function [P,R,T]=lindquist(n,H,F,G,R0)
//[Pn,Rn,Tn]=lindquist(n,H,F,G,R0)
//macro which computes iteratively the minimal solution of the algebraic
//Riccati equation and gives the matrices Rn and Tt of the filter model,
//by the lindquist algorithm.
//   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.
//   Rn,Tn : gain matrices of the filter.
//!
//author: G. Le Vey  Date: 16 Febr. 1989
// Copyright INRIA
[d,m]=size(H);
//initialization
Gn=G;
Rn=R0;
Pn=zeros(m,m) 
Kn=0*ones(m,d);

//recursion
for j=1:n,
//  Pn=Pn+Gn/Rn*Gn'
//  Kn=Pn*H'
  Kn=Kn+Gn/Rn*Gn'*H';
  r1=R0-H*Kn;
  Rn=Rn-Gn'*H'/r1*H*Gn;
  Gn=(F-(G-F*Kn)/r1*H)*Gn;
end

//gain matrices of the filter.
//P=Pn
//R=R0-H*P*H'
//T=(G-F*P*H')/R
R=R0-H*Kn
T=(G-F*Kn)/R
P=Kn
endfunction