Function lupnt::SolveWeightedLeastSquares

• Defined in File batch_filter.cc

Function Documentation

VecXd lupnt::SolveWeightedLeastSquares(const MatXd &H, const VecXd &residuals, const VecXd &weights)

Solve weighted least squares problem.

Parameters:

• H – Design matrix [n_obs x n_state]

• residuals – Measurement residuals [n_obs]

• weights – Measurement weights [n_obs] (1/sigma^2)

Returns:

VecXd State correction [n_state]