Emrys::updates::Standard Struct Reference

The standard covariance update of condition(): \( P - K \Sigma_{xy}^T \), which is \( (I - K H) P \) written without \( H \). More...

#include <EmrysFilter/Models/Condition.h>

Detailed Description

The standard covariance update of condition(): \( P - K \Sigma_{xy}^T \), which is \( (I - K H) P \) written without \( H \).

The cheapest form, and the default. Rounding leaves it slightly asymmetric, and with a measurement much more precise than the prior it can lose positive definiteness.

The form of Kalman (1960), written as the conditioning of the joint Gaussian of input and output (Särkkä (2013), §6.1).

See also

Symmetric, Joseph

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The documentation for this struct was generated from the following file:

• EmrysFilter/Models/Condition.h