On Fri, Sep 10, 2010 at 2:39 PM, Jose Borreguero <[email protected]>wrote:
> Dear Numpy users, > > I have to solve for Z in the following equation Z^(-1) = A^(-1) - B^(-1), > where A and B are covariance matrices with zero determinant. > > I have never used pseudoinverse matrixes, could anybody please point to me > any cautions I have to take when solving this equation for Z? The brute > force approach linalg.pinv( linalg.pinv(A) - lingal.pinv(B) ) gives me a > matrix with all entries equal to 'infinity'. > > Similar sorts of equations turn up in Kalman filters. You can also try tricks like Z = B * (B - A)^-1 * A . Where does this problem come from? There might be a better formulation. Chuck
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