A composition law for Runge-Kutta methods applied to index-2 differential-algebraic equations

This paper presents a new composition law for Runge-Kutta methods when applied to index-2 differential-algebraic systems. Applications of this result to the study of the order of composite methods and of symmetric methods are given.     

On differential equations for Sobolev-type Laguerre polynomials

The Sobolev-type Laguerre polynomials are orthogonal with respect to the inner product

where , and . In 1990 the first and second author showed that in the case and the polynomials are eigenfunctions of a unique differential operator of the form

where are independent of . This differential operator is of order if is a nonnegative integer, and of infinite order otherwise. In this paper we construct all differential equations of the form

where the coefficients , and are independent of and the coefficients , and are independent of , satisfied by the Sobolev-type Laguerre polynomials . Further, we show that in the case and the polynomials are eigenfunctions of a linear differential operator, which is of order if is a nonnegative integer and of infinite order otherwise. Finally, we show that in the case and the polynomials are eigenfunctions of a linear differential operator, which is of order if is a nonnegative integer and of infinite order otherwise.

     

Dissipativity of Runge-Kutta methods for Volterra functional differential equations

This paper is concerned with the numerical dissipativity of nonlinear Volterra functional differential equations (VFDEs). We give some dissipativity results of Runge-Kutta methods when they are applied to VFDEs. These results provide unified theoretical foundation for the numerical dissipativity analysis of systems in ordinary differential equations (ODEs), delay differential equations (DDEs), integro-differential equations (IDEs), Volterra delay integro-differential equations (VDIDEs) and VFDEs of other type which appear in practice. Numerical examples are given to confirm our theoretical results.     

Parallel continuous Runge-Kutta methods and vanishing lag delay differential equations

We present an explicit Runge-Kutta scheme devised for the numerical solution ofdelay differential equations (DDEs) where a delayed argument lies in the current Runge-Kutta interval. This can occur when the lag is small relative to the stepsize, and the more obvious extensions of the explicit Runge-Kutta method produce implicit equations. It transpires that the scheme is suitable forparallel implementation for solving both ODEs and more general DDEs. We associate our method with a Runge-Kutta tableau, from which the order of the method can be determined. Stability will affect the usefulness of the scheme and we derive the stability equations of the scheme when applied to the constant-coefficient test DDEu(t)=u(t) +u(t –), where the lag and the Runge-Kutta stepsizeH _n H are both constant. (The case=0 is treated separately.) In the case that 0, we consider the two distinct possibilities: (i) H and (ii)<H.In memory of Professor Leslie Fox, Balliol College, OxfordWork performed in part at The University of Auckland, New Zealand.This paper is presented as an outcome of the LMS Durham Symposium convened by Professor C.T.H. Baker on 4th–14th July 1992 with support from the SERC under Grant reference number GR/H03964.     

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.     

Non-stiff integrators for differential–algebraic systems of index 2

Non-stiff differential-algebraic equations (DAEs) can be solved efficiently by partitioned methods that combine well-known non-stiff integrators from ODE theory with an implicit method to handle the algebraic part of the system. In the present paper we consider partitioned one-step and partitioned multi-step methods for index-2 DAEs in Hessenberg form and the application of these methods to constrained mechanical systems. The methods are presented from a unified point of view. The comparison of various classes of methods is completed by numerical tests for benchmark problems from the literature. This revised version was published online in June 2006 with corrections to the Cover Date.     

B-Theory of Runge-Kutta methods for stiff Volterra functional differential equations

B-stability and B-convergence theories of Runge-Kutta methods for nonlinear stiff Volterra func-tional differential equations(VFDEs)are established which provide unified theoretical foundation for the studyof Runge-Kutta methods when applied to nonlinear stiff initial value problems(IVPs)in ordinary differentialequations(ODEs),delay differential equations(DDEs),integro-differential equatioons(IDEs)and VFDEs of     

On the iterative solution of the algebraic equations in fully implicit Runge-Kutta methods

This paper deals with the iterative solution of stage equations which arise when some fully implicit Runge-Kutta methods, in particular those based on Gauss, Radau and Lobatto points, are applied to stiff ordinary differential equations. The error behaviour in the iterates generated by Newton-type and, particularly, by single-Newton schemes which are proposed for the solution of stage equations is studied. We consider stiff systems y'(t) = f(t,y(t)) which are dissipative with respect to a scalar product and satisfy a condition on the relative variation of the Jacobian of f(t,y) with respect to y, similar to the condition considered by van Dorsselaer and Spijker in [7] and [17]. We prove new convergence results for the single-Newton iteration and derive estimates of the iteration error that are independent of the stiffness. Finally, some numerical experiments which confirm the theoretical results are presented. This revised version was published online in June 2006 with corrections to the Cover Date.     

A stability property of A-stable collocation-based Runge-Kutta methods for neutral delay differential equations

We consider a linear homogeneous system of neutral delay differential equations with a constant delay whose zero solution is asymptotically stable independent of the value of the delay, and discuss the stability of collocation-based Runge-Kutta methods for the system. We show that anA-stable method preserves the asymptotic stability of the analytical solutions of the system whenever a constant step-size of a special form is used.     

Uniform attractors of nonautonomous index 2 differential algebraic equations under discretization

The long-time behaviour of Runge–Kunge discretizationsis investigated when applied to a smooth nonautonomous index2 differential algebraic equation (DAE) with a cocycle structure,i.e. a DAE driven by an autonomous dynamical system, which isassumed to have a uniform attractor. It is shown that the cocyclestructure of the continuous dynamics is preserved under discretizationand that a uniform forward or pullback attractor of the DAEpersists under discretization by a Runge–Kutta schemewith the component subsets of the numerical attractor convergingupper semicontinuously to their continuous time counterparts.     

