Numerical solution of singular perturbation problems via deviating arguments

We present a new approach to numerically solving linear, singularly perturbed two point boundary value problems in ordinary differential equations with a boundary layer on the left end of the interval. The original problem is divided into outer and inner region problems. A terminal boundary condition in the implicit form is derived. Then, the outer region problem is solved as a two point boundary value problem (TPBVP), and an explicit terminal boundary condition is obtained. In turn, a new inner region problem is obtained and solved as a TPBVP using the explicit terminal boundary condition. The proposed method is iterative on the terminal point of the inner region. Some numerical examples have been solved to demonstrate the applicability of the method.     

Multipoint Boundary-Value Solution of Two-Point Boundary-Value Problems

An iterative scheme, in which two-point boundary-value problems (TPBVP) are solved as multipoint boundary-value problems (MPBVP), which are independent TPBVPs in each iteration and on each subdomain, is derived for second-order ordinary differential equations. Several equations are solved for illustration. In particular, the algorithm is described in detail for the first boundary-value problem (FBVP) and second boundary-value problem (SBVP). A possible extension to higher-order BVPs is discussed briefly. The procedure may be used when the original TPBVP cannot be solved (does not converge) in a single long domain. It is suitable for implementation on computers with parallel processing. However, that issue is beyond the scope of this paper. The long domain is cut into a large number of subdomains and, based on assumed boundary conditions at the interface points, the resulting local BVPs are solved by any convenient conventional method. The local solutions are then patched by using simple matching formulas, which are derived below, rather than solving large systems of algebraic equations, as it is done in similar existing methods. Assuming that the local solutions are obtained by the most efficient methods, the overall convergence speed depends on the speed of matching. The proposed matching algorithm is based on a fixed-point iteration and has only a linear convergence rate. The rate can be made quadratic by applying standard accelerating schemes, which is beyond the scope of this article.     

Numerical treatment of singularly perturbed two point boundary value problems

We propose a method for numerically solving linear singularly perturbed two point boundary value problems in ordinary differential equations with a boundary layer on the left end of the underlying interval. This is a practical method and can be easily implemented on a computer. The original problem is divided into inner and outer region differential equation systems. The reduced problem is solved to obtain the terminal boundary condition. Then, a new inner region problem is created and solved as a two point boundary value problem (TPBVP). In turn, the outer region problem is also solved as a TPBVP. Both these TPBVPs are efficiently treated by employing a slightly modified classical finite difference scheme coupled with discrete invariant imbedding algorithm to obtain the numerical solutions. The stability of some recurrence relations involved in the algorithm is investigated. The proposed method is iterative on the terminal point. Some numerical examples are included, and the computational results are compared with exact solutions. It is observed that the accuracy predicted can always be achieved with very little computational effort.     

Cubic spline method for a class of nonlinear singularly-perturbed boundary-value problems

In this paper, we present a numerical method for solving a class of nonlinear, singularly perturbed two-point boundary-value problems with a boundary layer on the left end of the underlying interval. The original second-order problem is reduced to an asymptotically equivalent first-order problem and is solved by a numerical method using a fourth-order cubic spline in the inner region. The method has been analyzed for convergence and is shown to yield anO(h ⁴) approximation to the solution. Some test examples have been solved to demonstrate the efficiency of the method.The authors thank the referee for his helpful comments.     

A time-decomposition algorithm for a stiff linear two-point boundary-value problem and its application to a nonlinear optimal control problem

An algorithm is proposed to solve a stiff linear two-point boundary-value problem (TPBVP). In a stiff problem, since some particular solutions of the system equation increase and others decrease rapidly as the independent variable changes, the integration of the system equation suffers from numerical errors. In the proposed algorithm, first, the overall interval of integration is divided into several subintervals; then, in each subinterval a sub-TPBVP with arbitrarily chosen boundary values is solved. Second, the exact boundary values which guarantee the continuity of the solution are determined algebraically. Owing to the division of the integration interval, the numerical error is effectively reduced in spite of the stiffness of the system equation. It is also shown that the algorithm is successfully imbedded into an interaction-coordination algorithm for solving a nonlinear optimal control problem.The authors would like to thank Mr. T. Sera and Mr. H. Miyake for their help with the calculations.     

