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Riccati differential equation : ウィキペディア英語版
Riccati equation
In mathematics, a Riccati equation in the narrowest sense 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) = q_0(x) + q_1(x) \, y(x) + q_2(x) \, y^2(x)
where q_0(x) \neq 0 and q_2(x) \neq 0. If q_0(x) = 0 the equation reduces to a Bernoulli equation, while if q_2(x) = 0 the equation becomes a first order linear ordinary differential equation.
The equation is named after Jacopo Riccati (1676–1754).〔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.〕
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):
If
:y'=q_0(x) + q_1(x)y + q_2(x)y^2\!
then, wherever q_2 is non-zero and differentiable, v=yq_2 satisfies a Riccati equation of the form
:v'=v^2 + R(x)v +S(x),\!
where S=q_2q_0 and R=q_1+\left(\frac\right), because
:v'=(yq_2)'= y'q_2 +yq_2'=(q_0+q_1 y + q_2 y^2)q_2 + v \frac=q_0q_2 +\left(q_1+\frac\right) v + v^2.\!
Substituting v=-u'/u, it follows that u satisfies the linear 2nd order ODE
:u''-R(x)u' +S(x)u=0 \!
since
:v'=-(u'/u)'=-(u''/u) +(u'/u)^2=-(u''/u)+v^2\!
so that
:u''/u= v^2 -v'=-S -Rv=-S +Ru'/u\!
and hence
:u'' -Ru' +Su=0.\!
A solution of this equation will lead to a solution y=-u'/(q_2u) of the original Riccati equation.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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