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lindquist — Lindquist's algorithm
[P,R,T]=lindquist(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 matrices of the filter. |
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.
G. Le V.
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