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On dichotomy and conditioning for two-point boundary value problems associated with first order matrix Lyapunov systems

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ON DICHOTOMY AND CONDITIONING FOR TWO-POINT BOUNDARY VALUE PROBLEMS ASSOCIATED WITH FIRST

ORDER MATRIX LYAPUNOV SYSTEMS

M. S. N. Murty and G. Suresh Kumar

Reprinted from the

Journal of the Korean Mathematical Society Vol. 45, No. 5, September 2008

⃝2008 The Korean Mathematical Societyc

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ON DICHOTOMY AND CONDITIONING FOR TWO-POINT BOUNDARY VALUE PROBLEMS ASSOCIATED WITH FIRST

ORDER MATRIX LYAPUNOV SYSTEMS

M. S. N. Murty and G. Suresh Kumar

Abstract. This paper deals with the study of dichotomy and condition- ing for two-point boundary value problems associated with first order matrix Lyapunov systems, with the help of Kronecker product of matri- ces. Further, we obtain close relationship between the stability bounds of the problem on one hand, and the growth behaviour of the fundamental matrix solution on the other hand.

1. Introduction

Matrix Lyapunov type systems arise in a number of areas of applied math- ematics such as dynamical programming, optimal filters, quantum mechanics, and systems engineering. The study of dichotomy and conditioning of boundary value problems is an interesting area of current research due to their invaluable use in the analysis of algorithms, in devising numerical schemes for solutions and also play an important role in estimating the global error due to small perturbations.

In this direction, Hoog and Mattheji [2], and Murty and Lakshmi [6] have obtained results of this type for two-point boundary value problems associ- ated with system of first order matrix differential equations satisfying two- point boundary conditions. Further, Murty and Rao [7] studied conditioning for three-point boundary value problems associated with system of first order rectangular matrix differential equations. Due to the importance of matrix Lyapunov systems in the theory of differential equations, Murty and Rao [8]

studied existence and uniqueness criteria associated with two-point boundary value problems. Further, Murty, Rao, and Kumar [9] have studied controlla- bility, observability, and realizability criteria for matrix Lyapunov systems.

Now, we consider the general first order matrix Lyapunov system of the form (1.1) LX = X (t) − (A(t)X(t) + X(t)B(t)) = F (t), a ≤ t ≤ b

Received January 17, 2007; Revised June 21, 2007.

2000 Mathematics Subject Classification. 34B27, 34C10, 34D09, 65L07.

Key words and phrases. Lyapunov system, boundary value problems, Kronecker product, dichotomy, condition number.

⃝2008 The Korean Mathematical Societyc

1361

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satisfying two-point boundary conditions

(1.2) M X(a)N + RX(b)S = Q,

where A(t), B(t), F (t) ∈ [L p (a, b)] n ×n for some p satisfying the condition 1

≤ p < ∞, and M, N, R, S, Q are all of constant square matrices of order n.

In this paper we investigate the close relationship between the stability bounds of two-point boundary value problems for matrix Lyapunov systems on the one hand, and the growth behaviour of the fundamental matrix so- lution on the other hand. We show that moderate stability constants imply a dichotomy with moderate k bound. We also show that condition number is the right criterion to indicate possible error amplification of the perturbed boundary conditions.

The paper is well organized as follows. In this section we present some basic definitions and preliminary results relating to existence and uniqueness of solutions of the corresponding Kronecker product two point boundary value problem associated with (1.1) satisfying (1.2). In Section 2 we define and obtain bounds for dichotomy, strong dichotomy and exponential dichotomy. In Section 3 we discuss about conditioning of the boundary value problems and present a stability analysis of this algorithm and also show that the condition number is an important quantity and determine the global error.

To study stability bounds on matrix Lyapunov systems satisfying two-point boundary conditions, we need the following properties of the Kronecker product of matrices.

Definition 1.1 ([3]). Let A ∈ C m ×n ( R m ×n ) and B ∈ C p ×q ( R p ×q ). Then the Kronecker product of A and B written A ⊗ B is defined to be the partitioned matrix

A ⊗ B =

 

a 11 B a 12 B . . . a 1n B a 21 B a 22 B . . . a 2n B

. . . . . .

a m1 B a m2 B . . . a mn B

 

is an mp × nq matrix, and is in C mp ×nq ( R mp ×nq ).

Definition 1.2 ([3]). Let A = [a ij ] ∈ C m ×n ( R m ×n ), we denote

A = VecA = ˆ

 

 

A .1

A .2

. . A .n

 

 

, where A .j =

 

 

a 1j

a 2j

. . a mj

 

 

 (1 ≤ j ≤ n) .

The Kronecker product has the following properties and rules [9].

1. (A ⊗ B) = A ⊗ B . 2. (A ⊗ B) −1 = A −1 ⊗ B −1 .

3. The mixed product rule; (A ⊗ B)(C ⊗ D)=( AC ⊗ BD)

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this rule holds, provided the dimension of the matrices are such that the various expressions exist.

4. ||A ⊗ B|| = ||A||||B||

(

||A|| = max

i,j |a ij | )

. 5. (A + B) ⊗ C = (A ⊗ C) + (B ⊗ C).

6. If A(t) and B(t) are matrices, then (A ⊗B) = A ⊗B+A⊗B ( = d/dt).

7. Vec (AY B) = (B ⊗ A) Vec Y .

8. If A and B are matrices both of order n × n, then (i) Vec (AX) = (I n ⊗ A) Vec X,

(ii) Vec (XA) = (A ⊗ I n ) Vec X.

Now by applying the Vec operator to the matrix Lyapunov system (1.1), satisfying the boundary conditions (1.2), and using the above properties, we have

(1.3) X ˆ (t) = H(t) ˆ X(t) + ˆ F (t) satisfying

(1.4) (N ⊗ M) ˆ X(a) + (S ⊗ R) ˆ X(b) = ˆ Q,

where H(t) = (B ⊗ I n ) + (I n ⊗ A), ˆ X = Vec X, ˆ F = Vec F , and ˆ Q = Vec Q.

