Related articles:
Kalman filter
Symmetric matrix
Linear least squares
Matrix decomposition
LU decomposition
System of linear equations
Positive-definite matrix
Key terms:
l
k
mathbf
matrix
positive
pmatrix
ik
ij
ax
entries
algorithm
solve
operator
mbox
sqrt
norm
cholesky decomposition
mathcal
if we
qquad
hermitian
symmetric
rangle
langle
matrices
positive definite
denotes
equations
lower triangular
simulation
factorization
matrix l
diagonal entries
square roots
numerical
calculate
decomposed
covariance
correlated
real entries
semidefinite
sigma points
kalman filter
always positive
algorithm starts
hermitian matrix
following formula
lower triangular matrix
symmetric and positive definite
strictly positive diagonal entries
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