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In [[mathematics]], a '''Riccati equation''' is any first-order [[ordinary differential equation]] that is [[quadratic function|quadratic]] in the unknown function. In other words, it is an equation of the form
:<math> y'(x) = q_0(x) + q_1(x) \, y(x) + q_2(x) \, y^2(x) </math>
where <math>q_0(x) \neq 0</math> and <math>q_2(x) \neq 0</math>.   If <math>q_0(x) = 0</math> the equation reduces to a [[Bernoulli differential equation|Bernoulli equation]], while if <math>q_2(x) = 0</math> the equation becomes a first order [[linear ordinary differential equation]].  
 
The equation is named after Count [[Jacopo Francesco Riccati]] (1676&ndash;1754).<ref>Riccati, Jacopo (1724) [http://books.google.com/books?id=UjTw1w7tZsEC&pg=PA66#v=onepage&q&f=false "Animadversiones in aequationes differentiales secundi gradus"]  (Observations regarding differential equations of the second order), ''Actorum Eruditorum, quae Lipsiae publicantur, Supplementa'',  '''8''' : 66-73.  Translation of the original Latin into English:  [http://www.17centurymaths.com/contents/euler/rictr.pdf by Ian Bruce].</ref>
 
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]]. The steady-state (non-dynamic) version of these is referred to as the [[algebraic Riccati equation]].
 
== Reduction to a second order linear equation ==
 
The '''non-linear''' Riccati equation can always be reduced to a second order [[linear ordinary differential equation]] (ODE) {{harv|Ince|1956|pp=23–25}}:
If
:<math>y'=q_0(x) + q_1(x)y + q_2(x)y^2\!</math>
then, wherever <math>q_2</math> is non-zero, <math>v=yq_2</math> satisfies a Riccati equation of the form
:<math>v'=v^2 + R(x)v +S(x),\!</math>
where <math>S=q_2q_0</math> and <math>R=q_1+\left(\frac{q_2'}{q_2}\right)</math>, because
:<math>v'=(yq_2)'= y'q_2 +yq_2'=(q_0+q_1 y + q_2 y^2)q_2 + v \frac{q_2'}{q_2}=q_0q_2  +\left(q_1+\frac{q_2'}{q_2}\right) v + v^2.\!</math>
Substituting <math>v=-u'/u</math>, it follows that <math>u</math> satisfies the linear 2nd order ODE
:<math>u''-R(x)u' +S(x)u=0 \!</math>
since
:<math>v'=-(u'/u)'=-(u''/u) +(u'/u)^2=-(u''/u)+v^2\!</math>
so that
:<math>u''/u= v^2 -v'=-S -Rv=-S +Ru'/u\!</math>
and hence
:<math>u'' -Ru' +Su=0.\!</math>
A solution of this equation will lead to a solution <math>y=-u'/(q_2u)</math> of the original Riccati equation.
 
== Application to the Schwarzian equation ==
 
 
An important application of the Riccati equation is to the 3rd order '''Schwarzian''' differential equation
:<math>S(w):=(w''/w')' - (w''/w')^2/2 =f</math>
which occurs in the theory of conformal mapping and univalent functions. In this case the ODEs are in the complex domain and differentiation is with respect to a complex variable. (The [[Schwarzian derivative]] <math>S(w)</math> has the remarkable property that it is invariant under Möbius transformations, i.e. <math>S((aw+b)/(cw+d))=S(w)</math> whenever <math>ad-bc</math> is non-zero.) The function <math>y=w''/w'</math>
satisfies the Riccati equation
:<math>y'=y^2/2 +f.</math>
By the above <math>y=-2u'/u</math> where <math>u</math> is a solution of the linear ODE
:<math>u''+ (1/2) fu=0.</math>
Since <math> w''/w'=-2u'/u</math>, integration gives <math>w'=C /u^2</math>
for some constant <math>C</math>. On the other hand any other independent solution <math>U</math> of the linear ODE 
has constant non-zero Wronskian <math>U'u-Uu'</math> which can be taken to be <math>C</math> after scaling.
Thus
:<math>w'=(U'u-Uu')/u^2=(U/u)'</math>
so that the Schwarzian equation has solution <math>w=U/u.</math>
 
