Nonlinear least square optimization through parameter estimation using the Unscented Kalman Filter

A function using the unscented Kalman filter to perform nonlinear least square nonlinear optimizatio

Description

The Kalman filter can be interpreted as a feedback approach to minimize the least equare error. It can be applied to solve a nonlinear least square optimization problem. This function provides a way using the unscented Kalman filter to solve nonlinear least square optimization problems. Three examples are included: a general optimization problem, a problem to solve a set of nonlinear equations represented by a neural network model and a neural network training problem.

This function needs the unscented Kalman filter function, which can be download from the following link:
http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=18217&objectType=FILE

Acknowledgements

The author wishes to acknowledge the following in the creation of this submission:
Learning the Unscented Kalman Filter, Unconstrained Optimization using the Extended Kalman Filter

• MATLAB release: MATLAB 7.4 (R2007a)

[Xin Liu]

good

[V. Poor]