The corresponding homogeneous system of (1.3) is (1.5) L ˆ X = ˆ X (t) − H(t) ˆ X(t) = 0.

Lemma 1.1. Let Y (t) and Z(t) be the fundamental matrices for the systems

(1.6) Φ (t) = A(t)Φ(t),

and

(1.7) [Ψ (t)] = B (t)Ψ (t)

respectively. Then the matrix Z(t) ⊗ Y (t) is a fundamental matrix of (1.5), and every solution of (1.5) is of the form ˆ X(t) = (Z(t) ⊗ Y (t))c, where c is a n 2 -column vector.

Proof. Consider

(Z(t) ⊗ Y (t)) = (Z (t) ⊗ Y (t)) + (Z(t) ⊗ Y (t))

= (B (t)Z(t) ⊗ Y (t)) + (Z(t) ⊗ A(t)Y (t))

= (B (t) ⊗ I n )(Z(t) ⊗ Y (t)) + (I n ⊗ A(t))(Z(t) ⊗ Y (t))

= [B (t) ⊗ I n + I n ⊗ A(t)](Z(t) ⊗ Y (t))

= H(t)(Z(t) ⊗ Y (t)).

Hence Z(t) ⊗ Y (t) is a fundamental matrix of (1.5). Clearly ˆ X(t) = (Z(t)

Y (t))c, is a solution of (1.5), and every solution is of this form. ¤

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The two-point boundary value problem (1.3), (1.4) has a unique solution ˆ X if and only if the characteristic matrix D defined by

(1.8) D = (N ⊗ M)(Z(a) ⊗ Y (a)) + (S ⊗ R)(Z(b) ⊗ Y (b)) is nonsingular. In this case the formal solution ˆ X is of the form

(1.9) X(t) = (Z(t) ˆ ⊗ Y (t))D −1 Q + ˆ

b

a

G(t, s) ˆ F (s)ds,

where G is the Green’s matrix for the homogeneous boundary value problem, given by

(1.10)

G(t, s) =

 

 

 

 

(Z(t) ⊗ Y (t))D −1 (N ⊗ M)(Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s)), a ≤ s < t ≤ b,

−(Z(t) ⊗ Y (t))D −1 (S ⊗ R)(Z(b) ⊗ Y (b))(Z −1 (s) ⊗ Y −1 (s)), a ≤ t < s ≤ b.

Thus, a knowledge of any fundamental matrix for L ˆ X = 0 enables us to calcu- late the Green’s matrix, and hence the solution ˆ X represented by (1.9).

We shall now see how the expression (1.9) can be used to examine the conditioning of (1.3), (1.4). We make use of the following notations. Let

∥v∥ p =

b

a

|v(s)| p ds

1 p

, 1 ≤ p < ∞,

and

∥v∥ = sup

t ∈[a,b] |v(t)|

be its limiting value as p → ∞. Then we have from (1.9) (1.11) ∥ ˆ X ∥ = ∥ ˆ X ≤ η| ˆ Q | + γ q ∥ ˆ F p , 1

p + 1 q = 1, where

(1.12) η = ∥(Z(t) ⊗ Y (t))D −1 ∥, and

(1.13) γ q = sup

t ∈[a,b]

b

a

|G(t, s)| q ds

1 q

.

The most appropriate norm in (1.11) actually depends on the problem under

consideration. We shall discuss the case when p = 1, and all the arguments

used here can be extended easily to an arbitrary p, 1 < p < ∞.

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When p = 1, (1.11)-(1.13) reduce to

(1.14) ∥ ˆ X ∥ ≤ η| ˆ Q | + γ∥ ˆ F ∥, (1.15) η = ∥(Z(t) ⊗ Y (t))D −1 ∥, and

(1.16) γ = sup

t,s |G(t, s)|.

If in addition, we assume that the boundary conditions (1.4) are scaled in such a way that

(N N ⊗ MM ) + (S S ⊗ RR ) = I n

2

, then

|(Z(t) ⊗ Y (t))D −1 | 2 = |G(t, a)G (t, a) + G(t, b)G (t, b) |, and hence

η 2 ≤ γ 2 + γ 2 , η

2γ.

Hence the stability constant γ gives a measure for the sensitivity of (1.3) satisfying (1.4) to the changes in the data. Further, we note from (1.15), (1.16) that both the fundamental matrix, and the boundary conditions (1.4) will actually determine the magnitude of the stability constants η and γ. Thus it is possible to construct systems for which no boundary conditions exist such that η and γ are of moderate size; it is also possible to find boundary conditions for (1.3) so that η and γ are large. Hence, if system (1.3) can support a well conditioned problem, then the conditioning is intimately related to the choice of the boundary conditions.

To simplify the algebra, we investigate the fundamental matrix (Z(t) ⊗Y (t)), whose characteristic matrix is the identity. Thus (Z(t) ⊗ Y (t)) is the funda- mental matrix for L ˆ X = 0 for which

(1.17) D = (N ⊗ M)(Z(a) ⊗ Y (a)) + (S ⊗ R)(Z(b) ⊗ Y (b)) = I n

2

. Then the Green’s matrix is given by

(1.18)

G(t, s) =

 

 

 

 

(Z(t) ⊗ Y (t))(N ⊗ M)(Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s)), a ≤ s < t ≤ b,

−(Z(t) ⊗ Y (t))(S ⊗ R)(Z(b) ⊗ Y (b))(Z −1 (s) ⊗ Y −1 (s)), a ≤ t < s ≤ b.

Result 1.1. The fundamental matrix (Z(t) ⊗ Y (t)) of L ˆ X = 0, satisfies the following relations;

(i) Z(t) ⊗ Y (t) = G(t, s)(Z(s) ⊗ Y (s)) − G(t, u)(Z(u) ⊗ Y (u)),

a ≤ s < t ≤ u ≤ b,

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(ii) Z −1 (t) ⊗Y −1 (t) = (Z −1 (u) ⊗Y −1 (u))G(u, t) −(Z −1 (s) ⊗Y −1 (s))G(s, t), a ≤ s < t ≤ u ≤ b.

