Scilab 5.4.0
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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
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