Numerical Solution of Differential Riccati Equations Arising in Optimal Control for Parabolic PDEs
نویسندگان
چکیده
The numerical treatment of linear-quadratic regulator problems on finite time horizons for parabolic partial differential equations requires the solution of large-scale differential Riccati equations (DREs). Typically the coefficient matrices of the resulting DRE have a given structure (e.g. sparse, symmetric or low rank). Here we discuss numerical methods for solving DREs capable of exploiting this structure. These methods are based on a matrix-valued implementation of the BDF methods. The crucial question of suitable stepsize and order selection strategies is also addressed.
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