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  1. Commons Math
  2. MATH-1033

Kalman filter does not work if covarance matrix is not of dimension 1

    Details

    • Type: Bug
    • Status: Closed
    • Priority: Major
    • Resolution: Fixed
    • Affects Version/s: 3.2
    • Fix Version/s: 3.3
    • Labels:
      None

      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); }

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            • Assignee:
              Unassigned
              Reporter:
              abyssqu Yuan Qu
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              • Created:
                Updated:
                Resolved: