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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.
The text was updated successfully, but these errors were encountered:
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.
The text was updated successfully, but these errors were encountered: