Support Joseph-form in Kalman filters

[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.

[baggepinnen]

Another option is to have the QR form https://arxiv.org/abs/2208.06452
implemented here https://github.com/baggepinnen/LowLevelParticleFilters.jl/blob/master/src/sq_kalman.jl