A computational method for large‐scale differential symmetric Stein equation

We propose a numerical method for solving large‐scale differential symmetric Stein equations having low‐rank right constant term. Our approach is based on projection the given problem onto a Krylov subspace then solving the low dimensional matrix problem by using an integration method, and the original problem solution is built by using obtained low‐rank approximate solution. Using the extended block Arnoldi process and backward differentiation formula (BDF), we give statements of the approximate solution and corresponding residual. Some numerical results are given to show the efficiency of the proposed method.     

Convergence of the solution of a nonsymmetric matrix Riccati differential equation to its stable equilibrium solution

We consider the initial value problem for a nonsymmetric matrix Riccati differential equation, where the four coefficient matrices form an M-matrix. We show that for a wide range of initial values the Riccati differential equation has a global solution X(t) on [0,∞) and X(t) converges to the stable equilibrium solution as t goes to infinity.     

Arnoldi-Riccati method for large eigenvalue problems

This paper describes a method for computing the dominant/right-most eigenvalues of large matrices. The method consists of refining the approximate eigenelements of a large matrix obtained by classical methods such as Arnoldi. The refinement process leads to a Riccati equation to be solved approximately. Numerical evidence of the improvements achieved by using the proposed approach is reported.Part of this work was done while visiting CERFACS (France) in Sept–Oct 1995 under contract HCM # ERBCHRXCT930420.     

Meromorphic solutions of a Riccati differential equation with a doubly periodic coefficient

We treat a Riccati differential equation w^′+w²+p(z)=0, where p(z) is a nonconstant doubly periodic meromorphic function. Under certain assumptions, every solution is meromorphic in the whole complex plane. We show that the growth order of it is equal to 2, and examine the frequency of α-points and poles. Furthermore, the number of doubly periodic solutions is discussed.     

Formal continued fractions solutions of the generalizedsecond order Riccati equations,applications

Introducing the notion of the formal continued fractions solutions of the generalized second order Riccati equations, one can compute either a rational approximation of the solution or a rational solution and perform a location of the singularities in the complex plane. This revised version was published online in August 2006 with corrections to the Cover Date.     

Computational Krylov‐based methods for large‐scale differential Sylvester matrix problems

In the present paper, we propose Krylov‐based methods for solving large‐scale differential Sylvester matrix equations having a low‐rank constant term. We present two new approaches for solving such differential matrix equations. The first approach is based on the integral expression of the exact solution and a Krylov method for the computation of the exponential of a matrix times a block of vectors. In the second approach, we first project the initial problem onto a block (or extended block) Krylov subspace and get a low‐dimensional differential Sylvester matrix equation. The latter problem is then solved by some integration numerical methods such as the backward differentiation formula or Rosenbrock method, and the obtained solution is used to build the low‐rank approximate solution of the original problem. We give some new theoretical results such as a simple expression of the residual norm and upper bounds for the norm of the error. Some numerical experiments are given in order to compare the two approaches.     

Fast verified computation for solutions of algebraic Riccati equations arising in transport theory

A fast algorithm for enclosing the solution of the nonsymmetric algebraic Riccati equation arising in transport theory is proposed. The equation has a special structure, which is taken into account to reduce the complexity. By exploiting the structure, the enclosing process involves only quadratic complexity under a reasonable assumption. The algorithm moreover verifies the uniqueness and minimal positiveness of the enclosed solution. Numerical results show the efficiency of the algorithm.     

A modified Newton method for solving non-symmetric algebraic Riccati equations arising in transport theory

Liang Bao ^{The non-symmetric algebraic Riccati equation arising in transporttheory can be rewritten as a vector equation and the minimalpositive solution of the non-symmetric algebraic Riccati equationcan be obtained by solving the vector equation. In this paper,we apply the modified Newton method to solve the vector equation.Some convergence results are presented. Numerical tests showthat the modified Newton method is feasible and effective, andoutperforms the Newton method.}     

Convergence analysis of the Newton–Shamanskii method for a nonsymmetric algebraic Riccati equation

In this paper, we consider the nonsymmetric algebraic Riccati equation arising in transport theory. An important feature of this equation is that its minimal positive solution can be obtained via computing the minimal positive solution of a vector equation. We apply the Newton–Shamanskii method to solve the vector equation. Convergence analysis shows that the sequence of vectors generated by the Newton–Shamanskii method is monotonically increasing and converges to the minimal positive solution of the vector equation. Numerical experiments show that the Newton–Shamanskii method is feasible and effective, and outperforms the Newton method. Copyright © 2008 John Wiley & Sons, Ltd.     

Stability analysis of Riccati differential equations related to affine diffusion processes

We study a class of generalized Riccati differential equations associated with affine diffusion processes. These diffusions arise in financial econometrics and branching processes. The generalized Riccati equations determine the Fourier transform of the diffusion's transition law. We investigate stable regions of the dynamical systems and analyze their blow-up times. We discuss the implication of applying these results to affine diffusions and, in particular, to option pricing theory.     

