added: inv! for MovingHorizonEstimator covariance matrices
#214
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allocation-free with `LinearAlgebra` standard types (and numerically robust since it relies on a cholesky factorization) there is also a fallback method with other `AbstractMatrix` with some allocations
The vector may containt ±Inf value for the MHE and it is not supported by JuMP. The values are updated before optimization anyway.
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Merging since it passes locally. |
Codecov ReportAttention: Patch coverage is
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## main #214 +/- ##
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- Coverage 98.92% 98.74% -0.19%
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Files 26 26
Lines 4286 4306 +20
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Allocation-free methods with
LinearAlgebrastandard types (and numerically robust since it relies on a cholesky factorization, knowing that covariance matrices are positive definite Hermitian matrices).There is also a fallback method with other
AbstractMatrixwith some allocations.Thanks to https://discourse.julialang.org/t/non-allocating-matrix-inversion/62264/14?u=franckgaga for the idea.