Introduction To Differential Algebraic Equations

Introduction to Differential Algebraic Equations
Dr. Abebe Geletu

Ilmenau University of Technology
Department of Simulation and Optimal Processes (SOP)
Winter Semester 2011/12
TU Ilmenau
4.1 Definition and Properties of DAEs

A system of equations that is of the form
F (t, x, x)
=0
is called a differential algebraic equation (DAE) if the Jacobian
n
matrix F
x is singular (non-invertible); where, for each t, x(t) R
and
F1 (t, x(t), x(t))
F2 (t, x(t), x(t))
F (t, x(t), x(t))
=
.
..
.
Fn (t, x(t), x(t))
TU Ilmenau
4.1 Definition and Properties of DAEs ...

Example: The system
x1 x 1 + 1 = 0
(1)
x 1 x2 + 2 = 0
(2)
is a DAE. To see this, determine the Jacobian F

x of

x1 x 1 + 1
F (t, x, x)
=
x 1 x2 + 2

x 1
with x =
, so that
x 2
!

F1
F1
F
F
1 0
1
2
= F2 F2 =
, ( see that, det
= 0).
x2 0
x
x
x 1
x 2
the Jacobian is a singular matrix irrespective of the values of x2 .
Observe that: in this example the derivative x 2 does not appear.
TU Ilmenau

Solving for x 1 from the first equation x1 x 1 + 1 = 0 we get
x 1 = x1 + 1. Replace this for x 1 in the second equation x 1 x2 + 2 = 0
to wire the DAE in equations (23) & (23) equivalently as:
x 1 = x1 + 1
(x1 + 1)x2 + 2 = 0
(3)
(4)
In this DAE:
equation (3) is a differential equation; while
equation (4) is an algebraic equation.
There are several engineering applications that have such model
equations.
TU Ilmenau

Suppose F (t, x, x)
= A(t)x + B(t)x + d(t).
Hence, for the system F (t, x, x)
= 0 the Jacobian will be
I If A(t) is a non-singular (an invertible) matrix, then
F
x
= A(t).
+ B(t)x(t) + d(t)) = [A(t)]1 0

[A(t)]1 (A(t)x(t)
x(t)
+ [A(t)]1 B(t)x(t) + [A(t)]1 d(t)) = 0
x(t)
= [A(t)]1 B(t)x(t) [A(t)]1 d(t)).

This is an ordinary differential equation.
Remark
In general, if the Jacobian matrix F
x is non-singular (invertible),
then the system F (t, x, x)
= 0 can be transformed into an ordinary
differential equation (ODE) of the form x = f (t, x). Some numerical
solution methods for ODE models have been already discussed.
I Therefore, the most interesting case is when
TU Ilmenau
F
x
is singular.
4.2. Some DAE models from engineering

applications
There are several engineering applications that lead DAE model
equations.
Examples: process engineering, mechanical engineering and
mechatronics ( multibody Systems eg. robot dynamics, car dynamics,
etc), electrical engineering (eg. electrical network systems, etc), water
distribution network systems, thermodynamic systems, etc.
Frequently, DAEs arise from practical applications as:
I differential equations describing the dynamics of the process, plus
I algebraic equations describing:
laws of conservation of energy, mass, charge, current, etc.
mass, molar, entropy balance equations, etc.
desired constraints on the dynamics of the process.
TU Ilmenau
4.2. Some DAE models from engineering

applications ... CSTR
An isothermal CSTR
A
B C.
Model equation:
V
= Fa F
Fa
C A =
(CA0 CA ) R1
V
Fa
C B = CB + R1 R2
V
F
a
C C = CC + R2
V
CB
0 = CA
Keq
0 = R2 k2 CB
TU Ilmenau
(5)
(6)
(7)
(8)
(9)
(10)
4.2. Some DAE models from practical applications

...a CSTR...
Fa -feed flow rate of A
CA0 -feed concentration of A
R1 , R2 - rates of reactions
F - product withdrawal rate
CA , CB , CC - concentration of species A, B and C, resp., in the
mixture.
Definining
x = (V, CA , CB , CC )>
z = (R1 , R2 )>
the CSTR model equation can be written in the form
x = f (x, z)
0 = g(x, z).
TU Ilmenau
Some DAE models from practical applications...a

simple pendulum
Newtons Law:
m
x = Fl x
m
y = mg Fl y
Conservation of mechanical
energy: x2 + y 2 = l2
(DAE)
x 1 = x3
x 2 = x4
F
x1
ml
F
x 4 = g x2
l
0 = x2 + y 2 l 2 .
x 3 =
TU Ilmenau
Some DAE models from practical applications...an

