Numerical integration of DAEs

seminar
Sandra Allaart-Bruin
sbruin@win.tue.nl

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Seminar overview
February 18 Arie Verhoeven Introduction to DAEs

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Seminar overview
February 18 Arie Verhoeven Introduction to DAEs March 10 Sandra Allaart-Bruin Numerical Integration of DAEs

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Seminar overview
February 18 Arie Verhoeven Introduction to DAEs March 10 Sandra Allaart-Bruin Numerical Integration of DAEs March 17 Pieter Heres DAEs in electrical circuits

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Seminar overview
February 18 Arie Verhoeven Introduction to DAEs March 10 Sandra Allaart-Bruin Numerical Integration of DAEs March 17 Pieter Heres DAEs in electrical circuits March 31 Mikhail Sizov DAEs in Multibody systems

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Seminar overview
February 18 Arie Verhoeven Introduction to DAEs March 10 Sandra Allaart-Bruin Numerical Integration of DAEs March 17 Pieter Heres DAEs in electrical circuits March 31 Mikhail Sizov DAEs in Multibody systems April 28 Michael Guenther Expert
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Overview
Test DAE

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Overview
Test DAE Trapezoidal rule

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Overview
Test DAE Trapezoidal rule Backward Differentiation Formulae

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Overview
Test DAE Trapezoidal rule Backward Differentiation Formulae Modied Extended BDF

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Overview
Test DAE Trapezoidal rule Backward Differentiation Formulae Modied Extended BDF Codes

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Simple test-case
DAE: x(t) = sin(t) x (t) + y(t) = 0

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Simple test-case
DAE: x(t) = sin(t) x (t) + y(t) = 0 exact solution x(t) = sin(t) y(t) = cos(t)

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Simple test-case
DAE: x(t) = sin(t) x (t) + y(t) = 0 exact solution x(t) = sin(t) y(t) = cos(t)

linear constant coefcients: Ax (t) + Bx(t) = g(t) 0 0 1 0 x (t) y (t) 1 0 + 0 1 x(t) y(t) = sin(t) 0

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Simple test-case
DAE: x(t) = sin(t) x (t) + y(t) = 0 exact solution x(t) = sin(t) y(t) = cos(t)

linear constant coefcients: Ax (t) + Bx(t) = g(t) 0 0 1 0 x (t) y (t) 1 0 + 0 1 x(t) y(t) = sin(t) 0

What is the index?

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Differential index
The differential index k of a (non)linear, sufciently smooth DAE is the smallest k such that f (x , x, t) = 0 d f (x , x, t) = 0 dt . . . dk f (x , x, t) = 0 k dt uniquely determines x as a continuous function of (x, t).
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Index
Differential index = 2

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Index
Differential index = 2 Tractability index = 2

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Index
Differential index = 2 Tractability index = 2 Perturbation index = 2

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Index
Differential index = 2 Tractability index = 2 Perturbation index = 2 There always holds that: +1

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Consistent Initial Values

f (x , x, t) = 0 x0 is a consistent initial value, if there exists a smooth solution that fulllls x(t0 ) = x0 and this solution is dened for all t.

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Consistent Initial Values

x(t) = sin(t) x (t) + y(t) = 0 x0 is a consistent initial value, if there exists a smooth solution that fulllls x(t0 ) = x0 and this solution is dened for all t.

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Consistent Initial Values

x(t) = sin(t) x (t) + y(t) = 0 x0 is a consistent initial value, if there exists a smooth solution that fulllls x(t0 ) = x0 and this solution is dened for all t. Algebraic constraint: x(t) = sin(t)

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Consistent Initial Values

x(t) = sin(t) x (t) + y(t) = 0 x0 is a consistent initial value, if there exists a smooth solution that fulllls x(t0 ) = x0 and this solution is dened for all t. Algebraic constraint: x(t) = sin(t) Hidden algebraic constraint: y(t) = cos(t)

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Consistent Initial Values

x(t) = sin(t) x (t) + y(t) = 0 x0 is a consistent initial value, if there exists a smooth solution that fulllls x(t0 ) = x0 and this solution is dened for all t. Algebraic constraint: x(t) = sin(t) Hidden algebraic constraint: y(t) = cos(t) Consistent initial values:
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x0 = sin(0) y0 = cos(0)

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Trapezoidal rule
Consider the following ODE: x (t) = f (x(t), t) The trapezoidal rule applied: xn+1 xn 1 = (f (xn+1 , tn+1 ) + f (xn , tn )) h 2

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Trapezoidal rule
test DAE x(t) = sin(t) x (t) + y(t) = 0 The Trapezoidal rule applied: xn+1 + xn = sin(tn+1 ) + sin(tn ) xn+1 xn 1 + (yn+1 + yn ) = 0 h 2

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Trapezoidal rule
Trapeziodal rule
1.5

0.5

x0 = sin(0) y0 = cos(0)

0.5

1.5
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Trapezoidal rule
Trapezoidal rule
1.5

0.5

x0 = sin(0) y0 = cos(0) h

0.5

1.5
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Trapezoidal rule
Trapezoidal rule
1500 x y 1000

500

x0 = h y0 = cos(0)

500

1000

1500
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Analysis Trapezoidal rule

xn+1 = sin(tn+1 ) + xn sin(tn ) 2 yn+1 = yn (xn+1 xn ) h If x0 = sin(0) then xn+1 is never equal to sin(tn+1 ).

