www.pudn.com > gmm_utilities.zip > gauss_multiply.m, change:2006-01-05,size:572b

function [x,P,w] = gauss_multiply(x1,P1, x2,P2, logflag) 
%function [x,P,w] = gauss_multiply(x1,P1, x2,P2, logflag) 
 
if nargin == 4, logflag = 0; end 
 
S = P1 + P2; 
Sc  = chol(S); 
Sci = inv(Sc); 
Wc = P1*Sci;       % "normalised" gain 
vc = Sci'*(x2-x1); % "normalised" innovation 
 
% Update  
x = x1 + Wc*vc;  
P = P1 - Wc*Wc'; 
 
% Update weight 
D = size(x,1); 
numer = -0.5 * vc'*vc;  
if logflag ~= 0 
    denom = 0.5*D*log(2*pi) + sum(log(diag(Sc))); 
    w = numer - denom; 
else 
    denom = (2*pi)^(D/2) * prod(diag(Sc)); 
    w = exp(numer) / denom; 
end