faurre

filter computation by simple Faurre algorithm

Calling Sequence

[P,R,T]=faurre(n,H,F,G,R0)

Arguments

: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.

See Also

• srfaur square-root algorithm
• lindquist Lindquist’s algorithm
• phc Markovian representation