Analysis of Krylov subspace approximation to large-scale differential Riccati equations

DOI10.1553/ETNA_VOL52S431zbMATH Open1456.65019arXiv1705.07507OpenAlexW3134025662MaRDI QIDQ2218919FDOQ2218919

Authors: Koskela Antti, Hermann Mena 

Publication date: 18 January 2021

Published in: ETNA - Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Abstract: We consider a Krylov subspace approximation method for the symmetric differential Riccati equation $dotX=AX+X{A}^T+Q-XSX$, $X(0)=X_0$. The method we consider is based on projecting the large scale equation onto a Krylov subspace spanned by the matrix $A$ and the low rank factors of $X_0$ and $Q$. 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.

Full work available at URL: https://arxiv.org/abs/1705.07507

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zbMATH Keywords

Krylov subspace methodslow-rank approximationoptimal control problemsordinary differential equationsmodel order reductionexponential integratorsdifferential Riccati equations

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Large-scale systems (93A15) Linear systems in control theory (93C05) Numerical computation of matrix exponential and similar matrix functions (65F60) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Numerical methods for matrix equations (65F45)

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Cited In (7)

• Analysis of the rational Krylov subspace projection method for large-scale algebraic Riccati equations
• Low-Rank Second-Order Splitting of Large-Scale Differential Riccati Equations
• Solving differential Riccati equations: a nonlinear space-time method using tensor trains
• KRYLOV SUBSPACE METHODS OF HESSENBERG BASED FOR ALGEBRAIC RICCATI EQUATION
• GPU acceleration of splitting schemes applied to differential matrix equations
• Low-rank parareal: a low-rank parallel-in-time integrator
• Positivity preserving exponential integrators for differential Riccati equations

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