Alternately linearized implicit iteration methods for the minimal nonnegative solutions of the nonsymmetric algebraic Riccati equations

For the non‐symmetric algebraic Riccati equations, we establish a class of alternately linearized implicit (ALI) iteration methods for computing its minimal non‐negative solutions by technical combination of alternate splitting and successive approximating of the algebraic Riccati operators. These methods include one iteration parameter, and suitable choices of this parameter may result in fast convergent iteration methods. Under suitable conditions, we prove the monotone convergence and estimate the asymptotic convergence factor of the ALI iteration matrix sequences. Numerical experiments show that the ALI iteration methods are feasible and effective, and can outperform the Newton iteration method and the fixed‐point iteration methods. Besides, we further generalize the known fixed‐point iterations, obtaining an extensive class of relaxed splitting iteration methods for solving the non‐symmetric algebraic Riccati equations. Copyright © 2006 John Wiley & Sons, Ltd.     

Some predictor–corrector‐type iterative schemes for solving nonsymmetric algebraic Riccati equations arising in transport theory

It is as well known that nonsymmetric algebraic Riccati equations arising in transport theory can be translated to vector equations. In this paper, we propose six predictor–corrector‐type iterative schemes to solve the vector equations. And we give the convergence of these schemes. Unlike the previous work, we prove that all of them converge to the minimal positive solution of the vector equations by the initial vector (e,e), where e = (1,1, ? ,1)^T. Moreover, we prove that all the sequences generated by the iterative schemes are strictly and monotonically increasing and bounded above. In addition, some numerical results are also reported in the paper, which confirm the good theoretical properties of our approach. Copyright © 2014 John Wiley & Sons, Ltd.     

On bounded solutions of transport equation solved with a spectral method

In this article, a spectral method accompanied by finite difference method has been proposed for solving a boundary value problem that accompanies a stationary transport equation. We also prove that the solution is bounded by a value that depends of the source function. The accuracy and computational efficiency of the proposed method are verified with the help of a numerical example. © 2011 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2012     

On the squared Smith method for large‐scale Stein equations

A squared Smith type algorithm for solving large‐scale discrete‐time Stein equations is developed. The algorithm uses restarted Krylov spaces to compute approximations of the squared Smith iterations in low‐rank factored form. Fast convergence results when very few iterations of the alternating direction implicit method are applied to the Stein equation beforehand. The convergence of the algorithm is discussed and its performance is demonstrated by several test examples. Copyright © 2013 John Wiley & Sons, Ltd.     

Singular Sturmian theory for linear Hamiltonian differential systems

We establish a Sturmian type theorem comparing the number of focal points of any conjoined basis of a nonoscillatory linear Hamiltonian differential system with the number of focal points of the principal solution. We also present various extensions of this statement.     

Nontrivial periodic solutions for delay differential systems via Morse theory

The existence of the nontrivial periodic solutions to the system of delay differential equations

(1.1)     

Asymptotic behavior of solutions of second-order nonlinear delay differential equations with impulses

This paper is concerned with second-order nonlinear delay differential equations with impulses of the form

     

A subspace shift technique for nonsymmetric algebraic Riccati equations associated with an M‐matrix

The worst situation in computing the minimal nonnegative solution of a nonsymmetric algebraic Riccati equation associated with an M‐matrix occurs when the corresponding linearizing matrix has two very small eigenvalues, one with positive and one with negative real part. When both eigenvalues are exactly zero, the problem is called critical or null recurrent. Although in this case the problem is ill‐conditioned and the convergence of the algorithms based on matrix iterations is slow, there exist some techniques to remove the singularity and transform the problem to a well‐behaved one. Ill‐conditioning and slow convergence appear also in close‐to‐critical problems, but when none of the eigenvalues is exactly zero, the techniques used for the critical case cannot be applied. In this paper, we introduce a new method to accelerate the convergence properties of the iterations also in close‐to‐critical cases, by working on the invariant subspace associated with the problematic eigenvalues as a whole. We present numerical experiments that confirm the efficiency of the new method.Copyright © 2012 John Wiley & Sons, Ltd.     

Approximate solutions to Dirichlet control problems for the wave equation in Sobolev classes and dual observation problems

Dual control and observation problems for the wave equation with variable coefficients subject to Dirichlet boundary conditions are solved by a variational method. This method was earlier proposed by the author for an approximate analysis of linear equations with nonuniform perturbations of the operator. Explicit bounds on the constant that are required to implement the method are obtained using the correct solvability property of the dual observation problem. Finite-dimensional approximations of the control and observation problems are obtained by the difference method preserving the duality relation. The convergence of approximate solutions is established in the norms of the corresponding dual spaces.