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Topic: found the problem!
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Posts: 2
Registered: 6/26/14
found the problem!
Posted: Jun 26, 2014 5:00 PM
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I've had issues, too, with a covariance matrix that grows like crazy (P_k ~ 10^8*P_k-1) and also gets complex.
Try increasing alpha. I found for my system that alpha needs to be at least 0.1 to avoid these issues, and that 0.15 was a good number.

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