>> P2=(1/sqrt(.181))*[1 .9 0 0 1 .9] P2 = 2.3505 2.1155 0 0 2.3505 2.1155 >> P1=(1/sqrt(.181))*[1 -1 0 0 1 -1] P1 = 2.3505 -2.3505 0 0 2.3505 -2.3505 >> H1=P1'; >> H2=P2'; >> H=[H2 H1] H = 2.3505 0 2.1155 2.3505 0 2.1155 2.3505 0 -2.3505 2.3505 0 -2.3505 >> P=[P2 P1]; >> Rbinv=H*H'+eye(6) Rbinv = 6.5249 4.9724 0 5.5249 -5.5249 0 4.9724 11.0000 4.9724 4.9724 0.5525 -5.5249 0 4.9724 5.4751 0 4.9724 -4.9724 5.5249 4.9724 0 6.5249 -5.5249 0 -5.5249 0.5525 4.9724 -5.5249 12.0497 -5.5249 0 -5.5249 -4.9724 0 -5.5249 6.5249 >> Gbar=chol(Rbinv) Gbar = 2.5544 1.9466 0 2.1629 -2.1629 0 0 2.6853 1.8517 0.2838 1.7737 -2.0575 0 0 1.4305 -0.3674 1.1801 -0.8127 0 0 0 1.2772 -0.7177 0.2234 0 0 0 0 1.5225 -0.4967 0 0 0 0 0 1.1553 >> G=inv(diag(diag(Gbar)))*Gbar G = 1.0000 0.7621 0 0.8467 -0.8467 0 0 1.0000 0.6896 0.1057 0.6605 -0.7662 0 0 1.0000 -0.2568 0.8249 -0.5681 0 0 0 1.0000 -0.5619 0.1749 0 0 0 0 1.0000 -0.3262 0 0 0 0 0 1.0000 >> S0=diag(diag(Gbar))*diag(diag(Gbar)) S0 = 6.5249 0 0 0 0 0 0 7.2107 0 0 0 0 0 0 2.0463 0 0 0 0 0 0 1.6312 0 0 0 0 0 0 2.3182 0 0 0 0 0 0 1.3346 >> b=0.5*log2(diag(S0)) b = 1.3530 1.4251 0.5165 0.3530 0.6065 0.2082 >> Wunb=inv(S0-eye(6))*inv(G')*H Wunb = 0.4254 0 0.0522 0.3785 -0.2137 0.4727 0.4254 -0.1923 -0.1814 0.2441 -0.0107 -0.4254 >> Gunb=eye(6)+S0*inv(S0-eye(6))*(G-eye(6)) Gunb = 1.0000 0.9000 0 1.0000 -1.0000 0 0 1.0000 0.8006 0.1227 0.7669 -0.8896 0 0 1.0000 -0.5023 1.6134 -1.1111 0 0 0 1.0000 -1.4520 0.4520 0 0 0 0 1.0000 -0.5737 0 0 0 0 0 1.0000 >> Wbc=A' Wbc = 1 0 0 0 0 0 0 1 0 0 0 0 0 0 1 0 0 0 0 0 0 1 0 0 0 0 0 0 1 0 0 0 0 0 0 1 >> Abc=Wunb' Abc = 0.4254 0.0522 -0.2137 0.4254 -0.1814 -0.0107 0 0.3785 0.4727 -0.1923 0.2441 -0.4254 >> Gbc=Gunb' Gbc = 1.0000 0 0 0 0 0 0.9000 1.0000 0 0 0 0 0 0.8006 1.0000 0 0 0 1.0000 0.1227 -0.5023 1.0000 0 0 -1.0000 0.7669 1.6134 -1.4520 1.0000 0 0 -0.8896 -1.1111 0.4520 -0.5737 1.0000 >> Rxxm1=eye(3); >> Rxxm2=eye(3); >> Rnoisem1=eye(2)+H2'*Rxxm1*H2 Rnoisem1 = 11.0000 4.9724 4.9724 11.0000 >> Rnoisem2=eye(2); >> Rnoiseb1=eye(3); >> Hbtilde1=inv(sqrtm(Rnoiseb1))*H1*inv(sqrtm(Rnoisem1)) Hbtilde1 = 0.7728 -0.1846 -0.9574 0.9574 0.1846 -0.7728 >> [F1,L1,M1]=svd(Hbtilde1) F1 = -0.4082 -0.7071 0.5774 0.8165 0 0.5774 -0.4082 0.7071 0.5774 L1 = 1.6582 0 0 0.5881 0 0 M1 = -0.7071 -0.7071 0.7071 -0.7071 >> Rxxb1=inv(sqrtm(Rnoisem1))*M1*F1(1:3,1:2)'*inv(sqrtm(Rnoiseb1'))*Rxxm1*inv(sqrtm(Rnoiseb1))*F1(1:3,1:2)*M1'*inv(sqrtm(Rnoisem1')) Rxxb1 = 0.1143 -0.0516 -0.0516 0.1143 >> Rnoiseb2=eye(3)+H2*Rxxb1*H2' Rnoiseb2 = 1.6312 0.2828 -0.2568 0.2828 1.6289 0.3370 -0.2568 0.3370 1.5113 >> Hbtilde2=inv(sqrtm(Rnoiseb2))*H2*inv(sqrtm(Rnoisem2)) Hbtilde2 = 1.7121 -0.0235 1.5175 1.6910 -0.0211 1.5409 >> [F2,L2,M2]=svd(Hbtilde2) F2 = -0.4295 0.7412 0.5158 -0.8161 -0.0741 -0.5731 -0.3866 -0.6671 0.6368 L2 = 2.7799 0 0 1.6557 0 0 M2 = -0.7071 0.7071 -0.7071 -0.7071 >> Rxxb2=inv(sqrtm(Rnoisem2))*M2*F2(1:3,1:2)'*inv(sqrtm(Rnoiseb2'))*Rxxm2*inv(sqrtm(Rnoiseb2))*F2(1:3,1:2)*M2'*inv(sqrtm(Rnoisem2')) Rxxb2 = 0.5307 -0.0145 -0.0145 0.5307 Rvv2=pinv(A2)*Rxxb2*pinv(A2)' Rvv2 = 2.2292 0.9270 -0.3034 0.9270 0.9303 0.5542 A1=Abc(:,4:6) A1 = 0.4254 -0.1814 -0.0107 -0.1923 0.2441 -0.4254 >> Rvv1=pinv(A1)*Rxxb1*pinv(A1)' Rvv1 = 0.4692 -0.1625 -0.1112 -0.1625 0.1092 -0.1018 -0.1112 -0.1018 0.3989 >> A1*Rvv1*A1'-Rxxb1 ans = 1.0e-015 * 0.0833 -0.0278 -0.0208 0.1527 >> A2*Rvv2*A2'-Rxxb2 ans = 1.0e-015 * -0.1110 0.0139 0.0555 -0.4441 -0.3034 0.5542 0.8912 >> Gp2=chol(J*Rvv2*J) Gp2 = 0.9440 0.5871 -0.3214 0 0.7652 1.4581 0 0 0.0000 >> Gp1=chol(Rvv1) Gp1 = 0.6850 -0.2373 -0.1624 0 0.2299 -0.6103 0 0 0.0000