Displaying 1 result from an estimated 1 matches for "ricatti".
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pinatti
2006 Dec 20
2
Kalman Filter in Control situation.
I am looking for a Kalman filter that can handle a control input. I thought
that l.SS was suitable however, I can'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 K...