Hi, I saw that to calculate the gain matrix the actual inverse of the residual covariance matrix is calculated. Wouldn't it be faster to use for example a Cholesky decomposition to solve the linear system? Since a covariance matrix is always symmetric and at least positive semi-definite.
Arne Schwarz P.S. Sorry in case this is third mail with the same content, accidentally send the first two html-formatted. --------------------------------------------------------------------- To unsubscribe, e-mail: [email protected] For additional commands, e-mail: [email protected]
