Physics-Informed Neural Networks and Functional Interpolation for Solving the Matrix Differential Riccati Equation

In this manuscript, we explore how the solution of the matrix differential Riccati equation (MDRE) can be computed with the Extreme Theory of Functional Connections (X-TFC). X-TFC is a physics-informed neural network that uses functional interpolation to analytically satisfy linear constraints, such as the MDRE’s terminal constraint. We utilize two approaches for solving the MDRE with X-TFC: direct and indirect implementation. The first approach involves solving the MDRE directly with X-TFC, where the matrix equations are vectorized to form a system of first order differential equations and solved with iterative least squares. In the latter approach, the MDRE is first transformed into a matrix differential Lyapunov equation (MDLE) based on the anti-stabilizing solution of the algebraic Riccati equation. The MDLE is easier to solve with X-TFC because it is linear, while the MDRE is nonlinear. Furthermore, the MDLE solution can easily be transformed back into the MDRE solution. Both approaches are validated by solving a fluid catalytic reactor problem and comparing the results with several state-of-the-art methods. Our work demonstrates that the first approach should be performed if a highly accurate solution is desired, while the second approach should be used if a quicker computation time is needed.