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  1. Commons Math
  2. MATH-1062

Kalman filter uses CholeskyDecomposition with too stringent symmetry checks

    Details

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

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            • Assignee:
              tn Thomas Neidhart
              Reporter:
              tn Thomas Neidhart
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