I am making a square-root UKF implementation. I also use
cholupdate function in Matlab. However
cholupdate needs a positive definite matrix. The positive definiteness is tested using
[R,p] = chol(A) where
0. Then after running
cholupdate, generates an error saying
A is not positive definite. My problem is.
[R,p] = chol(A)return
Ais positive-definite always?
What is the best method for making a positive definite matrix. Note that here
Ais a square-root matrix where $AA^T$ gives a covariance matrix.
Any help is greatly appreciated.