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faurre Scilab Group Scilab Function faurre
NAME
faurre - filter computation by simple Faurre algorithm
CALLING SEQUENCE
[P,R,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')
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.
AUTHOR
G. Le V.
SEE ALSO
srfaur, linquist, phc
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