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- Mon Jul 20, 2015 6:21 am
- Forum: Estimation
- Topic: State Space Model (Kalman) - state constraints
- Replies: 1
- Views: 1651
State Space Model (Kalman) - state constraints
Hi All I am using a state space model with Kalman Filter to estimate unobservable states. I need to restrain these states to sum to a certain amount or less. eg. SV1 + SV2 + SV3 + SV4 <= 1.5 Any advice on how to add these constraints before the model is run, will be greatly appreciated. I've posted ...