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

Virgil Stokes vs@it.uu...
Wed Nov 21 09:01:33 CST 2012


On 21-Nov-2012 15:15, Sturla Molden wrote:
> On 21.11.2012 14:22, Alejandro Weinstein wrote:
>> On Wed, Nov 21, 2012 at 1:34 AM, Virgil Stokes <vs@it.uu.se
>> <mailto:vs@it.uu.se>> wrote:
>>
>>      But, again, it is an issue for the algorithm given in Table 3 (p.
>>      2248 of paper).  Look at step 8. and equation (30).
>>
>>
>> I see no Table  3, nor page 2248 in the paper you attached. Which paper
>> are you talking about?
> I think what he means is that in equation 22 (page 2591) S must be PD,
> and thus R = S' must be PD as well. Which (AFAIK) must be an error in
> the paper. Too bad referees didn't catch it.
>
> They should have used Cholesky of P as S. So instead of the second
> equation in section IV which states that S = R', equation (6) should
> Cholesky factorize P to obtain S. And thus S would be PD for equation
> 22. In conclusion, there is an error in the paper which was silenced by
> Matlab's QR.
>
> Sturla
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I am referring to the following paper:
Arasaratnam, I. and Haykin, S. (2011) Cubature Kalman Smoothers. /Automatica/ 
*47*, pp. 2245-2250.

Sorry about the confusion :-[
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