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

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