Message-ID: <1323004701350-4156813.post@n4.nabble.com>
Date: 2011-12-04T13:18:21Z
From: nserdar
Subject: Linear quadratic Gaussian control with Kalman filter
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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