gfare(1)

NAME
gfare - filter Riccati equation

CALLING SEQUENCE
[Z,H]=gfare(Sl)

PARAMETERS

Sl  : linear system (syslin list)

Z   : symmetric matrix

H   : real matrix

DESCRIPTION
Generalized Filter Algebraic Riccati Equation (GFARE). Z = solution, H = gain.

The GFARE for Sl=[A,B,C,D] is:
(A-B*D'*Ri*C)*Z+Z*(A-B*D'*Ri*C)'-Z*C'*Ri*C*Z+B*Si*B'=0
where S=(eye+D'*D), Si=inv(S), R=(eye+D*D'), Ri=inv(R) and H=-(B*D'+Z*C')*Ri is such that A+H*C is stable.

SEE ALSO
gcare