CONVERGENCE ANALYSIS FOR SPLITTING OF THE ABSTRACT DIFFERENTIAL RICCATI EQUATION

摘要

We consider a splitting-based approximation of the abstract differential Riccati equation in the setting of Hilbert-Schmidt operators. The Riccati equation arises in many different areas and is important within the field of optimal control. In this paper we conduct a temporal error analysis and prove that the splitting method converges with the same order as the implicit Euler scheme, under the same low regularity requirements on the initial values. For a subsequent spatial discretization, the abstract setting also yields uniform temporal error bounds with respect to the spatial discretization parameter. The spatial discretizations commonly lead to large-scale problems, where the use of structural properties of the solution is essential. We therefore conclude by proving that the splitting method preserves low-rank structure in the matrix-valued case. Numerical results demonstrate the validity of the convergence analysis.