Proof. From (1.17), we have Z(t) ⊗ Y (t)

= (Z(t) ⊗ Y (t))[(N ⊗ M)(Z(a) ⊗ Y (a)) + (S ⊗ R)(Z(b) ⊗ Y (b))]

= (Z(t) ⊗ Y (t))(N ⊗ M)(Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s))(Z(s) ⊗ Y (s)) + (Z(t) ⊗ Y (t))(S ⊗ R)(Z(b) ⊗ Y (b))(Z −1 (u) ⊗ Y −1 (u))(Z(u) ⊗ Y (u))

= G(t, s)(Z(s) ⊗ Y (s)) − G(t, u)(Z(u) ⊗ Y (u)).

The result now follows from the fact that any fundamental matrix (Z(t) ⊗Y (t)) of L ˆ X = 0 can be represented as (Z(t) ⊗ Y (t)) = (Z 1 (s) ⊗ Y 1 (s))(C 1 ⊗ C 2 ) for some constant matrices C 1 and C 2 .

Similarly we can prove (ii). ¤

2. Dichotomy and strong dichotomy

In this section first, we give basic definitions about dichotomy, strong di- chotomy, and exponential dichotomy. Next, we show that the difference be- tween dichotomy and strong dichotomy. Further, we obtain bounds for di- chotomy, strong dichotomy, and exponential dichotomy.

Definition 2.1. We say that the solution space Ω of L ˆ X = 0 is dichotomic, if there exists a splitting Ω = Ω 1 ⊕ Ω 2 , and a constant k such that

ϕ ∈ Ω 1 |ϕ(t)|

|ϕ(s)| ≤ k, for t ≥ s, ϕ ∈ Ω 2 |ϕ(t)|

|ϕ(s)| ≤ k, for t ≤ s.

Note 2.1. If P 1 , P 2 are projections for the corresponding fundamental matrices Z(t), Y (t) of (1.6) and (1.7) respectively, then (P 1 ⊗P 2 ) is the projection matrix corresponding to (Z(t) ⊗ Y (t)).

Equivalently, if for every fundamental matrix (Z(t) ⊗ Y (t)), there exists a projection P 1 ⊗ P 2 ∈ R n

2

×n

2

such that the solution space has the form Ω = Ω 1 ⊕ Ω 2 , with

(2.1) Ω 1 = {(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )c/ c ∈ R n

2

}, (2.2) Ω 2 = {(Z(t) ⊗ Y (t)) (I n

2

− (P 1 ⊗ P 2 )) c/ c ∈ R n

2

}, then we say that the two-point boundary value problem is dichotomic.

Definition 2.2. We say that the solution space of L ˆ X = 0 is strong dichotomic, if there exist a constant k and a projection P 1 ⊗ P 2 ∈ R n

2

×n

2

such that for a fixed fundamental matrix Z(t) ⊗ Y (t),

|(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )(Z −1 (s) ⊗ Y −1 (s)) | ≤ k, t ≥ s,

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|(Z(t) ⊗ Y (t)) (I n

2

− (P 1 ⊗ P 2 )) (Z −1 (s) ⊗ Y −1 (s)) | ≤ k, t ≤ s.

Definition 2.3. The solution space of L ˆ X = 0 is said to be exponentially dichotomic, if there exist a constant k > 0, positive constants λ, µ, and a projection P 1 ⊗ P 2 ∈ R n

2

×n

2

such that

|(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )(Z −1 (s) ⊗ Y −1 (s)) | ≤ ke λ(s −t) , t ≥ s,

|(Z(t) ⊗ Y (t)) (I n

2

− (P 1 ⊗ P 2 )) (Z −1 (s) ⊗ Y −1 (s)) | ≤ ke µ(t −s) , t ≤ s.

In the analysis of numerical schemes for boundary value problems and in the construction of algorithms for their implementation, the concepts of dichotomy and strong dichotomy are used [5]. So it is useful to investigate how these two concepts differ. First, we note the following.

Lemma 2.1. Let Ω 1 and Ω 2 be defined as in (2.1) and (2.2). Then ϕ ∈ Ω 1 |ϕ(t)|

|ϕ(s)| ≤ |(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )(Z −1 (s) ⊗ Y −1 (s)) |, t ≥ s, ϕ ∈ Ω 2 |ϕ(t)|

|ϕ(s)| ≤ |(Z(t)⊗Y (t)) (I n

2

− (P 1 ⊗ P 2 )) (Z −1 (s) ⊗Y −1 (s)) |, t ≤ s.

Proof. Let ϕ ∈ Ω 1 , then there exists a constant c ∈ R n

2

such that ϕ(t) = (Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )c.

Thus for all t ≥ s, we have

|ϕ(t)|

|ϕ(s)| = |(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )c |

|(Z(s) ⊗ Y (s))(P 1 ⊗ P 2 )c |

= |(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )(Z −1 (s) ⊗ Y −1 (s))(Z(s) ⊗ Y (s))(P 1 ⊗ P 2 )c |

|(Z(s) ⊗ Y (s))(P 1 ⊗ P 2 )c |

≤ |(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )(Z −1 (s) ⊗ Y −1 (s)) |.

The proof for second inequality follows along similar lines. ¤ Hence strong dichotomy implies dichotomy.

Definition 2.4. The angle 0 ≤ θ(t) ≤ π/2 between Ω 1 and Ω 2 is defined by cos θ(t) = max

|u|=|v|=1

u∈Ω1,v∈Ω2

|u v |.

The main difference between these two notions is that strong dichotomy implies a directional separation between the two subspaces Ω 1 and Ω 2 . We state this in the following theorem.

