Least-squares solution of linear differential equations

Linear ordinary differential equations and systems (34A30) Linear boundary value problems for ordinary differential equations (34B05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical solution of boundary value problems involving ordinary differential equations (65L10)

Abstract: This study shows how to obtain least-squares solutions to initial and boundary value problems to nonhomogeneous linear differential equations with nonconstant coefficients of any order. However, without loss of generality, the approach has been applied to second order differential equations. The proposed method has two steps. The first step consists of writing a constrained expression, introduced in Ref. cite{Mortari}, that has embedded the differential equation constraints. These expressions are given in term of a new unknown function,

g (t)

, and they satisfy the constraints, no matter what

g (t)

is. The second step consists of expressing

g (t)

as a linear combination of

m

independent known basis functions,

g (t) = m a t h b f {x i}^{T} m a t h b f h (t)

. Specifically, Chebyshev orthogonal polynomials of the first kind are adopted for the basis functions. This choice requires rewriting the differential equation and the constraints in term of a new independent variable,

x i n [- 1, + 1]

. The procedure leads to a set of linear equations in terms of the unknown coefficients vector,

m a t h b f x i,

that is then computed by least-squares. Numerical examples are provided to quantify the solutions accuracy for initial and boundary values problems as well as for a control-type problem, where the state is defined in one point and the costate in another point.

Review text

Summary: This study shows how to obtain least-squares solutions to initial value problems (IVPs), boundary value problems (BVPs), and multi-value problems (MVPs) for nonhomogeneous linear differential equations (DEs) with nonconstant coefficients of any order. However, without loss of generality, the approach has been applied to second-order DEs. The proposed method has two steps. The first step consists of writing a constrained expression, that has the DE constraints embedded. These kind of expressions are given in terms of a new unknown function, \(g(t)\), and they satisfy the constraints, no matter what \(g(t)\) is. The second step consists of expressing \(g(t)\) as a linear combination of \(m\) independent known basis functions. Specifically, orthogonal polynomials are adopted for the basis functions. This choice requires rewriting the DE and the constraints in terms of a new independent variable, \(x \in [-1,+1]\). The procedure leads to a set of linear equations in terms of the unknown coefficients of the basis functions that are then computed by least-squares. Numerical examples are provided to quantify the solutions' accuracy for IVPs, BVPs and MVPs. In all the examples provided, the least-squares solution is obtained with machine error accuracy.

Recommendations

Cites work

Cited in

(27)

Describes a project that uses

Uses Software

Taylor

This page was built for publication: Least-squares solution of linear differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1649029)