def covariance_exact(Cl, Kk, Gk):
""" Covariance update for exact constraints """
# Rlk = et.mtxabat(Gk, Cl)
# return Cl - et.mtxab(Kk, 2*et.mtxab(Gk, Cl) - et.mtxabt(Rlk, Kk))
return et.mtxabat(np.eye(Cl.shape[-1]) - et.mtxab(Kk, Gk), Cl)
def covariance_normal(Cl, Kk, Hk, Rlk):
""" Simplified, but numerically stable covariance update """
return Cl - et.mtxab(Kk, 2 * et.mtxab(Hk, Cl) - et.mtxabt(Rlk, Kk))
def covariance_full(Cl, Kk, Hk, Vk):
""" Full expression for covariance update """
return et.mtxabat(np.eye(Cl.shape[-1]) - et.mtxab(Kk, Hk),
Cl) + et.mtxabat(Kk, Vk)
def covariance_fast(Cl, Kk, Hk):
""" Simple but numerically unstable covariance update """
return et.mtxab(np.eye(Cl.shape[-1]) - et.mtxab(Kk, Hk), Cl)
def covariance_exact(Cl, Kk, Gk):
""" Covariance update for exact constraints """
return et.mtxabat(np.eye(Cl.shape[-1]) - et.mtxab(Kk, Gk), Cl)