faurre(1)

NAME
faurre - filter

CALLING SEQUENCE
[Pn,Rt,T]=faurre(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.

Rt, T
    : gain matrix of the filter.

DESCRIPTION
function which computes iteratively the minimal solution of the algebraic Riccati equation and gives the matrices Rt and Tt of the filter model.

AUTHOR
G. Le V.