Rosenbrock methods for Differential Algebraic Equations

Summary This paper deals with the numerical solution of Differential/Algebraic Equations (DAE) of index one. It begins with the development of a general theory on the Taylor expansion for the exact solutions of these problems, which extends the well-known theory of Butcher for first order ordinary differential equations to DAE's of index one. As an application, we obtain Butcher-type results for Rosenbrock methods applied to DAE's of index one, we characterize numerical methods as applications of certain sets of trees. We derive convergent embedded methods of order 4(3) which require 4 or 5 evaluations of the functions, 1 evaluation of the Jacobian and 1 LU factorization per step.     

ROS3P—An Accurate Third-Order Rosenbrock Solver Designed for Parabolic Problems

In this note we present a new Rosenbrock solver which is third-order accurate for nonlinear parabolic problems. Since Rosenbrock methods suffer from order reduction when they are applied to partial differential equations, additional order conditions have to be satisfied. Although these conditions have been known for a longer time, from the practical point of view only little has been done to construct new methods. Steinebach modified the well-known solver RODAS of Hairer and Wanner to preserve its classical order four for special problem classes including linear parabolic equations. His solver RODASP, however, drops down to order three for nonlinear parabolic problems. Our motivation here was to derive an efficient third-order Rosenbrock solver for the nonlinear situation. Such a method exists with three stages and two function evaluations only. A comparison with other third-order methods shows the substantial potential of our new method.This revised version was published online in October 2005 with corrections to the Cover Date.     

A comparison of Rosenbrock and ESDIRK methods combined with iterative solvers for unsteady compressible flows

In this article, we endeavour to find a fast solver for finite volume discretizations for compressible unsteady viscous flows. Thereby, we concentrate on comparing the efficiency of important classes of time integration schemes, namely time adaptive Rosenbrock, singly diagonally implicit (SDIRK) and explicit first stage singly diagonally implicit Runge-Kutta (ESDIRK) methods. To make the comparison fair, efficient equation system solvers need to be chosen and a smart choice of tolerances is needed. This is determined from the tolerance TOL that steers time adaptivity. For implicit Runge-Kutta methods, the solver is given by preconditioned inexact Jacobian-free Newton-Krylov (JFNK) and for Rosenbrock, it is preconditioned Jacobian-free GMRES. To specify the tolerances in there, we suggest a simple strategy of using TOL/100 that is a good compromise between stability and computational effort. Numerical experiments for different test cases show that the fourth order Rosenbrock method RODASP and the fourth order ESDIRK method ESDIRK4 are best for fine tolerances, with RODASP being the most robust scheme.     

MODIFIED PARALLEL ROSENBROCK METHODS FOR STIFF DIFFERENTIAL EQUATIONS

1. IntroductionIn many fields of science and engineering technology, we often meet with stiff ordinarydifferential equations. In order to solve these systems, we have to use the implicit methods,which lneans that nonlinear implicit equations must be solve…     

Comparing the contractivity properties of semi-implicit methods

Contractivity is a desirable property of numerical integration methods for stiff systems of ordinary differential equations. In this paper, numerical parameters are used to allow a direct and quantitative comparison of the contractivity properties of various methods for non-linear stiff problems. Results are provided for popular Rosenbrock methods and some more recently developed semi-implicit methods.     

New Rosenbrock W-Methods of Order 3 for Partial Differential Algebraic Equations of Index 1

In this note new Rosenbrock methods for ODEs, DAEs, PDEs and PDAEs of index 1 are presented. These solvers are of order 3, have 3 or 4 internal stages, and fulfil certain order conditions to obtain a better convergence if inexact Jacobians and approximations of are used. A comparison with other Rosenbrock solvers shows the advantages of the new methods. AMS subject classification (2000) 34A09, 65L80     

求解刚性常微分方程的并行广义Rosenbrock方法

本文构造了求解刚性常微分方程的并行广义Rosenbrock方法（PEROWs），分析了方法的收敛性和数值稳定性。通过用Powell方法优化方法的稳定域，构造了二级四阶并行格式PEROW4，并证明该方法是A－稳定的。新方法比同级的并行Rosenbrock方法MPROW3及PRM3均高一阶，因而在计算精度上处于优势。此外，PEROW4能使得各处理机上的负载基本均衡，从而达到非常理想的加速比和并行效率。     

Time integration of index 1 DAEs with Rosenbrock methods using Krylovsubspace techniques

The derivation of Rosenbrock‐Krylov methods for index 1 DAEs involves two well known techniques: a limit process which transforms a singular perturbed ODE to an index 1 DAE and the use of Krylov iterations instead of direct linear solvers for the stage equations. We show that our derived class of Rosenbrock‐Krylov schemes is independent of the order in which we apply these techniques. We also conclude that for convergence a rather accurate solution of the algebraic part is always needed.     

A semiexplicit method for numerical solution of functional differential algebraic equations

We study systems with delay effect that contain additional algebraic relations. We propose semiexplicit numerical methods of the Rosenbrock type. We prove the solvability of equations of a numerical model and estimate the order of the global error. The chosen parameters provide the third order of the error.     

On minimum configuration Rosenbrock methods

A new structure is proposed for Rosenbrock methods for solving stiff ordinary differential equations, which facilitates the development of minimum configuration processes (minimum computational work per step). A fourth order process is described.     

