[SciPy-User] qr decompostion gives negative q, r ?

Alejandro Weinstein alejandro.weinstein@gmail....
Tue Nov 20 17:37:09 CST 2012


On Tue, Nov 20, 2012 at 4:26 PM, Virgil Stokes <vs@it.uu.se> wrote:
> No Chuck,
> You are referring to Bierman's factorization which is just one of the
> factorizations possible. I am using a standard and well-documented form of
> the so-called "square-root" Kalman filters (just Google on this and be
> enlightened). Again, there many papers/books that discuss the QR
> factorization implementation for both the Kalman filter and Kalman smoother.

Can you show the particular implementation you're using? According to
Wikipedia [1] there are a few alternatives that can be classified as
"square root" KF.

Alejandro.

[1] http://en.wikipedia.org/wiki/Kalman_filter#Square_root_form


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