gfare Continuous time filter Riccati equation

## Syntax

    [Z, H] = gfare(Sl)

## Arguments

Sl

  a continuous time linear dynamical system in state-space representation

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.

## See also

- gcare

## History

5.4.0 `Sl` is now checked for continuous time linear dynamical system. This modification has been introduced by this commit