Iterated Posterior Linearization Smoother (IPLS)

[mrcfon]

This PR adds the following classes:

• IPLSKalmanSmoother, iterated posterior linearisation smoother
• AugmentedGaussianStatePrediction, the state prediction class that can host cross-covariance
• LinearTransitionModel, a transition model that consumes explicitly specified transition matrix and bias
• AugmentedKalmanPredictor, predictor that uses the bias vector in LinearTransitionModel
• AugmentedUnscentedKalmanPredictor that generates the cross-covariance and is able to suppress prediction noise

The Iterated Posterior Linearization Smoother (IPLS) described in [1] performs statistical linear regression (SLR) of the nonlinear transition and measurement models w.r.t. to the current posterior approximation.

A running example can be found here.

[1] Á. F. García-Fernández, L. Svensson and S. Särkkä, "Iterated Posterior Linearization Smoother," in IEEE Transactions on Automatic Control, vol. 62, no. 4, pp. 2056-2063, April 2017, doi: 10.1109/TAC.2016.2592681.