4 papers
Discounted Cost Linear Quadratic Gaussian Control for Descriptor Systems
Hermann Mena, Lena-Maria Pfurtscheller, Matthias Voigt
We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the de…
GPU acceleration of splitting schemes applied to differential matrix equations
Hermann Mena, Lena-Maria Pfurtscheller, Tony Stillfjord
We consider differential Lyapunov and Riccati equations, and generalized versions thereof. Such equations arise in many different areas and are especially important within the fiel…
An efficient SPDE approach for El Niño
Hermann Mena, Lena Pfurtscheller
We consider the numerical approximation of stochastic partial differential equations (SPDEs) based models for a quasi-periodic climate pattern in the tropical Pacific Ocean known a…
Numerical low-rank approximation of matrix differential equations
Hermann Mena, Alexander Ostermann, Lena-Maria Pfurtscheller +1
The efficient numerical integration of large-scale matrix differential equations is a topical problem in numerical analysis and of great importance in many applications. Standard n…