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jlperla / continuous_time_methods

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Joint solution of bellman equation and KFE as linear least squares #17

Closed jlperla closed 7 years ago

jlperla commented 7 years ago

Given #16, stack with the $(\rho I - A) v = u$ equation and the system of the KFE to jointly solve with linear least squares.

jlperla commented 7 years ago

May want to use https://www.mathworks.com/help/matlab/ref/lsqr.html

jlperla commented 7 years ago

Solution seems to work. Can test out variations later.