srfaur - square-root algorithm
square-root algorithm for the algebraic Riccati equation.
//GENERATE SIGNAL
x=%pi/10:%pi/10:102.4*%pi;
rand('seed',0);rand('normal');
y=[1;1]*sin(x)+[sin(2*x);sin(1.9*x)]+rand(2,1024);
//COMPUTE CORRELATIONS
c=[];for j=1:2,for k=1:2,c=[c;corr(y(k,:),y(j,:),64)];end;end
c=matrix(c,2,128);
//FINDING H,F,G with 6 states
hk=hank(20,20,c);
[H,F,G]=phc(hk,2,6);
//SOLVING RICCATI EQN
r0=c(1:2,1:2);
[P,s,t,l,Rt,Tt]=srfaur(H,F,G,r0,200);
//Make covariance matrix exactly symetric
Rt=(Rt+Rt')/2