faurre - filter computation by simple Faurre algorithm

Calling Sequence

[P,R,T]=faurre(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 matrix of the filter.

Description

This function computes iteratively the minimal solution of the algebraic Riccati equation and gives the matrices R and T of the filter model. The algorithm tries to compute the solution P as the growing limit of a sequence of matrices Pn such that

                                     -1
Pn+1=F*Pn*F'+(G-F*Pn*h')*(R0-H*Pn*H')  *(G'-H*Pn*F')
       -1
P0=G*R0 *G'
   

Note that this method may not converge,especially when F has poles near the unit circle. Use preferably the srfaur function.

See Also

srfaur  lindquist  phc  

Author

G. Le V.