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