Innovative Integrators for Computing the Optimal State in LQR Problems

We consider the numerical approximation of linear quadratic optimal control problems for partial differential equations where the dynamics is driven by a strongly continuous semigroup. For this problems, the optimal control is given in feedback form, i.e., it relies on solving the associated Riccati equation and the optimal state. We propose innovative integrators for solving the optimal state based on operator splitting procedures and exponential integrators and prove their convergence. We illustrate the performance of our approach in numerical experiments.