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Support Joseph-form in Kalman filters #98

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@franckgaga

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@franckgaga

It would be nice to support the Joseph-form covariance update equation in KalmanFilter, ExtendedKalmanFilter and UnscentedKalmanFilter. It theoretically guarantee positive-definite covariance matrices, even with finite precision floating-point arithmetic.

In my experience although, I never had any problems with the classical equation, both with the Kalman filter and the unscented version. I personally don't consider that as a high priority feature.

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