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Not force-symmetrizing covariance after measurement update step #37

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jsvacha opened this issue Jul 11, 2022 · 0 comments
Open

Not force-symmetrizing covariance after measurement update step #37

jsvacha opened this issue Jul 11, 2022 · 0 comments

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@jsvacha
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jsvacha commented Jul 11, 2022

The P -= K * H * P step should possibly cause numerical issues that result in an asymmetric and non-positive-definite covariance matrix, right? Shouldn't the covariance matrix be re-symmetrized after that step with P = 0.5 * (P + P^T)? May not be a big deal unless we're dealing with UKF but the thought of the covariance matrix becoming non-positive-definite scares me.

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