Transformations between discrete-time and continuous-time algebraic Riccati equations

We introduce a transformation between the discrete-time and continuous-time algebraic Riccati equations. We show that under mild conditions the two algebraic Riccati equations can be transformed from one to another, and both algebraic Riccati equations share common Hermitian solutions. The transformation also sets up the relations about the properties, commonly in system and control setting, that are imposed in parallel to the coefficient matrices and Hermitian solutions of two algebraic Riccati equations. The transformation is simple and all the relations can be easily derived. We also introduce a generalized transformation that requires weaker conditions. The proposed transformations may provide a unified tool to develop the theories and numerical methods for the algebraic Riccati equations and the associated system and control problems.     

Invariants for feedback equivalence and Cauchy characteristic multifoliations of nonlinear control systems

Linearization of a nonlinear feedback control system under nonlinear feedback is treated as a problem of equivalence-under the Lie pseudogroup of feedback transformations-of distributions on the product manifold of the state and control variables. The new feature of this paper is that it introduces the Cauchy characteristic sub-distributions of these distributions and their derived distributions. These Cauchy characteristic distributions are involutive and nested, hence define a Multifoliate Structure. A necessary condition for feedback equivalence of two nonlinear control systems is that these multifoliations be transformed under the feedback pseudogroup. For linear systems, this Cauchy characteristic multifoliate structuee is readily computed in terms of the (A, B)-matrix that defines the linear system. Assuming that the conditions for local feedback linearization are satisfied, the existence of a global feedback linearizing transformation is dependent on computing an element of the first cohomology group of the space with coefficients in the sheaf of groupoid of infinitesimal feedback automorphisms of the linear system. The theorem quoted above about the Cauchy characteristic multifoliations provides some information about this groupoid. It is computed explicitly and directly for control systems with one- or two-state dimensions. Finally, these Cauchy characteristic sub-distributions must inevitably play a role in the numerical or symbolic computational analysis of the Hunt-Su partial differential equations for the feedback-linearizing transformation.Senior Research Associate of the National Research Council at the Ames Research Center of NASA.     

On the quadratic two-parameter eigenvalue problem and its linearization

We introduce the quadratic two-parameter eigenvalue problem and linearize it as a singular two-parameter eigenvalue problem. This, together with an example from model updating, shows the need for numerical methods for singular two-parameter eigenvalue problems and for a better understanding of such problems.There are various numerical methods for two-parameter eigenvalue problems, but only few for nonsingular ones. We present a method that can be applied to singular two-parameter eigenvalue problems including the linearization of the quadratic two-parameter eigenvalue problem. It is based on the staircase algorithm for the extraction of the common regular part of two singular matrix pencils.     

A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis

We study a continuous-time, finite horizon, stochastic partially reversible investment problem for a firm producing a single good in a market with frictions. The production capacity is modeled as a one-dimensional, time-homogeneous, linear diffusion controlled by a bounded variation process which represents the cumulative investment–disinvestment strategy. We associate to the investment–disinvestment problem a zero-sum optimal stopping game and characterize its value function through a free-boundary problem with two moving boundaries. These are continuous, bounded and monotone curves that solve a system of non-linear integral equations of Volterra type. The optimal investment–disinvestment strategy is then shown to be a diffusion reflected at the two boundaries.     

A numerical method for computing the Hamiltonian Schur form

We derive a new numerical method for computing the Hamiltonian Schur form of a Hamiltonian matrix that has no purely imaginary eigenvalues. We demonstrate the properties of the new method by showing its performance for the benchmark collection of continuous-time algebraic Riccati equations. Despite the fact that no complete error analysis for the method is yet available, the numerical results indicate that if no eigenvalues of are close to the imaginary axis then the method computes the exact Hamiltonian Schur form of a nearby Hamiltonian matrix and thus is numerically strongly backward stable. The new method is of complexity and hence it solves a long-standing open problem in numerical analysis. Volker Mehrmann was supported by Deutsche Forschungsgemeinschaft, Research Grant Me 790/11-3.     

Definitizable hermitian matrix pencils

Summary An hermitian matrix pencilA – B withA nonsingular is called strongly definitizable ifAp(A ^–1 B) is positive definite for some polynomialp. We present three characterizations of strongly definitizable pencils, which generalize the classical results for definite pencils. They are, in particular, stably simultaneously diagonable. We also discuss this form of stability with respect to an open subset of the real line. Implications for some quadratic eigenvalue problems are included.Research supported in part by the National Sciences and Engineering Research Council of Canada.Dedicated to the memory of Alexander M. Ostrowski on the occasion of the 100th anniversary of his birth.     

Stabilization of a transmission wave/plate equation

We consider a stabilization problem, for a model arising in the control of noise, coupling the damped wave equation with a damped Kirchhoff plate equation. We prove an exponential stability result under some geometric condition. Our method is based on an identity with multipliers that allows to show an appropriate energy estimate.     

The generalized Levinger transformation

In this paper, we present new results relating the numerical range of a matrix A with the generalized Levinger transformation L(A,α,β)=αH_A+βS_A, where H_A and S_A, are, respectively the Hermitian and skew-Hermitian parts of A. Using these results, we then derive expressions for eigenvalues and eigenvectors of the perturbed matrix A+L(E,α,β), for a fixed matrix E and α, β are real parameters.     

