Compares inexact Newton-Kleinman and low-rank RADI methods with zero and warm-start initializations for sequences of gAREs obtained from BDF discretization of large-scale non-autonomous DREs.
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On the Solution of Large-scale Non-autonomous Differential Riccati Equations: a Numerical Study
Compares inexact Newton-Kleinman and low-rank RADI methods with zero and warm-start initializations for sequences of gAREs obtained from BDF discretization of large-scale non-autonomous DREs.