Multiscale differential Riccati equations for linear quadratic regulator problems

DOI10.1137/17M1134500zbMATH Open1397.49047arXiv1706.04380OpenAlexW3102940808MaRDI QIDQ4580289FDOQ4580289

Author name not available (Why is that?)

Publication date: 14 August 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: We consider approximations to the solutions of differential Riccati equations in the context of linear quadratic regulator problems, where the state equation is governed by a multiscale operator. Similarly to elliptic and parabolic problems, standard finite element discretizations perform poorly in this setting unless the grid resolves the fine-scale features of the problem. This results in unfeasible amounts of computation and high memory requirements. In this paper, we demonstrate how the localized orthogonal decomposition method may be used to acquire accurate results also for coarse discretizations, at the low cost of solving a series of small, localized elliptic problems. We prove second-order convergence (except for a logarithmic factor) in the $L^2$ operator norm, and first-order convergence in the corresponding energy norm. These results are both independent of the multiscale variations in the state equation. In addition, we provide a detailed derivation of the fully discrete matrix-valued equations, and show how they can be handled in a low-rank setting for large-scale computations. In connection to this, we also show how to efficiently compute the relevant operator-norm errors. Finally, our theoretical results are validated by several numerical experiments.

Full work available at URL: https://arxiv.org/abs/1706.04380

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zbMATH Keywords

multiscalefinite elementdifferential Riccati equationlinear quadratic regulator problemlocalized orthogonal decomposition

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Control/observation systems governed by partial differential equations (93C20)

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Cited In (11)

• High order approximations of the operator Lyapunov equation have low rank
• On Optimal Convergence Rates for Discrete Minimizers of the Gross–Pitaevskii Energy in Localized Orthogonal Decomposition Spaces
• Computational Homogenization of Time-Harmonic Maxwell's Equations
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• Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
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• Title not available (Why is that?)
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• Optimal Control for Multiscale Elliptic Equations with Rough Coefficients
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Uses Software

• RADI

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