I'm using Mathematica 9 and its Control Systems functionality. I've searched the references extensively but seem not to be able to find any examples of state space model parameters estimation. All ...
I am now learning the Kalman filter and wants to implement it by hand to understand it better. To be specific I want to first simulate a sequence of data by $$ \dot x=Ax+Bw\\ y=Cx+Dv,\\ ...
Using optimal control theory, I am trying to find the optimal paths of d and k such that they will maximize profit as given by lc: ...