optimiz-rs/docs/source/api/optimal_control.md

API: Optimal Control / Kalman

Control utilities are exposed through the Rust extension (optimizr._core).

from optimizr import maths_toolkit

if maths_toolkit is None:
    raise RuntimeError("Rust backend missing; reinstall with `pip install .`.")

# Initialize a Kalman filter
kf = maths_toolkit.init_kalman_filter(F, H, Q, R)
state = maths_toolkit.kalman_predict(kf, x0)
state = maths_toolkit.kalman_update(kf, state, observation)

Parameters

• F: state transition matrix (list of lists)
• H: observation matrix
• Q: process noise covariance
• R: observation noise covariance

Also see the Mean Field Games API in mean_field_games.md.