Theorem 2.5. Let |(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )(Z −1 (s) ⊗ Y −1 (s)) | ≤ k for some k. Then

cot θ(t) ≤ k.

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Proof. Let u ∈ Ω 1 and v ∈ Ω 2 with |u| = |v| = 1 be such that cos θ(t) = |u v |.

If u is orthogonal to v, the result is obvious. So assume that this is not the case. Now define u = u, v = −(u v) −1 v. Clearly, u is orthogonal to u + v, and hence

(2.3) cot θ(t) = |u|

|u + v| . Since u ∈ Ω 1 and v ∈ Ω 2 , we have

u = (Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )c and

v = (Z(t) ⊗ Y (t)) (I n

2

− (P 1 ⊗ P 2 )) c for some c ∈ R n

2

. Substituting these values in (2.3), we get

cot θ(t) = |(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )c |

|(Z(t) ⊗ Y (t))c|

= |(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )(Z −1 (s) ⊗ Y −1 (s))(Z(s) ⊗ Y (s))c|

|(Z(t) ⊗ Y (t))c|

≤ max

| ˆ Q |

|(Z(t) ⊗ Y (t))(P 1 ⊗ P 2 )(Z −1 (s) ⊗ Y −1 (s)) ˆ Q |

| ˆ Q |

≤ k.

¤ Note 2.2. From Theorem 2.5, we note that the angle between two subspaces1 and Ω 2 cannot become smaller than some threshold value cot −1 k.

In general, the boundary conditions (1.4) must represent n 2 linearly inde- pendent constraints on ˆ X(a) and ˆ X(b). Thus it is necessary that

(2.4) rank [N ⊗ M, S ⊗ R] = n 2 .

Suppose that rank [(S ⊗R)] = m < n 2 , then there exists a n 2 ×n 2 nonsingular matrix W representing an appropriate linear combination of the rows of (S ⊗R) such that

W (S ⊗ R) = ( 0

T b

) }n 2 − m

}m , rank T b = m.

If we introduce the partitions;

W ˆ Q = ( Q ˆ a

Q ˆ b

) }n 2 − m

}m , W (N ⊗ M) = ( T a

T ba

) }n 2 − m

}m ,

where rank T a = n 2 − m, then we find that W

[

(N ⊗ M) ˆ X(a) + (S ⊗ R) ˆ X(b) ]

= W ˆ Q

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is equivalent to

(2.5) T a X(a) = ˆ ˆ Q a ,

T ba X(a) + T ˆ b X(b) = ˆ ˆ Q b .

Obviously, if rank (N ⊗ M) = q < n 2 , we obtain by an analogous procedure, but with different matrices and vectors,

(2.6) T a X(a) + T ˆ ab X(b) = ˆ ˆ Q a , T b X(b) = ˆ ˆ Q b .

Either of the forms (2.5), (2.6) consists of partially separated boundary con- ditions. If T ab = 0 and T ba = 0, then the boundary conditions are said to be separated, which are the most naturally occurring forms in applications.

Theorem 2.6. If the boundary conditions are separable in the sense rank(N ⊗ M) = n 2 − m, rank(S ⊗ R) = m, then there exists a projection P such that

|(Z(t) ⊗ Y (t))P (Z −1 (s) ⊗ Y −1 (s)) | ≤ γ, t ≥ s,

|(Z(t) ⊗ Y (t)) (I n

2

− P ) (Z −1 (s) ⊗ Y −1 (s)) | ≤ γ, t ≤ s, where γ is the stability constant given by (1.16).

Proof. First, we show that P = (N ⊗ M)(Z(a) ⊗ Y (a)) is a projection. Let E be an orthogonal matrix such that the last n 2 − m rows of (E ⊗ I n )(S ⊗ R) are zero. Then

(E ⊗ I n ) [(N ⊗ M)(Z(a) ⊗ Y (a)) + (S ⊗ R)(Z(b) ⊗ Y (b))] (E ⊗ I n ) = I n

2

. On equating the last n 2 − m rows of the above equation, we find that

P = (E e ⊗ I n )(N ⊗ M)(Z(a) ⊗ Y (a))(E ⊗ I n ) has the following structure;

P = e ( e P 11 P e 12

0 I n

2

−m

) .

Since rank e P = n 2 − m, we must have e P 11 = 0, and hence e P 2 = e P . Thus P 2 = (E ⊗ I n ) P e 2 (E ⊗ I n ) = (E ⊗ I n ) P (E e ⊗ I n ) = P.

Thus P = (N ⊗ M)(Z(a) ⊗ Y (a)) is a projection. The proof now follows from (1.18) on noting that

G(t, s) =

{ (Z(t) ⊗ Y (t))P (Z −1 (s) ⊗ Y −1 (s)), s < t,

−(Z(t) ⊗ Y (t)) (I n

2

− P ) (Z −1 (s) ⊗ Y −1 (s)), t < s.

¤

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From the above theorem, we note that if the boundary conditions are sepa- rable, then a strong dichotomy exists when k = γ. It follows from Lemma 2.1 that the same result holds with our weaker version of the dichotomy.

In order to construct separable boundary conditions, we monitor the growth of solutions over the entire interval. Let the singular value decomposition of (Z(b) ⊗ Y (b))(Z −1 (a) ⊗ Y −1 (a)) be given by

(Z(b) ⊗ Y (b))(Z −1 (a) ⊗ Y −1 (a)) = U DV ,

where U and V are orthogonal matrices, and D is a positive diagonal matrix with ordered elements. We use the following notations;

D = diag (

d −1 1 , d −1 2 , . . . , d −1 m , d m+1 , . . . , d n

2

) with 0 < d i ≤ 1, i = 1, 2, . . . , n 2 ,

D 1 = diag (d 1 , d 2 , . . . , d m , 1, 1, . . . , 1) , D 2 = diag (1, 1, . . . , 1, d m+1 , . . . , d n

2

) , and

(2.7) P =

( 0 0

0 I n

2

−m

) .