== Obtaining solutions by quadrature ==
 
The correspondence between Riccati equations and second-order linear ODEs has other consequences. For example, if one solution of a 2nd order ODE is known, then it is known that another solution can be obtained by quadrature, i.e., a simple integration. The same holds true for the Riccati equation. In fact, if one particular solution <math>y_1</math> can be found, the general solution is obtained as
:<math> y = y_1 + u </math>
Substituting
:<math> y_1 + u </math>
in the Riccati equation yields
:<math> y_1' + u' = q_0 + q_1 \cdot (y_1 + u) + q_2 \cdot (y_1 + u)^2,</math>
and since
:<math> y_1' = q_0 + q_1 \, y_1 + q_2 \, y_1^2 </math>
:<math> u' = q_1 \, u + 2 \, q_2 \, y_1 \, u + q_2 \, u^2 </math>
or
:<math> u' - (q_1 + 2 \, q_2 \, y_1) \, u = q_2 \, u^2, </math>
which is a [[Bernoulli differential equation|Bernoulli equation]]. The substitution that is needed to solve this Bernoulli equation is
:<math> z =\frac{1}{u} </math>
Substituting
:<math> y = y_1 + \frac{1}{z} </math>
directly into the Riccati equation yields the linear equation
:<math> z' + (q_1 + 2 \, q_2 \, y_1) \, z = -q_2 </math>
A set of solutions to the Riccati equation is then given by
:<math> y = y_1 + \frac{1}{z} </math>
where z is the general solution to the aforementioned linear equation.
 
==See also==
* [[Linear-quadratic regulator]]
* [[Algebraic Riccati equation]]
* [[Matrix  Riccati equation#Mathematical description of the problem and solution]]
 
==External links==
* {{springer|title=Riccati equation|id=p/r081770}}
* [http://eqworld.ipmnet.ru/en/solutions/ode/ode0123.pdf Riccati Equation] at EqWorld: The World of Mathematical Equations.
* [http://mathworld.wolfram.com/RiccatiDifferentialEquation.html Riccati Differential Equation] at [[Mathworld]]
* [http://www.mathworks.com/help/toolbox/control/ref/care.html MATLAB function] for solving continuous-time algebraic Riccati equation.
* [[SciPy]] has functions for solving the [http://docs.scipy.org/doc/scipy/reference/generated/scipy.linalg.solve_continuous_are.html continous algebraic Riccati equation] and the [http://docs.scipy.org/doc/scipy/reference/generated/scipy.linalg.solve_discrete_are.html discrete algebraic Riccati equation].
 
==References==
{{reflist}}
*{{citation|last=Hille|first=Einar|title=Ordinary Differential Equations in the Complex Domain|year=1997|origyear=1976|publisher=Dover Publications|location=New York|isbn=0-486-69620-0}}
*{{citation|last=Ince|first=E. L.|title=Ordinary Differential Equations|year=1956|origyear=1926|publisher=Dover Publications|location=New York}}
*{{citation|last=Nehari|first=Zeev|title=Conformal Mapping|year=1975|origyear=1952|publisher=Dover Publications|location=New York|isbn=0-486-61137-X}}
*{{citation|last1=Polyanin|first1=Andrei D.|last2=Zaitsev|first2=Valentin F.|title=Handbook of Exact Solutions for Ordinary Differential Equations|year=2003|edition=2nd|publisher=Chapman &amp; Hall/CRC|location=Boca Raton, Fla.|isbn=1-58488-297-2}}
*{{citation|last=Zelikin|first=Mikhail I.|title=Homogeneous Spaces and the Riccati Equation in the Calculus of Variations|year=2000|publisher=Springer-Verlag|location=Berlin}}
 
[[Category:Ordinary differential equations]]
[[Category:Equations]]

Revision as of 21:46, 29 December 2013

In mathematics, a Riccati equation is any first-order ordinary differential equation that is quadratic in the unknown function. In other words, it is an equation of the form

y(x)=q0(x)+q1(x)y(x)+q2(x)y2(x)

where q0(x)0 and q2(x)0. If q0(x)=0 the equation reduces to a Bernoulli equation, while if q2(x)=0 the equation becomes a first order linear ordinary differential equation.

