Singular value decay of operator-valued differential Lyapunov and Riccati equations

We consider operator-valued differential Lyapunov and Riccati equations, where the operators $B$ and $C$ may be relatively unbounded with respect to $A$ (in the standard notation). In this setting, we prove that the singular values of the solutions decay fast under certain conditions. In fact, the decay is exponential in the negative square root if $A$ generates an analytic semigroup and the range of $C$ has finite dimension. This extends previous similar results for algebraic equations to the differential case. When the initial condition is zero, we also show that the singular values converge to zero as time goes to zero, with a certain rate that depends on the degree of unboundedness of $C$. A fast decay of the singular values corresponds to a low numerical rank, which is a critical feature in large-scale applications. The results reported here provide a theoretical foundation for the observation that, in practice, a low-rank factorization usually exists.Comment: Corrected some misconceptions, which lead to more general results (e.g. exponential stability is no longer required). Also fixed some off-by-one errors, improved the presentation, and added/extended several remarks on possible generalizations. Now 22 pages, 8 figure

Remarks on Entropy Formulae for Linear Heat Equation

In this note, we prove some new entropy formula for linear heat equation on static Riemannian manifold with nonnegative Ricci curvature. The results are analogies of Cao and Hamilton's entropies for Ricci flow coupled with heat-type equations.Comment: Refined and revised versio

Examples illustrating some aspects of the weak Deligne-Simpson pro blem

We consider the variety of $(p+1)$-tuples of matrices $A_j$ (resp. $M_j$) from given conjugacy classes $c_j\subset gl(n,{\bf C})$ (resp. $C_j\subset GL(n,{\bf C})$) such that $A_1+... +A_{p+1}=0$ (resp. $M_1... M_{p+1}=I$). This variety is connected with the weak {\em Deligne-Simpson problem: give necessary and sufficient conditions on the choice of the conjugacy classes $c_j\subset gl(n,{\bf C})$ (resp. $C_j\subset GL(n,{\bf C})$) so that there exist $(p+1)$-tuples with trivial centralizers of matrices $A_j\in c_j$ (resp. $M_j\in C_j$) whose sum equals 0 (resp. whose product equals $I$).} The matrices $A_j$ (resp. $M_j$) are interpreted as matrices-residua of Fuchsian linear systems (resp. as monodromy operators of regular linear systems) on Riemann's sphere. We consider examples of such varieties of dimension higher than the expected one due to the presence of $(p+1)$-tuples with non-trivial centralizers; in one of the examples the difference between the two dimensions is O(n).Comment: Research partially supported by INTAS grant 97-164