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  • Committer: Bazaar Package Importer
  • Author(s): Torsten Werner
  • Date: 2005-01-09 22:58:21 UTC
  • mfrom: (1.1.1 upstream)
  • Revision ID: james.westby@ubuntu.com-20050109225821-473xr8vhgugxxx5j
Tags: 3.0-12
http://bugs.debian.org/255869
changed configure.in to build scilab's own malloc.o, closes: #255869

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man/fr/signal/srfaur.xml
 
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<?xml version="1.0" encoding="ISO-8859-1" standalone="no"?>
 
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<!DOCTYPE MAN SYSTEM "../../manrev.dtd">
 
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<MAN>
 
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  <LANGUAGE>eng</LANGUAGE>
 
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  <TITLE>srfaur</TITLE>
 
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  <TYPE>Scilab Function</TYPE>
 
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  <DATE>April 1993</DATE>
 
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  <SHORT_DESCRIPTION name="srfaur"> square-root algorithm</SHORT_DESCRIPTION>
 
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  <CALLING_SEQUENCE>
 
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    <CALLING_SEQUENCE_ITEM>[p,s,t,l,rt,tt]=srfaur(h,f,g,r0,n,p,s,t,l)  </CALLING_SEQUENCE_ITEM>
 
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  </CALLING_SEQUENCE>
 
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  <PARAM>
 
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    <PARAM_INDENT>
 
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      <PARAM_ITEM>
 
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        <PARAM_NAME>h, f, g</PARAM_NAME>
 
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        <PARAM_DESCRIPTION>
 
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          <SP>: convenient matrices of the state-space model.</SP>
 
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        </PARAM_DESCRIPTION>
 
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      </PARAM_ITEM>
 
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      <PARAM_ITEM>
 
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        <PARAM_NAME>r0</PARAM_NAME>
 
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        <PARAM_DESCRIPTION>
 
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          <SP>: E(yk*yk').</SP>
 
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        </PARAM_DESCRIPTION>
 
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      </PARAM_ITEM>
 
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      <PARAM_ITEM>
 
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        <PARAM_NAME>n</PARAM_NAME>
 
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        <PARAM_DESCRIPTION>
 
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          <SP>: number of iterations.</SP>
 
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        </PARAM_DESCRIPTION>
 
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      </PARAM_ITEM>
 
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      <PARAM_ITEM>
 
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        <PARAM_NAME>p</PARAM_NAME>
 
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        <PARAM_DESCRIPTION>
 
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          <SP>: estimate of the solution after n iterations.</SP>
 
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        </PARAM_DESCRIPTION>
 
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      </PARAM_ITEM>
 
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      <PARAM_ITEM>
 
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        <PARAM_NAME>s, t, l</PARAM_NAME>
 
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        <PARAM_DESCRIPTION>
 
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          <SP>: intermediate matrices for  successive iterations;</SP>
 
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        </PARAM_DESCRIPTION>
 
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      </PARAM_ITEM>
 
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      <PARAM_ITEM>
 
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        <PARAM_NAME>rt, tt</PARAM_NAME>
 
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        <PARAM_DESCRIPTION>
 
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          <SP>: gain matrices of the filter model after <VERB>n</VERB> iterations.</SP>
 
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        </PARAM_DESCRIPTION>
 
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      </PARAM_ITEM>
 
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      <PARAM_ITEM>
 
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        <PARAM_NAME>p, s, t, l</PARAM_NAME>
 
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        <PARAM_DESCRIPTION>
 
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          <SP>: may be given as input if more than one recursion is desired (evaluation of intermediate values of <VERB>p</VERB>).</SP>
 
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        </PARAM_DESCRIPTION>
 
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      </PARAM_ITEM>
 
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    </PARAM_INDENT>
 
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  </PARAM>
 
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  <DESCRIPTION>
 
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    <P>
 
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    square-root algorithm for the algebraic Riccati equation.</P>
 
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  </DESCRIPTION>
 
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  <EXAMPLE>
 
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<![CDATA[
 
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//GENERATE SIGNAL
 
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x=%pi/10:%pi/10:102.4*%pi;
 
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rand('seed',0);rand('normal');
 
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y=[1;1]*sin(x)+[sin(2*x);sin(1.9*x)]+rand(2,1024);
 
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//COMPUTE CORRELATIONS
 
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c=[];for j=1:2,for k=1:2,c=[c;corr(y(k,:),y(j,:),64)];end;end
 
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c=matrix(c,2,128);
 
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//FINDING H,F,G with 6 states
 
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hk=hank(20,20,c);
 
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[H,F,G]=phc(hk,2,6);
 
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//SOLVING RICCATI EQN
 
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r0=c(1:2,1:2);
 
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[P,s,t,l,Rt,Tt]=srfaur(H,F,G,r0,200);
 
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//Make covariance matrix exactly symetric
 
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Rt=(Rt+Rt')/2
 
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 ]]>
 
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  </EXAMPLE>
 
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  <SEE_ALSO>
 
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    <SEE_ALSO_ITEM>
 
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      <LINK>phc</LINK>
 
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    </SEE_ALSO_ITEM>
 
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    <SEE_ALSO_ITEM>
 
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      <LINK>faurre</LINK>
 
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    </SEE_ALSO_ITEM>
 
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    <SEE_ALSO_ITEM>
 
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      <LINK>lindquist</LINK>
 
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    </SEE_ALSO_ITEM>
 
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  </SEE_ALSO>
 
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</MAN>