a(:,t)
was not propagated forward to update a(:,t+1)
Finf
case, Kstar
was defined as T^(-1)*K^{(0)}
, while in the full rank it was defined as Kstar=K^(0)
This leads to wrong results when switches between the two clauses occurr. Moreover, the later backwards pass relied on Kstar=K^(0)
, leading to wrong results when the rank-deficient Finf
case was triggered earlier.Finf
case, the backward pass did not use the proper formulas, but rather the ones for the non-singular caseThe implementation now consistently follows the one in kalman_filter_d.m