[MATH-1033] Kalman filter does not work if covarance matrix is not of dimension 1

• Type: Bug
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Affects Version/s: 3.2
• Fix Version/s: 3.3
• Assignee: Unassigned
• Reporter: Yuan Qu
• Created: 05/Sep/13 16:15
• Updated: 19/May/14 15:13
• Resolved: 11/Oct/13 21:39

Description

In org.apache.commons.math3.filter.KalmanFilter,

The check below doesn't look right, it reques measNoise's column dimension to be 1 at all time.

// row dimension of R must be equal to row dimension of H
if (measNoise.getRowDimension() != measurementMatrix.getRowDimension() ||
measNoise.getColumnDimension() != 1)

{ throw new MatrixDimensionMismatchException(measNoise.getRowDimension(), measNoise.getColumnDimension(), measurementMatrix.getRowDimension(), 1); }