Solving Differential Matrix Equations using Parareal |
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| Authors: | Martin Köhler Norman Lang Jens Saak |
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| Institution: | 1. Max Planck Institute for Dynamics of Complex Technical Systems Magdeburg, Computational Methods in Systems and Control Theory;2. Technische Universität Chemnitz, Faculty of Mathematics |
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| Abstract: | Differential matrix equations appear in many applications like optimal control of partial differential equations, balanced truncation model order reduction of linear time varying systems and many more. Here, we will focus on differential Riccati equations (DRE). Solving such matrix-valued ordinary differential equations (ODE) is a highly time consuming process. We present a Parareal based algorithm applied to Rosenbrock methods for the solution of the matrix-valued differential Riccati equations. Considering problems of moderate size, direct matrix equation solvers for the solution of the algebraic Lyapunov equations arising inside the time intgration methods are used. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim) |
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