4 Aug 21:10 2014

### Re: [math] Calculating gain matrix in KalmanFilter

Ted Dunning <ted.dunning <at> gmail.com>

2014-08-04 19:10:51 GMT

2014-08-04 19:10:51 GMT

Arne, I think you are correct. On Mon, Aug 4, 2014 at 7:34 AM, Arne Schwarz <schwarz.arne <at> gmail.com> wrote: > 2014-08-04 13:43 GMT+02:00 Gilles <gilles <at> harfang.homelinux.org>: > > 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 > > > > > > > > --------------------------------------------------------------------- > > To unsubscribe, e-mail: user-unsubscribe <at> commons.apache.org > > For additional commands, e-mail: user-help <at> commons.apache.org > >(Continue reading)