RLC circuit
Kirchhoffs voltage and current laws
yield:
conservation of current:
iE = iR , iR = iC , iC = iL
conservation of energy:
VR + VL + VC + VE = 0
Ohms Laws:
C V C = iC , LV L = iL , VR = RiR
TU Ilmenau

RLC circuit...
After replacing iR with iE and iC with iL we get a reduced
DAE:
1
iL
C
1
iL
V L =
L
0 = VR + RiE
V C
(11)
(12)
(13)
0 = VE + VR + VC + VL
(14)
0 = iL iE
(15)
(16)
Define x(t) = (VC , VL , VR , iL , iE )

TU Ilmenau

RLC circuit...
The RLC system can be written as:
1
0 0 0
C
0 1 0 0
L
x =
0 0 0 0
0 0 0 0
0 0 0 0
0 0 1 0
1 1 1 0
0 =
0 0 0 1
0
0
0
x
0
0

R
0
0 x + 1 VE
1
0
(17)
(18)
which is of the form
TU Ilmenau
x = Ax
(19)
0 = Bx + Dz.
(20)
4.3. Classification of DAEs

Frequently, DAEs posses mathematical structure that are specific to
a given application area.
As a result we have non-linear DAEs, linear DAEs, etc.
In fact, a knowledge on the mathematical structure of a DAE
facilitates the selection of model-specific algorithms and appropriate
software.
Nonlinear DAEs:
In the DAE F (t, x, x)
= 0 if the function F is nonlinear w.r.t. any one
of t, x or x,
then it is said to be a nonlinear DAE.
Linear DAEs: A DAE of the form
A(t)x(t)
+ B(t)x(t) = c(t),
where A(t) and B(t) are n n matrices, is linear. If A(t) A and
B(t) B, then we have time-invariant linear DAE.
TU Ilmenau
4.3. Classification of DAEs...

Semi-explicit DAEs:
A DAE given in the form
x = f (t, x, z)
(21)
0 = g(t, x, z)
(22)
Note that the derivative of the variable z doesnt appear in the DAE.
Such a variable z is called an algebraic variable; while x is called a
differential variable.
The equation 0 = g(t, x, z) called algebraic equation or a
constraint.
Examples:
The DAE model given for the RLC circuit, the CSTR and the simple
pendulum are all semi-explicit form.
TU Ilmenau

A fully-implicit DAEs:
The DAE
F (t, x, x)
=0
is in fully-implicit form.
Examples:
(i) F (t, x, x)
= Ax + Bx + b(t) is a fully-implicit DAE.
(ii) The equation (see equations (23) & (23) )
x1 x 1 + 1 = 0
x 1 x2 + 2 = 0
is a fully-implicit DAE.
I Any fully-implicit DAE can be always transformed into a
semi-explicit DAEs .
TU Ilmenau

Example (transformation of a fully-implicit DAE into a semi-explicit
DAE):
Consider the linear time-invariant DAE Ax + Bx + b(t) = 0 , where
A + B is nonsingular, for some scalar . Then there are non-singular
n n matrices G and H such that:

I
O
GAH = m
O N
J
O
and GBH =
O Inm

(23)
where Im the m m identity matrix (here m n), N is an

(n m) (n m) nilpotent matrix; i.e., there is a positive integer
p such that N p = 0, J Rmm and Inm is the (n m) (n m)
identity matrix.
I Now, we can write Ax + Bx + b(t) = 0 equivalently as
(GAH) (H 1 )x + (GBH) (H 1 )x + Gb(t) = 0.
TU Ilmenau
(24)

Use the block decomposing given in equation (23) to write

Im O
J
O
1
(H )x +
(H 1 )x + Gb(t) = 0.
O N
O Inm
(25)
Use the variable transformation w(t) = H 1 x(t) to write

Im O
J
O
w +
w + Gb(t) = 0.
(26)
O N
O Inm

w1 (t)
Decompose the vector w(t) as w(t) =
, with w1 (t) Rm
w2 (t)

b1 (t)
nm
and w2 (t) R
and correspondingly the vector Gb(t) =
so
b2 (t)
that:
TU Ilmenau
w 1 (t) + Jw1 (t) + b1 (t) = 0
(27)
N w1 (t) + w2 (t) + b2 (t) = 0.
(28)

Use now the nilpotent property of the matrix N ; i.e., multiply the
second set of equation by N p1 to get
w 1 (t) + Jw1 (t) + b1 (t) = 0
p
N w1 (t) + N
p1
w2 (t) + N
(29)
p1
b2 (t) = 0.
(30)
From this it follows that (since N p w1 (t) = 0)

w 1 (t) = Jw1 (t) b1 (t)
0 = N
p1
w2 (t) N
p1
(31)
b2 (t).
Therefore, we have transformed the fully-implicit DAE

