Collocation methods for differential-algebraic equations of index 3

Summary This article give sharp convergence results for stiffly accurate collocation methods as applied to differential-algebraic equations (DAE's) of index 3 in Hessenberg form, proving partially a conjecture of Hairer, Lubich, and Roche.     

Convergence of a class of runge-kutta methods for differential-algebraic systems of index 2

This paper deals with convergence results for a special class of Runge-Kutta (RK) methods as applied to differential-algebraic equations (DAE's) of index 2 in Hessenberg form. The considered methods are stiffly accurate, with a singular RK matrix whose first row vanishes, but which possesses a nonsingular submatrix. Under certain hypotheses, global superconvergence for the differential components is shown, so that a conjecture related to the Lobatto IIIA schemes is proved. Extensions of the presented results to projected RK methods are discussed. Some numerical examples in line with the theoretical results are included.     

Convergence results for general linear methods on singular perturbation problems

Many numerical methods used to solve Ordinary Differential Equations, or Differential Algebraic Equations can be written as general linear methods. The B-convergence results for general linear methods are for algebraically stable methods, and therefore useless for nearly A-stable methods. The purpose of this paper is to show convergence for singular perturbation problems for the class of general linear methods without assuming A-stability.     

Half-explicit Runge-Kutta methods with explicit stages for differential-algebraic systems of index 2

Usually the straightforward generalization of explicit Runge-Kutta methods for ordinary differential equations to half-explicit methods for differential-algebraic systems of index 2 results in methods of orderq≤2. The construction of higher order methods is simplified substantially by a slight modification of the method combined with an improved strategy for the computation of the algebraic solution components. We give order conditions up to orderq=5 and study the convergence of these methods. Based on the fifth order method of Dormand and Prince the fifth order half-explicit Runge-Kutta method HEDOP5 is constructed that requires the solution of 6 systems of nonlinear equations per step of integration.     

A stability result for general linear methods with characteristic function having real poles only

It is shown that there exist A-stable multistep formulae, with a characteristic function havings poles, all of which are real, with orderp satisfyingp>s+1. This contradicts the widely held belief thatp=s+1 is the maximum possible order of such a method.     

General linear methods: connection to one step methods and invariant curves

Summary We generalize a result of Kirchgraber (1986) on multistep methods. We show that every strictly stable general linear method is essentially conjugate to a one step method of the same order. This result may be used to show that general properties of one step methods carry over to general linear methods. As examples we treat the existence of invariant curves and the construction of attracting sets.     

Half-explicit Runge-Kutta methods for semi-explicit differential-algebraic equations of index 1

Summary For the numerical solution of non-stiff semi-explicit differentialalgebraic equations (DAEs) of index 1 half-explicit Runge-Kutta methods (HERK) are considered that combine an explicit Runge-Kutta method for the differential part with a simplified Newton method for the (approximate) solution of the algebraic part of the DAE. Two principles for the choice of the initial guesses and the number of Newton steps at each stage are given that allow to construct HERK of the same order as the underlying explicit Runge-Kutta method. Numerical tests illustrate the efficiency of these methods.     

On convergence conditions of waveform relaxation methods for linear differential-algebraic equations

For linear constant-coefficient differential-algebraic equations, we study the waveform relaxation methods without demanding the boundedness of the solutions based on infinite time interval. In particular, we derive explicit expression and obtain asymptotic convergence rate of this class of iteration schemes under weaker assumptions, which may have wider and more useful application extent. Numerical simulations demonstrate the validity of the theory.     

Symmetric collocation methods for linear differential-algebraic boundary value problems

Summary. We present symmetric collocation methods for linear differential-algebraic boundary value problems without restrictions on the index or the structure of the differential-algebraic equation. In particular, we do not require a separation into differential and algebraic solution components. Instead, we use the splitting into differential and algebraic equations (which arises naturally by index reduction techniques) and apply Gau?-type (for the differential part) and Lobatto-type (for the algebraic part) collocation schemes to obtain a symmetric method which guarantees consistent approximations at the mesh points. Under standard assumptions, we show solvability and stability of the discrete problem and determine its order of convergence. Moreover, we show superconvergence when using the combination of Gau? and Lobatto schemes and discuss the application of interpolation to reduce the number of function evaluations. Finally, we present some numerical comparisons to show the reliability and efficiency of the new methods. Received September 22, 2000 / Revised version received February 7, 2001 / Published online August 17, 2001     

Collocation methods for solving linear differential-algebraic boundary value problems

Summary. We consider boundary value problems for linear differential-algebraic equations with variable coefficients with no restriction on the index. A well-known regularisation procedure yields an equivalent index one problem with d differential and a=n-d algebraic equations. Collocation methods based on the regularised BVP approximate the solution x by a continuous piecewise polynomial of degree k and deliver, in particular, consistent approximations at mesh points by using the Radau schemes. Under weak assumptions, the collocation problems are uniquely and stably solvable and, if the unique solution x is sufficiently smooth, convergence of order min {k+1,2k-1} and superconvergence at mesh points of order 2k-1 is shown. Finally, some numerical experiments illustrating these results are presented. Received October 1, 1999 / Revised version received April 25, 2000 / Published online December 19, 2000     

