lindquist(1)

NAME
lindquist - Lindquist's algorithm

CALLING SEQUENCE
[Pn,Rt,T]=lindquist(n,H,F,G,r0)

PARAMETERS

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.

RtP Tt
    : gain matrices of the filter.

DESCRIPTION
computes iteratively the minimal solution of the algebraic Riccati equation and gives the matrices Rt and Tt of the filter model, by the Lindquist's algorithm.

AUTHOR
G. Le V.