We consider the solution of the rational matrix equations, or generalized algebraic Riccati equations with rational terms, arising in stochastic optimal control in continuous- and discrete-time. Fixed-point iteration and (modified) Newton's methods will be considered. In particular, the convergence results of a new modified Newton's method, for both continuous- and discrete-time rational Riccati equations, will be presented.

We propose a structure-preserving doubling algorithm for a quadratic eigenvalue problem arising from the stability analysis of time-delay systems. We are particularly interested in the eigenvalues on the unit circle, which are difficult to estimate. The convergence and backward error of the algorithm are analyzed and three numerical examples are presented. Our experience shows that our algorithm is efficient in comparison to the few existing approaches for small to medium size problems.

We study the generalized eigenvalue problems (GEPs) derived from modeling the surface acoustic wave in piezoelectric materials with periodic inhomogeneity. The eigenvalues appear in the reciprocal pairs due to periodic boundary conditions in the modeling. By transforming the GEP into a T-palindromic quadratic eigenvalue problem (TPQEP), the reciprocal relationship of the eigenvalues can be maintained. In this paper, we outline four recently developed structure-preserving algorithms, SA, SDA, TSHIRA and GTSHIRA, for solving the TPQEP. Numerical comparisons on the accuracy and the computational costs of these algorithm are presented. The eigenvalues close to unit circle on the complex plane are of interest in the area of filter and sensor designs. Our numerical results show that the Arnoldi-type structure-preserving algorithms TSHIRA and GTSHIRA with re-symplectic and re-bi-isotropic processes

Calculation of band structure of three dimensional photonic crystals amounts to solving large-scale Maxwell eigenvalue problems, which are notoriously challenging due to high multiplicity of zero eigenvalue. In this paper, we try to address this problem in such a broad context that band structure of three dimensional isotropic photonic crystals with all 14 Bravais lattices can be efficiently computed in a unified framework. We uncover the delicate machinery behind several key results of our work and on the basis of this new understanding we drastically simplify the derivations, proofs and arguments in our framework. In this work particular effort is made on reformulating the Bloch boundary condition for all 14 Bravais lattices in the redefined orthogonal coordinate system, and establishing eigen-decomposition of discrete partial derivative operators by systematic use of commutativity among them, which has been overlooked previously, and reducing eigen-decomposition of double-curl operator to the canonical form of a 3x3 complex skew-symmetric matrix under unitary congruence. With the validity of the novel nullspace free method in the broad context, we perform some calculations on one benchmark system to demonstrate the accuracy and efficiency of our algorithm.

In Chu (Syst Control Lett 56:303314, 2007), the pole assignment problem was considered for the control system \dot{x} = Ax + Bu with linear state-feedback \dot{x} = Ax + Bu An algorithm using the Schur form has been proposed, producing good suboptimal solutions which can be refined further using optimization. In this paper, the algorithm is improved, incorporating the minimization of the feedback gain \dot{x} = Ax + Bu It is also extended for the pole assignment of the descriptor system \dot{x} = Ax + Bu with linear state- and derivative-feedback \dot{x} = Ax + Bu Newton refinement for the solutions is discussed and several illustrative numerical examples are presented.