Yuan Qu created MATH-1033:
-----------------------------
Summary: Kalman filter does not work if covarance matrix is not of
dimension 1
Key: MATH-1033
URL: https://issues.apache.org/jira/browse/MATH-1033
Project: Commons Math
Issue Type: Bug
Affects Versions: 3.2
Reporter: Yuan Qu
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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