[math] Calculating gain matrix in KalmanFilter

classic Classic list List threaded Threaded
2 messages Options
Reply | Threaded
Open this post in threaded view
|

[math] Calculating gain matrix in KalmanFilter

Arne Schwarz
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
Reply | Threaded
Open this post in threaded view
|

Re: [math] Calculating gain matrix in KalmanFilter

Ted Dunning

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 <[hidden email]> 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

---------------------------------------------------------------------
To unsubscribe, e-mail: [hidden email]
For additional commands, e-mail: [hidden email]