Rational approximate solutions and error bounds for the nonsymmetric Riccati matrix differential equation (Q1194392)
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English | Rational approximate solutions and error bounds for the nonsymmetric Riccati matrix differential equation |
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Rational approximate solutions and error bounds for the nonsymmetric Riccati matrix differential equation (English)
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27 September 1992
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Consider the \(n \times n\) matrix Riccati differential equation \(W'(t)=C - DW(t)-W(t)A - W(t)BW(t)\), \(W(0) = W_ 0\), with constant matrix coefficients. First the interval is estimated where the exact solution is defined. Then the error of the approximate solution \(W_ q(t)\) is estimated, where \(W_ q(t)\) is obtained replacing the matrix exponential \(e^{St}\) of \(S=\bigl[{A\atop C}{B\atop -D}\bigr]\) by \(I_{2n} + St + \dots + (St)^ q/q!\).
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error bounds
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matrix Riccati differential equations
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rational approximate solutions
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first order system
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matrix exponential
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