Now we define the separated boundary conditions specified by (2.8) N e ⊗ f M = P V and e S ⊗ e R = (

I n

2

− P ) U . It is easy to verify with the structure of P that

( e N ⊗ f M )( e Z(a) ⊗ e Y (a)) + ( e S ⊗ e R)( e Z(b) ⊗ e Y (b)) = I n

2

, where

(2.9)

Z(t) e ⊗ e Y (t) = (Z(t) ⊗ Y (t))(Z −1 (a) ⊗ Y −1 (a))V D 1

= (Z(t) ⊗ Y (t))(Z −1 (b) ⊗ Y −1 (b))U D 2 . The corresponding Green’s matrix is

(2.10) G(t, s) = e

{ ( e Z(t) ⊗ e Y (t))( e N ⊗ f M )( e Z(a) ⊗ e Y (a))( e Z −1 (s) ⊗ e Y −1 (s)), t > s,

−( e Z(t) ⊗ e Y (t))( e S ⊗ e R)( e Z(b) ⊗ e Y (b))( e Z −1 (s) ⊗ e Y −1 (s)), t < s.

Now we establish the properties of the fundamental matrix ( e Z(t) ⊗ e Y (t)) in terms of the Green’s matrix (1.18).

Result 2.1. For the fundamental matrix ( e Z(t) ⊗ e Y (t)) given in (2.9), the following relations hold good;

(i) e Z(t) ⊗ e Y (t) = G(t, s)( e Z(s) ⊗ e Y (s)) − G(t, u)( e Z(u) ⊗ e Y (u)), a ≤ s < t ≤ u ≤ b,

(ii) e Z −1 (t) ⊗e Y −1 (t) = ( e Z −1 (u) ⊗e Y −1 (u))G(u, t) −( e Z −1 (s) ⊗e Y −1 (s))G(s, t), a ≤ s < t ≤ u ≤ b,

(iii) ( e Z(t) ⊗ e Y (t))( e Z −1 (u) ⊗ e Y −1 (u))G(u, s) = G(t, s).

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Proof. (i) From Result 1.1(i), we have

Z(t) ⊗ Y (t) = G(t, s)(Z(s) ⊗ Y (s)) − G(t, u)(Z(u) ⊗ Y (u)).

Since (Z −1 (a) ⊗ Y −1 (a))V D 1 is nonsingular, from (2.9) Z(t) ⊗ Y (t) = ( e Z(t) ⊗ e Y (t)) (

(Z −1 (a) ⊗ Y −1 (a))V D 1

) −1 , we have

( e Z(t) ⊗ e Y (t)) (

(Z −1 (a) ⊗ Y −1 (a))V D 1

) −1

= G(t, s)( e Z(s) ⊗ e Y (s)) (

(Z −1 (a) ⊗ Y −1 (a))V D 1

) −1

− G(t, u)( e Z(u) ⊗ e Y (u)) (

(Z −1 (a) ⊗ Y −1 (a))V D 1

) −1 . Thus

Z(t) e ⊗ e Y (t) = G(t, s)( e Z(s) ⊗ e Y (s)) − G(t, u)( e Z(u) ⊗ e Y (u)).

(ii) The proof for relation (ii) is easily seen, from (2.9) Z −1 (t) ⊗ Y −1 (t) = (

(Z −1 (a) ⊗ Y −1 (a))V D 1

) ( e Z −1 (t) ⊗ e Y −1 (t)),

and using Result 1.1(ii).

(iii) Since e Z(t) ⊗ e Y (t) = (Z(t) ⊗ Y (t))(Z −1 (a) ⊗ Y −1 (a))V D 1 , we have ( e Z(t) ⊗ e Y (t))( e Z −1 (u) ⊗ e Y −1 (u))G(u, s)

= (Z(t) ⊗ Y (t))(Z −1 (a) ⊗ Y −1 (a))V D 1 D −1 1 V −1 (Z(a) ⊗ Y (a))(Z −1 (u) ⊗ Y −1 (u))

[ (Z(u) ⊗ Y (u))(N ⊗ M)(Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s)) ]

= (Z(t) ⊗ Y (t))(N ⊗ M)(Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s))

= G(t, s), a ≤ s < t ≤ b.

Similarly the result follows for t < s. ¤

The following theorem establishes the relationship between the Green’s ma- trices e G, G given in (2.10) and (1.18) respectively.

Theorem 2.7.

G(t, s) = G(t, s) e − ( e Z(t) ⊗ e Y (t)) [

( e N ⊗ f M )G(a, s) + ( e S ⊗ e R)G(b, s) ]

.

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Proof. For t > s, using Result 2.1(ii), (iii), we have G(t, s) e

= ( e Z(t) ⊗ e Y (t))( e N ⊗ f M )( e Z(a) ⊗ e Y (a))( e Z −1 (s) ⊗ e Y −1 (s))

= ( e Z(t) ⊗ e Y (t))( e N ⊗ f M )( e Z(a) ⊗ e Y (a))[( e Z −1 (b) ⊗ e Y −1 (b))G(b, s)

− ( e Z −1 (a) ⊗ e Y −1 (a))G(a, s)]

= ( e Z(t) ⊗ e Y (t)) [

I n

2

− ( e S ⊗ e R)( e Z(b) ⊗ e Y (b)) ]

( e Z −1 (b) ⊗ e Y −1 (b))G(b, s)

− ( e Z(t) ⊗ e Y (t))( e N ⊗ f M )G(a, s)

= ( e Z(t) ⊗ e Y (t))( e Z −1 (b) ⊗ e Y −1 (b))G(b, s) − ( e Z(t) ⊗ e Y (t))( e S ⊗ e R)G(b, s)

− ( e Z(t) ⊗ e Y (t))( e N ⊗ f M )G(a, s)

= G(t, s) − ( e Z(t) ⊗ e Y (t)) [

( e N ⊗ f M )G(a, s) + ( e S ⊗ e R)G(b, s) ]

.

