Unscented kalman filter math question

Hi,
I am trying to implement an unscented kalman filter, as described here:

http://cslu.cse.ogi.edu/nsel/ukf/node6.html

My problem is with equation 18 - What does the multiplication mean? As far
as I understand, the first (Yi - y^) is a row vector, and the second one is
a column vector, therefore this is a dot product. But then the result of
the expression inside the sigma is a scalar, and Pyy is supposed to be a
matrix.
I also tried to interpret this as a vector direct product (column vector
multiplied by a row vector), the result is a matrix but I get bad results
when trying to update the covariance matrix.

Help, please...

Thanks,
Hagai.

Hagai,

The latter case is correct:  a column vector ( n-by-1 ) multiplied by its transpose or a row vector ( 1-by-n ), resulting in an n-by-n matrix.

What method are you using to calculate the matrix square-root?


Michael.




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