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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