[Numpy-discussion] adding two pseudoinverse matrixes

Charles R Harris charlesr.harris@gmail....
Fri Sep 10 16:02:15 CDT 2010

On Fri, Sep 10, 2010 at 2:39 PM, Jose Borreguero <borreguero@gmail.com>wrote:

> Dear Numpy users,
> I have to solve for Z in the following equation Z^(-1) = A^(-1) - B^(-1),
> where A and B are covariance matrices with zero determinant.
> I have never used pseudoinverse matrixes, could anybody please point to me
> any cautions I have to take when solving this equation for Z? The brute
> force approach linalg.pinv( linalg.pinv(A) - lingal.pinv(B) ) gives me a
> matrix with all entries equal to 'infinity'.
Similar sorts of equations turn up in Kalman filters. You can also try
tricks like  Z = B * (B - A)^-1 * A . Where does this problem come from?
There might be a better formulation.

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