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Backward Diff. Formula

Consider the following ODE: x (t) = f (x(t), t) The Backward Differentiation Formula applied:
k

j xn+j = hk f (xn+k , tn+k )

j=1

Remark: 1-step BDF is Euler Implicit (0 = 1, 1 = 1, 1 = 1)

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Backward Diff. Formula

test DAE x(t) = sin(t) x (t) + y(t) = 0 1-step BDF xn+1 = sin(tn+1 ) xn+1 xn + yn+1 = 0 h

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Backward Diff. Formula

1 step BDF
1.5

0.5

x0 = sin(0) y0 = cos(0)

0.5

1.5
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Backward Diff. Formula

1 step BDF
1.5

0.5

x0 = sin(0) y0 = cos(0) h

0.5

1.5
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Backward Diff. Formula

1 step BDF
1.5

0.5

x0 = h y0 = cos(0)

0.5

1.5
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analysis 1-step BDF

xn+1 = sin(tn+1 ) xn+1 xn yn+1 = h

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analysis 1-step BDF

xn+1 = sin(tn+1 ) xn+1 xn yn+1 = h BDF solves the algebraic equation exact!

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BDF convergence
A k step BDF with constant stepsize, applied to a const. coeff. DAE with diff. index , is convergent with order p = k after ( 1)k + 1 steps.

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BDF convergence
A k step BDF with constant stepsize, applied to a const. coeff. DAE with diff. index , is convergent with order p = k after ( 1)k + 1 steps.

What if we use variable stepsizes?

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BDF
BDF method perfect?

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BDF
BDF method perfect? A-stable up to order 2 (Dalhquist Barrier).

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BDF
BDF method perfect? A-stable up to order 2 (Dalhquist Barrier). A() stable up to order 6.

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BDF
BDF method perfect? A-stable up to order 2 (Dalhquist Barrier). A() stable up to order 6. other methods?

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Modied Extended BDF

Ax (t) + g(x(t), t) = 0
1st BDF step
xnk xnk1
xn1

xn

xn+1

2nd BDF step

Evaluation step
g(xn,tn)
g(xn+1,t n)

Final step

xn
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(3 x same Jacobian)

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Order reduction
k-step Convergence order consistent method index-1 DAE index-2 DAE solutions BDF k k + MEBDF k+1 k +

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Available codes

code method authors DAEindex ID RADAU IRK Hairer, Wanner 3 GELDA BDF,RK Mehrmann + MEBDFI MEBDF Abdulla, Cash 3 + DASSL BDF Petzold 1 + PSIDE IRK De Swart a.o. 3 + GAMD BVM Iavernaro, 3 + Mazzia

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Available codes
http://www-iam.mathematik.hu-berlin.de/lamour/ code for index reduction and computing consistent initial values.

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Available codes
http://www-iam.mathematik.hu-berlin.de/lamour/ code for index reduction and computing consistent initial values. index 2: x(t) = sin(t) x (t) + y(t) = 0

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Available codes
http://www-iam.mathematik.hu-berlin.de/lamour/ code for index reduction and computing consistent initial values. index 2: x(t) = sin(t) x (t) + y(t) = 0 index 1: x(t) = cos(t) x (t) + y(t) = 0

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Summary
Trapezoidal rule is not suited for DAEs.

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Summary
Trapezoidal rule is not suited for DAEs. BDF with xed stepsize is suited for DAEs.

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Summary
Trapezoidal rule is not suited for DAEs. BDF with xed stepsize is suited for DAEs. Index of DAE is important for convergence results.

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Summary
Trapezoidal rule is not suited for DAEs. BDF with xed stepsize is suited for DAEs. Index of DAE is important for convergence results. There are a lot of different codes available for DAEs with index 3.

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References
Ordinary Differential Equations in Theory and Practice, Mattheij and Molenaar Solving Ordinary Differential Equations II, Hairer and Wanner Numerical Solution of Initial-Value Problems in Differential-Algebraic Equations, Brenan, Campbell and Petzold http://pitagora.dm.uniba.it/testset

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Questions?

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