Instability of Runge-Kutta methods when applied to linear systems of delay differential equations

Summary. This paper investigates the stability of Runge-Kutta methods when they are applied to the complex linear system of delay differential equations , where . We prove that no Runge-Kutta method preserves asymptotic stability. Received January 24, 2000 / Revised version received July 19, 2000 / Published online June 7, 2001     

Linearly implicit extrapolation methods for differential-algebraic systems

Summary We consider the numerical solution of implicit differential equations in which the solution derivative appears multiplied by a solution-dependent singular matrix. We study extrapolation methods based on two linearly implicit Euler discretizations. Their error behaviour is explained by perturbed asymptotic expansions.     

One-step and extrapolation methods for differential-algebraic systems

Summary The paper analyzes one-step methods for differential-algebraic equations (DAE) in terms of convergence order. In view of extrapolation methods, certain perturbed asymptotic expansions are shown to hold. For the special DAE extrapolation solver based on the semi-implicit Euler discretization, the perturbed order pattern of the extrapolation tableau is derived in detail. The theoretical results lead to modifications of the known code. The efficiency of the modifications is illustrated by numerical comparisons over critical examples mainly from chemical combustion.     

Convergence results for multistep Runge-Kutta methods

Summary. Recently Ch. Lubich proved convergence results for Runge-Kutta methods applied to stiff mechanical systems. The present paper discusses the new ideas necessary to extend these results to general linear methods, in particular BDF and multistep Runge-Kutta methods. Received August 9, 1993 / Revised version received May 3, 1994     

Linear and non-linear stability for general linear methods

We explore the interrelation between a number of linear and non-linear stability properties. The weakest of these,A-stability, is shown by counterexample not to imply any of the various versions ofAN-stability introduced in the paper and two of these properties, weak and strongAN-stability, are also shown not to be equivalent. Finally, another linear stability property defined here, EuclideanAN-stability, is shown to be equivalent to algebraic stability.     

A note on pseudo-symplectic Runge-Kutta methods

Aubry and Chartier introduced (1998) the concept of pseudo-symplecticness in order to construct explicit Runge-Kutta methods, which mimic symplectic ones. Of particular interest are methods of order (p, 2p), i.e., of orderp and pseudo-symplecticness order 2p, for which the growth of the global error remains linear. The aim of this note is to show that the lower bound for the minimal number of stages can be achieved forp=4 andp=5.     

On the Convergence of LMF-type Methods for SODEs

In a previous paper [3], some numerical methods for stochastic ordinary differential equations (SODEs), based on Linear Multistep Formulae (LMF), were proposed. Nevertheless, a formal proof for the convergence of such methods is still lacking. We here provide such a proof, based on a matrix formulation of the discrete problem, which allows some more insight in the structure of LMF-type methods for SODEs.     

Convergence analysis of waveform relaxation methods for neutral differential-functional systems

In this paper, the problems of convergence and superlinear convergence of continuous-time waveform relaxation method applied to Volterra type systems of neutral functional-differential equations are discussed. Under a Lipschitz condition with time- and delay-dependent right-hand side imposed on the so-called splitting function, more suitable conditions about convergence and superlinear convergence of continuous-time WR method are obtained. We also investigate the initial interval acceleration strategy for the practical implementation of the continuous-time waveform relaxation method, i.e., discrete-time waveform relaxation method. It is shown by numerical results that this strategy is efficacious and has the essential acceleration effect for the whole computation process.     

Diagonally implicit general linear methods for ordinary differential equations

We investigate some classes of general linear methods withs internal andr external approximations, with stage orderq and orderp, adjacent to the class withs=r=q=p considered by Butcher. We demonstrate that interesting methods exist also ifs+1=r=q, p=q orq+1,s=r+1=q, p=q orq+1, ands=r=q, p=q+1. Examples of such methods are constructed with stability function matching theA-acceptable generalized Padé approximations to the exponential function.The work of Z. Jackiewicz was partially supported by the National Science Foundation under grant NSF DMS-9208048.     

Boundary value methods for the solution of differential-algebraic equations

Summary Boundary value techniques for the solution of initial value problems of ODEs, despite their apparent higher cost, present some important advantages over initial value methods. Among them, there is the possibility to have greater accuracy, to control the global error, and to have an efficient parallel implementation.In this paper, the same techniques are applied to the solution of linear initial value problems of DAEs. We have considered three term numerical methods (Midpoint, Simpson, and an Adams type method) in order to obtain a block tridiagonal linear system as a discrete problem.Convergence results are stated in the case of constant coefficients, and numerical examples are given on linear time-varying problems.Work supported by the Ministero della Ricerca Scientifica, 40% project, and by the C.N.R. (contract of research # 92.00535.CT01)