On the numerical solution of large-scale sparse discrete-time Riccati equations
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Publication:652581
DOI10.1007/s10444-011-9174-7zbMath1230.65070OpenAlexW2043153343MaRDI QIDQ652581
Peter Benner, Heike Fassbender
Publication date: 14 December 2011
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10444-011-9174-7
numerical resultsNewton's methodparabolic partial differential equationslinear-quadratic optimal control problemsSmith iterationStein equationsalternating-direction-implicit (ADI) iterationlarge-scale discrete-time algebraic Riccati equationslow-rank factor
Numerical optimization and variational techniques (65K10) Newton-type methods (49M15) Matrix equations and identities (15A24) Linear-quadratic optimal control problems (49N10) Existence theories for optimal control problems involving partial differential equations (49J20)
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