Thomas Neidhart created MATH-1062:
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Summary: Kalman filter uses CholeskyDecomposition with too
stringent symmetry checks
Key: MATH-1062
URL: https://issues.apache.org/jira/browse/MATH-1062
Project: Commons Math
Issue Type: Bug
Reporter: Thomas Neidhart
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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