Solving a certain matrix differential equation

linear algebramatricesordinary differential equationssymmetric matrices

I am trying to solve the following differential equation. All the matrices here are on $\mathbb{R}$.

Let $\sigma$ be a time $t$ dependent $2n \times 2n$ Hermitian matrix. I want to solve the following equation,
\begin{equation}
\frac{\mathrm{d}\sigma}{\mathrm{d}t}=A\sigma+\sigma A^T +D,
\end{equation}

where $A$ is any $2n \times 2n$ matrix and $D$ is a positive semi-definite $2n \times 2n$ matrix given to us i.e. independent of $t$. $A^T$ denotes transpose of $A$.

How to get the conditions for existance/stability of solution(s)? Furthermore is it possible to get a general formula of the solution of the above equation?

In fact I want to consider solutions which are positive definite. However I did not work in ODE earlier, and not getting any clue of how to proceed. The problem is that though the right hand side is a Hermitain matrix, I don't know how the spectral decomposition will look like. Advanced thanks for any clue, comment, suggessions, references.

Best Answer

So startting from this post that deals with the homogeneous case, we take variation of constants to handle with $D$: (the verification of the formula will also be part of the calculation).

$$ \sigma=e^{tA}C(t)(e^{tA})^T\\ \Rightarrow \sigma'=Ae^{tA}C(t)(e^{tA})^T+e^{tA}C'(t)(e^{tA})^T+e^{tA}C(t)(e^{tA}A)^T $$

here we have used basic properties of the matrix exponential and the matrix product rule, see e.g. formulas (33), (39) and (476) in the matrix cookbook. Using the ODE we see that

$$ \sigma'=\underbrace{Ae^{tA}C(t)(e^{tA})^T}_{=A\sigma}+e^{tA}C'(t)(e^{tA})^T+\underbrace{e^{tA}C(t)(e^{tA}A)^T}_{=\sigma A^T}\stackrel{!}{=}A\sigma+\sigma A^T +D\\ \Leftrightarrow e^{tA}C'(t)(e^{tA})^T=D\\\ \Leftrightarrow C'(t)= e^{-tA}D(e^{-tA})^T\\ \Leftrightarrow C=\int_0^t e^{-sA}D(e^{-sA})^Tds+C_0 $$

This gives $$ \sigma=e^{tA}\left(\int_0^t e^{-sA}D(e^{-sA})^Tds\right)(e^{tA})^T+e^{tA}\sigma_0(e^{tA})^T $$

as the full solution of the matrix ODE.

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