For t < s, the theorem follows along similar lines. ¤

From (2.8) and (2.9), we have

( e N ⊗ f M )( e Z(a) ⊗ e Y (a)) (2.11)

= P V (Z(a) ⊗ Y (a))(Z −1 (a) ⊗ Y −1 (a))V D 1 = P and

(2.12) ( e S ⊗ e R)( e Z(b) ⊗ e Y (b)) = I n

2

− P . The Green’s matrix for the boundary conditions

( e N ⊗ f M ) ˆ X(a) + ( e S ⊗ e R) ˆ X(b) = ˆ Q is obtained by substituting (2.11) and (2.12) in (2.10);

G(t, s) = e

{ ( e Z(t) ⊗ e Y (t))P ( e Z −1 (s) ⊗ e Y −1 (s)), t > s

−( e Z(t) ⊗ e Y (t)) (

I n

2

− P )

( e Z −1 (s) ⊗ e Y −1 (s)), t < s.

Now we are in a position to give the following estimates;

Theorem 2.8. For γ = sup t,s |G(t, s)|

(i) |( e Z(b) ⊗ e Y (b))P ( e Z −1 (s) ⊗ e Y −1 (s)) | = | e G(b, s) | ≤ 2γ, (ii) |( e Z(a) ⊗ e Y (a)) (

I n

2

− P )

( e Z −1 (s) ⊗ e Y −1 (s)) | = | e G(a, s) | ≤ 2γ, and (iii) | e Z(t) ⊗ e Y (t) | ≤ 2γℓ, where ℓ = max {

| e Z(a) ||e Y (a) |, | e Z(b) ||e Y (b) | }

.

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Proof. (i) Consider

| e G(b, s) |

= |( e Z(b) ⊗ e Y (b))P ( e Z −1 (s) ⊗ e Y −1 (s)) |

= |( e Z(b) ⊗ e Y (b))P [( e Z −1 (b) ⊗ e Y −1 (b))G(b, s) − ( e Z −1 (a) ⊗ e Y −1 (a))G(a, s)] |

≤ |G(b, s)| + |( e Z(b) ⊗ e Y (b))P ( e Z −1 (a) ⊗ e Y −1 (a))G(a, s) |

≤ γ + |UD 2 P D −1 1 V −1

= γ + |UDP V −1 |γ ≤ γ + γ = 2γ.

The proof of (ii) follows similarly.

(iii) From Result 2.1(i), we have

Z(t) e ⊗ e Y (t) = G(t, a)( e Z(a) ⊗ e Y (a)) − G(t, b)( e Z(b) ⊗ e Y (b)), and hence

| e Z(t) ⊗ e Y (t) | ≤ |G(t, a)|| e Z(a) ||e Y (a) | + |G(t, b)|| e Z(b) ||e Y (b) |

≤ γ (

| e Z(a) ||e Y (a) | + | e Z(b) ||e Y (b) | )

≤ 2γℓ.

¤ To establish results on strong dichotomy, we need the following result.

Result 2.2.

(i) | e G(t, s) | ≤ γ + 4γ 2 ℓ,

(ii) | e G(t, s) | ≤ γ + 2γξ, where ξ = η max{| e N ||f M |, | e S || e R |}.

Proof. From Theorem 2.7, we have G(t, s) = G(t, s) e − ( e Z(t) ⊗ e Y (t))

[

( e N ⊗ f M )G(a, s) + ( e S ⊗ e R)G(b, s) ]

= G(t, s) − ( e Z(t) ⊗ e Y (t)) [

P V G(a, s) + (

I n

2

− P )

U G(b, s) ] . Since | e Z(t) ⊗ e Y (t) | ≤ 2γℓ, |G(a, s)| ≤ γ, |G(b, s)| ≤ γ, we have

| e G(t, s) | ≤ γ + 2γ 2 ℓ + 2γ 2

= γ + 4γ 2 ℓ.

The proof of (ii) follows similarly by noting the fact that η = | e Z(t) ⊗ e Y (t) | and

G(t, s) = G(t, s) e − ( e Z(t) ⊗ e Y (t)) [

( e N ⊗ f M )G(a, s) + ( e S ⊗ e R)G(b, s) ]

.

¤ From this result, we have the following estimates for the strong dichotomy.

Theorem 2.9. (i) |( e Z(t) ⊗ e Y (t))P ( e Z −1 (s) ⊗ e Y −1 (s)) | ≤ γ + 4γ 2 ℓ, t > s.

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(ii) |( e Z(t) ⊗ e Y (t)) (

I n

2

− P )

( e Z −1 (s) ⊗ e Y −1 (s)) | ≤ γ + 4γ 2 ℓ, t < s.

(iii) |( e Z(t) ⊗ e Y (t))P ( e Z −1 (s) ⊗ e Y −1 (s)) | ≤ γ + 2γξ, t > s.

(iv) |( e Z(t) ⊗ e Y (t)) (

I n

2

− P )

( e Z −1 (s) ⊗ e Y −1 (s)) | ≤ γ + 2γξ, t < s.

Now we are in a position to investigate the stability bounds for exponential dichotomy. For that we replace the condition (1.16) by the following conditions;

(2.13) |G(t, s)| ≤ γe λ(s −t) , t > s, λ > 0, (2.14) |G(t, s)| ≤ γe µ(t −s) , t < s, µ > 0,

and using similar techniques discussed above, we can show that (2.13) and (2.14) imply an exponentially dichotomic solution space for the two point boundary value problem.

Theorem 2.10. Let

α(t) = γℓ [

e λ(a −t) + e µ(t −b) ]

, β(t) = γ

[

e λ(t −b) + e µ(a −t) ]

,

P is defined in (2.7), ξ = η max {| e N ||f M |, | e S || e R |}. Then the following relations hold good.

