Numerical diagnostics of solution blowup in differential equations

New simple and robust methods have been proposed for detecting poles, logarithmic poles, and mixed-type singularities in systems of ordinary differential equations. The methods produce characteristics of these singularities with a posteriori asymptotically precise error estimates. This approach is applicable to an arbitrary parametrization of integral curves, including the arc length parametrization, which is optimal for stiff and ill-conditioned problems. The method can be used to detect solution blowup for a broad class of important nonlinear partial differential equations, since they can be reduced to huge-order systems of ordinary differential equations by applying the method of lines. The method is superior in robustness and simplicity to previously known methods.     

Rational ODEs with Movable Algebraic Singularities

A class of second-order rational ordinary differential equations, admitting certain families of formal algebraic series solutions, is considered. For all solutions of these equations, it is shown that any movable singularity that can be reached by analytic continuation along a finite-length curve is an algebraic branch point. The existence of these formal series expansions is straightforward to determine for any given equation in the class considered. We apply the theorem to a family of equations, admitting different kinds of algebraic singularities. As a further application we recover the known fact for generic values of parameters that the only movable singularities of solutions of the Painlevé equations   P_II – P   _VI   are poles.     

Traveling Wavelets for the Simulation of a Hele–Shaw Flow with Surface Tension

The singularity dynamics of two immiscible fluids in a Hele-Shaw cell is studied using the traveling wavelet method. The singularities of the conformal mapping of the flow are accurately approximated by the solutions of a system of ordinary differential equations for the position of couples of zeros and poles. This model also describes secondary tip-splitting instabilities and remains valid for values of the surface tension and time intervals where previous perturbative calculations do not apply.     

Asymptotic representations of solutions of essentially nonlinear cyclic systems of ordinary differential equations

We obtain asymptotic representations for a class of solutions of cyclic systems of ordinary differential equations with properly varying singularities.     

Numerical solution of the Cauchy problem for the Painlevé I and II equations

A numerical method for solving the Cauchy problem for the first and second Painlevé differential equations is proposed. The presence of movable poles of the solution is allowed. The positions of the poles are not a priori known and are determined in the process of solving the equation. The proposed method is based on the transition to an auxiliary system of differential equations in a neighborhood of a pole. The equations in this system and its solution have no singularities in either the pole or its neighborhood. Numerical results confirming the efficiency of this method are presented.     

Numerical solution of the Painlevé IV equation

A numerical method for solving the Cauchy problem for the fourth Painlevé equation is proposed. The difficulty of the problem is that the unknown function can have movable singular points of the pole type; moreover, the equation may have singularities at the points where the solution vanishes. The positions of poles and zeros of the solution are not a priori known and are determined in the process of solving the equation. The proposed method is based on the transition to auxiliary systems of differential equations in neighborhoods of the indicated points. The equations in these systems and their solutions have no singularities in the corresponding point and its neighborhood. Numerical results confirming the efficiency of this method are presented.     

Generic singularities of implicit systems of first order differential equations on the plane

For the implicit systems of first order ordinary differential equations on the plane there is presented the complete local classification of generic singularities of family of its phase curves up to smooth orbital equivalence. Besides the well-known singularities of generic vector fields on the plane and the singularities described by a generic first order implicit differential equations, there exists only one generic singularity described by the implicit first order equation supplied by Whitney umbrella surface generically embedded to the space of directions on the plane.     

Second order singular periodic problems in the presence of dry friction

We prove, via an approach by ordinary differential equations, the existence of oscillations for second order inclusions with restoring terms with singularities both of repulsive and attractive type and with a dry friction term.

     

Polynomial Hamiltonian systems with movable algebraic singularities

The singularity structure of solutions of a class of Hamiltonian systems of ordinary differential equations in two dependent variables is studied. It is shown that for any solution, all movable singularities obtained by analytic continuation along a rectifiable curve are at most algebraic branch points.     

Numerical method of solution to loaded nonlocal boundary value problems for ordinary differential equations

A numerical method is suggested for solving systems of nonautonomous loaded linear ordinary differential equations with nonseparated multipoint and integral conditions. The method is based on the convolution of integral conditions into local ones. As a result, the original problem is reduced to an initial value (Cauchy) problem for systems of ordinary differential equations and linear algebraic equations. The approach proposed is used in combination with the linearization method to solve systems of loaded nonlinear ordinary differential equations with nonlocal conditions. An example of a loaded parabolic equation with nonlocal initial and boundary conditions is used to show that the approach can be applied to partial differential equations. Numerous numerical experiments on test problems were performed with the use of the numerical formulas and schemes proposed.     

ODE-IVP-PACK via Sinc indefinite integration and Newton's method

This paper describes a package of computer programs for the unified treatment of initial-value problems for systems of ordinary differential equations. The programs implement a numerical method which is efficient for a general class of differential equations. The user may determine the solutions over finite or infinite intervals. The solutions may have singularities at the end-points of the interval for which the solution is sought. Besides giving the initial values and the analytical expression for the differential equations to be solved the user needs to specify the nature of the singularities and give some other analytical information as described in the paper in order to take advantage of the speed and accuracy of the package described here. This revised version was published online in June 2006 with corrections to the Cover Date.     

