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From "Thomas Neidhart (JIRA)" <j...@apache.org>
Subject [jira] [Resolved] (MATH-1033) Kalman filter does not work if covarance matrix is not of dimension 1
Date Fri, 11 Oct 2013 21:39:42 GMT

     [ https://issues.apache.org/jira/browse/MATH-1033?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Thomas Neidhart resolved MATH-1033.
-----------------------------------

       Resolution: Fixed
    Fix Version/s: 3.3

Fixed in r1531430.

Thanks for the report.

> Kalman filter does not work if covarance matrix is not of dimension 1
> ---------------------------------------------------------------------
>
>                 Key: MATH-1033
>                 URL: https://issues.apache.org/jira/browse/MATH-1033
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 3.2
>            Reporter: Yuan Qu
>             Fix For: 3.3
>
>
> In org.apache.commons.math3.filter.KalmanFilter,
> The check below doesn't look right, it reques measNoise's column dimension to be 1 at
all time.
>         
> // row dimension of R must be equal to row dimension of H
>         if (measNoise.getRowDimension() != measurementMatrix.getRowDimension() ||
>             measNoise.getColumnDimension() != 1) {
>             throw new MatrixDimensionMismatchException(measNoise.getRowDimension(),
>                                                        measNoise.getColumnDimension(),
>                                                        measurementMatrix.getRowDimension(),
1);
>         }



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