I can't comment on the details here but explicitly inverting a matrix is almost always wrong.
Sent from my iPhone > On Aug 3, 2014, at 8:53, Arne Schwarz <[email protected]> wrote: > > Hi, > > I saw that to calculate the gain matrix the accual 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 --------------------------------------------------------------------- To unsubscribe, e-mail: [email protected] For additional commands, e-mail: [email protected]
