[Numpy-discussion] On the difference of two positive definite matrices

Virgil Stokes vs@it.uu...
Sun Dec 16 19:20:06 CST 2012


Suppose I have two positive definite matrices, A and B. Is it possible 
to use U*D*U^T  factorizations of these matrices to obtain a numerically 
stable result for their difference, A - B ?

My application is the "UD" factorization method for the Kalman filter 
followed by the Rauch-Tung-Striebel smoother --- this is where the 
difference of two positive definite matrices occurs.

I hope that this question is appropriate for this list and does not 
offend any subscribers.



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