WSEAS Transactions on Systems and Control
Print ISSN: 1991-8763, E-ISSN: 2224-2856
Volume 19, 2024
Selection of the Fastest Solution of the Complex Riccati Equation
Authors: , , ,
Abstract: Complex Kalman filters are used to process complex signals that appear in various fields of science
and engineering. The augmented complex Riccati equation is related to time-invariant augmented or widely
linear models. The off-line solution of the Riccati equation is a prerequisite for determining the steady-state
augmented complex Kalman filter parameters before any measurements are observed. Iterative per-step and
doubling algorithms for the solution of the complex Riccati equation are derived and their computational
requirements are derived, leading to the ability to select the fastest iterative algorithm.