The approximate regularization of index-2 differential-algebraic problems (Q676155)

The index-2 Hessenberg differential-algebraic system of the form \[ x'=f(x,y,t),\qquad 0=g(x,t) \] is considered. The author proposes to apply a regularization technique based on a truncated Taylor formula and on one step of the Newton iteration applied to the single equation \(g(x,t)=0\) with respect to both variables \(x\) and \(t\). The function \(x(t)\) is considered on the discrete set of points \(t_{k+1}=t_k+h\), \(h>0\), \(x_k=x(t_k)\); hence \[ x_{k+1}=x_k+hx_k'+{{h^2}\over2}x_k'+O(h^3) \] where the term \(O(h^3)\) is to be omitted. Now the approximate increment \(x_{n+1}-x_n\) and the corresponding Newton equation are of the following form: \[ x_{n+1}-x_n\approx hx_n'+{{h^2}\over 2}x_n', \quad g_x(x_n,t_n)(hx_n'+{{h^2}\over 2}x_n')+g_t(x_n,t_n)h=0. \] If the expressions for \(x_n'\) and for \(x_n'\) obtained from the first equation and its derivative are inserted into the above Newton equation, following new system is obtained \[ x'=f(x,y,t), \quad -1/2h^2g_xf_yy'=g+hg_xf+1/2h^2g_xf_xf+1/2h^2g_xf_t+hg_t \] which reduces to the original one for \(h=0\). This is the regularized system, \(h\) being the regularizing parameter. The above technique is applied to the linear nonhomogeneous system of the form: \[ x'=Ax+By=q(t), \qquad 0=Cx+r(t), \] where \(A\), \(B\), \(C\) are the matrices, in order to investigate stability. The paper contains 3 numerical examples.