Abstract
An efficient precise integration method for solving the matrix Riccati differential equation is described in this paper. The method is based on repeated combination of extremely small time intervals, which leads to solutions with an accuracy within the machine precision.
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Zhong, WX., Zhu, J. (2001). A Precise Integration Algorithm for Matrix Riccati Differential Equations. In: Alexandrov, V.N., Dongarra, J.J., Juliano, B.A., Renner, R.S., Tan, C.J.K. (eds) Computational Science — ICCS 2001. ICCS 2001. Lecture Notes in Computer Science, vol 2073. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45545-0_107
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DOI: https://doi.org/10.1007/3-540-45545-0_107
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