Many nonlinear filtering algorithms like UKF and CKF make use of Cholesky decomposition. Whay can't we go for $sqrtm(P)$, such that $SS=P$, rather than $SS^{T}=P$? I have seen many answers stating that Cholesky reduces computational time and is light on storage space. Are there any other reasons?
2026-03-29 14:20:02.1774794002
Why is the Cholesky decomposition preferred to sqrtm in filtering algorithms?
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