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From "Thomas Neidhart (JIRA)" <j...@apache.org>
Subject [jira] [Resolved] (MATH-1062) Kalman filter uses CholeskyDecomposition with too stringent symmetry checks
Date Thu, 07 Nov 2013 15:17:17 GMT

     [ https://issues.apache.org/jira/browse/MATH-1062?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Thomas Neidhart resolved MATH-1062.
-----------------------------------

       Resolution: Fixed
    Fix Version/s: 3.3

Fixed in r1539676.

> Kalman filter uses CholeskyDecomposition with too stringent symmetry checks
> ---------------------------------------------------------------------------
>
>                 Key: MATH-1062
>                 URL: https://issues.apache.org/jira/browse/MATH-1062
>             Project: Commons Math
>          Issue Type: Bug
>            Reporter: Thomas Neidhart
>            Assignee: Thomas Neidhart
>             Fix For: 3.3
>
>
> In real-world examples the matrix inversion with the CholeskyDecomposition with default
threshold settings may fail as the given matrices will not be perfectly symmetric.
> Better use QRDecomposition or the new MatrixUtils.inverse method.



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