Name
gfare — filter Riccati equation
Calling Sequence
[Z,H]=gfare(Sl)
Parameters
- Sl
linear system (syslin list)
- Z
symmetric matrix
- H
real matrix
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.