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.