Analysis of Krylov subspace approximation to large-scale differential Riccati equations
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Publication:2218919
differential Riccati equationsexponential integratorsKrylov subspace methodslow-rank approximationmodel order reductionoptimal control problemsordinary differential equations
Iterative numerical methods for linear systems (65F10) Numerical methods for matrix equations (65F45) Numerical computation of matrix exponential and similar matrix functions (65F60) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Large-scale systems (93A15) Linear systems in control theory (93C05)
Abstract: We consider a Krylov subspace approximation method for the symmetric differential Riccati equation , . The method we consider is based on projecting the large scale equation onto a Krylov subspace spanned by the matrix and the low rank factors of and . We prove that the method is structure preserving in the sense that it preserves two important properties of the exact flow, namely the positivity of the exact flow, and also the property of monotonicity. We also provide a theoretical a priori error analysis which shows a superlinear convergence of the method. This behavior is illustrated in the numerical experiments. Moreover, we derive an efficient a posteriori error estimate as well as discuss multiple time stepping combined with a cut of the rank of the numerical solution.
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Cited in
(7)- Solving differential Riccati equations: a nonlinear space-time method using tensor trains
- GPU acceleration of splitting schemes applied to differential matrix equations
- Low-rank parareal: a low-rank parallel-in-time integrator
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- Low-Rank Second-Order Splitting of Large-Scale Differential Riccati Equations
- KRYLOV SUBSPACE METHODS OF HESSENBERG BASED FOR ALGEBRAIC RICCATI EQUATION
- Positivity preserving exponential integrators for differential Riccati equations
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