Positive definite solution
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i need to solved for different values of gama until its lowest value, which gives a positive definite solution for P is found, so i am using all(eig(P)>0) like the equation below:
is this right?
gama=100000;
for i=1:2000;
P = inv(inv(P)+M'*inv(R)*M-gama^(-2)*eye(4));
E=eig(P_cov);
if all(eig(P))>0) %%(all eigenvalues must be positive)
gama=gama/2;
else
break;
end
end
P = inv(inv(P)+M'*inv(R)*M-gama^(-2)*eye(4));
is this correct?
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Walter Roberson
le 23 Nov 2011
If the eigenvalues are all positive, you change gama, exiting the loop when they are not all positive. That means that at the end the gama you get out will be such that the eigenvalues are not all positive. This does not satisfy the stated conditions.
3 commentaires
Walter Roberson
le 23 Nov 2011
gama=100000;
oldgama = gama;
...
if all(eig(P))>0) %%(all eigenvalues must be positive)
oldgama = gama;
gama=gama/2;
else
break;
end
Then right after the end of the "for" loop,
gama = oldgama;
Plus de réponses (1)
Sean de Wolski
le 23 Nov 2011
Use a second variable and only update it if the eigenvalues are all positive. When you exit the loop it will be the last set of all positive eigenvalues.
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