Approximate method for the numerical solution of singular perturbation problems

We present an approximate method for the numerical solution of linear singularly perturbed two point boundary value problems in ordinary differential equations with a boundary layer on the left end of the underlying interval. It is motivated by the asymptotic behavior of singular perturbation problems. The original problem is divided into inner and outer region problems. The reduced problem is solved to obtain the terminal boundary condition. Then, a new inner region problem is created and solved as a two point boundary value problem. In turn, the outer region problem is also modified and the resulting problem is efficiently treated by employing the trapezoidal formula coupled with discrete invariant imbedding algorithm. The proposed method is iterative on the terminal point. Some numerical experiments have been included to demonstrate its applicability.     

Asymptotic Initial-Value Method for Singularly-Perturbed Boundary-Value Problems for Second-Order Ordinary Differential Equations

A computational method is presented to solve a class of nonturning-point singularly-perturbed two-point boundary-value problems for second-order ordinary differential equations with a small parameter multiplying the highest derivative, subject to Dirichlet-type boundary conditions. In this method, first we construct a zeroth order asymptotic expansion for the solution of the given boundary-value problem. Then, this problem is integrated to get an equivalent initial-value problem for first-order ordinary differential equations. This initial-value problem is solved by either a classical method or a fitted operator method after approximating some of the terms in the differential equations by using the zeroth order asymptotic expansion. This method is effective and easy to implement. An error estimate is derived for the numerical solution. Examples are given to illustrate the method.     

Initial-value technique for a class of nonlinear singular perturbation problems

An initial-value technique, which is simple to use and easy to implement, is presented for a class of nonlinear, singularly perturbed two-point boundary-value problems with a boundary layer on the left end of the underlying interval. It is distinguished by the following fact: The original second-order problem is replaced by an asymptotically equivalent first-order problem and is solved as an initial-value problem. Numerical experience with several examples is described.     

Parallel computation of two-point boundary-value problems via particular solutions

Nonlinear two-point boundary-value problems (TPBVP) can be reduced to the iterative solution of a sequence of linear problems by means of quasilinearization techniques. Therefore, the efficient solution of linear problems is the key to the efficient solution of nonlinear problems.Among the techniques available for solving linear two-point boundary-value problems, the method of particular solutions (MPS) is particularly attractive in that it employs only one differential system, the original nonhomogeneous system, albeit with different initial conditions. This feature of MPS makes it ideally suitable for implementation on parallel computers in that the following requirements are met: the computational effort is subdivided into separate tasks (particular solutions) assigned to the different processors; the tasks have nearly the same size; there is little intercommunication between the tasks.For the TPBVP, the speedup achievable is ofO(n), wheren is the dimension of the state vector, hence relatively modest for the differential systems of interest in trajectory optimization and guidance. This being the case, we transform the TPBVP into a multi-point boundary-value problem (MPBVP) involvingm time subintervals, withm–1 continuity conditions imposed at the interface of contiguous subintervals. For the MPBVP, the speedup achievable is ofO(mn), hence substantially higher than that achievable for the TPBVP. It reduces toO(m) if the parallelism is implemented only in the time domain and not in the state domain.A drawback of the multi-point approach is that it requires the solution of a large linear algebraic system for the constants of the particular solutions. This drawback can be offset by exploiting the particular nature of the interface conditions: if the vector of constants for the first subinterval is known, the vector of constants for the subsequent subintervals can be obtained with linear transformations. Using decomposition techniques together with the discrete version of MPS, the size of the linear algebraic system for the multi-point case becomes the same as that for the two-point case.Numerical tests on the Intel iPSC/860 computer show that substantial speedup can be achieved via parallel algorithms vis-a-vis sequential algorithms. Therefore, the present technique has considerable interest for real-time trajectory optimization and guidance.Dedicated to the Memory of Professor Jan M. SkowronskiThis paper, based on Refs. 1–3, is a much condensed version of the material contained in these references.The technical assistance of the Research Center on Parallel Computation of Rice University, Houston, Texas is gratefully acknowledged.     

