Mesh independence of Kleinman-Newton iterations for Riccati equations in Hilbert space
Burns, J. A.
Sachs, E. W.
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In this paper we consider the convergence of the infinite dimensional version of the Kleinman-Newton algorithm for solving the algebraic Riccati operator equation associated with the linear quadratic regulator problem in a Hilbert space. We establish mesh independence for this algorithm and apply the result to systems governed by delay equations. Numerical examples are presented to illustrate the results.