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From Arne Schwarz <>
Subject [math] Calculating gain matrix in KalmanFilter
Date Sun, 03 Aug 2014 15:53:37 GMT

I saw that to calculate the gain matrix the accual 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.

Arne Schwarz

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