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Kalman Filter convergence. How close is close enough? #1067
Part of the speed problem demonstrated by the recent thread on the ML, might be from the fact that the KF algorithm isn't switching to the steady state calculations. It checks to see that the F matrix is 1. to switch. In this case, it quickly converges to close to 1, but it looks like it's approaching it asymptotically. I wonder if we can relax this and maintain good precision results.
We can get a decent speedup in some cases for