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From Ted Dunning <ted.dunn...@gmail.com>
Subject Re: [math] Calculating gain matrix in KalmanFilter
Date Mon, 04 Aug 2014 02:56:57 GMT

I can't comment on the details here but explicitly inverting a matrix is almost always wrong.
 

Sent from my iPhone

> On Aug 3, 2014, at 8:53, Arne Schwarz <schwarz.arne@gmail.com> wrote:
> 
> Hi,
> 
> 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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