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https://issues.apache.org/jira/browse/MATH-1062?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Thomas Neidhart resolved MATH-1062.
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Resolution: Fixed
Fix Version/s: 3.3
Fixed in r1539676.
> 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
> Assignee: Thomas Neidhart
> Fix For: 3.3
>
>
> 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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