New doubling algorithm for the discrete periodic Riccati equation (Q1316136)

A new doubling algorithm (NDA) is introduced for the recursive discrete periodic Riccati equation for the filtering error variance with initial condition. Doubling algorithms have been previously proposed by \textit{D. G. Lainiotis} [IEEE Trans. automatic Control AC-21, 677-689 (1976; Zbl 0344.93063)] for time invariant models only. It is shown by numerical tests that the NDA is numerically efficient. Its computational requirements (time and memory) are established for the sequential implementation and comparisons are made to classical algorithms (Kalman filter and Lainiotis filter). The time required by the NDA is shorter when the length of the a priori unknown time required to reach the steady state solution is not very small. The NDA is also numerically stable and possesses very good parallelism efficiency.