added: covestim arg. in both MovingHorizonEstimator constructors + honor P̂_0

[franckgaga]

It's now possible to customize the estimator for the arrival covariance $\mathbf{\bar{P}}$ in the first constructor of the MovingHorizonEstimator, that is, the one that avoid specifying the full covariance matrices. A constant arrival covariance $\mathbf{\bar{P}}$ is very useful, and it's supported by providing a SteadyKalmanFilter object in the covestim argument. But the argument was exposed only in the second constructor of the MHE, which is less "user-friendly". This is no longer the case.

I also changed the behavior compared PR #248. The P̂_0 argument of MovingHorizonEstimator constructor was not honored when a covestim argument was provided, which is totally counterintuitive and I would even consider this as a bug. It is now always honored. It is no longer required to manually call setstate! to set the arrival covariance value when it's estimated by a SteadyKalmanFilter, that is, a constant. The user can just provide σP_0, σPint_ym_0 and σPint_u_0 arguments in the first constructor, or P̂_0 in the second, and it will be fixed at these values.

In the case that the user would like to fix it at the steady-state value $\mathbf{\hat{P}}(\infty)$, the user can call the first MHE constructor with σP_0=nothing, or P̂_0=nothing for the second one, and it will fetch the value from covestim.cov.P̂, which is the steady-state covariance for the SteadyKalmanFilter.

As mentioned in the documentation, it is also possible to set a constant arrival covariance with NonLinModels by constructing a SteadyKalmanFilter with an dummy LinModel and pass this object in covestim, as long as the number of estimated states nx̂ mathches the MHE.

[codecov-commenter]

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 98.57%. Comparing base (f8de776) to head (d43ab01).
⚠️ Report is 4 commits behind head on main.

Additional details and impacted files

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  Coverage   98.57%   98.57%           
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  Files          27       27           
  Lines        5468     5477    +9     
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+ Hits         5390     5399    +9     
  Misses         78       78           

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