www.pudn.com > gmm_utilities.zip > gauss_divide.m

function [x,P,w] = gauss_divide(x1,P1, x2,P2, logflag) 
%function [x,P,w] = gauss_divide(x1,P1, x2,P2, logflag) 
 
if nargin == 4, logflag = 0; end 
 
switch 1 
case 1 % obvious implementation 
    P1inv = inv(P1); 
    P2inv = inv(P2); 
    P = inv(P1inv - P2inv); 
    x = P*(P1inv*x1 - P2inv*x2);     
case 2 % simple KF form, possibly better numerics 
    S = P1 - P2; % note: typically S is not positive definite 
    W = P1*inv(S); 
    P = P1 - W*S*W'; 
    x = x1 + W*(x2-x1);     
otherwise 
    error('Invalid selection') 
end 
 
P = (P+P')/2; % force symmetry 
 
w = gauss_evaluate(x2-x, P2+P, logflag); 
if logflag 
    w = -w; 
else 
    w = 1/w; 
end