The equation is named after Count Jacopo Francesco 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. The steady-state (non-dynamic) version of these is referred to as the algebraic Riccati equation.

Reduction to a second order linear equation

The non-linear Riccati equation can always be reduced to a second order linear ordinary differential equation (ODE) Template:Harv: If

y=q0(x)+q1(x)y+q2(x)y2

then, wherever q2 is non-zero, v=yq2 satisfies a Riccati equation of the form

v=v2+R(x)v+S(x),

where S=q2q0 and R=q1+(q2q2), because

v=(yq2)=yq2+yq2=(q0+q1y+q2y2)q2+vq2q2=q0q2+(q1+q2q2)v+v2.

Substituting v=u/u, it follows that u satisfies the linear 2nd order ODE

uR(x)u+S(x)u=0

since

v=(u/u)=(u/u)+(u/u)2=(u/u)+v2

so that

u/u=v2v=SRv=S+Ru/u

and hence

uRu+Su=0.

A solution of this equation will lead to a solution y=u/(q2u) of the original Riccati equation.

Application to the Schwarzian equation

An important application of the Riccati equation is to the 3rd order Schwarzian differential equation

S(w):=(w/w)(w/w)2/2=f

which occurs in the theory of conformal mapping and univalent functions. In this case the ODEs are in the complex domain and differentiation is with respect to a complex variable. (The Schwarzian derivative S(w) has the remarkable property that it is invariant under Möbius transformations, i.e. S((aw+b)/(cw+d))=S(w) whenever adbc is non-zero.) The function y=w/w satisfies the Riccati equation

y=y2/2+f.

By the above y=2u/u where u is a solution of the linear ODE

u+(1/2)fu=0.

Since w/w=2u/u, integration gives w=C/u2 for some constant C. On the other hand any other independent solution U of the linear ODE has constant non-zero Wronskian UuUu which can be taken to be C after scaling. Thus

w=(UuUu)/u2=(U/u)

so that the Schwarzian equation has solution w=U/u.

Obtaining solutions by quadrature

The correspondence between Riccati equations and second-order linear ODEs has other consequences. For example, if one solution of a 2nd order ODE is known, then it is known that another solution can be obtained by quadrature, i.e., a simple integration. The same holds true for the Riccati equation. In fact, if one particular solution y1 can be found, the general solution is obtained as

y=y1+u

Substituting

y1+u

in the Riccati equation yields

y1+u=q0+q1(y1+u)+q2(y1+u)2,

and since

y1=q0+q1y1+q2y12
u=q1u+2q2y1u+q2u2

or

u(q1+2q2y1)u=q2u2,

which is a Bernoulli equation. The substitution that is needed to solve this Bernoulli equation is

z=1u

Substituting

y=y1+1z

directly into the Riccati equation yields the linear equation

z+(q1+2q2y1)z=q2

A set of solutions to the Riccati equation is then given by

y=y1+1z

where z is the general solution to the aforementioned linear equation.

See also

External links

References

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    Once you place down the one per cent choice price to carry down a non-public property, it's important to accept its situation as it is whenever you move in – faulty air-con, choked rest room and all. Get round this by asking your agent to incorporate a ultimate inspection clause within the possibility-to-buy letter. HDB flat patrons routinely take pleasure in this security net. "There's a ultimate inspection of the property two days before the completion of all HDB transactions. If the air-con is defective, you can request the seller to repair it," says Kelvin.

    15.6.1 As the agent is an intermediary, generally, as soon as the principal and third party are introduced right into a contractual relationship, the agent drops out of the image, subject to any problems with remuneration or indemnification that he could have against the principal, and extra exceptionally, against the third occasion. Generally, agents are entitled to be indemnified for all liabilities reasonably incurred within the execution of the brokers´ authority.

