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
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
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)
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. ¤
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 < ∞.
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 n2, 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 n2. 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,
(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 n2×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 n2}, (2.2) Ω 2 = {(Z(t) ⊗ Y (t)) (I n2− (P 1 ⊗ P 2 )) c/ c ∈ R n2}, then we say that the two-point boundary value problem is dichotomic.
− (P 1 ⊗ P 2 )) c/ c ∈ R n2}, 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 n2×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,
|(Z(t) ⊗ Y (t)) (I n2− (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 n2×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 n2− (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 n2− (P 1 ⊗ P 2 )) (Z −1 (s) ⊗Y −1 (s)) |, t ≤ s.
Proof. Let ϕ ∈ Ω 1 , then there exists a constant c ∈ R n2 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