BDF Methods for Large - Scale Differential Riccati Equations ∗
نویسندگان
چکیده
We consider the numerical solution of differential Riccati equations. We review the existing methods and investigate whether they are suitable for large-scale problems arising in LQR and LQG design for semi-discretized partial differential equations. Based on this review, we suggest an efficient matrix-valued implementation of the BDF for differential Riccati equations.
منابع مشابه
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