CONVERGENCE ANALYSIS FOR SPLITTING OF THE ABSTRACT DIFFERENTIAL RICCATI EQUATION

Abstract. 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. Key words. Abstract differential Riccati equation, splitting, convergence order, low-rank ap-proximation, Hilbert–Schmidt operator