Convergence Analysis for Splitting of the Abstract Differential Riccati Equation

DOI10.1137/130935501MaRDI QIDQ5245404zbMATH OpenOpenAlexWikidataFDO

Authors Eskil Hansen, Tony Stillfjord

Publication date 8 April 2015

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://lup.lub.lu.se/record/4730126

zbMATH Keywords

abstract differential Riccati equationconvergence orderHilbert-Schmidt operatorslow-rank approximationsplitting

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Operator-theoretic methods (93B28)

Recommendations

• A refined semilocal convergence analysis of an algorithm for solving the Riccati equation
• Convergence analysis of a splitting method for stochastic differential equations
• The convergence analysis of an accelerated iteration for solving algebraic Riccati equations
• Convergence and existence results for continuous- and discrete-time Riccati equations
• On the convergence of the modified Riccati equation
• Convergence of the time-invariant Riccati differential equation towards its strong solution for stabilizable systems
• Convergence rate analysis of the forward-Douglas-Rachford splitting scheme
• On the convergence rate of the splitting-up scheme for rough partial differential equations
• Convergence analysis for solving equilibrium problems and split feasibility problems in Hilbert spaces
• Convergence analysis of the splitting method to the nonlinear heat equation

Cited in

(13)

• Recent advances in linear analysis of convergence for splittings for solving ODE problems
• Solving differential Riccati equations: a nonlinear space-time method using tensor trains
• Modified Douglas splitting method for differential matrix equations
• GPU acceleration of splitting schemes applied to differential matrix equations
• Convergence of the backward Euler scheme for the operator-valued Riccati differential equation with semi-definite data
• On the benefits of the \(L D L^T\) factorization for large-scale differential matrix equation solvers
• Convergence of a low-rank Lie-Trotter splitting for stiff matrix differential equations
• Positivity preserving exponential integrators for differential Riccati equations
• Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
• Low-rank exponential integrators for stiff differential Riccati equations
• Convergence with rates for a Riccati-based discretization of SLQ problems with SPDEs
• Convergence analysis of Lie and Strang splitting for operator-valued differential Riccati equations
• A refined semilocal convergence analysis of an algorithm for solving the Riccati equation

This page was built for publication: Convergence Analysis for Splitting of the Abstract Differential Riccati Equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5245404)