相关论文: Convergence of the backward Euler scheme for the o…
In this work, we present an abstract theory for the approximation of operator-valued Riccati equations posed on Hilbert spaces. It is demonstrated here that the error of the approximate solution to the operator-valued Riccati equation is…
We prove existence and uniqueness of the mild solution of an infinite dimensional, operator valued, backward stochastic Riccati equation. We exploit the regularizing properties of the semigroup generated by the unbounded operator involved…
We formulate fractional difference equations of Riemann-Liouville and Caputo type in a functional analytical framework. Main results are existence of solutions on Hilbert space-valued weighted sequence spaces and a condition for stability…
Algebraic Riccati equations are encountered in many applications of control and engineering problems, e.g., LQG problems and $H^\infty$ control theory. In this work, we study the properties of one type of discrete-time algebraic Riccati…
Proper splittings of operators are commonly used to study the convergence of iterative processes. In order to approximate solutions of operator equations, in this article we deal with proper splittings of closed range bounded linear…
This paper proposes a reduction technique for the generalised Riccati difference equation arising in optimal control and optimal filtering. This technique relies on a study on the generalised discrete algebraic Riccati equation. In…
We propose and analyze a variation of the Euler scheme for state constrained ordinary differential inclusions under weak assumptions on the right-hand side and the state constraints. Convergence results are given for the space-continuous…
We investigate the convergence properties of exact and inexact forward-backward algorithms to minimise the sum of two weakly convex functions defined on a Hilbert space, where one has a Lipschitz-continuous gradient. We show that the exact…
The Riccati equations reducible to first-order linear equations by an appropriate change the dependent variable are singled out. All these equations are integrable by quadrature. A wide class of linear ordinary differential equations…
An equation containing a fractional power of an elliptic operator of second order is studied for Dirichlet boundary conditions. Finite difference approximations in space are employed. The proposed numerical algorithm is based on solving an…
An algebraic Riccati equation for linear operators is studied, which arises in systems theory. For the case that all involved operators are unbounded, the existence of infinitely many selfadjoint solutions is shown. To this end, invariant…
It is proved that the members of the Riccati hierarchy, the so-called Riccati chain equations, can be considered as particular cases of projective Riccati equations, which greatly simplifies the study of the Riccati hierarchy. This also…
In recent previous work [E. Hansen, T. Stillfjord and T. \r{A}berg, SIAM J. Numer. Anal., to appear], we analyzed the convergence of operator splitting methods applied to operator-valued differential Riccati equations (DRE). In this paper,…
In a previous paper it was shown that the Forward Euler method applied to differential inclusions where the right-hand side is a Lipschitz continuous set-valued function with uniformly bounded, compact values, converges with rate one. The…
For compact self-adjoint operators in Hilbert spaces, two algorithms are proposed to provide fully computable a posteriori error estimate for eigenfunction approximation. Both algorithms apply well to the case of tight clusters and multiple…
This paper investigates a numerical probabilistic method for the solution of some semilinear stochastic partial differential equations (SPDEs in short). The numerical scheme is based on discrete time approximation for solutions of systems…
The problem of inverting the total divergence operator is central to finding components of a given conservation law. This might not be taxing for a low-order conservation law of a scalar partial differential equation, but integrable systems…
Differential Riccati equations (DREs) are semilinear matrix- or operator-valued differential equations with quadratic non-linearities. They arise in many different areas, and are particularly important in optimal control of linear quadratic…
Results about existence and uniqueness of solutions of initial value problem for certain types of partial differential equations are recalled as well as iterative scheme and an error estimate for approximate solutions obtained using this…
We propose a method for solving constrained fixed point problems involving compositions of Lipschitz pseudo contractive and firmly nonexpansive operators in Hilbert spaces. Each iteration of the method uses separate evaluations of these…