10 Sep
2010
10 Sep
'10
9:02 p.m.
On Fri, Sep 10, 2010 at 2:39 PM, Jose Borreguero
Dear Numpy users,
I have to solve for Z in the following equation Z^(-1) = A^(-1) - B^(-1), where A and B are covariance matrices with zero determinant.
I have never used pseudoinverse matrixes, could anybody please point to me any cautions I have to take when solving this equation for Z? The brute force approach linalg.pinv( linalg.pinv(A) - lingal.pinv(B) ) gives me a matrix with all entries equal to 'infinity'.
Similar sorts of equations turn up in Kalman filters. You can also try tricks like Z = B * (B - A)^-1 * A . Where does this problem come from? There might be a better formulation. Chuck