File: lindquist.cat

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lindquist          Scilab Group          Scilab Function          lindquist
NAME
   lindquist - Lindquist's algorithm
  
CALLING SEQUENCE
 [P,R,T]=lindquist(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 matrices of the filter.
                  
DESCRIPTION
   computes iteratively the minimal solution of the algebraic Riccati
  equation and gives the matrices R and T of the  filter model, by the
  Lindquist's algorithm.
  
AUTHOR
   G. Le V.
  
SEE ALSO
   srfaur, faurre, phc