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.
A Precise Integration Algorithm for Matrix Riccati Differential EquationsLecture Notes in Computer Science
Document TypeContribution to Books
Publisher's StatementThe original publication is available at www.springerlink.com
Citation InformationZhong, W. and Zhu, J. (2001). A Precise Integration Algorithm for Matrix Riccati Differential Equations. in Lecture Notes in Computer Science, LNCS 2073, 947 - 956, Springer-Verlag, Berlin.