Extension on Orocos BFL library to include a version of EKF which adapts Q and R matrices from an initial guess
The algorithm requires complete change of internal computational algorithm, so either
- change the visibility of the struct in ExtendedKalmanFilter and KalmanFilter to protected, OR
- create it from scratch, copying everything from KalmanFilter and ExtendedKalmanFilter
Right now, I have adopted the second strategy. I have yet to test it, so use it at your own peril :P However, I'm sure that it works, it just required certain optimizations.