(i) |( e Z(t) ⊗ e Y (t))P ( e Z −1 (s) ⊗ e Y −1 (s)) | ≤ γe λ(s −t) + α(t)β(s), t > s (ii) |( e Z(t) ⊗ e Y (t)) (

I n

2

− P )

( e Z −1 (s) ⊗ e Y −1 (s)) | ≤ γe µ(t −s) +α(t)β(s), t < s (iii) |( e Z(t) ⊗ e Y (t))P ( e Z −1 (s) ⊗ e Y −1 (s)) | ≤ γe λ(s −t) + ξβ(s), t > s

(iv) |( e Z(t) ⊗ e Y (t)) (

I n

2

− P )

( e Z −1 (s) ⊗ e Y −1 (s)) | ≤ γe µ(t −s) + ξβ(s), t < s.

3. Conditioning of boundary value problems

In this section we show that the condition number is the right criterion to indicate possible error amplification of the perturbed boundary conditions.

If the solution of the boundary value problem (3.1) X(t) = H(t) ˆ ˆ X(t) + ˆ F (t) satisfying

(3.2) (I n ⊗ M) ˆ X(a) + (I n ⊗ R) ˆ X(b) = ˆ Q

(for convenience taking N = I n and S = I n in (1.4)) is unique, then the characteristic matrix

(3.3) D = (I n ⊗ M)(Z(a) ⊗ Y (a)) + (I n ⊗ R)(Z(b) ⊗ Y (b))

must be nonsingular, and in this case the boundary value problem is said to be

well-posed.

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Definition 3.1. The condition number η of the boundary value problem (3.1), (3.2) is defined as

η = sup

a ≤t≤b ∥(Z(t) ⊗ Y (t))D −1 ∥.

It is easily seen that, the number η is independent of the choice of the funda- mental matrix.

We consider the variation ˆ X(t) of (3.1) with respect to the small perturbation in the boundary conditions, the perturbation of (3.2) in the form

(3.4) [I n ⊗ (M + δM)] ˆ X(a) + [I n ⊗ (R + δR)] ˆ X(b) = ˆ Q + δ ˆ Q.

Then the perturbed characteristic matrix D 1

= [I n ⊗ (M + δM)] (Z(a) ⊗ Y (a)) + [I n ⊗ (R + δR)] (Z(b) ⊗ Y (b))

= [(I n ⊗ M)+(I n ⊗ δM)] (Z(a) ⊗ Y (a))+[(I n ⊗ R)+(I n ⊗ δR)] (Z(b) ⊗ Y (b))

= (I n ⊗ M)(Z(a) ⊗ Y (a)) + (I n ⊗ R)(Z(b) ⊗ Y (b)) + (I n ⊗ δM)(Z(a) ⊗ Y (a)) + (I n ⊗ δR)(Z(b) ⊗ Y (b))

= D + δD.

Assume that D 1 is nonsingular. Let e X(t) be the unique solution of (3.1) satis- fying (3.4).

Lemma 3.1. ∥δDD −1 ∥ ≤ (∥δM∥ + ∥δR∥) η.

Proof. Consider

∥δDD −1

= ∥ [(I n ⊗ δM)(Z(a) ⊗ Y (a)) + (I n ⊗ δR)(Z(b) ⊗ Y (b))] D −1

≤ ∥(I n ⊗ δM)∥∥(Z(a) ⊗ Y (a))D −1 ∥ + ∥(I n ⊗ δR)∥∥(Z(b) ⊗ Y (b))D −1

= ∥I n ∥∥δM∥∥(Z(a) ⊗ Y (a))D −1 ∥ + ∥I n ∥∥δR∥∥(Z(b) ⊗ Y (b))D −1

≤ (∥δM∥ + ∥δR∥) ∥(Z(t) ⊗ Y (t))D −1

≤ (∥δM∥ + ∥δR∥) η.

¤ Theorem 3.2. Let ϵ > 0 be such that 0 < ϵ < (1+k)δη 1 , where

δ = max

{ ∥δM∥, ∥δR∥, ∥δ ˆ Q ∥, ∥δD∥ }

and

k =

b a

∥(Z −1 (s) ⊗ Y −1 (s)) ˆ F (s) ∥ds.

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Then the solution e X(t) of (3.1) satisfying (3.4) is such that δη(1 − k) (∥Z(a)∥∥Y (a)∥ + ∥Z(b)∥∥Y (b)∥)

≤ max

t ∈[a,b] ∥ e X(t) − ˆ X(t)

≤ δη(1 + k) (∥Z(a)∥∥Y (a)∥ + ∥Z(b)∥∥Y (b)∥) . Proof. Any solution ˆ X(t) of (3.1) satisfying (3.2) is given by

X(t) = (Z(t) ˆ ⊗ Y (t))D −1 Q + ˆ

b

a

G(t, s) ˆ F (s)ds,

where G(t, s) is the Green’s matrix, and is given by

G(t, s) =

 

 

 

 

(Z(t) ⊗ Y (t))D −1 (I n ⊗ M)(Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s)), a ≤ s < t ≤ b,

−(Z(t) ⊗ Y (t))D −1 (I n ⊗ R)(Z(b) ⊗ Y (b))(Z −1 (s) ⊗ Y −1 (s)), a ≤ t < s ≤ b.

and any solution e X(t) of (3.1) satisfying (3.3) is given by X(t) = (Z(t) e ⊗ Y (t))D −1 1

( Q + δ ˆ ˆ Q )

+

b

a

G 1 (t, s) ˆ F (s)ds,

where

G 1 (t, s) =

 

 

 

 

 

(Z(t) ⊗ Y (t))D −1 1 (I n ⊗ M 1 )(Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s)), a ≤ s < t ≤ b,

−(Z(t) ⊗ Y (t))D −1 1 (I n ⊗ R 1 )(Z(b) ⊗ Y (b))(Z −1 (s) ⊗ Y −1 (s)), a ≤ t < s ≤ b,

here M 1 = M + δM and R 1 = R + δR.