Ax + Bx + b(t) = 0 into a semi-explicit form.
Similarly, using mathematician manipulations, any nonlinear
fully-implicit DAE can be transformed into a semi-explicit DAE.
TU Ilmenau
(32)
4.4. Index of a DAE

DAEs are usually very complex and hard to be solved analytically.
DAEs are commonly solved by using numerical methods.
Question:
Is it possible to use numerical methods of ODEs for the solution of
DAEs?
Idea:
Attempt to transform the DAE into an ODE.
This can be chieved through repeated derivations of the algebraic
equations g(t, x, z) = 0 with respect to time t.
Definition
The minimum number of differentiation steps required to transform a
DAE into an ODE is known as the (differential) index of the DAE.
TU Ilmenau
4.4. Index of a DAE...

Example:
(DAE)
x 1 = x1 + 1
(x1 + 1)x2 + 2 = 0.
Here x2 the algebraic variable (i.e. z = x2 ). Differentiate

g(x1 , x2 ) = 0 to find a description for the time-derivative x 2 of the
algebraic variable. So
d
d
d
[g(x1 , x2 )] =
[0]
[(x1 + 1)x2 + 2] = 0
dt
dt
dt
x 1 x2 + (x1 + 1)x 2 = 0.
(x1 + 1)x2
x 1 x2
x 2 =
=
= x2
(x1 + 1)
(x1 + 1)
I Only one differentiation step is required to describe x 2 . So, the
DAE is of index 1.
TU Ilmenau

The CSTR model is of index 2.
The DAE model for the simple penudulum is of index 3.
I DAEs with index greater than 1 are commonly known as higher
index DAEs.
I The higher the index, the more difficult will be the DAE to solve.
I Transformation of a higher index DAE into a lower index DAE (or
to an ODE) is commonly known as index reduction. In general, index
reduction for higher index DAE simplifies computational complexities.
Two serious issues to consider when solving DAEs

The solutions of the lower index DAE may not be a solution of the
original DAE. This is known as a drift off effect.
Finding initial conditions that satisfy both the differential and
algebraic parts of a DAE may not be trivial, known as consistency of
initial conditions.
TU Ilmenau

Therefore, computational algorithms for a DAE should:
be cable of identifying consistent initial conditions to the DAE;
as well as,
provide automatic index reduction mechanisms to simplify the
DAE.
I Modern software like Sundials, Modelica, use strategies for
index-reduction coupled with methods of consistent initialization.
In the following we consider only index 1 semi-explicit DAEs:
(DAE)
x = f (t, x, z)
(33)
0 = g(t, x, z).
(34)
g dx
+ g dz = 0. Hence, a semi-explicit DAE is of
x
h dti1 z dt
index 1 iff g
exists. That is, one differentiation step yields the
z
h i1 h i
h i1
g
g
g
g
differential equation: dz
=
(f
(t,
x,
z))
dt
z
x
z
t .
Since
g
t
TU Ilmenau
4.5. An overview of numerical Methods for DAEs

Using mathematical principles and transformation of variables,
fully-implicit DAEs can be transformed to semi-explicit DAEs.
Note that, in the semi-explicit DAE
x = f (t, x, z)
(35)
0 = g(t, x, z).
(36)
h i
if Jacobian matrix g
z singular (non-invertible), then the DAE is of
higher index.
I Since many applications have model equations as semi-explicit
DAEs, the discussion next is restricted to this form.
In the DAE above, if both f and g do not explicitly depend on time
t; i.e. f (t, x, z) = f (x, z) and g(t, x, z) = g(x, z), then the model is
an autonomous DAE.
TU Ilmenau
4.5. An overview of numerical Methods for DAEs...

I BDF and collocation methods are two most widely used methods
for numerical solution of DAEs.
(I) BDF for DAEs:
Consider the initial value DAE
x = f (t, x, z), x(t0 ) = x0
(37)
0 = g(t, x, z).
(38)
Ideas of BDF:
I Select a time step h so that ti+1 = ti + h, i = 0, 1, 2, . . .
I Given xi = x(ti ) and zi = z(ti ), determine the value
xi+1 = x(ti+1 ) by using (extrapolating) values xi , xi1 , . . . , xim+1
of the current and earlier time instants of x(t).
I Simultaneously compute zi+1 = z(ti+1 ).
TU Ilmenau
4.5. An overview of numerical Methods for

DAEs...BDF
There is a unique m-th degree polynomial P that interpolates the
m + 1 points
(ti+1 , xi+1 ), (ti , xi ), (ti1 , xi1 ), . . . , (ti+1m , xi+1m ).
This interpolating polynomials P can be written as
P (t) =
m
X
xi+1j Lj (t)
j=0
with the Lagrange polynomial

m
Y
t ti+1l
Lj (t) =
, j = 0, 1, . . . , m.
ti+1j ti+1l
l=0
l 6= j
TU Ilmenau
4.5. ....BDF for DAEs...

