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From Gilles <gil...@harfang.homelinux.org>
Subject Re: [math] Calculating gain matrix in KalmanFilter
Date Mon, 04 Aug 2014 11:43:34 GMT
On Sun, 3 Aug 2014 18:18:24 +0200, Arne Schwarz wrote:
> Hi,
>
> I saw that to calculate the gain matrix the actual inverse of the
> residual covariance matrix is calculated. Wouldn't it be faster to 
> use
> for example a Cholesky decomposition to solve the linear system? 
> Since
> a covariance matrix is always symmetric and at least positive
> semi-definite.

Reading the code (in class "MatrixUtils"), it looks like QR 
decomposition
is used; any problem with that choice?

Regards,
Gilles


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