Order reduction approaches for the algebraic Riccati equation and the LQR problem

We explore order reduction techniques for solving the algebraic Riccati equation (ARE), and investigating the numerical solution of the linear-quadratic regulator problem (LQR). A classical approach is to build a surrogate low dimensional model of the dynamical system, for instance by means of balanced truncation, and then solve the corresponding ARE. Alternatively, iterative methods can be used to directly solve the ARE and use its approximate solution to estimate quantities associated with the LQR. We propose a class of Petrov-Galerkin strategies that simultaneously reduce the dynamical system while approximately solving the ARE by projection. This methodology significantly generalizes a recently developed Galerkin method by using a pair of projection spaces, as it is often done in model order reduction of dynamical systems. Numerical experiments illustrate the advantages of the new class of methods over classical approaches when dealing with large matrices

Numerical integration of asymptotic solutions of ordinary differential equations

Classical asymptotic analysis of ordinary differential equations derives approximate solutions that are numerically stable. However, the analysis also leads to tedious expansions in powers of the relevant parameter for a particular problem. The expansions are replaced with integrals that can be evaluated by numerical integration. The resulting numerical solutions retain the linear independence that is the main advantage of asymptotic solutions. Examples, including the Falkner-Skan equation from laminar boundary layer theory, illustrate the method of asymptotic analysis with numerical integration

Computer Algebra Solving of First Order ODEs Using Symmetry Methods

A set of Maple V R.3/4 computer algebra routines for the analytical solving of 1st. order ODEs, using Lie group symmetry methods, is presented. The set of commands includes a 1st. order ODE-solver and routines for, among other things: the explicit determination of the coefficients of the infinitesimal symmetry generator; the construction of the most general invariant 1st. order ODE under given symmetries; the determination of the canonical coordinates of the underlying invariant group; and the testing of the returned results.Comment: 14 pages, LaTeX, submitted to Computer Physics Communications. Soft-package (On-Line Help) and sample MapleV session available at: http://dft.if.uerj.br/symbcomp.htm or ftp://dft.if.uerj.br/pdetool

Order reduction methods for solving large-scale differential matrix Riccati equations

We consider the numerical solution of large-scale symmetric differential matrix Riccati equations. Under certain hypotheses on the data, reduced order methods have recently arisen as a promising class of solution strategies, by forming low-rank approximations to the sought after solution at selected timesteps. We show that great computational and memory savings are obtained by a reduction process onto rational Krylov subspaces, as opposed to current approaches. By specifically addressing the solution of the reduced differential equation and reliable stopping criteria, we are able to obtain accurate final approximations at low memory and computational requirements. This is obtained by employing a two-phase strategy that separately enhances the accuracy of the algebraic approximation and the time integration. The new method allows us to numerically solve much larger problems than in the current literature. Numerical experiments on benchmark problems illustrate the effectiveness of the procedure with respect to existing solvers

Integrals of Motion in the Two Killing Vector Reduction of General Relativity

We apply the inverse scattering method to the midi-superspace models that are characterized by a two-parameter Abelian group of motions with two spacelike Killing vectors. We present a formulation that simplifies the construction of the soliton solutions of Belinski\v i and Zakharov. Furthermore, it enables us to obtain the zero curvature formulation for these models. Using this, and imposing periodic boundary conditions corresponding to the Gowdy models when the spatial topology is a three torus $T ^3$, we show that the equation of motion for the monodromy matrix is an evolution equation of the Heisenberg type. Consequently, the eigenvalues of the monodromy matrix are the generating functionals for the integrals of motion. Furthermore, we utilise a suitable formulation of the transition matrix to obtain explicit expressions for the integrals of motion. This involves recursion relations which arise in solving an equation of Riccati type. In the case when the two Killing vectors are hypersurface orthogonal the integrals of motion have a particularly simple form.Comment: 20 pages, plain TeX, SU-GP-93/7-8, UM-P-93/7

The Painlev\'e methods

This short review is an introduction to a great variety of methods, the collection of which is called the Painlev\'e analysis, intended at producing all kinds of exact (as opposed to perturbative) results on nonlinear equations, whether ordinary, partial, or discrete.Comment: LaTex 2e, subject index, Nonlinear integrable systems: classical and quantum, ed. A. Kundu, Special issue, Proceedings of Indian Science Academy,