Construction of two-step Runge-Kutta methods of high order for ordinary differential equations

The construction of two-step Runge-Kutta methods of order p and stage order q=p with stability polynomial given in advance is described. This polynomial is chosen to have a large interval of absolute stability for explicit methods and to be A-stable and L-stable for implicit methods. After satisfying the order and stage order conditions the remaining free parameters are computed by minimizing the sum of squares of the difference between the stability function of the method and a given polynomial at a sufficiently large number of points in the complex plane. This revised version was published online in August 2006 with corrections to the Cover Date.     

Runge-Kutta time discretizations of nonlinear dissipative evolution equations

Global error bounds are derived for Runge-Kutta time discretizations of fully nonlinear evolution equations governed by -dissipative vector fields on Hilbert spaces. In contrast to earlier studies, the analysis presented here is not based on linearization procedures, but on the fully nonlinear framework of logarithmic Lipschitz constants in order to extend the classical -convergence theory to infinite-dimensional spaces. An algebraically stable Runge-Kutta method with stage order is derived to have a global error which is at least of order or , depending on the monotonicity properties of the method.

     

非线性中立型泛函微分方程Runge-Kutta 法的稳定性和收敛性

本文涉及Runge-Kutta 法变步长求解非线性中立型泛函微分方程(NFDEs) 的稳定性和收敛性.为此, 基于Volterra 泛函微分方程Runge-Kutta 方法的B- 理论, 引入了中立型泛函微分方程Runge-Kutta 方法的EB (expanded B-theory)-稳定性和EB-收敛性概念. 之后获得了Runge-Kutta 方法变步长求解此类方程的EB - 稳定性和EB- 收敛性. 这些结果对中立型延迟微分方程和中立型延迟积分微分方程也是新的.     

Numerical solutions of index-1 differential algebraic equations can be computed in polynomial time

The cost of solving an initial value problem for index-1 differential algebraic equations to accuracy ɛ is polynomial in ln(1/ɛ). This cost is obtained for an algorithm based on the Taylor series method for solving differential algebraic equations developed by Pryce. This result extends a recent result by Corless for solutions of ordinary differential equations. The results of the standard theory of information-based complexity give exponential cost for solving ordinary differential equations, being based on a different model.     

Nonlinear differential algebraic equations

We consider a system of nonlinear ordinary differential equations that are not solved with respect to the derivative of the unknown vector function and degenerate identically in the domain of definition. We obtain conditions for the existence of an operator transforming the original system to the normal form and prove a general theorem on the solvability of the Cauchy problem.     

The Waveform Relaxation method for systems of differential/algebraic equations

This paper reports efforts towards establishing a parallel numerical algorithm known as Waveform Relaxation (WR) for simulating large systems of differential/algebraic equations. The WR algorithm was established as a relaxation based iterative method for the numerical integration of systems of ODEs over a finite time interval. In the WR approach, the system is broken into subsystems which are solved independently, with each subsystem using the previous iterate waveform as “guesses” about the behavior of the state variables in other subsystems. Waveforms are then exchanged between subsystems, and the subsystems are then resolved repeatedly with this improved information about the other subsystems until convergence is achieved.

In this paper, a WR algorithm is introduced for the simulation of generalized high-index DAE systems. As with ODEs, DAE systems often exhibit a multirate behavior in which the states vary as differing speeds. This can be exploited by partitioning the system into subsystems as in the WR for ODEs. One additional benefit of partitioning the DAE system into subsystems is that some of the resulting subsystems may be of lower index and, therefore, do not suffer from the numerical complications that high-index systems do. These lower index subsystems may therefore be solved by less specialized simulations. This increases the efficiency of the simulation since only a portion of the problem must be solved with specially tailored code. In addition, this paper established solvability requirements and convergence theorems for varying index DAE systems for WR simulation.     

Global error estimation for index-1 and -2 DAEs

In this paper, we consider the extension of three classical ODE estimation techniques (Richardson extrapolation, Zadunaisky's technique and solving for the correction) to DAEs. Their convergence analysis is carried out for semi-explicit index-1 DAEs solved by a wide set of Runge-Kutta methods. Experimentation of the estimation techniques with RADAU5 is also presented: their behaviour for index-1 and -2 problems, and for variable step size integration is investigated. This revised version was published online in June 2006 with corrections to the Cover Date.     

求解延迟微分代数方程的多步Runge-Kutta方法的渐近稳定性

延迟微分代数方程(DDAEs)广泛出现于科学与工程应用领域．本文将多步Runge-Kutta方法应用于求解线性常系数延迟微分代数方程，讨论了该方法的渐近稳定性．数值试验表明该方法对求解DDAEs是有效的．     

Variable stepsize continuous two-step Runge-Kutta methods for ordinary differential equations

A general class of variable stepsize continuous two-step Runge-Kutta methods is investigated. These methods depend on stage values at two consecutive steps. The general convergence and order criteria are derived and examples of methods of orderp and stage orderq=p orq=p–1 are given forp5. Numerical examples are presented which demonstrate that high order and high stage order are preserved on nonuniform meshes with large variations in ratios between consecutive stepsizes.The work of the first author was supported by the National Science Foundation under grant NSF DMS-9208048. The work of the second author was supported by the Italian Government.