Linear quadratic Gaussian control with Kalman filter

nserdar

Sun, Dec 4, 2011 5:18 AM

I need to generate Linear quadratic Gaussian control with Kalman filter in R
programming. I only get matlab code. I think that R portfolio optimisation
code ( quad..)  is not adequate for this topic. 

Linear quadratic Gaussian control  with Kalman filter 


http://en.wikipedia.org/wiki/Linear_quadratic_Gaussian_control  


Thanks.

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