debug: allow P̂ arg in setstate! with SteadyKalmanFilter

Author: franckgaga

src/estimator/construct.jl

@@ -56,12 +56,15 @@ struct KalmanCovariances{
         Q̂::Q̂C, R̂::R̂C, P̂_0, He
     ) where {NT<:Real, Q̂C<:AbstractMatrix{NT}, R̂C<:AbstractMatrix{NT}}
         if isnothing(P̂_0)
-            P̂_0 = zeros(NT, 0, 0)
+            P̂_0 = zeros(NT, 0, 0)    # does not apply to steady-state Kalman filter
+            P̂   = zeros(NT, size(Q̂)) # will hold the steady-state error covariance
+        else
+            P̂   = copy(P̂_0)
         end
         P̂_0 = Hermitian(P̂_0, :L)
+        P̂   = Hermitian(P̂, :L)
         Q̂   = Hermitian(Q̂, :L)
         R̂   = Hermitian(R̂, :L)
-        P̂   = copy(Q̂)
         # the following variables are only for the moving horizon estimator:
         invP̄, invQ̂, invR̂ = copy(P̂_0), copy(Q̂), copy(R̂)
         try

src/estimator/kalman.jl

@@ -221,12 +221,6 @@ function setmodel_estimator!(estim::SteadyKalmanFilter, model, _ , _ , _ , Q̂,
     return nothing
 end
 
-"Throw an error if P̂ != nothing."
-function setstate_cov!(::SteadyKalmanFilter, P̂)
-    isnothing(P̂) || error("SteadyKalmanFilter does not compute an estimation covariance matrix P̂.")
-    return nothing
-end
-
 @doc raw"""
     correct_estimate!(estim::SteadyKalmanFilter, y0m, d0)
 

src/estimator/mhe/construct.jl

@@ -423,8 +423,10 @@ This syntax allows nonzero off-diagonal elements in ``\mathbf{P̂_i}, \mathbf{Q
 where ``\mathbf{P̂_i}`` is the initial estimation covariance, provided by `P̂_0` argument. The
 keyword argument `covestim` also allows specifying a custom [`StateEstimator`](@ref) object
 for the estimation of covariance at the arrival ``\mathbf{P̂}_{k-N_k}(k-N_k+p)``. The
-supported types are [`KalmanFilter`](@ref), [`UnscentedKalmanFilter`](@ref) and 
-[`ExtendedKalmanFilter`](@ref).
+supported types are [`SteadyKalmanFilter`](@ref), [`KalmanFilter`](@ref), 
+[`UnscentedKalmanFilter`](@ref) and [`ExtendedKalmanFilter`](@ref). A constant arrival
+covariance is supported with [`SteadyKalmanFilter`](@ref), and by setting the `P̂` argument 
+of [`setstate!`](@ref) at the desired value.
 """
 function MovingHorizonEstimator(
     model::SM, He, i_ym, nint_u, nint_ym, P̂_0, Q̂, R̂, Cwt=Inf;