Related papers: The Discrete-Time Generalized Algebraic Riccati Eq…
In this paper we use the Riccati equation method with other ones to establish global solvability, stability and oscillation criteria for a class of two dimensional nonlinear systems of ordinary differential equations, which is a…
We study several variants of decomposing a symmetric matrix into a sum of a low-rank positive semidefinite matrix and a diagonal matrix. Such decompositions have applications in factor analysis and they have been studied for many decades.…
New problem is considered that is to find nonlinear differential equations with special solutions. Method is presented to construct nonlinear ordinary differential equations with exact solution. Crucial step to the method is the assumption…
Three algorithms of Gram-Schmidt type are given that produce an orthogonal decomposition of finite $d$-dimensional symmetric, alternating, or Hermitian forms over division rings. The first uses $d^3/3+O(d^2)$ ring operations with very…
The decomposition of the linear-order metric perturbation is discussed in the context of the higher-order gauge-invariant perturbation theory. We show that the linear order metric perturbation is decomposed into gauge-invariant and…
The Riccati equation method is used to establish a new comparison theorem for systems of two linear first order ordinary differential equation. This result is based on a, so called, concept of "null-classes", and is a generalization of…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
A novel recipe for exactly solving in finite terms a class of special differential Riccati equations is reported. Our procedure is entirely based on a successful resolution strategy quite recently applied to quantum dynamical time-dependent…
In this article we study the optimal control problem with quadratic functionals for a linear Volterra integro-differential equation in Hilbert spaces. With the finite history seen as an (additional) initial datum for the evolution,…
We are concerned with efficient numerical methods for stochastic continuous-time algebraic Riccati equations (SCARE). Such equations frequently arise from the state-dependent Riccati equation approach which is perhaps the only systematic…
We derive optimal order a posteriori error estimates in the $L^\infty(L^2)$ and $L^1(L^2)$-norms for the fully discrete approximations of time fractional parabolic differential equations. For the discretization in time, we use the $L1$…
We consider the large scale nonsymmetric algebraic Riccati equation arising in transport theory, where the $n\times n$ coefficient matrices $B, C$ are symmetric and low-ranked and $A, E$ are rank one updates of nonsingular diagonal…
This paper is about how to partition decision variables while decomposing a large-scale optimization problem for the best performance of distributed solution methods. Solving a large-scale optimization problem sequen- tially can be…
In the present paper, we consider large-scale continuous-time differential matrix Riccati equations having low rank right-hand sides. These equations are generally solved by Backward Differentiation Formula (BDF) or Rosenbrock methods…
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
This paper introduces a new algorithm for solving large-scale continuous-time algebraic Riccati equations (CARE). The advantage of the new algorithm is in its immediate and efficient low-rank formulation, which is a generalization of the…
We propose a parallel algorithm for the numerical solution of a class of second order semi-linear equations coming from stochastic optimal control problems, by means of a dynamic domain decomposition technique. The new method is an…
In this work, based on the $3+1$ decomposition in [24, 33], we present a fully exterior calculus breakdown of spacetime and Einstein's equations. Links to the orthonormal frame approach [38] are drawn to help understand the variables in…
A linear quadratic optimal stochastic control problem with random coefficients and indefinite state/control weight costs is usually linked to an indefinite stochastic Riccati equation (SRE) which is a matrix-valued quadratic backward…
We derive an explicit solution to the operator Riccati equation solving the Linear-Quadratic (LQ) optimal control problem for a class of boundary controlled hyperbolic partial differential equations (PDEs). Different descriptions of the…