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A '''rational difference equation''' is a nonlinear [[difference equation]] of the form<ref>[http://books.google.com/books?id=4Kb3lO31NcAC&printsec=frontcover&dq=on+third+order+rational+difference+equations&source=bl&ots=JSV5xuGLO3&sig=Y_oeukThSmjZhsLRbloxDPuHnSg&hl=en&ei=artgTOvYOcL-8Ab2lMTgCQ&sa=X&oi=book_result&ct=result&resnum=6&ved=0CCsQ6AEwBQ#v=onepage&q&f=false Dynamics of third-order rational difference equations with open problems and Conjectures]</ref><ref name="Ladas-Kulenovic">[http://books.google.com/books?id=zW7N4r64aZgC&printsec=frontcover&dq=on+second+order+rational+difference+equations&hl=en&ei=5b9gTPvTLoH78AaA6fyQCQ&sa=X&oi=book_result&ct=result&resnum=1&ved=0CC8Q6AEwAA#v=onepage&q&f=false Dynamics of Second-order rational difference equations with open problems and Conjectures]</ref> | |||
: <math>x_{n+1} = \frac{\alpha+\sum_{i=0}^k \beta_ix_{n-i}}{A+\sum_{i=0}^k B_ix_{n-i}},</math> | |||
where the initial conditions <math>x_{0}, x_{-1},\dots, x_{-k}</math> are such that the denominator is never zero for any <math>n</math>. | |||
==First-order rational difference equation== | |||
A '''first-order rational difference equation''' is a nonlinear [[difference equation]] of the form | |||
: <math>w_{t+1} = \frac{aw_t+b}{cw_t+d}.</math> | |||
When <math>a,b,c,d</math> and the initial condition <math>w_{0}</math> are real numbers, this difference equation is called a '''Riccati difference equation'''.<ref name="Ladas-Kulenovic"/> | |||
Such an equation can be solved by writing <math>w_t</math> as a nonlinear transformation of another variable <math>x_t</math> which itself evolves linearly. Then standard methods can be used to solve the linear [[Recurrence relation#Solving|difference equation]] in <math>x_t</math>. | |||
== Solving a first-order equation== | |||
===First approach=== | |||
One approach <ref>Brand, Louis, "A sequence defined by a difference equation," ''[[American Mathematical Monthly]]'' 62, September 1955, 489–492.</ref> to developing the transformed variable <math>x_t</math>, when <math>ad-bc \neq 0</math>, is to write | |||
: <math>y_{t+1}= \alpha - \frac{\beta}{y_t}</math> | |||
where <math>\alpha = (a+d)/c</math> and <math>\beta = (ad-bc)/c^{2}</math> and where <math>w_t = y_t -d/c</math>. Further writing <math>y_t = x_{t+1}/x_t</math> can be shown to yield | |||
: <math>x_{t+2} - \alpha x_{t+1} + \beta x_t =0. \,</math> | |||
===Second approach=== | |||
This approach <ref>Mitchell, Douglas W., "An analytic Riccati solution for two-target discrete-time control," ''[[Journal of Economic Dynamics and Control]]'' 24, 2000, 615–622.</ref> gives a first-order difference equation for <math>x_t</math> instead of a second-order one, for the case in which <math>(d-a)^{2}+4bc</math> is non-negative. Write <math>x_t = 1/(\eta + w_t)</math> implying <math>w_t = (1- \eta x_t)/x_t</math>, where <math>\eta</math> is given by <math>\eta = (d-a+r)/2c</math> and where <math>r=\sqrt{(d-a)^{2}+4bc}</math>. Then it can be shown that <math>x_t</math> evolves according to | |||
: <math>x_{t+1} = \frac{(d-\eta c)x_t}{\eta c+a} + \frac{c}{\eta c+a}.</math> | |||
==Application== | |||
It was shown in <ref>Balvers, Ronald J., and Mitchell, Douglas W., "Reducing the dimensionality of linear quadratic control problems," ''[[Journal of Economic Dynamics and Control]]'' 31, 2007, 141–159.</ref> that a dynamic [[matrix Riccati equation]] of the form | |||
: <math> H_{t-1} = K +A'H_tA - A'H_tC(C'H_tC)^{-1}C'H_tA, \,</math> | |||
which can arise in some discrete-time [[optimal control]] problems, can be solved using the second approach above if the matrix ''C'' has only one more row than column. | |||
==References== | |||
<references/> | |||
==See also== | |||
* Newth, Gerald, "World order from chaotic beginnings," ''[[Mathematical Gazette]]'' 88, March 2004, 39-45, for a [[trigometry|trigonometric]] approach. | |||
* Simons, Stuart, "A non-linear difference equation," ''Mathematical Gazette'' 93, November 2009, 500-504. | |||
{{DEFAULTSORT:Rational Difference Equation}} | |||
[[Category:Algebra|Algebra]] | |||
[[Category:Recurrence relations|Recurrence relations]] |
Revision as of 20:59, 27 December 2013
A rational difference equation is a nonlinear difference equation of the form[1][2]
where the initial conditions are such that the denominator is never zero for any .
First-order rational difference equation
A first-order rational difference equation is a nonlinear difference equation of the form
When and the initial condition are real numbers, this difference equation is called a Riccati difference equation.[2]
Such an equation can be solved by writing as a nonlinear transformation of another variable which itself evolves linearly. Then standard methods can be used to solve the linear difference equation in .
Solving a first-order equation
First approach
One approach [3] to developing the transformed variable , when , is to write
where and and where . Further writing can be shown to yield
Second approach
This approach [4] gives a first-order difference equation for instead of a second-order one, for the case in which is non-negative. Write implying , where is given by and where . Then it can be shown that evolves according to
Application
It was shown in [5] that a dynamic matrix Riccati equation of the form
which can arise in some discrete-time optimal control problems, can be solved using the second approach above if the matrix C has only one more row than column.
References
- ↑ Dynamics of third-order rational difference equations with open problems and Conjectures
- ↑ 2.0 2.1 Dynamics of Second-order rational difference equations with open problems and Conjectures
- ↑ Brand, Louis, "A sequence defined by a difference equation," American Mathematical Monthly 62, September 1955, 489–492.
- ↑ Mitchell, Douglas W., "An analytic Riccati solution for two-target discrete-time control," Journal of Economic Dynamics and Control 24, 2000, 615–622.
- ↑ Balvers, Ronald J., and Mitchell, Douglas W., "Reducing the dimensionality of linear quadratic control problems," Journal of Economic Dynamics and Control 31, 2007, 141–159.
See also
- Newth, Gerald, "World order from chaotic beginnings," Mathematical Gazette 88, March 2004, 39-45, for a trigonometric approach.
- Simons, Stuart, "A non-linear difference equation," Mathematical Gazette 93, November 2009, 500-504.