Unconstrained Optimization using the Extended Kalman Filter

The Kalman filter is actually a feedback approach to minimize the estimation error in terms of sum of square.

This methodology can be used in to general nonlinear optimizations.

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.

Requirements:

· MATLAB 7.5 or higher