A nonasymptotic method for singular perturbation problems

In this paper, an approximate method for the numerical integration of singularly perturbed two-point boundary-value problems with a boundary layer on the left end of the underlying interval is presented. The method is distinguished by the following fact: the original second-order differential equation is replaced by an approximate first-order differential equation with a small deviating argument and is solved efficiently by employing the Simpson rule, coupled with the discrete invariant imbedding algorithm. The proposed method is iterative on the deviating argument. Several numerical examples have been solved to demonstrate the applicability of the method.     

A noniterative algebraic solution for Riccati equations satisfying two-point boundary-value problems

A noniterative algebraic method is presented for solving differential Riccati equations which satisfy two-point boundary-value problems. This class of numerical problems arises in quadratic optimization problems where the cost functionals are composed of both continuous and discrete state penalties, leading to piecewise periodic feedback gains. The necessary condition defining the solution for the two-point boundary value problem is cast in the form of a discrete-time algebraic Riccati equation, by using a formal representation for the solution of the differential Riccati equation. A numerical example is presented which demonstrates the validity of the approach.The authors would like to thank Dr. Fernando Incertis, IBM Madrid Scientific Center, who reviewed this paper and pointed out that the two-point boundary-value necessary condition could be manipulated into the form of a discrete-time Riccati equation. His novel approach proved to be superior to the authors' previously proposed iterative continuation method.     

New initial-value method for singularly perturbed boundary-value problems

An initial-value method is given for second-order singularly perturbed boundary-value problems with a boundary layer at one endpoint. The idea is to replace the original two-point boundary value problem by two suitable initial-value problems. The method is very easy to use and to implement. Nontrivial text problems are used to show the feasibility of the given method, its versatility, and its performance in solving linear and nonlinear singularly perturbed problems.This work was supported in part by the Consiglio Nazionale delle Ricerche, Contract No. 86.02108.01, and in part by the Ministero della Pubblica Istruzione.     

An inexact Newton method for nonlinear two-point boundary-value problems

The method of quasilinearization for nonlinear two-point boundary-value problems is an application of Newton's method to a nonlinear differential operator equation. Since the linear boundary-value problem to be solved at each iteration must be discretized, it is natural to consider quasilinearization in the framework of an inexact Newton method. More importantly, each linear problem is only a local model of the nonlinear problem, and so it is inefficient to try to solve the linear problems to full accuracy. Conditions on size of the relative residual of the linear differential equation can then be specified to guarantee rapid local convergence to the solution of the nonlinear continuous problem. If initial-value techniques are used to solve the linear boundary-value problems, then an integration step selection scheme is proposed so that the residual criteria are satisfied by the approximate solutions. Numerical results are presented that demonstrate substantial computational savings by this type of economizing on the intermediate problems.This work was supported in part by DOE Contract DE-AS05-82-ER13016 and NSF Grant RII-89-17691 and was part of the author's doctoral thesis at Rice University. It is a pleasure to thank the author's thesis advisors, Professor R. A. Tapia and Professor J. E. Dennis, Jr.     

Solution of Two-Point Boundary-Value Problems Using the Differential Transformation Method

This paper considers two-point boundary-value problems using the differential transformation method. An iterative procedure is proposed for both the linear and nonlinear cases. Using the proposed approach, an analytic solution of the two-point boundary-value problem, represented by an mth-order Taylor series expansion, can be obtained throughout the prescribed range.     

