METT VIII - 8th Workshop on Matrix Equations and Tensor Techniques

Order reduction methods for solving large-scale differential matrix Riccati equations

7 Nov 2019, 11:10

25m

Prigogine (MPI Magdeburg)

Talk Talks Day II

Speaker

Gerhard Kirsten ( Alma Mater Studiorum, Universita’ di Bologna)

Description

We consider the numerical solution of large-scale, differential matrix Riccati equations (DRE). Projection methods have recently arisen as a promising class of solution strategies. Existing approaches in this class focus on polynomial or extended Krylov subspaces as approximation space. We show that great computational and memory advantages are obtained with fully rational Krylov subspaces and we discuss several crucial issues such as efficient time stepping and stopping criteria. Numerical experiments illustrate the procedure's effectiveness.