Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations

DOI10.1515/JNMA-2016-1039zbMath1444.65032OpenAlexW2509524967WikidataQ129985842 ScholiaQ129985842MaRDI QIDQ1745606

Peter Benner, Hermann Mena

Publication date: 18 April 2018

Published in: Journal of Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11858/00-001M-0000-002B-2E74-B

zbMATH Keywords

Riccati differential equationRosenbrock methodLQR problemBDF methodparabolic control problem

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Stabilization of systems by feedback (93D15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Linear optimal control problems (49N05)

Related Items (22)

Numerical low-rank approximation of matrix differential equations ⋮ Adaptive high-order splitting schemes for large-scale differential Riccati equations ⋮ Multiscale Differential Riccati Equations for Linear Quadratic Regulator Problems ⋮ On Deterministic and Stochastic Linear Quadratic Control Problems ⋮ Dynamical low-rank approximation to the solution of parabolic differential equations ⋮ A Numerical Comparison of Different Solvers for Large-Scale, Continuous-Time Algebraic Riccati Equations and LQR Problems ⋮ Positivity preserving exponential integrators for differential Riccati equations ⋮ The Stochastic LQR Optimal Control with Fractional Brownian Motion ⋮ The intrinsic Toeplitz structure and its applications in algebraic Riccati equations ⋮ Fourier-splitting method for solving hyperbolic LQR problems ⋮ Analysis of Krylov subspace approximation to large-scale differential Riccati equations ⋮ Modified Douglas splitting method for differential matrix equations ⋮ Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations ⋮ Galerkin trial spaces and Davison-Maki methods for the numerical solution of differential Riccati equations ⋮ An efficient SPDE approach for El Niño ⋮ A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces ⋮ GPU acceleration of splitting schemes applied to differential matrix equations ⋮ Global extended Krylov subspace methods for large-scale differential Sylvester matrix equations ⋮ Convergence of a Low-Rank Lie--Trotter Splitting for Stiff Matrix Differential Equations ⋮ Convergence of the backward Euler scheme for the operator-valued Riccati differential equation with semi-definite data ⋮ A Max-plus Dual Space Fundamental Solution for a Class of Operator Differential Riccati Equations ⋮ Innovative Integrators for Computing the Optimal State in LQR Problems

Uses Software

• FEINS
• LYAPACK

Cites Work

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