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Please note that the recommended version of Scilab is 2025.0.0. This page might be outdated.
See the recommended documentation of this function
lindquist
Lindquist's algorithm
Calling Sequence
[P,R,T]=lindquist(n,H,F,G,R0)
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
Authors
G. Le V.
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