gfare

Arguments

Sl

a continuous time linear dynamical system in state-space representation

Z

symmetric matrix

H

real matrix

Description

Generalized Filter Algebraic Riccati Equation (GFARE). Z = solution, H = gain.

The GFARE for Sl=[A,B,C,D] is:

(A-B*D'*Ri*C)*Z+Z*(A-B*D'*Ri*C)'-Z*C'*Ri*C*Z+B*Si*B'=0

where S=(eye()+D'*D), Si=inv(S), R=(eye()+D*D'), Ri=inv(R) and H=-(B*D'+Z*C')*Ri is such that A+H*C is stable.

See Also

• gcare — Continuous time control Riccati equation

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