Jacobi spectral solution for integral algebraic equations of index-2

This paper is concerned with obtaining the approximate solution of a class of semi-explicit Integral Algebraic Equations (IAEs) of index-2. A Jacobi collocation method including the matrix-vector multiplication representation is proposed for the IAEs of index-2. A rigorous analysis of error bound in weighted L² norm is also provided which theoretically justifies the spectral rate of convergence while the kernels and the source functions are sufficiently smooth. Results of several numerical experiments are presented which support the theoretical results.     

Numerical Integration of Differential Algebraic Systems and Invariant Manifolds

The dynamics of a differential algebraic equation takes place on a lower dimensional manifold in phase space. Applying a numerical integration scheme, it is natural to ask if and how this geometric property is preserved by the discrete dynamical system. In the index-1 case answers to this question are obtained from the singularly perturbed case treated by Nipp and Stoffer, Numer. Math. 70 (1995), 245–257, for Runge-Kutta methods and in K. Nipp and D. Stoffer, Numer. Math. 74 (1996), 305–323, for linear multistep methods. As main result of this paper it is shown that also for Runge-Kutta methods and linear multistep methods applied to a index-2 problem of Hessenberg form there is a (attractive) invariant manifold for the discrete dynamical system and this manifold is close to the manifold of the differential algebraic equation.     

Local error estimates for moderately smooth problems: Part II—SDEs and SDAEs with small noise

The paper consists of two parts. In the first part of the paper, we proposed a procedure to estimate local errors of low order methods applied to solve initial value problems in ordinary differential equations (ODEs) and index-1 differential-algebraic equations (DAEs). Based on the idea of Defect Correction we developed local error estimates for the case when the problem data is only moderately smooth, which is typically the case in stochastic differential equations. In this second part, we will consider the estimation of local errors in context of mean-square convergent methods for stochastic differential equations (SDEs) with small noise and index-1 stochastic differential-algebraic equations (SDAEs). Numerical experiments illustrate the performance of the mesh adaptation based on the local error estimation developed in this paper. The first author acknowledges support by the BMBF-project 03RONAVN and the second author support by the Austrian Science Fund Project P17253.     

Numerical solutions for some coupled nonlinear evolution equations by using spectral collocation method

In this paper, we introduce a spectral collocation method based on Lagrange polynomials for spatial derivatives to obtain numerical solutions for some coupled nonlinear evolution equations. The problem is reduced to a system of ordinary differential equations that are solved by the fourth order Runge–Kutta method. Numerical results of coupled Korteweg–de Vries (KdV) equations, coupled modified KdV equations, coupled KdV system and Boussinesq system are obtained. The present results are in good agreement with the exact solutions. Moreover, the method can be applied to a wide class of coupled nonlinear evolution equations.     

An analysis of the Prothero–Robinson example for constructing new adaptive ESDIRK methods of order 3 and 4

Explicit singly-diagonally-implicit (ESDIRK) Runge–Kutta methods have usually order reduction if they are applied on stiff ODEs, such as the example of Prothero and Robinson. It can be observed that the numerical order of convergence decreases to the stage order, which is limited to two. In this paper we analyse the Prothero–Robinson example and derive new order conditions to avoid order reduction. New third and fourth order ESDIRK methods are created, which are applied to the Prothero–Robinson example and to an index-2 DAE. Numerical examples show that the new methods have better convergence properties than usual ESDIRK methods.     

Index-aware model order reduction for differential-algebraic equations

We introduce a model order reduction (MOR) procedure for differential-algebraic equations, which is based on the intrinsic differential equation contained in the starting system and on the remaining algebraic constraints. The decoupling procedure in differential and algebraic part is based on the projector and matrix chain which leads to the definition of tractability index. The differential part can be reduced by using any MOR method, we use Krylov-based projection methods to illustrate our approach. The reduction on the differential part induces a reduction on the algebraic part. In this paper, we present the method for index-1 differential-algebraic equations. We implement numerically this procedure and show numerical evidence of its validity.     

Trajectory sensitivity analysis of hybrid systems with sliding motion

This paper concerns hybrid control systems exhibiting the sliding motion. It is assumed that the system’s motion on the switching surface is described by index-2 differential–algebraic equations (DAEs), which guarantee the accurate tracking of the sliding motion surface. For those systems the sensitivity analysis is performed with the help of solutions to system’s linearized equations. The paper states conditions under which the solutions to the linearized equations for original DAEs and the solutions to linearized equations for underlying ordinary differential equations (ODEs) exhibit similar properties. Due to the presence of sliding motion, we restrict the class of admissible control functions to piecewise differentiable functions. The presented sensitivity analysis might be useful in deriving the weak maximum principle for optimal control problems with hybrid systems exhibiting sliding motion and in establishing the global convergence of algorithms for solving those problems.     

