Alright, I'm not sure if I'm going to get help here, but I'll try.
I'm trying to simulate in matlab a discretized linear system, on which a MPC/MHE controller is applied. At every sampling time t, you have to minimize a cost function with respect to the inputs and maximize it along the disturbances to the system, which are the other optimization variables. You also want to maximize it across the value of the initial state, so that you are controlling the "worst case" scenario for this system.The cost function is a quadratic one. I'm trying to guide myself with a paper, which has an algorithm for solving this problem, but I'm too retarded to convert it to code to my example. The paper is called "Simultaneous nonlinear model predictive control and state estimation", by Hespanha and Copp, if anyone wants to help me understand the algorithm there and how to actually use it.
You can also call me a faggot and tell me to kms. But you would make Kurisu cry.