On Sun, 3 Aug 2014 18:18:24 +0200, Arne Schwarz wrote:
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.
Reading the code (in class "MatrixUtils"), it looks like QR
decomposition
is used; any problem with that choice?
Regards,
Gilles
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