Unconstrained Optimization using the Extended Kalman Filter (Scripts) Publisher's description
from Yi Cao
The Kalman filter is actually a feedback approach to minimize the estimation error in terms of sum of square
The Kalman filter is actually a feedback approach to minimize the estimation error in terms of sum of square. This approach can be applied to general nonlinear optimization. This function shows a way using the extended Kalman filter to solve some unconstrained nonlinear optimization problems. Two examples are included: a general optimization problem and a problem to solve a set of nonlinear equations represented by a neural network model.
This function needs the extended Kalman filter function, which can be download from the following link:
System Requirements:MATLAB 7.5 (R2007b)
Program Release Status: New Release
Program Install Support: Install and Uninstall