Parameter Estimation with the Augmented Lagrangian Method for a Parabolic Equation

In this paper, we investigate the numerical identification of the diffusion parameters in a linear parabolic problem. The identification is formulated as a constrained minimization problem. By using the augmented Lagrangian method, the inverse problem is reduced to a coupled nonlinear algebraic system, which can be solved efficiently with the preconditioned conjugate gradient method. Finally, we present some numerical experiments to show the efficiency of the proposed methods, even for identifying highly discontinuous parameters.This work was partially supported by the Research Council of Norway, Grant NFR-128224/431.     

Floquet theorem for linear implicit nonautonomous difference systems

The aim of this paper is to develop the Floquet theory for linear implicit difference systems (LIDS). It is proved that any index-1 LIDS can be transformed into its Kronecker normal form. Then the Floquet theorem on the representation of the fundamental matrix of index-1 periodic LIDS has been established. As an immediate consequence, the Lyapunov reduction theorem is proved. Some applications of the obtained results are discussed.     

Preconditioned Dynamic Iteration for Coupled Differential-Algebraic Systems

The network approach to the modelling of complex technical systems results frequently in a set of differential-algebraic systems that are connected by coupling conditions. A common approach to the numerical solution of such coupled problems is based on the coupling of standard time integration methods for the subsystems. As a unified framework for the convergence analysis of such multi-rate, multi-method or dynamic iteration approaches we study in the present paper the convergence of a dynamic iteration method with a (small) finite number of iteration steps in each window. Preconditioning is used to guarantee stability of the coupled numerical methods. The theoretical results are applied to quasilinear problems from electrical circuit simulation and to index-3 systems arising in multibody dynamics.     

Existence and uniqueness of solutions of infinite systems of semilinear parabolic differential-functional equations in arbitrary domains in ordered banach spaces

We consider the Fourier first initial-boundary value problem for a weakly coupled infinite system of semilinear parabolic differential-functional equations of reaction-diffusion type in arbitrary (bounded or unbounded) domain. The right-hand sides of the system are functionals of unknown functions of the Volterra type. Differential-integral equations give examples of such equations. To prove the existence and uniqueness of the solutions, we apply the monotone iterative method. The underlying monotone iterative scheme can be used for the computation of numerical solution.     

Coupled system of Korteweg–de Vries equations type in domains with moving boundaries

We consider the initial-boundary value problem in a bounded domain with moving boundaries and nonhomogeneous boundary conditions for the coupled system of equations of Korteweg–de Vries (KdV)-type modelling strong interactions between internal solitary waves. Finite domains of wave propagation changing in time arise naturally in certain practical situations when the equations are used as a model for waves and a numerical scheme is needed. We prove a global existence and uniqueness for strong solutions for the coupled system of equations of KdV-type as well as the exponential decay of small solutions in asymptotically cylindrical domains. Finally, we present a numerical scheme based on semi-implicit finite differences and we give some examples to show the numerical effect of the moving boundaries for this kind of systems.     

Existence and Uniqueness of Open-Loop Stackelberg Equilibria in Linear-Quadratic Differential Games

We present existence and uniqueness results for a hierarchical or Stackelberg equilibrium in a two-player differential game with open-loop information structure. There is a known convexity condition ensuring the existence of a Stackelberg equilibrium, which was derived by Simaan and Cruz (Ref. 1). This condition applies to games with a rather nonconflicting structure of their cost criteria. By another approach, we obtain here new sufficient existence conditions for an open-loop equilibrium in terms of the solvability of a terminal-value problem of two symmetric Riccati differential equations and a coupled system of Riccati matrix differential equations. The latter coupled system appears also in the necessary conditions, but contrary to the above as a boundary-value problem. In case that the convexity condition holds, both symmetric equations are of standard type and admit globally a positive-semidefinite solution. But the conditions apply also to more conflicting situations. Then, the corresponding Riccati differential equations may be of H-type. We obtain also different uniqueness conditions using a Lyapunov-type approach. The case of time-invariant parameters is discussed in more detail and we present a numerical example.     

