On two-point boundary-value problems

Summary Boundary-value problems are considered for systems of m ordinary linear differential equations of order n. For such a problem L, a canonically associated first-order problem M, with mn equations, is introduced in such a may that associates of adjoint problems are adjoint first-order problems. The solution of a boundary-value problem L is given in terms of a generalized Green's function. This work has been supported by Sandia Corporation, a prime contractor to the U. S. Atomic Energy Commission.     

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.     

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.     

Multipoint boundary-value problems with pulse effects

By using pseudoinverse matrices, we establish conditions for the existence and uniqueness of solutions of linear and weakly linear boundary-value problems for ordinary differential equations with pulse action. We consider the case where the dimension of a differential system does not coincide with the dimension of the boundary conditions.Published in Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 6, pp. 770–774, June, 1995.     

Fundamental matrix and two-point boundary-value problems

Theoretically, the solution of all linear ordinary differential equation problems, whether initial-value or two-point boundary-value problems, can be expressed in terms of the fundamental matrix. The examination of well-known two-point boundary-value methods discloses, however, the absence of the fundamental matrix in the development of the techniques and in their applications. This paper reveals that the fundamental matrix is indeed present in these techniques, although its presence is latent and appears in various guises.     

Galerkin solutions of stiff two-point boundary-value problems

Through the example of Conte (Ref. 6), the Galerkin procedure with a small number (N6) of low-degree polynomial modes is illustrated as a computationally rapid and effective technique for solving extremely stiff linear two-point boundary-value problems. Numerical solutions are provided for eigenvalue spreads ranging from 20 through 10⁶. They agree with the exact solution to at least 2N decimal places. The errors are insensitive to the eigenvalue spread. Comparisons are made with the continuation technique of Roberts and Shipman (Ref. 1), who did not succeed in solving this example for =(36,000).This work was supported in part by the National Science Foundation under Grant No. GJ-1075.     

Superconvergence phenomena in nonlinear two-point boundary-value problems

Superconvergence estimates are derived for a class of strongly nonlinear two-point boundary-value problems. The analysis considers solution and gradient superconvergence points as well as flux postprocessing formulas. Finally, the extension to parabolic problems is considered. © 1993 John Wiley & Sons, Inc.     

A comparison of several invariant imbedding algorithms for the solution of two-point boundary-value problems

A comparison of several invariant imbedding algorithms for the numerical solution of two-point boundary-value problems is presented. These include the Scott algorithm, the Kagiwada-Kalaba algorithm, the addition formulas, and the sweep method. Advantages and disadvantages of each algorithm are discussed, and numerical examples are presented.     

Bivariational bounds on solutions of two-point boundary-value problems

Bivariational principles for a linear equation in a Hilbert space are used to derive complementary upper and lower bounds on solutions of two-point boundary-value problems. The functional dependence of the bounds is exhibited, and various simplified versions of them are discussed. Illustrative examples are presented, showing encouraging accuracy with simple trial vectors.     

Cubic spline method for solving two-point boundary-value problems

In this paper, we use uniform cubic spline polynomials to derive some new consistency relations. These relations are then used to develop a numerical method for computing smooth approximations to the solution and its first, second as well as third derivatives for a second order boundary value problem. The present method outperforms other collocations, finite-difference and splines methods of the same order. Numerical illustrations are provided to demonstrate the practical use of our method.     

Back-and-forth shooting method for solving two-point boundary-value problems

The paper proposes a special iterative method for a nonlinear TPBVP of the form (t)=f(t, x(t),p(t)), (t)=g(t, x(t),p(t)), subject toh(x(0),p(0))=0,e(x(T),p(T))=0. Certain stability properties of the above differential equations are taken into consideration in the method, so that the integration directions associated with these equations respectively are opposite to each other, in contrast with the conventional shooting methods. Via an embedding and a Riccati-type transformation, the TPBVP is reduced to consecutive initial-value problems of ordinary differential equations. A preliminary numerical test is given by a simple example originating in an optimal control problem.     

Monte Carlo path-integral calculations for two-point boundary-value problems

A computational technique based on the method of path integral is studied with a view to finding approximate solutions of a class of two-point boundary-value problems. These solutions are rough solutions by Monte Carlo sampling. From the computational point of view, however, once these rough solutions are obtained for any nonlinear cases, they serve as good starting approximations for improving the solutions to higher accuracy. Numerical results of a few examples are also shown.     

The epsilon variation method in two-point boundary-value problems

This paper discusses the solution of two-point boundary-value problems by the combined technique of the introduction of partitioned equations employing the perturbation parameter and the utilization of the variational equations relative to epsilon. The combined technique is called the epsilon variation method. Two practical realizations of the method are presented with numerical examples to illustrate how in practice each of these realizations perform.     

Interval length imbedding for nonlinear two-point boundary-value problems

In problems of optimal sequential estimation, in the study of fluid and electrolyte systems, in nonlinear mechanics, and throughout applied mathematics we are confronted with solving nonlinear two-point boundary-value problems. A new approach is provided which seems especially useful when solutions are desired for a variety of interval lengths.     

Obtaining starting values for the shooting method solution of a class of two-point boundary-value problems

A method based on matching a zero of the right-hand side of the differential equations, in a two-point boundary-value problem, to the boundary conditions is suggested. Effectiveness of the procedure is tested on three nonlinear, two-point boundary-value problems.     

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.     

Solution of nonlinear two-point boundary-value problems using spline functions

Journal of Optimization Theory and Applications - This paper describes a technique for computing spline function approximations to the solution of two-point boundary-value problems. A performance...     

Interval length continuation method for solving two-point boundary-value problems

We consider the solution of the following two-point boundary-value problem: $$\begin{gathered} \dot x(t) = f(t,x(t),p(t)), \dot p(t) = g(t,x(t),p(t)), t \in [0,T], \hfill \\ h(x(0),p(0)) = 0, p(T) = q. \hfill \\ \end{gathered} $$ We propose a combination technique consisting of the interval length continuation method and the back-and-forth shooting method. Certain alternative ways of employing continuation are discussed, and some of them are well suited for the problem under consideration. As a test for the method, a numerical example of a problem originating in optimal control is given.