Continuous time filter Riccati equation
[Z, H] = gfare(Sl)
a continuous time linear dynamical system in state-space representation
symmetric matrix
real matrix
Generalized Filter Algebraic Riccati Equation (GFARE).
Z
= solution, H
= gain.
The GFARE for Sl=[A,B,C,D]
is:
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.
Version | Description |
5.4.0 | Sl is now checked for
continuous time linear dynamical system. This modification
has been introduced by this commit |