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 Kalman filter?
Thank you very much, Todd Remund ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
