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  A Numerical Comparison of Different Solvers for Large-Scale, Continuous-Time Algebraic Riccati Equations and LQR Problems

Benner, P., Bujanović, Z., Kürschner, P., & Saak, J. (2020). A Numerical Comparison of Different Solvers for Large-Scale, Continuous-Time Algebraic Riccati Equations and LQR Problems. SIAM Journal on Scientific Computing, 42(2), A957-A996. doi:10.1137/18M1220960.

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Item Permalink: http://hdl.handle.net/21.11116/0000-0002-6DC7-4 Version Permalink: http://hdl.handle.net/21.11116/0000-0007-4312-9
Genre: Journal Article

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 Creators:
Benner, Peter1, Author              
Bujanović, Zvonimir2, Author
Kürschner, Patrick1, Author              
Saak, Jens1, Author              
Affiliations:
1Computational Methods in Systems and Control Theory, Max Planck Institute for Dynamics of Complex Technical Systems, Max Planck Society, ou_1738141              
2University of Zagreb, ou_persistent22              

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Free keywords: Mathematics, Numerical Analysis, math.NA
 Abstract: In this paper, we discuss numerical methods for solving large-scale continuous-time algebraic Riccati equations. These methods have been the focus of intensive research in recent years, and significant progress has been made in both the theoretical understanding and efficient implementation of various competing algorithms. There are several goals of this manuscript: first, to gather in one place an overview of different approaches for solving large-scale Riccati equations, and to point to the recent advances in each of them. Second, to analyze and compare the main computational ingredients of these algorithms, to detect their strong points and their potential bottlenecks. And finally, to compare the effective implementations of all methods on a set of relevant benchmark examples, giving an indication of their relative performance.

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 Dates: 2020
 Publication Status: Published in print
 Pages: -
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 Rev. Type: Peer
 Identifiers: DOI: 10.1137/18M1220960
URI: http://arxiv.org/abs/1811.00850
arXiv: 1811.00850
Other: pubdata_escidoc:3007052
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Title: SIAM Journal on Scientific Computing
Source Genre: Journal
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Pages: - Volume / Issue: 42 (2) Sequence Number: - Start / End Page: A957 - A996 Identifier: -