inverse matrix

Hi,

I want to implement a Kalman-filter on a DSP56F8323. To do that I need to
compute a matrix (9x9). Using Gauss-Jordan algorithmen I need to divide a
lot of figures. In my eyes there is a problem using fixed point
arithmetics. Its not allowed to divide a smaller figure through a bigger
one because the figure range is -1 to 0.999 and it would result in bigger
than 1. I am DSP newby so it would be nice when somebody could help me.

Best regards,
Maik Schormann 


		
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mswu wrote:
> Hi,
> 
> I want to implement a Kalman-filter on a DSP56F8323. To do that I need to
> compute a matrix (9x9). Using Gauss-Jordan algorithmen I need to divide a
> lot of figures. In my eyes there is a problem using fixed point
> arithmetics. Its not allowed to divide a smaller figure through a bigger
> one because the figure range is -1 to 0.999 and it would result in bigger
> than 1. I am DSP newby so it would be nice when somebody could help me.
> 
> Best regards,
> Maik Schormann 
> 
> 
> 		
> This message was sent using the Comp.DSP web interface on
> www.DSPRelated.com


I think your better off using a Cholesky update variation of the Kalman 
filter.

>I think your better off using a Cholesky update variation of the Kalman 
>filter.
>

Hi,
I think I cant use Cholesky because my matrix is not symetric.
Maik
		
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"mswu" <maik.schormann@partner.bmw.de> wrote in message
news:Ms2dnbQEyPvXOojeRVn-2Q@giganews.com...
> Hi,
>
> I want to implement a Kalman-filter on a DSP56F8323. To do that I need to
> compute a matrix (9x9). Using Gauss-Jordan algorithmen I need to divide a
> lot of figures. In my eyes there is a problem using fixed point
> arithmetics. Its not allowed to divide a smaller figure through a bigger
> one because the figure range is -1 to 0.999 and it would result in bigger
> than 1. I am DSP newby so it would be nice when somebody could help me.
>
> Best regards,
> Maik Schormann
>
>
>

As I remember all the inverseing that is done in KFs is to symmetric
matrices. eg The innovations covariance matrix will be symmetric.
[R+HPH']^-1

Shytot