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GPU acceleration of splitting schemes applied to differential matrix equations
ArticleAbstract: We consider differential Lyapunov and Riccati equations, and generalized versions thereof. Such equaPalabras claves:Differential Lyapunov equations, Differential Riccati equations, GPU acceleration, large scale, Splitting schemesAutores:Hermann Mena, Lena Maria Pfurtscheller, Stillfjord T.Fuentes:scopusNumerical solution of the finite horizon stochastic linear quadratic control problem
ArticleAbstract: The treatment of the stochastic linear quadratic optimal control problem with finite time horizon rePalabras claves:BDF methods, Rosenbrock methods, splitting methods, stochastic LQR problem, stochastic Riccati equationsAutores:Damm T., Hermann Mena, Stillfjord T.Fuentes:scopus