srfaur(1)

NAME
srfaur - square-root algorithm

CALLING SEQUENCE
[p,s,t,l,rt,tt]=srfaur(h,f,g,r0,n,p,s,t,l)

PARAMETERS

h, f, g
    : convenient matrices of the state-space model.

r0  : E(yk*yk').

n   : number of iterations.

p   : estimate of the solution after n iterations.

s, t, l
    : intermediate matrices for
     successive iterations;

rt, tt
    : gain matrices of the filter model after n iterations.

p, s, t, l
    : may be given as input if more than one recursion is desired (evaluation of intermediate values of p).

DESCRIPTION
square-root algorithm for the algebraic Riccati equation.