Scilab Function
Last update : 12/1/2004
lindquist - Lindquist's algorithm
Calling Sequence
- [P,R,T]=lindquist(n,H,F,G,R0)
Parameters
-
n: number of iterations.
-
H, F, G: estimated triple from the covariance sequence of y.
-
R0: E(yk*yk')
-
P: solution of the Riccati equation after n iterations.
-
R, T: gain matrices of the filter.
Description
computes iteratively the minimal solution of the algebraic
Riccati equation and gives the matrices R and T of the
filter model, by the Lindquist's algorithm.
See Also
srfaur, faurre, phc,
Author
G. Le V.