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6, June 2011

**Numerical Approxima N A ation of Generalised R Riccati Equ uations by Iterative Decomp position Me ethod
**

Adekun Y.A.1*, K nle, Kadiri, K.O.2, Odetunde, O.S.3

1

Depa artment of Com mputer Science and Mathema e atics, Babcock University, Ilis san-Remo Ogu State, Niger un ria

ad dekunleya@g gmail.com

2

**. Dep partment Electr rical/Electronic Engineering, Federal Polyt cs technic, Offa, K Kwara State, N Nigeria
**

ka adiritoyin2007@yahoo.c com

3

. Dep partment of Ma athematical Sci ience, Olabisi O Onabanjo Univ versity, Ago-Iw woye, Ogun Sta ate,Nigeria

to odetunde@ya ahoo.co.uk

Abstract-In this paper, the Iterative Decomp I position Method d to neralized Riccat equations. We ti e is applied t solve the gen considered equations with variable coefficients, as well as s fficients. The p present method d those with constant coeff ly t presents solutions as easil computable, fast convergent ies, requiring no discretization Examples are n n. e infinite seri presented to establish the accuracy and e o efficiency of the e method. keyword: G Generalised Riccati Equations, I Iterative Decomposit tion Method.

ied solve one-dime ensional Bihar rmonic appli in [7] to s equat tions. In [8] t method w applied to solve the was varia ational problem while in [9 delay differ ms 9] rential equat tion were appr roximated usin the same m ng method. In all of these pape the results obtained show very l ers, ws reliab ble accuracy when mpared com with exact

solut tions, and with results obtaine using other k ed known meth hods. The aim of this paper is to continu the ue INTRODUCTION N ication of the It terative Decom mposition on G General appli Ricca Equations. ati The l layout of the re of the paper is as follows: est r In section 2, the t analysis of the erative Ite

I.

The Ric ccati equations find applicatio in Random ons m processes, optimal control, network analysis and d problem, as well as in Finance mathematics. e diffusion p The solutio of Riccati equations have been obtained ons e e d using some traditional nu e umerical metho such as the ods e Euler meth hod, and the Runge-Kutta m R method. Newer r numerical schemes have been applied by [3]. The e d e popular Ad domian Decom mposition Meth ADM has hod s been appli in [2, 6] to solve the non ied o nlinear Riccati i equations. In [10],the Homotopy An H nalysis Method d tion of Riccati i was used to obtain the analytic solut equations. he work is the need d Th basic motivation for this w for a solut tion technique which can be applied with e e h relative ea ase, and requi iring minimal mathematical l details, wit thout any loss of accuracy or e o efficiency. The e Iterative D Decomposition Method (ID n DM) has been n

omposition Me ethod IDM for Riccati equati ions is Deco prese ented. We nex present the application o the xt e of meth developed in section 2 to some examp in hod ples sectio 3. A concl on lusion is drawn on the meth n hod, in sectio 4. on

II. So olution Techni ique By Iterat Decompos tive sition Meth hod Con nsider the General Riccati Diffe

rentia Equation. al

re Wher funct tions Equa ation (i) can b written in the form be

are scalar

310

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(IJCSIS) International Journal of Computer Science and Information Security, Vol. 9, No. 6, June 2011

Where th differential operator L is gi he o iven by The Unive erse operator is thus the int i tegral operator r defined by y Applying t universe op the perator (4) on (2), it follows s that

Numerical Examples Example 3.1 sider the R Riccati equation Cons coeff ficients III

with

co onstant

The e exact solution of the problem is m

The I Iterative Decom mposition Met thod gives

The iterativ Decomposit ve tion method as ssumes that the e unknown f function can be expres ssed in terms of f an infinite series of the fo orm where so that the e

t can be determined iteratively b component To convey the idea of the method, a well as for y as r completene of the tech ess hnique [7] we c see that (8) can ) is of the fo orm where k is a constant and d is the n nonlinear term. We can decompose the nonlinear term a n as

We t thus have an ap pproximation

Table 1 e Exact Solution t 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0

Approximate solution b IDM by 0.09966798 81 0.19737370 04 0.29128522 272 0.37974602 26 0.46116290 031 0.53368786 643 0.59467219 936 0.63989270 089 0.66254907 771 0.65196588 824

rror Er

From (8) a (10), equati (9) is equiv and ion valent to

0.099667994 0.197375320 0.291312612 0.379948962 0.462117157 0.537049366 0.604367777 0.664036770 0.716297870 0.761594155

