The State-Dependent Riccati Equation (SDRE) approach is extensively utilized in nonlinear optimal control as a reliable framework for designing robust feedback control strategies. This work provides an analysis of the SDRE approach, examining its theoretical foundations, error bounds, and numerical approximation techniques. We explore the relationship between SDRE and the Hamilton-Jacobi-Bellman (HJB) equation, deriving residual-based error estimates to quantify its suboptimality. Additionally, we introduce an optimal semilinear decomposition strategy to minimize the residual. From a computational perspective, we analyze two numerical methods for solving the SDRE: the offline-online approach and the Newton-Kleinman iterative method. Their performance is assessed through a numerical experiment involving the control of a nonlinear reaction-diffusion PDE. Results highlight the trade-offs between computational efficiency and accuracy, demonstrating the superiority of the Newton-Kleinman approach in achieving stable and cost-effective solutions.
Luca Saluzzi (Mon,) studied this question.