File: faurre.cat

package info (click to toggle)
scilab 2.4-1
  • links: PTS
  • area: non-free
  • in suites: potato, slink
  • size: 55,196 kB
  • ctags: 38,019
  • sloc: ansic: 231,970; fortran: 148,976; tcl: 7,099; makefile: 4,585; sh: 2,978; csh: 154; cpp: 101; asm: 39; sed: 5
file content (26 lines) | stat: -rw-r--r-- 593 bytes parent folder | download 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
 

faurre(1)                      Scilab Function                      faurre(1)
NAME
  faurre - filter

CALLING SEQUENCE
  [Pn,Rt,T]=faurre(n,H,F,G,r0)

PARAMETERS

  n           : number of iterations.

  H, F, G     : estimated triple from the covariance sequence of y.

  r0          : E(yk*yk')

  Pn          : solution of the Riccati equation after n iterations.

  Rt, T       : gain matrix of the filter.

DESCRIPTION
  function which computes iteratively the minimal solution of the algebraic
  Riccati equation and gives the matrices Rt and Tt of the filter model.

AUTHOR
  G. Le V.