Scilab Function

faurre - filter computation by simple Faurre algorithm

### Sequence d'appel

  `[P,R,T]=faurre(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 matrix of the filter.

### Description

This function computes iteratively the minimal solution of the algebraic Riccati equation and gives the matrices `R` and `T` of the filter model. The algorithm tries to compute the solution P as the growing limit of a sequence of matrices Pn such that

                                         -1
    Pn+1=F*Pn*F'+(G-F*Pn*h')*(R0-H*Pn*H')  *(G'-H*Pn*F')
           -1
    P0=G*R0 *G'

Note that this method may not converge,especially when F has poles near the unit circle. Use preferably the srfaur function.

### Voir aussi

`srfaur` `lindquist` `phc`

### Auteur

G. Le V.