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Please note that the recommended version of Scilab is 6.0.2. This page might be outdated.
See the recommended documentation of this function

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.

• srfaur — square-root algorithm
• lindquist — Lindquist's algorithm
• phc — Markovian representation