A computational method for interval mixed variable energy matrices in precise integration

DOI10.1023/A:1016315601939MaRDI QIDQ5942749zbMATH OpenFDO

Authors Suowen Gao, Ben-Li Wang, Xingrui Ma, Z. G. Wu

Publication date 9 September 2001

Published in Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1016315601939

zbMATH Keywords

augmented systemintegration schemelinear-quadratic optimizationmatrix Riccati differential equationstate transfer matrix

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10)

Review text

An integration scheme is proposed for the solution of the autonomous matrix Riccati differential equation \[ P'(t)= P(t) SP(t)- A^\top P(t)- P(t) A-Q \] arising in the linear-quadratic optimization problem on a finite time interval. The scheme is based on the state transfer matrix of the augmented system for the state and co-state vectors. Numerical examples show that the method proposed is faster and as accurate as the method based on Taylor series expansions.

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