Observe that
P (ti+1j ) = xi+1j , j = 0, 1, . . . , m.
In particular P (ti+1 ) = xi+1 .
Thus, replace x i+1 by P (ti+1 ) to obtain
P (ti+1 ) = f (ti+1 , xi+1 ).
()
But
P (ti+1 ) =
m
X
xi+1j L j (ti+1 ) = xi+1 L 0 (ti+1 ) +
j=0
m
X
xi+1j L j (t)
j=1
Putting this into (*) we get:

xi+1 =
m
X
xi+1j
j=1
TU Ilmenau
L j (ti+1 )
1
+
f (ti+1 , xi+1 )
L 0 (ti+1 ) L 0 (ti+1 )

Define
aj =
L j (ti+1 )
1
, bm =
.
L 0 (ti+1 )
hL 0 (ti+1 )
The values aj , j = 1, . . . , m and bm can be read from lookup tables.
An m-step BDF Algorithm (BDF m) for a DAE:

Given a1 , . . . , am ,bm
xi+1 =
m
X
aj xi+1j + bm hf (ti+1 , xi+1 , zi+1 )
(39)
j=1
0 = g(ti+1 , xi+1 , zi+1 ).

Each iteration of the BDF requires a Newton algorithm for the
g
solution a system of nonlinear equations. Hence, the Jacobian w
needs to be well-conditioned, where w = (t, x, z).
TU Ilmenau
(40)

Given x0 = x(t0 ), BDF requires consistent initial conditions to be
obtained by solving
g(t0 , x0 , z0 ) = 0.
to determine z0 = z(t0 ).
The m-step BDF algorithm converges if m 6; i.e.
xi x(ti ) O(hm ),
zi z(ti ) O(hm )
for consistent initial conditions.

BDF is commonly used to solve DAEs of index 1 or 2
Software based on BDF for DAEs:
Matlab: ode15i
Open source: DASSL ; CVODE, CVODES, and IDA (under
Sundials); ODEPACK solvers, etc.
TU Ilmenau
TU Ilmenau
Orthogonal Collocation
To collocate a function x(t) through another function p(t) = to
captur the properties of x(t) by using p(t).
In general, we use a simpler function p(t) to collocate x(t); eg., p(t)
can be a polynomial, a trigonometric function, etc.
polynomial and trigonometric functions are usually simpler to work
with. (The discussion here is restricted to polynomilas)
Weirstra Theorem
If x(t) is a continuous function on [a, b], then for any given > 0,
there is a polynomial p(t) such that
max |x(t) p(t)| <
atb
Hence, we use the polynomial p(t) instead of x(t).

However, Weirstra theorem doese not specifye how to construct
the approximating polynomial p(t) .
TU Ilmenau
Suppose p(t) = a0 + a1 t + . . . + am tm is the approximating

polynomial to x(t) on [a, b].
Note: If the coefficients a0 , a1 , . . . , am are given, then the
approximating polynomial is exactly known.
Question: How to determine a0 , a1 , . . . , am ?
Question: How to construct the apprximating polynomial?
There are several ways to construct p(t) to approximates x(t)
according to Weirstra theorem.
Here we require p(t) to satisfy the following property:
p(ti ) = x(ti ) =: xi , i = 1, . . . , N.
for some selected time instants t1 , t2 , . . . , tN from the interval [a, b].
This property relates p(t) and x(t) and is known as interpolatory
property.
Uniqueness of an interpolating polynamial

There is a unique interpolatory polynomial p(t) for the N data points
(t1 , x1 ),(t2 , x2 ), . . .,(tN , xN ) with degree deg(p) = m = N 1.
TU Ilmenau
In the following we use N = m + 1.

Figure
TU Ilmenau
According to the interpolatory property, we have

x1 = p(t1 ) = a0 + a1 t1 + . . . + am tm
1
(41)
am tm
2
(42)
x2 = p(t2 ) = a0 + a1 t2 + . . . +
..
.
(43)
am tm
m+1 .
xm+1 = p(tm+1 ) = a0 + a1 tm+1 + . . . +

(44)

a0
1
t1
t21
. . . tm
x1
1
2
m a
x2 1
t
t
.
.
.
t
2
2
2 1

. = .
..
..
.. ..
.
.
. .
.
.
...
. .
am
1 tm+1 t2m+1 . . . tm
xm+1
m+1
Thus, if we known x1 , x2 , . . . , xm+1 then we can compute
a0 , a1 , . . . , am and vice-versa.
But, since x(t) is not yet known, x1 , x2 , . . . , xm+1 are unknown.
TU Ilmenau
a0
a1

