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A differential equation is a mathematical equation for an unknown function of one or several variables that relates the values of the function itself and its derivatives of various orders. A matrix differential equation contains more than one function stacked into vector form with a matrix relating the functions to their derivatives.
In mathematics, matrix calculus is a specialized notation for doing multivariable calculus, especially over spaces of matrices.It collects the various partial derivatives of a single function with respect to many variables, and/or of a multivariate function with respect to a single variable, into vectors and matrices that can be treated as single entities.
In mathematics, a fundamental matrix of a system of n homogeneous linear ordinary differential equations ˙ = () is a matrix-valued function () whose columns are linearly independent solutions of the system. [1]
If the dynamical system is linear, time-invariant, and finite-dimensional, then the differential and algebraic equations may be written in matrix form. [1] [2] The state-space method is characterized by the algebraization of general system theory, which makes it possible to use Kronecker vector-matrix structures.
The equation is named after Jacopo Riccati (1676–1754). [1] More generally, the term Riccati equation is used to refer to matrix equations with an analogous quadratic term, which occur in both continuous-time and discrete-time linear-quadratic-Gaussian control.
Let ˙ = be a linear first order differential equation, where () is a column vector of length and () an periodic matrix with period (that is (+) = for all real values of ). Let ϕ ( t ) {\displaystyle \phi \,(t)} be a fundamental matrix solution of this differential equation.
Lemma 1. ′ =, where ′ is the differential of . This equation means that the differential of , evaluated at the identity matrix, is equal to the trace.The differential ′ is a linear operator that maps an n × n matrix to a real number.
The matrix form of the separation of variables is the Kronecker sum. ... Handbook of Linear Partial Differential Equations for Engineers and Scientists.