hat B[/tex] is going to be

\hat B = \left[\begin{array}{cc}B_1 &B_2\end{array}\right]\left[\begin{array}{cc}\sqrt{\gamma} &0\\0 &\sqrt{R^{-1}}\end{array}\right]

The squareroot of R exist anyway, because you have to choose as such from LQ theory anyway. You can now plug this new B matrix as an argument to your "care" function.

Edit: oops mixed up the minus sign... And another argument bites the dust...