Unconditionnally stable scheme for Riccati equation

Abstract

We present a numerical scheme for the resolution of matrix Riccati equation used in control problems. The scheme is unconditionnally stable and the solution is definite positive at each time step of the resolution. We prove the convergence in the scalar case and present several numerical experiments for classical test cases.

11 pages

Cited by in corpus (1)

• Path integral derivation and numerical computation of large deviation prefactors for non-equilibrium dynamics through matrix Riccati equations