On the resolution of singularities of ordinary differential systems

We show how some differential geometric ideas help to resolve some singularities of ordinary differential systems. Hence a singular problem is replaced by a regular one, which facilitates further analysis of the system. The methods employed are constructive and the regularized systems can also be used for numerical computations. This revised version was published online in June 2006 with corrections to the Cover Date.     

On geometric dynamics of rigid multi-body systems

Standard methods to model multibody systems are aimed at systems with configuration spaces isomorphic to ℝⁿ . This limitation leads to singularities and other artifacts in case the configuration space has a different topology, for example in the case of ball joints or a free-floating mechanism. This paper discusses an extension of classical methods to allow for a very general class of joints, including all joints with a Lie group structure. The model equations are derived using the Boltzmann-Hamel equations and have very similar structure and complexity as obtained using classical methods, but they do not suffer from singularities. Furthermore, the equations are explicit differential equations that can be directly implemented in simulation software. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

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.     

MIP-based instantaneous control of mixed-integer PDE-constrained gas transport problems

We study the transient optimization of gas transport networks including both discrete controls due to switching of controllable elements and nonlinear fluid dynamics described by the system of isothermal Euler equations, which are partial differential equations in time and 1-dimensional space. This combination leads to mixed-integer optimization problems subject to nonlinear hyperbolic partial differential equations on a graph. We propose an instantaneous control approach in which suitable Euler discretizations yield systems of ordinary differential equations on a graph. This networked system of ordinary differential equations is shown to be well-posed and affine-linear solutions of these systems are derived analytically. As a consequence, finite-dimensional mixed-integer linear optimization problems are obtained for every time step that can be solved to global optimality using general-purpose solvers. We illustrate our approach in practice by presenting numerical results on a realistic gas transport network.     

The central two-point connection problem of Heun's class of differential equations

Boundary-value problems of ordinary, linear, homogeneous second-order differential equations belong to the most important and thus well-investigated problems in mathematical physics. This statement is true only as long asirregular singularities of the differential equation at hand are not involved. If singular points of irregular type enter the problem one will hardly find a systematic investigation of such a topic from a practical point of view. This paper is devoted to an outline of an approach to boundary-value problems of the class of Heun's differential equation when irregular singularities may be located at the endpoints of the relevant interval. We present an approach to the central two-point connection problem for all of these equations in a quite uniform manner. The essential point is an investigation of the Birkhoff sets of irregular difference equations, which, on the one hand, gives a detailed insight into the structure of the singularities of the underlying differential equation and, on the other hand, yields the basis of quite convenient algorithms for numerical investigations of the boundary values.The text published here is the author's original text with slight editorial changes.Institut für Theoretische und Angewandte Physik, Universität Stuttgart. Published in Russian in Teoreticheskaya i Matematicheskaya Fizika, Vol. 101, No. 3, pp. 360–368, December, 1994.     

A Direct Proof that Solutions of the Six Painlevé Equations Have No Movable Singularities Except Poles

The Painlevé property of an nth-order differential equation is that no solution has any movable singularities other than poles. This property is strongly indicative of complete integrability (the existence of n ? 1 integrals). However, the usual technique employed to test for the Painlevé property seeks only movable algebraic (or logarithmic) singularities. More general singularities are ignored. But, the six standard Painlevé equations are known to have no such singularities. Painlevé's proof of this is long and laborious; we give here a direct proof.     

On the self-adjoint nonlinear eigenvalue problem for Hamiltonian systems of ordinary differential equations with singularities

Certain properties of the nonlinear self-adjoint eigenvalue problem for Hamiltonian systems of ordinary differential equations with singularities are examined. Under certain assumptions on the way in which the matrix of the system and the matrix specifying the boundary condition at a regular point depend on the spectral parameter, a numerical method is proposed for determining the number of eigenvalues lying on a prescribed interval of the spectral parameter.     

Two new approaches to computing Hopf bifurcation problems

We consider the computation of Hopf bifurcation for ordinary differential equations. Two new extended systems are given for the calculation of Hopf bifurcation problems: the first is composed of differential-algebraic equations with index 1, the other consists of differential equations by using a symmetry inherited from the autonomous system of ordinary differential equations. Both methods are especially suitable for calculating bifurcating periodic solutions since they transform the Hopf bifurcation problem into regular nonlinear boundary value problems which are very easy to implement. The bifurcation solutions become isolated solutions of the extended system so that our methods work both in the subcritical and supercritical case. The extended systems are based on an additional parameter ε; practical experience shows that one gets convergence for ε sufficiently large so that a substantial part of the bifurcating branch can be computed. The two methods are illustrated by numerical examples and compared with other procedures.