Riccati equation arising in the boundary control of stochastic hyperbolic systems

A Riccati equation of stochastic control theory is studied directly. The equation arises in the synthesis of a linear quadratic regulator problem for systems governed by stochastic partial differential equations of hyperbolic type, with contorl acting on the boundary through Dirichlet of Neumann conditions     

Direct solution of a riccati equation arising in stochastic control theory

We study a regulator problem for a system governed by a linear stochastic differential equation with unbounded coefficients in Hilbert spaces.     

On the direct solution of Riccati equations arising in boundary control theory

Two classes of Riccati equations arising in the boundary control of parabolic systems are studied by direct methods. The new feature with respect to previous works on this subject is the low regularity of the final data. The classes considered here generalize those of [7]and [5]on one side, and of [14]on the other one. Completely new methods are used to obtain the solution of the Riccati equations, in both cases. The central theme is the dependence of the solutions on a «symmetric» norm of the final data, yielding these new results as well as a new proof of existence for the related algebraic Riccati equation under more general assumptions. The synthesis of the associated linear-quadratic-regulator problems is easily solved using these results.     

Algebraic Riccati equations with non-smoothing observation arising in hyperbolic and Euler-Bernoulli boundary control problems

Summary This paper considers the optimal quadratic cost problem (regulator problem) for a class of abstract differential equations with unbounded operators which, under the same unified framework, model in particular «concrete» boundary control problems for partial differential equations defined on a bounded open domain of any dimension, including: second order hyperbolic scalar equations with control in the Dirichlet or in the Neumann boundary conditions; first order hyperbolic systems with boundary control; and Euler-Bernoulli (plate) equations with (for instance) control(s) in the Dirichlet and/or Neumann boundary conditions. The observation operator in the quadratic cost functional is assumed to be non-smoothing (in particular, it may be the identity operator), a case which introduces technical difficulties due to the low regularity of the solutions. The paper studies existence and uniqueness of the resulting algebraic (operator) Riccati equation, as well as the relationship between exact controllability and the property that the Riccati operator be an isomorphism, a distinctive feature of the dynamics in question (emphatically not true for, say, parabolic boundary control problems). This isomorphism allows one to introduce a «dual» Riccati equation, corresponding to a «dual» optimal control problem. Properties between the original and the «dual» problem are also investigated.Research partially supported by the National Science Foundation under Grant NSF-DMS-8301668 and by the Air Force Office of Scientific Research under Grant AFOSR-84-0365.     

On the spectral problem arising in the solution of a mixed problem for the heat equation with a mixed derivative in the boundary condition

We study issues related to the uniform convergence of the Fourier series expansions of Hölder class functions in the system of eigenfunctions corresponding to a spectral problem obtained from a mixed problem for the heat equation. We prove a theorem on the equiconvergence of these expansions with expansions in a well-known orthonormal basis.     

On a nonlinear elliptic equation arising in a free boundary problem

 Let p ^* =n/(n−2) and n≥3. In this paper, we first classify all non-constant solutions of

Approximate solution to a time optimal boundary control problem for the wave equation

The paper provides some examples of mutually dual unconstrained optimization problems originating from regularization problems for systems of linear equations and/or inequalities. The solution of each of these mutually dual problems can be found from the solution of the other problem by means of simple formulas. Since mutually dual problems have different dimensions, it is natural to solve the unconstrained optimization problem of the smaller dimension.     

B-spline solution of a singularly perturbed boundary value problem arising in biology

We use B-spline functions to develop a numerical method for solving a singularly perturbed boundary value problem associated with biology science. We use B-spline collocation method, which leads to a tridiagonal linear system. The accuracy of the proposed method is demonstrated by test problems. The numerical result is found in good agreement with exact solution.     

Numerical solution of a singular integral equation arising in a cruciform crack problem

A singular integral equation arising in a cruciform crack problem is investigated in the present paper. Based on the convex technique, the piecewise Taylor-series expansion method is extended by introducing a weight parameter. An approximate solution of the singular integral equation is constructed and its convergence and error estimate are made. The variations of the approximate solutions associating with stress intensity factors are analyzed by considering internal pressures of power and sine functions, respectively. By comparing with the known methods, the observations reveal that a good approximation can be achieved using less derivative times, less discretization points, and a suitable weight parameter. The obtained results show that the crack growth is dependent on applied mechanical loadings.     

Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: Analysis and numerical solution

A singular boundary value problem for a second-order linear integrodifferential equation with Volterra and non-Volterra integral operators is formulated and analyzed. The equation is defined on ?₊, has a weak singularity at zero and a strong singularity at infinity, and depends on several positive parameters. Under natural constraints on the coefficients of the equation, existence and uniqueness theorems for this problem with given limit boundary conditions at singular points are proved, asymptotic representations of the solution are given, and an algorithm for its numerical determination is described. Numerical computations are performed and their interpretation is given. The problem arises in the study of the survival probability of an insurance company over infinite time (as a function of its initial surplus) in a dynamic insurance model that is a modification of the classical Cramer-Lundberg model with a stochastic process rate of premium under a certain investment strategy in the financial market. A comparative analysis of the results with those produced by the model with deterministic premiums is given.     

Optimal control of backward stochastic heat equation with Neumann boundary control and noise

This paper considers a stochastic control problem in which the dynamic system is a controlled backward stochastic heat equation with Neumann boundary control and boundary noise and the state must coincide with a given random vector at terminal time. Through defining a proper form of the mild solution for the state equation, the existence and uniqueness of the mild solution is given. As a main result, a global maximum principle for our control problem is presented. The main result is also applied to a backward linear-quadratic control problem in which an optimal control is obtained explicitly as a feedback of the solution to a forward–backward stochastic partial differential equation.     

Numerical solution of differential Riccati equations arising in optimal control for parabolic PDEs

The numerical treatment of linear-quadratic regulator problems on finite time horizons for parabolic partial differential equations requires the solution of large-scale differential Riccati equations (DREs). Typically the coefficient matrices of the resulting DRE have a given structure (e.g. sparse, symmetric or low rank). Here we discuss numerical methods for solving DREs capable of exploiting this structure. These methods are based on a matrix-valued implementation of the BDF methods. The crucial question of suitable stepsize and order selection strategies is also addressed. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Approximate solution to a boundary value problem for the Lyapunov differential equation with a parameter

A special boundary value problem is studied for the Lyapunov differential equation which is used for investigation of the asymptotic properties of solutions to systems of periodic differential equations with a parameter. An algorithm is proposed for constructing an approximate solution to this boundary value problem, and conditions on the parameter are found under which the zero solution to the system is asymptotically stable.     

Generalized differential equation arising in the solution of the inverse scattering problem in a layered medium

We consider a nonclassical ordinary differential equation containing not only an unknown function but also an unknown coefficient depending on the unknown function. We show that if the desired solution is assumed to have bounded variation and be a.e. constant on the interval where the equation is considered, then the problem of finding the solution and the unknown coefficient does not have a unique solution in terms of the classical derivative. We prove that if the derivative is understood as a distribution, than this problem has a unique solution. These results are used to show that the acoustic impedance and the damping factor in the inverse scattering problem in a layered dissipative medium can be determined simultaneously.     

On the structure of similarity solutions of a differential equation arising from boundary layer problem

We consider an ordinary differential equation with f(0)=a, f^′(0)=1, f^′(∞):=limt→∞f^′(t)=0, where β is a real constant. The given problem may arise from the study of steady free convection flow over a vertical semi-infinite flat plate in a porous medium, or the study of a boundary layer flow over a vertical stretching wall. In this paper, the structure of solutions for the cases of β?−2 is studied. Combining the results of [B. Brighi, T. Sari, Blowing-up coordinates for a similarity boundary layer equation, Discrete Contin. Dyn. Syst. 5 (2005) 929-948; J.-S. Guo, J.-C. Tsai, The structure of solution for a third order differential equation in boundary layer theory, Japan J. Indust. Appl. Math. 22 (2005) 311-351; J.-C. Tsai, Similarity solutions for boundary layer flows with prescribed surface temperature, Appl. Math. Lett. 21 (1) (2008) 67-73], we conclude that the given problem may possess at most two types solutions for β∈R. Moreover, multiple solutions are also verified for various pairs of (a,β).