Low-rank approximate solutions to large-scale differential matrix Riccati equations
Yaprak Güldoğan, M. Hached, Khalide Jbilou, Muhammet Kurulay · Applicationes Mathematicae · 2018
We consider large-scale continuous-time differential matrix Riccati equations. The two main approaches proposed in the literature are based on a splitting scheme or on Rosenbrock / Backward Differentiation Formula (BDF) methods. The approach we propose is