[BUG] Use Joseph form for numerically stable covariance update#212
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WHOIM1205 wants to merge 1 commit into
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[BUG] Use Joseph form for numerically stable covariance update#212WHOIM1205 wants to merge 1 commit into
WHOIM1205 wants to merge 1 commit into
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Signed-off-by: WHOIM1205 <rathourprateek8@gmail.com>
fkiraly
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May 20, 2026
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Can you explain or give a reference why this is preferred in terms of numerical stability? How does this impact speed?
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Fix: Stabilize Covariance Update in
_filter_correctUsing Joseph FormSummary
This PR replaces the numerically unstable covariance update in
pykalman/standard.py::_filter_correctwith the Joseph stabilized form.The previous implementation used: