A Lanczos-like method for non-autonomous linear ordinary differential equations
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Publication:6324877
DOI10.1007/S40574-022-00328-6arXiv1909.03437WikidataQ115372752 ScholiaQ115372752MaRDI QIDQ6324877FDOQ6324877
Authors: P.-L. Giscard, Stefano Pozza 
Publication date: 8 September 2019
Abstract: The time-ordered exponential is defined as the function that solves a system of coupled first-order linear differential equations with generally non-constant coefficients. In spite of being at the heart of much system dynamics, control theory, and model reduction problems, the time-ordered exponential function remains elusively difficult to evaluate. The *-Lanczos algorithm is a (symbolic) algorithm capable of evaluating it by producing a tridiagonalization of the original differential system. In this paper, we explain how the *-Lanczos algorithm is built from a generalization of Krylov subspaces, and we prove crucial properties, such as the matching moment property. A strategy for its numerical implementation is also outlined and will be subject of future investigation.
Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical computation of matrix exponential and similar matrix functions (65F60)
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