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dstl / Stone-Soup

A software project to provide the target tracking community with a framework for the development and testing of tracking algorithms.
https://stonesoup.rtfd.io
MIT License
385 stars 127 forks source link

check positive definetness of CovarianceMatrix and PrecisionMatrix #842

Closed aeblc closed 10 months ago

aeblc commented 10 months ago

Upon creation, positive definetness of CovarianceMatrix and PrecisionMatrix are checked. Raises a ValueError upon failure.

aeblc commented 10 months ago

I expected that a covariance matrix is positive definite (or at least positive semi-definite) and so tests are created accordingly. Since that is not case, and there are too many failing tests the issue is more complicated than I thought.