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2006 Dec 20
2
Kalman Filter in Control situation.
...an't get it to work, and wonder if I am not using the right function. What I want is a Kalman filter that accepts exogenous inputs where the input is found using the algebraic Ricatti equation solution to a penalty function. If K is the gain matrix then the exogenous input would be u_t = -Kx_n, where x_n is the Kalman filter state estimate. These inputs would be entered as such x_t = Ax_t-1 + Bu_t-1 + Ge_t. Is l.SS in the dse1 package the correct parametrization of the Kalman filter? Thank you very much, Todd Remund