Please note that the recommended version of Scilab is 2023.1.0. This page might be outdated.
See the recommended documentation of this function
filter computation by simple Faurre algorithm
number of iterations.
- H, F, G
estimated triple from the covariance sequence of
solution of the Riccati equation after n iterations.
- R, T
gain matrix of the filter.
This function computes iteratively the minimal solution of the algebraic
Riccati equation and gives the matrices
T of the
The algorithm tries to compute the solution P as the growing limit of a
sequence of matrices Pn such that
-1 Pn+1=F*Pn*F'+(G-F*Pn*h')*(R0-H*Pn*H') *(G'-H*Pn*F') -1 P0=G*R0 *G'
Note that this method may not converge,especially when F has poles near the unit circle. Use preferably the srfaur function.
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