lindquist

Lindquist’s algorithm

Calling Sequence

[P,R,T]=lindquist(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 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.

See Also

• srfaur square-root algorithm
• faurre filter computation by simple Faurre algorithm
• phc Markovian representation