THE INTEGRAL COMPONENT OF AN ORDER BOUNDED TRANSFORMATION

Summary

Assume that T:L→M is a positive transformation from an arbitrary Riesz space L into a Dedekind complete Riesz space M, and let T=T_c + T_s be the decomposition of T into its integral component T_c and its singular component T_s.

In this note we give an elementary proof of the fact that for every o ? u ? L

T_c u = inf(s_nup Tu_n: o ? u_n + u),

under the conditionns stated above. This generalizes a recent result of C.D. Aliprantis [1].     

Weak maximum principle and accessory problem for control problems on time scales

In this paper we derive the first and second variations for a nonlinear time scale optimal control problem with control and state-endpoints equality constraints. Using the first variation, a first order necessary condition for weak local optimality is obtained under the form of a weak maximum principle generalizing the Dubois–Reymond Lemma to the optimal control setting and time scales. A second order necessary condition in terms of the accessory problem is derived by using the nonnegativity of the second variation at all admissible directions. The control problem is studied under a controllability assumption, and with or without the shift in the state variable. These two forms of the problem are shown to be equivalent.     

Controllability and asymptotic stabilization of the Camassa-Holm equation

We investigate the problems of exact controllability and asymptotic stabilization of the Camassa-Holm equation on the circle, by means of a distributed control. The results are global, and in particular the control prevents the solution from blowing up.     

Eigenvalue perturbation theory of classes of structured matrices under generic structured rank one perturbations

udy the perturbation theory of structured matrices under structured rank one perturbations, and then focus on several classes of complex matrices. Generic Jordan structures of perturbed matrices are identified. It is shown that the perturbation behavior of the Jordan structures in the case of singular J-Hamiltonian matrices is substantially different from the corresponding theory for unstructured generic rank one perturbation as it has been studied in [18, 28, 30, 31]. Thus a generic structured perturbation would not be generic if considered as an unstructured perturbation. In other settings of structured matrices, the generic perturbation behavior of the Jordan structures, within the confines imposed by the structure, follows the pattern of that of unstructured perturbations.     

Eigenvalues of Two Parameter Polynomial Operator Pencils of Waveguide Type

The spectral structure of two parameter unbounded operator pencils of waveguide type is studied. Theorems on discreteness of the spectrum for a fixed parameter are proved. Variational principles for real eigenvalues in some parts of the root zones are established. In the case of n = 1 (quadratic pencils) domains containing the spectrum are described (see Fig. 1–3). Conditions in the definition of the pencils of waveguide type arise naturally from physical problems and each of them has a physical meaning. In particular a connection between the energetic stability condition and a perturbation problem for the coefficients is given.     

Cayley transform and the Kronecker product of Hermitian matrices

We consider the conditions under which the Cayley transform of the Kronecker product of two Hermitian matrices can be again presented as a Kronecker product of two matrices and, if so, if it is a product of the Cayley transforms of the two Hermitian matrices. We also study the related question: given two matrices, which matrix under the Cayley transform yields the Kronecker product of their Cayley transforms.     

Generalized joint spectral radius and stability of switching systems

This paper extends the notion of generalized joint spectral radius with exponents, originally defined for a finite set of matrices, to probability distributions. We show that, under a certain invariance condition, the radius is calculated as the spectral radius of a matrix that can be easily computed, extending the classical counterpart. Using this result we investigate the mean stability of switching systems. In particular we establish the equivalence of mean square stability, simultaneous contractibility in square mean, and the existence of a quadratic Lyapunov function. Also the stabilization of positive switching systems is studied. Numerical examples are given to illustrate the results.     

Absolute and relative Weyl theorems for generalized eigenvalue problems

Weyl-type eigenvalue perturbation theories are derived for Hermitian definite pencils A-λB, in which B is positive definite. The results provide a one-to-one correspondence between the original and perturbed eigenvalues, and give a uniform perturbation bound. We give both absolute and relative perturbation results, defined in the standard Euclidean metric instead of the chordal metric that is often used.     

Extracting partial canonical structure for large scale eigenvalue problems

We present methods for computing a nearby partial Jordan-Schur form of a given matrix and a nearby partial Weierstrass-Schur form of a matrix pencil. The focus is on the use and the interplay of the algorithmic building blocks – the implicitly restarted Arnoldi method with prescribed restarts for computing an invariant subspace associated with the dominant eigenvalue, the clustering method for grouping computed eigenvalues into numerically multiple eigenvalues and the staircase algorithm for computing the structure revealing form of the projected problem. For matrix pencils, we present generalizations of these methods. We introduce a new and more accurate clustering heuristic for both matrices and matrix pencils. Particular emphasis is placed on reliability of the partial Jordan-Schur and Weierstrass-Schur methods with respect to the choice of deflation parameters connecting the steps of the algorithm such that the errors are controlled. Finally, successful results from computational experiments conducted on problems with known canonical structure and varying ill-conditioning are presented. This revised version was published online in June 2006 with corrections to the Cover Date.     

Pseudospectra for matrix pencils and stability of equilibria

The concept of ε-pseudospectra for matrices, introduced by Trefethen and his coworkers, has been studied extensively since 1990. In this paper, ε-pseudospectra for matrix pencils, which are relevant in connection with generalized eigenvalue problems, are considered. Some properties as well as the practical computation of ε-pseudospectra for matrix pencils will be discussed. As an application, we demonstrate how this concept can be used for investigating the asymptotic stability of stationary solutions to time-dependent ordinary or partial differential equations; two cases, based on Burgers' equation, will be shown. This research has been supported by the Netherlands Organization for Scientific Research (N.W.O.)