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Aide Scilab >> Traitement du Signal > lindquist

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

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

Authors

G. Le V.

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Last updated:
Wed Oct 05 12:10:57 CEST 2011