Krylov subspace methods of approximate solving differential equations from the point of view of functional calculus

V. G. Kurbatov ; I. V. Kurbatova

Eurasian mathematical journal, Tome 3 (2012) no. 4, pp. 53-80.

Résumé

The paper deals with projection methods of approximate solving the problem $$ Fx'=Gx+bu(t),\qquad y=\langle x,d\rangle $$ which consist in passage to the reduced-order problem $$ \widehat F\hat x'=\widehat G\hat x+\hat bu(t),\qquad \hat y=\langle\hat x,\hat d\rangle, $$ where $$ \widehat F=\Lambda FV,\qquad\widehat G=\Lambda GV,\qquad\hat b=\Lambda b,\qquad\hat d=V^*d. $$ It is shown that, if $V$ and $\Lambda$ are constructed on the basis of Krylov's subspaces, a projection method is equivalent to the replacement in the formula expressing the impulse response via the exponential function of the pencil $\lambda\mapsto\lambda F-G$, of the exponential function by its rational interpolation satisfying some interpolation conditions. Special attention is paid to the case when $F$ is not invertible.

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