Learning Outcomes
Upon successful completion of the course, students should understand and analyze and solve optimal control problems with constraints initial value problems and differential equations as well as systems of linear differential equations. Understand the role of continuous problem stability of such systems, the order of accuracy/convergence and various stability properties of numerical methods for the aforementioned systems. Know the basic numerical methods for initial value problems, as well as their advantages and disadvantages. To be able to implement the aforementioned methods on the computer.
Course Content (Syllabus)
Optimal control with PDE constraints and matrices numerical calculations. Numerical stability, convergence rates, numerical solving and system conditioning of such systems. Elementary orthogonal transformations. QR factorization and least squares solutions. Eigenvalue problem. Calculation of Schur and Jordan forms. The problem of generalized eigenvalues. SVD factorization. Solving systems. Exponential matrix sensitivity. The method of series. The method of matrix factorization. Errors in solving systems. Discretization of continuous systems. Solving PDE optimal control systems. Condition number. Newton's method. The method of sign matrices. The method of eigensystems. The method of generalized eigensystems.