    To achieve the very best outcomes, you must be always updated on market situations, including past transaction information and reliable projections. You could review and examine comparable homes that are currently available in the market, especially these which have been sold or not bought up to now six months. You'll be able to see a pattern of such report by clicking here It's essential to defend yourself in opposition to unscrupulous patrons. They are often very skilled in using highly unethical and manipulative techniques to try and lure you into a lure. That you must also protect your self, your loved ones, and personal belongings as you'll be serving many strangers in your home. Sign a listing itemizing of all of the objects provided by the proprietor, together with their situation. HSR Prime Recruiter 2010
  • Many property agents need to declare for the PIC grant in Singapore. However, not all of them know find out how to do the correct process for getting this PIC scheme from the IRAS. There are a number of steps that you need to do before your software can be approved.

    Naturally, you will have to pay a safety deposit and that is usually one month rent for annually of the settlement. That is the place your good religion deposit will likely be taken into account and will kind part or all of your security deposit. Anticipate to have a proportionate amount deducted out of your deposit if something is discovered to be damaged if you move out. It's best to you'll want to test the inventory drawn up by the owner, which can detail all objects in the property and their condition. If you happen to fail to notice any harm not already mentioned within the inventory before transferring in, you danger having to pay for it yourself.

    In case you are in search of an actual estate or Singapore property agent on-line, you simply should belief your intuition. It's because you do not know which agent is nice and which agent will not be. Carry out research on several brokers by looking out the internet. As soon as if you end up positive that a selected agent is dependable and reliable, you can choose to utilize his partnerise in finding you a home in Singapore. Most of the time, a property agent is taken into account to be good if he or she locations the contact data on his website. This may mean that the agent does not mind you calling them and asking them any questions relating to new properties in singapore in Singapore. After chatting with them you too can see them in their office after taking an appointment.

    Have handed an trade examination i.e Widespread Examination for House Brokers (CEHA) or Actual Property Agency (REA) examination, or equal; Exclusive brokers are extra keen to share listing information thus making certain the widest doable coverage inside the real estate community via Multiple Listings and Networking. Accepting a severe provide is simpler since your agent is totally conscious of all advertising activity related with your property. This reduces your having to check with a number of agents for some other offers. Price control is easily achieved. Paint work in good restore-discuss with your Property Marketing consultant if main works are still to be done. Softening in residential property prices proceed, led by 2.8 per cent decline within the index for Remainder of Central Region

    Once you place down the one per cent choice price to carry down a non-public property, it's important to accept its situation as it is whenever you move in – faulty air-con, choked rest room and all. Get round this by asking your agent to incorporate a ultimate inspection clause within the possibility-to-buy letter. HDB flat patrons routinely take pleasure in this security net. "There's a ultimate inspection of the property two days before the completion of all HDB transactions. If the air-con is defective, you can request the seller to repair it," says Kelvin.

    15.6.1 As the agent is an intermediary, generally, as soon as the principal and third party are introduced right into a contractual relationship, the agent drops out of the image, subject to any problems with remuneration or indemnification that he could have against the principal, and extra exceptionally, against the third occasion. Generally, agents are entitled to be indemnified for all liabilities reasonably incurred within the execution of the brokers´ authority.

    To achieve the very best outcomes, you must be always updated on market situations, including past transaction information and reliable projections. You could review and examine comparable homes that are currently available in the market, especially these which have been sold or not bought up to now six months. You'll be able to see a pattern of such report by clicking here It's essential to defend yourself in opposition to unscrupulous patrons. They are often very skilled in using highly unethical and manipulative techniques to try and lure you into a lure. That you must also protect your self, your loved ones, and personal belongings as you'll be serving many strangers in your home. Sign a listing itemizing of all of the objects provided by the proprietor, together with their situation. HSR Prime Recruiter 2010
  1. Riccati, Jacopo (1724) "Animadversiones in aequationes differentiales secundi gradus" (Observations regarding differential equations of the second order), Actorum Eruditorum, quae Lipsiae publicantur, Supplementa, 8 : 66-73. Translation of the original Latin into English: by Ian Bruce.