The approximate regularization of index-2 differential-algebraic problems
index-2 Hessenberg differential-algebraic systemNewton iterationnumerical examplesregularizationstability
Implicit ordinary differential equations, differential-algebraic equations (34A09) Nonlinear ordinary differential equations and systems (34A34) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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.
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