[wpimath] Improve EKF numerical stability #4093
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The Joseph form of the error covariance update equation is more numerically stable when the Kalman gain isn't optimal. Numerical instability and filter divergence can occur if the user goes long time periods between updates and the error covariance becomes ill-conditioned (the ratio between the largest and smallest eigenvalue gets too large).
PeterJohnson
approved these changes
Mar 20, 2022
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The Joseph form of the error covariance update equation is more
numerically stable when the Kalman gain isn't optimal. Numerical
instability and filter divergence can occur if the user goes long time
periods between updates and the error covariance becomes ill-conditioned
(the ratio between the largest and smallest eigenvalue gets too large).