Riccati Equations
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| Author | : Hisham Abou-Kandil |
| Publisher | : Birkhäuser |
| Total Pages | : 584 |
| Release | : 2012-12-06 |
| Genre | : Science |
| ISBN | : 3034880812 |
The authors present the theory of symmetric (Hermitian) matrix Riccati equations and contribute to the development of the theory of non-symmetric Riccati equations as well as to certain classes of coupled and generalized Riccati equations occurring in differential games and stochastic control. The volume offers a complete treatment of generalized and coupled Riccati equations. It deals with differential, discrete-time, algebraic or periodic symmetric and non-symmetric equations, with special emphasis on those equations appearing in control and systems theory. Extensions to Riccati theory allow to tackle robust control problems in a unified approach. The book makes available classical and recent results to engineers and mathematicians alike. It is accessible to graduate students in mathematics, applied mathematics, control engineering, physics or economics. Researchers working in any of the fields where Riccati equations are used can find the main results with the proper mathematical background.
| Author | : Sergio Bittanti |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 346 |
| Release | : 2012-12-06 |
| Genre | : Technology & Engineering |
| ISBN | : 3642582230 |
Conceived by Count Jacopo Francesco Riccati more than a quarter of a millennium ago, the Riccati equation has been widely studied in the subsequent centuries. Since its introduction in control theory in the sixties, the matrix Riccati equation has known an impressive range of applications, such as optimal control, H? optimization and robust stabilization, stochastic realization, synthesis of linear passive networks, to name but a few. This book consists of 11 chapters surveying the main concepts and results related to the matrix Riccati equation, both in continuous and discrete time. Theory, applications and numerical algorithms are extensively presented in an expository way. As a foreword, the history and prehistory of the Riccati equation is concisely presented.
| Author | : Reid |
| Publisher | : Academic Press |
| Total Pages | : 227 |
| Release | : 1972-08-22 |
| Genre | : Computers |
| ISBN | : 0080955959 |
Riccati Differential Equations
| Author | : Dario A. Bini |
| Publisher | : SIAM |
| Total Pages | : 261 |
| Release | : 2012-03-31 |
| Genre | : Mathematics |
| ISBN | : 1611972086 |
This treatment of the basic theory of algebraic Riccati equations describes the classical as well as the more advanced algorithms for their solution in a manner that is accessible to both practitioners and scholars. It is the first book in which nonsymmetric algebraic Riccati equations are treated in a clear and systematic way. Some proofs of theoretical results have been simplified and a unified notation has been adopted. Readers will find a unified discussion of doubling algorithms, which are effective in solving algebraic Riccati equations as well as a detailed description of all classical and advanced algorithms for solving algebraic Riccati equations and their MATLAB codes. This will help the reader gain an understanding of the computational issues and provide ready-to-use implementation of the different solution techniques.
| Author | : Peter Lancaster |
| Publisher | : Clarendon Press |
| Total Pages | : 502 |
| Release | : 1995-09-07 |
| Genre | : Mathematics |
| ISBN | : 0191591254 |
This book provides a careful treatment of the theory of algebraic Riccati equations. It consists of four parts: the first part is a comprehensive account of necessary background material in matrix theory including careful accounts of recent developments involving indefinite scalar products and rational matrix functions. The second and third parts form the core of the book and concern the solutions of algebraic Riccati equations arising from continuous and discrete systems. The geometric theory and iterative analysis are both developed in detail. The last part of the book is an exciting collection of eight problem areas in which algebraic Riccati equations play a crucial role. These applications range from introductions to the classical linear quadratic regulator problems and the discrete Kalman filter to modern developments in HD*W*w control and total least squares methods.
| Author | : Daniel Zwillinger |
| Publisher | : Gulf Professional Publishing |
| Total Pages | : 842 |
| Release | : 1998 |
| Genre | : Mathematics |
| ISBN | : 9780127843964 |
This book compiles the most widely applicable methods for solving and approximating differential equations. as well as numerous examples showing the methods use. Topics include ordinary differential equations, symplectic integration of differential equations, and the use of wavelets when numerically solving differential equations. For nearly every technique, the book provides: The types of equations to which the method is applicable The idea behind the method The procedure for carrying out the method At least one simple example of the method Any cautions that should be exercised Notes for more advanced users References to the literature for more discussion or more examples, including pointers to electronic resources, such as URLs
| Author | : Dieter Schuch |
| Publisher | : Springer |
| Total Pages | : 261 |
| Release | : 2018-01-20 |
| Genre | : Science |
| ISBN | : 3319655949 |
This book provides a unique survey displaying the power of Riccati equations to describe reversible and irreversible processes in physics and, in particular, quantum physics. Quantum mechanics is supposedly linear, invariant under time-reversal, conserving energy and, in contrast to classical theories, essentially based on the use of complex quantities. However, on a macroscopic level, processes apparently obey nonlinear irreversible evolution equations and dissipate energy. The Riccati equation, a nonlinear equation that can be linearized, has the potential to link these two worlds when applied to complex quantities. The nonlinearity can provide information about the phase-amplitude correlations of the complex quantities that cannot be obtained from the linearized form. As revealed in this wide ranging treatment, Riccati equations can also be found in many diverse fields of physics from Bose-Einstein-condensates to cosmology. The book will appeal to graduate students and theoretical physicists interested in a consistent mathematical description of physical laws.
| Author | : Research and Education Association |
| Publisher | : Research & Education Assoc. |
| Total Pages | : 1564 |
| Release | : 1978 |
| Genre | : Mathematics |
| ISBN | : 9780878915132 |
This book is intended to help students in differential equations to find their way through the complex material which involves a wide variety of concepts. Topic by topic, and problem by problem, the book provides detailed illustrations of solution methods which are usually not apparent to students.
| Author | : Andrew Russell Forsyth |
| Publisher | : Courier Corporation |
| Total Pages | : 612 |
| Release | : 1996-01-01 |
| Genre | : Mathematics |
| ISBN | : 9780486693149 |
Sixth edition (1928) of the 19th-century classic covers differential equations of the 1st order, general linear equations with constant coefficients, integration in series, much more. Over 800 examples.
| Author | : Sanjay K. Nawalkha |
| Publisher | : John Wiley & Sons |
| Total Pages | : 722 |
| Release | : 2007-05-23 |
| Genre | : Business & Economics |
| ISBN | : 0470140062 |
Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
