Here are the routines prepared by Andrea

All the best,

Michel

-------- Original Message -------- Subject: Quasi triangular matrices in Kalman filters Date: Mon, 1 Jun 2009 20:47:20 +0200 From: andrea pagano pagano.andrea@gmail.com To: george@perendia.orangehome.co.uk CC: Michel Juillard Michel.Juillard@ens.fr

Hi all

I am sending you a set of Fortran routines to calculate the matricial expression in Kalman filter together with some explenations.

Hope they can be a starting point in optimizing the overall computation

Best

Andrea