Hence, both
and .. are unkowns.
.
xm+1
am
To avoid working with two unknown vectors, we can define the
polynamial p(t) in a better way as:
x1
x2
..
.
p(t) =
m+1
X
xi Li (t)
(45)
i=1
where Li (t) are Lagrange polynomials given by

Li (t) =
m+1
Y
j=1
j 6= i
=
t tj
ti tj
(t t1 ) (t t2 ) . . . (t ti1 ) (t ti+1 ) . . . (t tm+1 )

.
(ti t1 ) (ti t2 ) . . . (ti ti1 ) (ti ti+1 ) . . . (ti tm+1 )
TU Ilmenau
Properties:
Li (tj ) =
1, if i = j
0, if i 6= j
? (satisfaction of the interpolatory property)

p(ti ) = xi , i = 1, 2, . . . , m + 1.
? (approximation of x(t) by p(t))
The polynomial p(t) in equation (45) can be made to satisfy the
Weirstra theorem by taking sufficiently large number of time
instants t1 , t2 , . . . , tm+1 from [a, b].
Question: What is the best choice for t1 , t2 , . . . , tm+1 ?
TU Ilmenau
Determination of collocation Points

An idea to determine collocation points:
Select values 1 , 2 , . . . , N from the interval [0, 1] and define the ti s
as follows:
ti = a + i (b a), i = 1, . . . , N.
This is a good idea, since the same values 1 , 2 , . . . , N from [0, 1]
can be used to generate collocation points on various intervals [a, b].
Example:
(i) If [a, b] = [2, 10], then ti = 2 + i (10 2) , i = 1, . . . , N ;
(ii) If [a, b] = [0, 50], then ti = 0 + i (50 0) , i = 1, . . . , N ; etc.
Question: What is the best way to select the values

1 , 2 , . . . , N from [0, 1]?
TU Ilmenau
Determination of collocation Points...

I Recall that: solution of a differential equation (or DAEs) is an
integration process.
Numerical methods for one-dimensional integrals can give us
information on how to select 1 , 2 , . . . , N .
Gauss quadrature rules are one of the best numerical integration
methods.
To approximate the integral
Z 1
I[f ] =
f ( )d,
0
by the (iterpolatory) quadrature rule QN [f ] =

the integration nodes 1 , 2 , . . . , N [0, 1]
weights w1 , w2 , . . . , wN
are constructed based on the interval [0, 1] .
TU Ilmenau
PN
k=1 wk f (k ),
where:
Determination of collocation points...

Thus we would like to obtain the approximation
Z 1
N
X
I[f ] =
f ( )d QN [f ] =
wi f (i ).
0
i=1
Once a quadrature rule QN [] is constructed it can be used to

approximate integrals of various functions.
Question: How to determine the 2N unknowns 1 , 2 , . . . , N ,

w1 , w2 , . . . , wN ?
We require the quadrature rule to satisfy the equality:
Z
W ( )p( )d =
a
N
X
wi p(i )
i=1
for all polynomials p with degree deg(p) 2N .

TU Ilmenau
That is, QN [] should integrate each of the polynomials

p(t) = 1, , 2 , . . . , 2N
exactly. This implies
Z
1d
(46)
wi i
(47)
wi i2
(48)
i=1
wi
i=1
1
2 d
i=1
..
.
Z
0
TU Ilmenau
2N d
(49)
X
i=1
wi i2N .
(50)
We need to solve the system of 2N nonlinear equations:

1 = w1 + w2 + . . . + wN
1
= w1 1 + w2 2 + . . . + wN N
2
(51)
(52)
(53)
1
3
2
= w1 12 + w2 22 + . . . + wN N
..
.
1
2N
2N
= w1 12N + w2 22N + . . . + wN N
.
(54)
(55)
(56)
From the equation 1 = w1 + w2 + . . . + wN we can solve for w1 and

replace for it in the remaining equations.
It remains to determine the 2N 1 unknowns 2 , . . . , N and
w1 , w2 , . . . , wN from the reduced set of 2N 1 equations.
Unfortunately, this system of equations is difficult to solve.
TU Ilmenau
Orthogonal polynomials
There is a simpler way if we use orthogonal polynomials.
I The concept of orthogonality requires a definition of scalar
product.
The scalar product of functions h and g with respect on the
interval [0, 1] is
Z 1
hh, gi =
h( )g( )d.
0
Two functions h and g are orthogonal on the interval [0, 1] if

Z
hh, gi =
h( )g( )d = 0.
0
In this lecture, we are only interested in set of polynomials that

are orthogonal to each other.
TU Ilmenau
Orthogonal polynomials...
Orthogonal polynomials on [0, 1] (as defined above) are known as
shifted Legendre polynomials.
Theorem (Three-term recurrence relation)

