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 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.