Integrability and Self-Similarity in Transient Stimulated Raman Scattering

Summary. The phenomenon of stimulated Raman scattering (SRS) can be described by three coupled PDEs which define the pump electric field, the Stokes electric field, and the material excitation as functions of distance and time. In the transient limit these equations are integrable, i.e., they admit a Lax pair formulation. Here we study this transient limit. The relevant physical problem can be formulated as an initial-boundary value (IBV) problem where both independent variables are on a finite domain. A general method for solving IBV problems for integrable equations has been introduced recently. Using this method we show that the solution of the equations describing the transient SRS can be obtained by solving a certain linear integral equation. It is interesting that this equation is identical to the linear integral equation characterizing the solution of an IBV problem of the sine-Gordon equation in light-cone coordinates. This integral equation can be solved uniquely in terms of the values of the pump and Stokes fields at the entry of the Raman cell. The asymptotic analysis of this solution reveals that the long-distance behavior of the system is dominated by the underlying self-similar solution which satisfies a particular case of the third Painlevé transcendent. This result is consistent with both numerical simulations and experimental observations. We also discuss briefly the effect of frequency mismatch between the pump and the Stokes electric fields. Received December 10, 1996; second revision received October 10, 1997; final revision received January 20, 1998     

A new Jacobi operational matrix: An application for solving fractional differential equations

In this paper, we derived the shifted Jacobi operational matrix (JOM) of fractional derivatives which is applied together with spectral tau method for numerical solution of general linear multi-term fractional differential equations (FDEs). A new approach implementing shifted Jacobi operational matrix in combination with the shifted Jacobi collocation technique is introduced for the numerical solution of nonlinear multi-term FDEs. The main characteristic behind this approach is that it reduces such problems to those of solving a system of algebraic equations which greatly simplifying the problem. The proposed methods are applied for solving linear and nonlinear multi-term FDEs subject to initial or boundary conditions, and the exact solutions are obtained for some tested problems. Special attention is given to the comparison of the numerical results obtained by the new algorithm with those found by other known methods.     

About the Sojourn Time Process in Multiphase Queueing Systems

Multiphase queueing systems (MQS) (tandem queues, queues in series) are of special interest both in theory and in practical applications (packet switch structures, cellular mobile networks, message switching systems, retransmission of video images, asembly lines, etc.). In this paper, we deal with approximations of MQS and present a heavy traffic limit theorems for the sojourn time of a customer in MQS. Functional limit theorems are proved for the customer sojourn time – an important probability characteristic of the queueing system under conditions of heavy traffic.      

Finding all Solutions of Systems of Nonlinear Equations Using the Dual Simplex Method

An efficient algorithm is proposed for finding all solutions of nonlinear equations using linear programming (LP). This algorithm is based on a simple test (termed the LP test) for nonexistence of a solution to a system of nonlinear equations in a given region. In the conventional LP test, the system of nonlinear equations is transformed into an LP problem, to which the simplex method is applied. However, although the LP test is very powerful, it requires many pivotings for each region. In this paper, we use the dual simplex method in the LP test, which makes the average number of pivotings per region much smaller (less than one, for example) and makes the algorithm very efficient. By numerical examples, it is shown that the proposed algorithm can find all solutions of systems of 200 nonlinear equations in practical computation time.     

Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model

ABSTRACT

In this paper, we investigate the pricing problem of a European-style contingent claim under a Markov-modulated exponential Lévy model. One of the main feature of this model is the modulator factor which takes into account the empirical facts observed in asset prices dynamics such as the long-term (stochastic) variability and time inhomogeneities. Using the viscosity solutions framework, we show that the value of a European-style option is the unique viscosity solution of a system of coupled linear Partial Integro-Differential Equations when the payoff function satisfies a Lipschitz condition. Moreover, we propose a numerical scheme for approximating solution of this system and discuss its stability, consistency and convergence.     

Representation of the Lagrange Multipliers for Optimal Control Problems Subject to Differential-Algebraic Equations of Index Two

Necessary conditions are derived for optimal control problems subject to index-2 differential-algebraic equations, pure state constraints, and mixed control-state constraints. Differential-algebraic equations are composite systems of differential equations and algebraic equations, which arise frequently in practical applications. The structure of the optimal control problem under consideration is exploited and special emphasis is laid on the representation of the Lagrange multipliers resulting from the necessary conditions for infinite optimization problems.The author thanks the referees for careful reading and helpful suggestions and comments.