baggepinnen
commented
1 week ago Another option is to have the QR form https://arxiv.org/abs/2208.06452 implemented here https://github.com/baggepinnen/LowLevelParticleFilters.jl/blob/master/src/sq_kalman.jl
It would be nice to support the Joseph-form covariance update equation in
KalmanFilter,ExtendedKalmanFilterandUnscentedKalmanFilter. It theoretically guarantee positive-definite covariance matrices, even with finite precision floating-point arithmetic.In my experience although, I never had any problems with the classical equation, both with the Kalman filter and the unscented version. I personally don't consider that as a high priority feature.