IMPLICIT-EXPLICIT RUNGE-KUTTA-ROSENBROCK METHODS WITH ERROR ANALYSIS FOR NONLINEAR STIFF DIFFERENTIAL EQUATIONS

Implicit-explicit Runge-Kutta-Rosenbrock methods are proposed to solve nonlinear stiff ordinary differential equations by combining linearly implicit Rosenbrock methods with ex-plicit Runge-Kutta methods.First,the general order conditions up to order 3 are obtained.Then,for the nonlinear stiff initial-value problems satisfying the one-sided Lipschitz condi-tion and a class of singularly perturbed initial-value problems,the corresponding errors of the implicit-explicit methods are analysed.At last,some numerical examples are given to verify the validity of the obtained theoretical results and the effectiveness of the methods.     

组合RK-Rosenbrock方法及其稳定性分析

１．引言 在研究和设计宇航飞行器时,常常会遇到刚性大系统,他们具有特殊结构,系统的解分量有的变化很快,而有的变化很慢。我们可将其分解成两个耦合的子系统;其中（１）式为刚性子系统,（２）式为非刚性子系统。 由于子系统（１）是刚性的,因而整个系统也是刚性的,所以需要采用适合于求解刚性方程的隐式或半隐式方法来求解。但是,在很多情况中,刚性方程组（１）仅占整个方程组的很小一部分,而且右函数相当简单,因而整个右函数计算量主要集中在非刚性方程组（２）上。另一方面,这种对整个方程组采用同一个数值积分方法来处理的…     

Positively invariant cones of dynamical systems under Runge‐Kutta and Rosenbrock‐type discretization

In this paper we consider positively invariant cones of finite dimensional dynamical systems and study conditions on the time step‐size that guarantee the discrete positive invariance of these cones under Runge‐Kutta and Rosenbrock‐type methods. We conclude quite simple sufficient conditions, which involve the positivity (or absolute monotonicity) radius of the Runge‐Kutta schemes and its generalization when the Rosenbrock‐type methods are applied. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Order results for Rosenbrock type methods on classes of stiff equations

Summary In this paper we give conditions for theB-convergence of Rosenbrock type methods when applied to stiff semi-linear systems. The convergence results are extended to stiff nonlinear systems in singular perturbation form. As a special case partitioned methods are considered. A third order method is constructed.Dedicated to the memory of Professor Lothar Collatz     

An L(a)-stable fourth order Rosenbrock method with error estimator

The computation of stiff systems of ordinary differential equations requires highly stable processes, and this led to the development of L-stable Rosenbrock methods, sometimes called generalized Runge-Kutta or semi-implicit Runge-Kutta methods. They are linearly implicit, and require one Jacobian evaluation and at least one matrix factorization per step. In this paper we develop some results regarding minimum process configuration (i.e. minimum work per step for a given order). As a consequence we then develop an efficient L(a)-stable (a = 89°) fourth order process (fifth order locally), with a reference formula error estimator similar to that of Fehlberg and England.     

Numerical solution of the finite horizon stochastic linear quadratic control problem

The treatment of the stochastic linear quadratic optimal control problem with finite time horizon requires the solution of stochastic differential Riccati equations. We propose efficient numerical methods, which exploit the particular structure and can be applied for large‐scale systems. They are based on numerical methods for ordinary differential equations such as Rosenbrock methods, backward differentiation formulas, and splitting methods. The performance of our approach is tested in numerical experiments.     

Solving Differential Matrix Equations using Parareal

Differential matrix equations appear in many applications like optimal control of partial differential equations, balanced truncation model order reduction of linear time varying systems and many more. Here, we will focus on differential Riccati equations (DRE). Solving such matrix-valued ordinary differential equations (ODE) is a highly time consuming process. We present a Parareal based algorithm applied to Rosenbrock methods for the solution of the matrix-valued differential Riccati equations. Considering problems of moderate size, direct matrix equation solvers for the solution of the algebraic Lyapunov equations arising inside the time intgration methods are used. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

PARALLEL ROSENBROCK METHODS FOR SOLVING STIFF SYSTEMS IN REAL-TIME SIMULATION

1. IntroductionIn the fields of astronautics engineering and continuous system simulation, manymodels are described by stiff ODE's. In order to simulate (especially in real-time) thesesystems we have to use speedy algorithms so as to complete the computation withinthe designated time. Papers [5,7,8] present parallel-iterated Runge-Kutta methods andimplicit Runge-Kutta methods. Although these methods have higher stabilityt a heavierworkload will be imposed by the iteration. And our inabilit…     

求解时滞微分方程组的Rosenbrock方法的GP-稳定性

讨论了求解延时微分方程组的Rosenbrock方法的数值稳定性,分析了求解线性试验方程组的Rosenbrock方法的稳定性态,并证明了数值求解延时微分方程组的Rosenbrock方法是GP-稳定的充分必要条件是Rosenbrock方法是A-稳定的．     

A multirate W-method for electrical networks in state–space formulation

Subunits of coupled technical systems typically behave on differing time scales, which are often separated by several orders of magnitude. An ordinary integration scheme is limited by the fastest changing component, whereas so-called multirate methods employ an inherent step size for each subsystem to exploit these settings. However, the realization of the coupling terms is crucial for any convergence. Thus the approach to return to one-step methods within the multirate concept is promising. This paper introduces the multirate W-method for ordinary differential equations and gives a theoretical discussion in the context of partitioned Rosenbrock–Wanner methods. Finally, the MATLAB implementation of an embedded scheme of order (3)2 is tested for a multirate version of Prothero–Robinson's equation and the inverter-chain-benchmark.