Commons Math
  1. Commons Math
  2. MATH-1062

Kalman filter uses CholeskyDecomposition with too stringent symmetry checks

    Details

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

      Description

      In real-world examples the matrix inversion with the CholeskyDecomposition with default threshold settings may fail as the given matrices will not be perfectly symmetric.

      Better use QRDecomposition or the new MatrixUtils.inverse method.

        Activity

        Hide
        Luc Maisonobe added a comment -

        Closing all resolved issue now available in released 3.3 version.

        Show
        Luc Maisonobe added a comment - Closing all resolved issue now available in released 3.3 version.
        Hide
        Thomas Neidhart added a comment -

        Fixed in r1539676.

        Show
        Thomas Neidhart added a comment - Fixed in r1539676.

          People

          • Assignee:
            Thomas Neidhart
            Reporter:
            Thomas Neidhart
          • Votes:
            0 Vote for this issue
            Watchers:
            1 Start watching this issue

            Dates

            • Created:
              Updated:
              Resolved:

              Development