1.3 E-8 1.616 E-6 2.738 E-5 2.029 E-4 9.543 E-4 3.362 E-3 9.696 E-3 2.414 E-2 5.375 E-2 1.096 E-1

Table 1 shows the nume erical comparison o results for Exam 3.1 of mple ned on obtain from our present scheme and the exact solutio at a numbe of points in the interval [0, 1]. Error is def er fined as

,… Thus,

mple Exam 3.2 Cons sider the Riccat equation with variable coef ti h fficient

The e exact solution of the problem is m and Appl lying the Itera ative Decompo osition Metho we od, have

311

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(IJCSIS) International Journal of Computer Science and Information Security, Vol. 9, No. 6, June 2011

quation. Int. M Math. For. 2 (56 2759-2770 6): Eq 20 007 Then, [4] H. He, Varia ational iteration method for n utonomous ord dinary different systems. Appl. tial au Math. Comput. 1 M 114:115-123. 2 2000 ariational itera ation method fo or [5] L. Junfeng, Va solving two-poi boundary v s int value problems. J. Comput. Appl. 2006 C [6] T T.Ramesh Rao, The use of Ad domian Decomposition M D Method for Sol lving Generalis sed Ri iccati Differential Equations. Proc. 6th. IM ., MT-GT Co Math. Stat Appl.: 935-9 2010 onf. t. 941. [7] O Taiwo, S, Od O. detunde, and Y Adekunle, Y. Numerical App N proximation of One Dimensio onal Biharmonic Eq B quations by an I Iterative decomposition Method, Int. J. Math. Sc. 20 (1): d 34-44. 2009 3 [8] O Taiwo, and S Odetunde, N O. S. Numerical Approximation of Variational Problems by a A l an Iterative Decom I mposition Meth hod, Maejo J. M Math. 3 (03): 426-4 2009 433 [9] O Taiwo, and S Odetunde, Ap O. S. Approximation of Delay Different Equations by a Decompo D tial osition Method, Asian J. Math. Stat. 3 1-7. 2010 M 3: [10] Y. Tan, and S. Abbasbandy, Homotopy ana alysis method for qua m adratic Riccati differential equations. Com e mmun. Nonlin. Sci. Numer. Simul. doi:10.1016/j.c d cnsns.2006

We thus ha an approximation for y (t as ave t)

Table 2: t Exact Solution 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0

App proximate Solu ution by IDM 0.0 0.10 0000000000 0.20 0000000000 0.30 0000000000 0.40 0000000000 0.50 0000000000 0.60 0000000000 0.70 0000000000 0.80 0000000000 0.90 0000000001 1.00 0000000837

Error 0.0 1.000E-26 1.000E-26 1.257E-26 3.954E-22 1.218E-18 8.636E-16 2.220E-13 2.717E-11 1.886E-9 8.372E-8

ws 2 Table 2 show the comparison of the exact solution of Example 3.2 with the solut tion obtained by th Iterative Decom he mposition Method.

IV. Conclusion mples in the pr revious section, From the given exam t cheme is very e efficient for the e we see that our current sc classes of Riccati equa f ations. The a approximations s obtained a reasonably accurate, wh are y hen compared d with the ex solutions, even for very fe terms of the xact e ew e approxima ating infinite series. Th he level of f mathematical computatio required is very minimal, on mely low com mputational cos The present st. t with extrem method, on the whole, is very efficien and accurate n s nt e for the Ri iccati equation with consta coefficients ns ant s and those w variable coefficients. with c NCES REFEREN [1] G. Do omian, Solving Frontier problems in Physic The Decomp cs: position Metho Kluwer od. Academ Publishers Dordrecht. 19 mic s, 994 hnasawi, M. El-Tawil, and A. Abdel-Naby, [2] A. Bah Solving Riccati Differential Equation using ns Adomia Decompositi Method., Ap Math. an ion Appl. Comput 157: 503-514 2004 t. 4 atiha, M. Noora I. Hashim, Application of ani, f [3] B. Ba Variatio onal Iteration Method to a Ge M eneral Riccati

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In this paper, the Iterative Decomposition Method is applied to solve the generalized Riccati equations. We considered equations with variable coefficients, as well as those with constant coefficie...

In this paper, the Iterative Decomposition Method is applied to solve the generalized Riccati equations. We considered equations with variable coefficients, as well as those with constant coefficients. The present method presents solutions as easily computable, fast convergent infinite series, requiring no discretization. Examples are presented to establish the accuracy and efficiency of the method.

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