lindquist

Arguments

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 — square-root algorithm
• faurre — filter computation by simple Faurre algorithm
• phc — Markovian representation

Authors

G. Le V.