Suppose {p0 , p1 , . . .} the set of shifted Legendre orthogonal
polynomials on [0, 1] with deg(pn ) = n and leading coefficient equal
to 1. The shifted Legendre polynomials are generated by the relation
pn+1 ( ) = ( an )pn ( ) bn pn1 ( )
with p0 ( ) = 1 and p1 ( ) = 0, where the recurrence coefficients are
given as
an = 12 , n = 0, 1, 2, . . .
bn =
n2
,n
4(4n2 1)
TU Ilmenau
= 0, 1, 2, . . .
The first four shifted Legendre orthogonal polynomials are
p0 ( ) = 1, p1 ( ) = 2 1, p2 ( ) = 6 2 6 + 1, p3 ( ) =
20 3 30 2 + 12 1.
Further important properties of orthogonal polynomials:
Given any set of orthogonal polynomials {p0 , p1 , p2 , . . .} the following
hold true:
Any finite set of orthogonal polynomials {p0 , p1 , . . . , pN 1 } is
linearly independent.
The polynomial PN is orthogonal to each of p0 , p1 , . . . , pN 1 .
Any non-zero polynomial q with degree deg(q) N 1 can be
written as a linear combination:
q( ) = c0 p0 ( ) + c1 p1 ( ) + . . . , cN 1 pN 1 ( )
where at least one of the scalars c0 , c1 , . . . , cN 1 is non-zero.
TU Ilmenau
We demand the quadrature rule is exact for polynomials up to
degree 2N 1.
Let P ( ) be any polynomial of degree 2N 1.
Hence,
Z 1
N
X
I[P ] = QN [P ]
P ( )d =
wi P (i ).
0
i=1
Given the N -th degree orthogonal polynomial pN , the polynomial P

can be written as
P ( ) = pN ( )q( ) + r( )
where q( ) and r( ) are polynomials such that 0 < deg(r) N 1
and
deg(q) = N 1, since
2N 1 = deg(P ) = deg(pN ) + deg(q) = N + deg(q).
TU Ilmenau
R
P
1
Now, from the equation 0 P ( )d = N
k=1 wk P (k ) it follows that
Z b
N
X
(pN ( )q( ) + r( )) d =
wi (pN (i )q(k ) + r(i )) .
a
i=1

Z b
N
N

b

X
X

)d =
pN ( )q( )d + r(
w
wi pN (i )q(i ) +
i r(i ).
a

a
i=1
i=1
|
{z
}

=0
Observe the following:

Rb
P
Using polynomial exactness: a r( )d = N
i=1 wi r(i ).
R bOrthogonality implies < pN , pk >= 0, k = 1, . . . , N 1. Thus,
a pN ( )q( ) =
Z b
Z b
N
1
N
1
X
X
pN ( )
ck pk ( )d =
ck
pN ( )pk ( )d = 0.
a
a
i=1
k=1
{z
}
|
=0
TU Ilmenau
OrthogonalPpolynomials...
It follows that
N
k=1 wk pN (k )q(k )
= 0.
(?)
Theorem
If the quadrature nodes 1 , 2 , . . . , N are zeros of the N th degree
shifted Legendre polynomial pN ( ), then
all the roots 1 , 2 , . . . , N lie inside (0, 1);
the quadrature weights are determined from
Z 1
wi =
Li ( )d,
0
where Li ( ), i = 1, . . . , N is the Lagrange function defined using

1 , 2 , . . . , N and wi > 0, i = 1, . . . , N .
The quadrature rule QN [] integrates polynomials degree up to
2N 1 exactly.
Hence, equation (?) holds true if p1 (1 ) = pN (2 ) = . . . , p(N ) = 0.
TU Ilmenau
Therefore, the quadrature nodes 1 , 2 , . . . , N are chosen as the

zeros of the N -th degree shifted Legendre orthogonal polynomial.
Question:
Is there a simple way to compute the zeros 1 , 2 , . . . , N of an
orthogonal polynomial pN and the quadrature weights
w1 , w2 , . . . , wN ?
The answer is give by a Theorem of Welsch & Glub (see next slide).
TU Ilmenau
Theorem (Welsch & Glub 1969 )
The quadrature nodes 1 , 2 , . . . , N and weights w1 , w2 , . . . , wN can
be computed from the spectral factorization of
JN = V > V ; = diag(1 , 2 , . . . , N ), V V > = IN ;
of the
symmetric
tri-diagonal Jacobi matrix
a
0
b1
JN =
b1
a1
b2
.
.
b2
.
.
..
a
p N 2
bN 1
bN 1
aN 1
where
a0 , an , bn , n = 1, . . . , N 1 are the known coefficients from the

recurrence relation. In particular ...
TU Ilmenau
Theorem ...
k = k , k = 1, . . . , N ;

