Melvin Alvarez
24 lines
666 B
Markdown
24 lines
666 B
Markdown
# API: Optimal Control / Kalman
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Control utilities are exposed through the Rust extension (`optimizr._core`).
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```python
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from optimizr import maths_toolkit
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if maths_toolkit is None:
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raise RuntimeError("Rust backend missing; reinstall with `pip install .`.")
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# Initialize a Kalman filter
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kf = maths_toolkit.init_kalman_filter(F, H, Q, R)
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state = maths_toolkit.kalman_predict(kf, x0)
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state = maths_toolkit.kalman_update(kf, state, observation)
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```
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Parameters
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- `F`: state transition matrix (list of lists)
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- `H`: observation matrix
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- `Q`: process noise covariance
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- `R`: observation noise covariance
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Also see the Mean Field Games API in `mean_field_games.md`.
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