def gcgtinv(Gk, Cl):
""" $(G_kC_{k-1}G_k^T)^{-1}$ """
return np.linalg.inv(et.mtxabat(Gk, Cl))
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 predicted_resid_uncert(Vk, Hk, Cl):
""" Uncertainty of the predicted residual
$V_k + H_k C_{k-1} H_k^T$ """
return Vk + et.mtxabat(Hk, Cl)
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_exact(Cl, Kk, Gk):
""" Covariance update for exact constraints """
return et.mtxabat(np.eye(Cl.shape[-1]) - et.mtxab(Kk, Gk), Cl)