2
wk =
e> V ek , k = 1, . . . , N,
(57)
(58)
where e1 , ek are the 1st and the kthe unit vectors of length N .
A Matlab program:
n = 5; format short
beta = .5./sqrt(1-(2*(1:n-1)).^(-2)); % recurr. coeffs
J = diag(beta,1) + diag(beta,-1)
% Jacobi matrix
[V,D] = eig(J);
% Spectral decomp.
tau = diag(D); [tau,i] = sort(tau); % Quad. nodes
w = 2*V(1,i).^2;
% Quad. weights
TU Ilmenau
There are standardised lookup tables for the integration nodes

1 , 2 , . . . , N and corresponding weights w1 , w2 , . . . , wN .
The collocation points t1 , t2 , . . . , tN [a, b] can be determined by
using the quadrature points 1 , 2 , . . . , N [0, 1] through the
relation:
ti = a + i (b a).
Example: Suppose we would like to collocate x(t) on [a, b] = [0, 10]
using a polynomial x
(t) with deg(
x) = m = 3.
Required number of collocation points = N = m + 1 = 3 + 1 = 4.
First, determine the zeros of the 4-th degree shifted Legendre
polynomial p4 ( ); i.e., find 1 , 2 , 3 , 4 .
These value can be determined to be:
1 = 0.0694318442,
2 = 0.3300094783,
3 = 0.6699905218,
4 = 0.9305681558.
TU Ilmenau
Next, determine the collocation points :

t1 = 0 + (10 0) 1 = 0.694318442,
3.300094783,
t3 = 0 + (10 0) 3 = 6.699905218,
t4 = 0 + (10 0) 4 = 9.305681558.
TU Ilmenau
t2 = 0 + (10 0) 2 =
The collocation polynomial is p(t) =

L1 (t) =
L2 (t) =
L3 (t) =
L4 (t) =
P4
i
xi Li (t). where
(t t2 )(t t3 )(t t4 )
(t1 t2 )(t1 t3 )(t1 t4 )
(t t1 )(t t3 )(t t4 )
(t2 t1 )(t2 t3 )(t2 t4 )
(t t1 )(t t2 )(t t4 )
(t3 t1 )(t3 t2 )(t3 t4 )
(t t1 )(t t2 )(t t3 )
.
(t4 t1 )(t4 t2 )(t4 t3 )
Hence, we approximate x(t) using the third degree polynomial

p(t) = x
b(t) = x1 L1 (t) + x2 L2 (t) + x3 L3 (t) + x4 L4 (t)
It remains to determine the coefficients x1 , x2 , x3 , x4 .
TU Ilmenau
(59)
(60)
(61)
(62)
Discretization of DAEs using orthogonal collocation

Given the DAE:
x = f (t, x, z), t0 t tf
(63)
0 = g(t, x, z)
(64)
where x(t)> = (x1 (t), x2 (t), . . . , xn (t)) and

z(t)> = (z1 (t), z2 (t), . . . , zm (t)).
Determine the a set of collocation points t1 , t2 , . . ., tN .
corresponding to each differential and algebraic variable define
collocation polynomials:
xk (t) p(k) (t) =
zj (t) p(j) (t) =
N
X
i=1
N
X
i=1
TU Ilmenau
(k)
(65)
(j)
(66)
xi Li (t), k = 1, . . . , n;
zi Li (t), j = 1, . . . , m.
... orthogonal collocation of DAEs

In the DAE, replace xk (t) and zj (t) by q (k) (t) and p(j) (t) so that

p (t) = f1 (t, p (t), p (t), . . . , p (t) , q (1) (t), q (2) (t), . . . , q (m) (

p(2) (t) = f2 (t, p(1) (t), p(2) (t), . . . , p(n) (t) , q (1) (t), q (2) (t), . . . , q (m) (
(1)
(1)
(2)
(n)
..
.

p(n) (t) = f1 (t, p(1) (t), p(2) (t), . . . , p(n) (t) , q (1) (t), q (2) (t), . . . , q (m) (

0 = g1 (t, p(1) (t), p(2) (t), . . . , p(n) (t) , q (1) (t), q (2) (t), . . . , q (m) (

(1)
(2)
(n)
0 = g2 (t, p (t), p (t), . . . , p (t) , q (1) (t), q (2) (t), . . . , q (m) (
..
.

0 = gm (t, p(1) (t), p(2) (t), . . . , p(n) (t) , q (1) (t), q (2) (t), . . . , q (m)
TU Ilmenau

Next discretize the system above using t1 , t2 , . . . , tN to obtain:

(1) (2)
(n)
(1) (2)
(m)
p(1) (ti ) = f1 ti , xi , xi , . . . , xi
, zi , zi , . . . , zi

(1) (2)
(n)
(1) (2)
(m)
p(2) (ti ) = f2 ti , xi , xi , . . . , xi
, zi , zi , . . . , zi
..
.

