| | | Scilab Reference Manual | |
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faurre — filter computation by simple Faurre algorithm
[P,R,T]=faurre(n,H,F,G,R0)
| 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. |
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.
G. Le V.
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