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    Computer Methods For Ordinary Differential Equations and Differential-Algebraic Ons

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    Aya Ahmed

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    Computer Methods For Ordinary Differential Equations and Differential-Algebraic Ons

    Uploaded by

    Aya Ahmed
    5 views5 pages

    Original Title

    243362633

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    5 views5 pages

    Computer Methods For Ordinary Differential Equations and Differential-Algebraic Ons

    Uploaded by

    Aya Ahmed

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 5

    Computer Methods

    for Ordinary
    Differential
    Equations and
    Differential-Algebraic
    V
    ons

    Uri M.
    Ascher
    University of British Columbia
    Vancouver, British Columbia, Canada

    Linda R-
    Petzold
    University of California, Santa Barbara
    Santa Barbara, California

    51HJTL.
    Society for Industrial and Applied Mathematics Philadelphia
    Contents

    List of Figures ix

    List of Tables xiii

    Preface xv

    Part I: Introduction 1

    1 Ordinary Differential Equations 3


    1.1 IVPs 5
    1.2 BVPs 10
    1.3 Differential-Algebraic Equations 12
    1.4 Families of Application Problems 13
    1.5 Dynamical Systems 17
    1.6 Notation 17

    Part II: Initial Value Problems 21

    2 On Problem Stability 23
    2.1 Test Equation and General Definitions 23
    2.2 Linear, Constant-Coefficient Systems 26
    2.3 Linear, Variable-Coefficient Systems 29
    2.4 Nonlinear Problems 31
    2.5 Hamiltonian Systems 32
    2.6 Notes and References 34
    2.7 Exercises 34

    3 Basic Methods, Basic Concepts 37


    3.1 A Simple Method: Forward Euler 37
    3.2 Convergence, Accuracy, Consistency, and O-Stability 39
    3.3 Absolute Stability 44
    3.4 Stiffness: Backward Euler 49
    3.4.1 Backward Euler 51
    3.4.2 Solving Nonlinear Equations 52
    vi Contents

    3.5 A-Stability, Stiff Decay 56


    3.6 Symmetry: Trapezoidal Method 59
    3.7 Rough Problems 61
    3.8 Software, Notes, and References 65
    3.8.1 Notes 65
    3.8.2 Software 66
    3.9 Exercises 67

    4 One-Step Methods 73
    4.1 The First Runge-Kutta Methods 74
    4.2 General Formulation of Runge-Kutta Methods 80
    4.3 Convergence, O-Stability, and Order for Runge-Kutta Methods 82
    4.4 Regions of Absolute Stability for Explicit Runge-Kutta Meth-
    ods 87
    4.5 Error Estimation and Control 90
    4.6 Sensitivity to Data Perturbations 95
    4.7 Implicit Runge-Kutta and Collocation Methods 98
    4.7.1 Implicit Runge-Kutta Methods Based on Collocation 101
    4.7.2 Implementation and Diagonally Implicit Methods . . . 103
    4.7.3 Order Reduction 106
    4.7.4 More on Implementation and Singly Implicit Runge-
    Kutta Methods 107
    4.8 Software, Notes, and References 108
    4.8.1 Notes 108
    4.8.2 Software 110
    4.9 Exercises Ill

    5 Linear Multistep Methods 123


    5.1 The Most Popular Methods 124
    5.1.1 Adams Methods 124
    5.1.2 BDF 129
    5.1.3 Initial Values for Multistep Methods 129
    5.2 Order, 0-Stability, and Convergence 131
    5.2.1 Order 1 132
    5.2.2 Stability: Difference Equations and the Root Condi-
    tion 135
    5.2.3 O-Stability and Convergence .137
    5.3 Absolute Stability 141
    5.4 Implementation of Implicit Linear Multistep Methods . . . . 143
    5.4.1 Functional Iteration 143
    5.4.2 Predictor-Corrector Methods 144
    5.4.3 Modified Newton Iteration 145
    5.5 Designing Multistep General-Purpose Software 146
    5.5.1 Variable Step-Size Formulae 147
    5.5.2 Estimating and Controlling the Local Error . . . . . . 149
    Contents vii

    5.5.3 Approximating the Solution at Off-Step Points . . . . 152


    5.6 Software, Notes, and References 152
    5.6.1 Notes 152
    5.6.2 Software 153
    5.7 Exercises 153

    Part III: Boundary Value Problems 161


    6 More Boundary Value Problem Theory and Applications 163
    6.1 Linear BVPs and Green's Function 166
    6.2 Stability of BVPs 168
    6.3 BVP Stiffness 172
    6.4 Some Reformulation Tricks . 173
    6.5 Notes and References 174
    6.6 Exercises 174

    7 Shooting 177
    7.1 Shooting: A Simple Method and Its Limitations 177
    7.1.1 Difficulties 179
    7.2 Multiple Shooting 182
    7.3 Software, Notes, and References 185
    7.3.1 Notes 185
    7.3.2 Software 186
    7.4 Exercises 186

    8 Finite Difference Methods for Boundary Value Problems 193


    8.1 Midpoint and Trapezoidal Methods 194
    8.1.1 Solving Nonlinear Problems: Quasi-Linearization . . . 196
    8.1.2 Consistency, O-Stability, and Convergence 200
    8.2 Solving the Linear Equations 203
    8.3 Higher-Order Methods 205
    8.3.1 Collocation 205
    8.3.2 Acceleration Techniques 207
    8.4 More on Solving Nonlinear Problems 209
    8.4.1 Damped Newton 209
    8.4.2 Shooting for Initial Guesses 210
    8.4.3 Continuation ^ . x 210
    8.5 Error Estimation and Mesh Selection 212
    8.6 Very Stiff Problems 214
    8.7 Decoupling 219
    8.8 Software, Notes, and References 220
    8.8.1 Notes 220
    8.8.2 Software 221
    8.9 Exercises 222
    viii Contents

    Part IV: Differential-Algebraic Equations 229

    9 More on Differential-Algebraic Equations 231


    9.1 Index and Mathematical Structure 232
    9.1.1 Special DAE Forms 238
    9.1.2 DAE Stability 244
    9.2 Index Reduction and Stabilization: ODE with Invariant . . . 247
    9.2.1 Reformulation of Higher-Index DAEs 247
    9.2.2 ODEs with Invariants 249
    9.2.3 State Space Formulation 252
    9.3 Modeling with DAEs 253
    9.4 Notes and References 255
    9.5 Exercises 256

    10 Numerical Methods for Differential-Algebraic Equations 261


    10.1 Direct Discretization Methods 262
    10.1.1 A Simple Method: Backward Euler 263
    10.1.2 BDF and General Multistep Methods 266
    10.1.3 Radau Collocation and Implicit Runge—Kutta Meth-
    ods 268
    10.1.4 Practical Difficulties 274
    10.1.5 Specialized Runge-Kutta Methods for Hessenberg In-
    dex-2 DAEs 279
    10.2 Methods for ODEs on Manifolds 280
    10.2.1 Stabilization of the Discrete Dynamical System . . . . 281
    10.2.2 Choosing the Stabilization Matrix F 285
    10.3 Software, Notes, and References 288
    10.3.1 Notes 288
    10.3.2 Software 290
    10.4 Exercises 291

    Bibliography 299

    Index 307

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