lindquist

Scilab Function
Last update : April 1993

lindquist - Lindquist's algorithm

### Calling Sequence

  `[P,R,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')
- `P`: solution of the Riccati equation after n iterations.
- `R, T`: gain matrices of the filter.

### Description

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.

### See Also

`srfaur`, `faurre`, `phc`,

### Author

G. Le V.