— Function File: [k, p, e] = lqe (a, g, c, sigw, sigv, z)

Construct the linear quadratic estimator (Kalman filter) for the continuous time system

          dx
          -- = A x + G u
          dt
          
          y = C x + v

where w and v are zero-mean gaussian noise processes with respective intensities

          sigw = cov (w, w)
          sigv = cov (v, v)

The optional argument z is the cross-covariance cov (w, v). If it is omitted, cov (w, v) = 0 is assumed.

Observer structure is dz/dt = A z + B u + k (y - C z - D u)

The following values are returned:

k

The observer gain, (a - kc) is stable.

p

The solution of algebraic Riccati equation.

e

The vector of closed loop poles of (a - kc).