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From Arne Schwarz <>
Subject [math] Calculating gain matrix in KalmanFilter
Date Sun, 03 Aug 2014 16:18:24 GMT

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

Arne Schwarz

P.S. Sorry in case this is third mail with the same content,
accidentally send the first two html-formatted.

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