Algorithms for solution of the Riccati equations in control problems of nonstationary objects (Q1387000)

A method for solving the Riccati equation in real time, based on the collocation approach and the Newton algorithm is suggested. The method is motivated by problems of forming controls such that the solution is given within a prescribed time interval, in conditions when the application of traditional approaches based on numerical integration is not effective. It is intended for computers with a parallel architecture.