[R] kalman filter estimation

[Giovanni Petris]

> > You can live with it, but
> > be aware that it is there. My suggestion is to start the optimization
> > from several different initial values and compare maximized values of
> > the likelihood. Simulated annealing may be used to better explore the
> > parameter space. 
> 
> Yes.  Are you aware of any work on this in R?
> 
> Paul

The function dlmMLE in package dlm calls optim to find maximum
likelihood estimates. You can pass additional arguments to optim,
including method = "SANN" for simulated annealing.

Giovanni