(1) (2)
(n)
(1) (2)
(m)
p(n) (ti ) = fn ti , xi , xi , . . . , xi
, zi , zi , . . . , zi

(1) (2)
(n)
(1) (2)
(m)
, zi , zi , . . . , zi
0 = g1 ti , xi , xi , . . . , xi

(1) (2)
(n)
(1) (2)
(m)
0 = g2 ti , xi , xi , . . . , xi
, zi , zi , . . . , zi
..
.

(1) (2)
(n)
(1) (2)
(m)
0 = gm ti , xi , xi , . . . , xi
, zi , zi , . . . , zi
,
i = 1, 2, . . . , N.
TU Ilmenau

Solve the system of (n + m) N equations to determine the
(k)
(n + m) N unknwons xi , k = 1, . . . , n, i = 1, . . . , N and
(j)
zi , j = 1, . . . , m, i = 1, . . . , N .
Example: Use a four point orthogonal collocation to solve the DAE
x 1 = x1 + 1, 0 t 1.
0 = (x1 + 1)x2 + 2.
Solution: we use the collocation polynomials
p(1) (t) =
4
X
(1)
xi (t)Li (t) and p(2) (t) =
i=1
to collocate x1 (t) and x2 (t), respectively.

TU Ilmenau
4
X
i=1
(2)
xi (t)Li (t)
Advantages and disadvantages collocation methods

can be used for higher index DAEs.
efficient for both initial value as well as boundary values DAEs.
more accurate
Disadvantages:
Can be computationally expensive
The approximating polynomials may display oscillatory properties,
impacting accuracy
computational expenses become high if t1 , t2 , . . . , tN 1 are
considered variables.
TU Ilmenau
Resources - Literature
References:
U. M. Ascher, L. R. Petzold : Computer Methods for Ordinary
Differential Equations and Differential-Algebraic Equations. SIAM
1998.
K. E. Brenan, S. L. Campbell, and L.R. Petzold: (1996). Numerical
Solution of Initial-Value Problems in Differential-Algebraic Equations.,
SIAM, 1996.
Campbell, S. and Griepentrog, E., Solvability of General Differential
Algebraic Equations, SIAM J. Sci. Comput. 16(2) pp. 257-270, 1995.
M. S. Erik and G. Sderlind: Index Reduction in
Differential-Algebraic Equations Using Dummy Derivatives. SIAM
Journal on Scientific Computing, vol. 14, pp. 677-692, 1993.
C. W. Gear : Differential-algebraic index transformation. SIAM J.
Sci. Stat. Comp. Vol. 9, pp. 39 47, 1988.
Walter Gautschi: Orthogonal polynomials (in Matlab). Journal of
Computational and Applied Mathematics 178 (2005) 215 234
Lloyd N. Trefethen: Is Gauss Quadrature Better than
TU Ilmenau
Clenshaw.Curtis? SIAM REVIEW, Vol. 50, No. 1, pp. 67 87, 2008.
Resources - Literature .. Software

Pantelides Costas. (1988) The consistent initialization of
differential algebraic systems. SIAM Journal on Scientific and
Statistical Computing, vol. 9: 2, pp. 213231, 1988.
L. Petzold: Differential/Algebraic Equations Are Not ODEs, SIAM
J. Sci. Stat. Comput. 3(3) pp. 367-384, 1982.
Open source software:
DASSL - - FORTRAN 77:
http://www.cs.ucsb.edu/ cse/software.html
DASSL Matlab interface:
http://www.mathworks.com/matlabcentral/fileexchange/16917-dasslmex-file-compilation-to-matlab-5-3-and-6-5
Sundials - https://computation.llnl.gov/casc/sundials/main.html
Modelica - https://modelica.org/
Odepack - http://www.cs.berkeley.edu/ kdatta/classes/lsode.html
Scicos- http://www.scicos.org/
TU Ilmenau

Introduction To Differential Algebraic Equations

Hochgeladen von

Dokumentinformationen

Originaltitel

Copyright

Verfügbare Formate

Dieses Dokument teilen

Dokument teilen oder einbetten

Freigabeoptionen

Stufen Sie dieses Dokument als nützlich ein?

Sind diese Inhalte unangemessen?

Copyright:

Verfügbare Formate

Introduction To Differential Algebraic Equations

Hochgeladen von

Copyright:

Verfügbare Formate

Introduction to Differential Algebraic Equations

Dr. Abebe Geletu

Winter Semester 2011/12