Selection of the Fastest Solution of the Complex Riccati Equation

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.