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COMMENTS
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Conjecture: (i) a(n) > 0 for all n > 0, and a(n) = 1 only for n = 9, 11, 15, 23, 33, 71, 129, 167, 187, 473, 4^k*m (k = 0,1,2,... and m = 1, 22, 38, 278). Also, any positive integer can be written as x^2 + y^2 + z^2 + w^2 with 9*(x+2*y)^2 + 16*z^2 + 24*w^2 a square, where x is a positive integer and y,z,w are nonnegative integers.
(ii) Any natural number can be written as x^2 + y^2 + z^2 + w^2 with x,y,z,w nonnegative integers and (a*x-b*y)^2 + c*z^2 + d*w^2 a square, provided that (a,b,c,d) is among the quadruples (4,8,1,8), (12,24,1,24), (2,4,5,40), (3,6,7,9), (3,9,7,9), (3,6,7,63), (1,2,8,16), (1,2,8,40), (3,6,8,40), (2,6,9,12), (3,5,9,15), (4,8,9,16), (12,24,9,16), (3,6,15,25), (3,6,16,24), (3,12,16,24), (6,9,16,24), (9,12,16,24), (4,8,16,41), (8,12,16,41), (3,6,16,48), (6,9,16,48), (2,3,16,56), (3,6,28,63), (2,4,36,45), (6,12,40,45), (7,14,56,64) and (2,6,57,60).
(iii) Let a and be positive integers with a <= b and gcd(a,b) squarefree. Then any natural number can be written as x^2 + y^2 + z^2 + w^2 with x,y,z,w nonnegative integers and (a*x+b*y)*z a square, if and only if (a,b) is among the ordered pairs (1,1), (1,2), (1,3), (2,5), (3,3), (3,6), (3,15), (5,6), (5,11), (5,13), (6,15), (8,46) and (9,23).
(iv) Let a and b be positive integers with a <= b and gcd(a,b) squarefree. Then, any natural number can be written as x^2 + y^2 + z^2 + w^2 with x,y,z,w nonnegative integers and (a*x^2+b*y^2)*z a square, if and only if (a,b) is among the ordered pairs (3,13), (5,11), (15,57), (15,165) and (138,150).
There are many ordered pairs (a,b) of integers with gcd(a,b) squarefree such that any natural number can be written as x^2 + y^2 + z^2 + w^2 with x,y,z,w integers and a*x^2 + b*y^2 a square. For example, we have shown that (1,-1), (2,-2), (3,-3) and (1,2) are indeed such ordered pairs.
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