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arXiv 1907.12971math.NAcs.NA
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大型刚性矩阵里卡蒂微分方程的指数积分器

Exponential integrators for large-scale stiff matrix Riccati differential equations

Dongping Li

摘要:

矩阵里卡蒂微分方程出现在许多不同的领域,并在控制理论领域中特别重要。本文考虑刚性矩阵里卡蒂微分方程大系统的数值积分。我们展示了如何应用指数Rosenbrock型积分得到近似解。考虑了两种典型的指数积分格式。实现问题的解决和一些低秩近似的基础上开发高品质的数值代数代码。数值比较表明,指数型积分器在求解大型刚性矩阵里卡蒂微分方程时具有较高的精度和效率.

英文摘要:

Matrix Riccati differential equations arise in many different areas and are particular important within the field of control theory. In this paper we consider numerical integration for large-scale systems of stiff matrix Riccati differential equations. We show how to apply exponential Rosenbrock-type integrators to get approximate solutions. Two typical exponential integration schemes are considered. The implementation issues are addressed and some low-rank approximations are exploited based on high quality numerical algebra codes. Numerical comparisons demonstrate that the exponential integrators can obtain high accuracy and efficiency for solving large-scale systems of stiff matrix Riccati differential equations.

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