Strong Stability Preserving Integrating Factor Runge-Kutta Methods for Differential Lyapunov Equations with Positivity Preservation

Abstract

This paper introduces second- and third-order integrating factor strong stability preserving Runge-Kutta methods for solving differential Lyapunov equations. The proposed schemes break the traditional order barrier while rigorously preserving the symmetry and positive semidefiniteness (SPSD) of numerical solutions-an essential property for stability analysis and control-theoretic applications. Furthermore, we provide a rigorous error estimate for the second-order scheme. Numerical experiments validate the accuracy of the methods and their ability to maintain SPSD properties.