Now consider

(3.5)

∥ e X(t) − ˆ X(t) ∥ ≤ ∥(Z(t) ⊗ Y (t)) [

D 1 −1 ( ˆ Q + δ ˆ Q) − D −1 Q ˆ ]

+

t a

∥(Z(t) ⊗ Y (t)) [

D −1 1 (I n ⊗ M 1 ) − D −1 (I n ⊗ M) ] (Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s)) ˆ F (s) ∥ds +

b t

∥(Z(t) ⊗ Y (t)) [

D −1 1 (I n ⊗ R 1 ) − D −1 (I n ⊗ R) ]

(Z(b) ⊗ Y (b))(Z −1 (s) ⊗ Y −1 (s)) ˆ F (s) ∥ds.

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In accordance with the linear terms, we have the following rough estimates;

D 1 −1 ( ˆ Q + δ ˆ Q) − D −1 Q = (D + δD) ˆ −1 ( ˆ Q + δ ˆ Q) − D −1 Q ˆ

= D −1 (

I n

2

+ D −1 δD ) −1

( ˆ Q + δ ˆ Q) − D −1 Q ˆ

= D −1 [

I n

2

− D −1 δD ]

( ˆ Q + δ ˆ Q) − D −1 Q ˆ

= D −1 δ ˆ Q.

Similarly

D 1 −1 (I n ⊗ M 1 ) − D −1 (I n ⊗ M) ∼ = D −1 (I n ⊗ δM) and

D −1 1 (I n ⊗ R 1 ) − D −1 (I n ⊗ R) ∼ = D −1 (I n ⊗ δR).

Using these estimates in (3.5), we get

∥ e X(t) − ˆ X(t) ∥ ≤ ∥(Z(t) ⊗ Y (t))D −1 δ ˆ Q +

t a

∥(Z(t) ⊗ Y (t))D −1 (I n ⊗ δM)(Z(a) ⊗ Y (a))(Z −1 (s) ⊗ Y −1 (s)) ˆ F (s) ∥ds

+

b t

∥(Z(t) ⊗ Y (t))D −1 (I n ⊗ δR)(Z(b) ⊗ Y (b))(Z −1 (s) ⊗ Y −1 (s)) ˆ F (s) ∥ds

≤ ∥(Z(t) ⊗ Y (t))D −1 δ ˆ Q ∥ + ∥(Z(t) ⊗ Y (t))D −1

[(I n ⊗ δM)(Z(a) ⊗ Y (a)) + (I n ⊗ δR)(Z(b) ⊗ Y (b))] ∥

b a

∥(Z −1 (s) ⊗ Y −1 (s)) ˆ F (s) ∥ds

≤ ∥(Z(t) ⊗ Y (t))D −1 δ ˆ Q ∥ + ∥(Z(t) ⊗ Y (t))D −1

∥ [(I n ⊗ δM)(Z(a) ⊗ Y (a)) + (I n ⊗ δR)(Z(b) ⊗ Y (b))] ∥k

≤ δη + δηk [∥Z(a)∥∥Y (a)∥ + ∥Z(b)∥∥Y (b)∥]

≤ (1 + k)δη [∥Z(a)∥∥Y (a)∥ + ∥Z(b)∥∥Y (b)∥] . The reverse inequality follows by noting the fact that

∥ e X(t) − ˆ X(t) ∥ ≥ ∥(Z(t) ⊗ Y (t))D −1 δ ˆ Q ∥ −

b a

∥G 1 (t, s) − G(t, s)∥∥ ˆ F (s) ∥ds.

¤ One may choose η such that

η = sup

a ≤t≤b ∥(Z(t) ⊗ Y (t))∥∥D −1 ∥,

to obtain a more reliable quantity for η. The estimate in the above theorem depends on well-known quantities and on the value of the fundamental matrix at the boundary points.

Acknowledgement. The authors are grateful to the referee whose numerous

suggestions were responsible for bring out this paper in its present form.

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References

[1] W. A. Coppel, Dichotomies in Stability Theory, Lecture Notes in Mathematics, Vol. 629.

Springer-Verlag, Berlin-New York, 1978.

[2] F. R. De Hoog and R. M. M. Mattheji, On dichotomy and well conditioning in BVP, SIAM J. Numer. Anal. 24 (1987), no. 1, 89–105.

[3] A. Graham, Kronecker Products and Matrix Calculus: with applications, Ellis Horwood Series in Mathematics and its Applications. Ellis Horwood Ltd., Chichester; Halsted Press [John Wiley & Sons, Inc.], New York, 1981.

[4] R. A. Horn and C. R. Johnson, Topics in Matrix Analysis, Cambridge University Press, Cambridge, 1991.

[5] M. Lentini, M. R. Osborne, and R. D. Russell, The close relationships between methods for solving two-point boundary value problems, SIAM J. Numer. Anal. 22 (1985), no. 2, 280–309.

[6] K. N. Murty and P. V. S. Lakshmi, On dichotomy and well-conditioning in two-point boundary-value problems, Appl. Math. Comput. 38 (1990), no. 3, 179–199.

[7] M. S. N. Murty and B. V. Appa Rao, On conditioning for three-point boundary value problems, Indian J. Math. 45 (2003), no. 2, 211–221.

[8] , On two point boundary value problems for X = AX + XB, Ultra Sci. Phys. Sci.

16 (2004), no. 2M, 223–227.

[9] M. S. N. Murty, B. V. Appa Rao, and G. Suresh Kumar, Controllability, observability, and realizability of matrix Lyapunov systems, Bull. Korean Math. Soc. 43 (2006), no. 1, 149–159.

M. S. N. Murty

Department of Applied Mathematics

Acharya Nagarjuna University -Nuzvid Campus Nuzvid-521 201, Andra Pradesh, India

E-mail address: [email protected]

G. Suresh Kumar

Department of Applied Mathematics

Acharya Nagarjuna University -Nuzvid Campus Nuzvid-521 201, Andra Pradesh, India

E-mail address: [email protected]

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