[SciPy-User] qr decompostion gives negative q, r ?
Tue Nov 20 18:45:32 CST 2012
On 2012-11-21 00:37, Alejandro Weinstein wrote:
> On Tue, Nov 20, 2012 at 4:26 PM, Virgil Stokes <email@example.com> 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  there are a few alternatives that can be classified as
> "square root" KF.
>  http://en.wikipedia.org/wiki/Kalman_filter#Square_root_form
> SciPy-User mailing list
I have just sent an email with a paper attached that shows the method
that I have implemented. Note, again I have no trouble with the MATLAB
code --- it works correctly (according to the author of the paper). And,
I was able to isolate the problem with the numpy/Python implementation
to the QR factorization obtained from numpy.linalg.qr.
More information about the SciPy-User