Inverse of a singular matrix result in inf

hmartiro / kalman-cpp

Basic Kalman filter implementation in C++ using Eigen

MIT License

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Inverse of a singular matrix result in inf #6

Open iyabchen opened 5 years ago

iyabchen commented 5 years ago

In code K = P*C.transpose()*(C*P*C.transpose() + R).inverse();, the inverse of a matrix might not exist if the matrix is singular, and K is invalid in that case.

pattylo commented 2 years ago

could try the joseph formulation in that case.