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 approach can be applied to general nonlinear optimization. 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.

This function needs the extended Kalman filter function, which can be download from the following link:
http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=18189&objectType=FILE