Solving Differential Matrix Equations using Parareal. Issue 1 (25th October 2016)

• Record Type: Journal Article
• Authors: Köhler, Martin; Lang, Norman; Saak, Jens
• Is Part Of: Proceedings in applied mathematics and mechanics. Volume 16:Issue 1(2016)
• Page Start: 847
• Page End: 848
• Publication Date: 2016-10-25
• Subjects: Applied mathematics -- Periodicals; Engineering mathematics -- Periodicals; Mathematical physics -- Periodicals; 519
• DOI: 10.1002/pamm.201610412
• Languages: English
• ISSNs: 1617-7061

Abstract

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)