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# faurre

filter computation by simple Faurre algorithm

### Syntax

[P,R,T]=faurre(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 matrix of the filter.

### Description

This function computes iteratively the minimal solution of the algebraic
Riccati equation and gives the matrices `R`

and `T`

of the
filter model.
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.

## Comments

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