Numerical integration of a class of singular perturbation problems

In this paper, we discuss an approximate method for the numerical integration of a class of linear, singularly perturbed two-point boundary-value problems in ordinary differential equations with a boundary layer on the left end of the underlying interval. This method requires a minimum of problem preparation and can be implemented easily on a computer. We replace the original singular perturbation problem by an approximate first-order differential equation with a small deviating argument. Then, we use the trapezoidal formula to obtain the three-term recurrence relationship. Discrete invariant imbedding algorithm is used to solve a tridiagonal algebraic system. The stability of this algorithm is investigated. The proposed method is iterative on the deviating argument. Several numerical experiments have been included to demonstrate the efficiency of the method.The authors wish to express their sincere thanks to Dr. S. M. Roberts for his comments and valuable suggestions.     

A nonasymptotic method for general linear singular perturbation problems

The nonasymptotic method developed in Ref. 1 has been extended for solving general linear singularly perturbed two-point boundary-value problems. Firstly, we discuss problems with a right-hand boundary layer. Secondly, we discuss problems with an interior layer. Finally, we discuss problems with two boundary layers. Numerical experience with the method for some model problems is also reported to confirm the theoretical analysis.     

Numerical solution of unstable two-point boundary-value problems by quasilinearization and orthonormalization

This paper reports on a method of numerical solution of sensitive nonlinear two-point boundary-value problems. The method consists of a modification of the continuation technique in quasilinearization obtained by combination with an orthogonalization procedure for linear boundary-value problems.This work was supported by CNR, Rome, Italy, within the framework of GNAFA.     

Boundary-value technique to solve linear state regulator problems

In this paper, a method is proposed to solve free endpoint optimal control problems with linear state and quadratic cost. After translating the problem into a two-point boundary-value problem (TPBVP) that arises from the optimization of the Hamiltonian, two pointst ₁ andt ₂,t ₁<t ₂, belonging to the given interval of integration [t ₀,t _f], are chosen and conditions are derived at these points appropriately. Then, letting =(t–t ₀)/, =(t _f–t)/, the -scaled, the original, and the -scaled TPBVP's are solved on the intervals [t ₀,t ₁], [t ₁,t ₂], and [t ₂,t _f] respectively as boundary-value problems.The authors are deeply indebted to Dr. S. M. Roberts for his valuable comments and suggestions, which improved the clarity of the paper.     

Resolvent kernels of Green's function kernels and other finite-rank modifications of Fredholm and Volterra kernels

Many important Fredholm integral equations have separable kernels which are finite-rank modifications of Volterra kernels. This class includes Green's functions for Sturm-Liouville and other two-point boundary-value problems for linear ordinary differential operators. It is shown how to construct the Fredholm determinant, resolvent kernel, and eigenfunctions of kernels of this class by solving related Volterra integral equations and finite, linear algebraic systems. Applications to boundary-value problems are discussed, and explicit formulas are given for a simple example. Analytic and numerical approximation procedures for more general problems are indicated.This research was sponsored by the United States Army under Contract No. DAA29-75-C-0024.     

Multipoint solution of two-point boundary-value problems

The purpose of this paper is to report on the application of multipoint methods to the solution of two-point boundary-value problems with special reference to the continuation technique of Roberts and Shipman. The power of the multipoint approach to solve sensitive two-point boundary-value problems with linear and nonlinear ordinary differential equations is exhibited. Practical numerical experience with the method is given.Since employment of the multipoint method requires some judgment on the part of the user, several important questions are raised and resolved. These include the questions of how many multipoints to select, where to specify the multipoints in the interval, and how to assign initial values to the multipoints.Three sensitive numerical examples, which cannot be solved by conventional shooting methods, are solved by the multipoint method and continuation. The examples include (1) a system of two linear, ordinary differential equations with a boundary condition at infinity, (2) a system of five nonlinear ordinary differential equations, and (3) a system of four linear ordinary equations, which isstiff.The principal results are that multipoint methods applied to two-point boundary-value problems (a) permit continuation to be used over a larger interval than the two-point boundary-value technique, (b) permit continuation to be made with larger interval extensions, (c) converge in fewer iterations than the two-point boundary-value methods, and (d) solve problems that two-point boundary-value methods cannot solve.