An algorithm for solving coupled differential matrix systems: Approximations, convergence and upper error bounds

DOI10.1016/0377-0427(89)90038-1MaRDI QIDQ1121650zbMATH OpenOpenAlexFDO

Authors A. Hervás, L. Jódar

Publication date 1989

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(89)90038-1

zbMATH Keywords

algorithmconvergence intervalerror boundssuccessive approximation methodsystem of matrix Riccati differential equations

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Linear systems in control theory (93C05)

Review text

An algorithm is presented for the solution of a coupled system of matrix Riccati differential equations using the successive approximation method. For the approximate solution explicit expressions are given and used to give error bounds and convergence conditions.

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Cites work

• Analytic solution for a class of linear quadratic open-loop Nash games
• Differential equation s in abstract spaces
• Explicit solutions for a system of coupled Lyapunov differential matrix equations
• Nonzero-sum differential games
• On direct product matrices
• On the solution of the open-loop Nash Riccati equations in linear quadratic differential games
• Series Nash solution of two-person, nonzero-sum, linear-quadratic differential games

Cited in

(6)

• Kronecker products and coupled matrix Riccati differential systems
• A matrix constructive method for the analytic-numerical solution of coupled partial differential systems
• scientific article; zbMATH DE number 4175387 (Why is no real title available?)
• A computationally-efficient solutions of coupled matrix differential equations for diagonal unknown matrices
• Coupled matrix Riccati equations in minimal cost variance control problems
• Method of Kronecker product to advanced type Riccati differential systems with strongly coupled quadratic terms

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