Scilab Function

lindquist - Lindquist's algorithm

### Sequence d'appel

  `[P,R,T]=lindquist(n,H,F,G,R0)`

### Parametres

- `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.

### Voir aussi

`srfaur` `faurre` `phc`

### Auteur

G. Le V.