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gfare
Scilab Function

gfare - filter Riccati equation

Calling Sequence

[Z,H]=gfare(Sl)

Parameters

Description

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.

See Also

gcare ,  

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