[MATH-1062] Kalman filter uses CholeskyDecomposition with too stringent symmetry checks

• Type: Bug
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Fix Version/s: 3.3
• Assignee: Thomas Neidhart
• Reporter: Thomas Neidhart
• Created: 06/Nov/13 13:16
• Updated: 19/May/14 15:13
• Resolved: 07/Nov/13 15:15

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.