Accurate numerical integration of stiff differential Riccati equations (Q1907084): Difference between revisions

For the Riccati differential equation, when the initial value problem is stiff and the size of the problem is not very small, most of the numerical methods presently available exhibit serious computational drawbacks. The paper proposes an alternative which takes advantages of the structure of the Riccati equation. Basically, the algorithm herein described is an implicit high-order one-step matrix method which is the matrix adaptation of \textit{M. Urabe's} ideas [Numer. Math. 15, 151-164 (1970; Zbl 0184.38302)]. Some error bounds are given under various conditions.