gfare - filter Riccati equation
Generalized Filter Algebraic Riccati Equation (GFARE). Z = solution, H = gain.
The GFARE for Sl=[A,B,C,D] is:
(A-B*D'*Ri*C)*Z+Z*(A-B*D'*Ri*C)'-Z*C'*Ri*C*Z+B*Si*B'=0
where S=(eye()+D'*D) , Si=inv(S) , R=(eye()+D*D') , Ri=inv(R) and H=-(B*D'+Z*C')*Ri is such that A+H*C is stable.
gcare ,