Jacobian reuse in explicit integrators for higher index DAEs

Abstract

Systems F( y′, y, t) = 0 with F y′ identically singular are known as differential algebraic equations (DAEs) and occur in a variety of applications. The index v is one measure of numerical difficulty. Most numerical methods for DAEs either require special structure or low index. Two alternative approaches have been proposed for numerically integrating more general higher index DAEs. This paper examines some of the mathematical issues involved in the efficient implementation of the “explicit integration” method. It is first shown that the reuse of Jacobians can lead to the integration of discontinuous vector fields. It is then proven that these discontinuous fields can be successfully integrated. Computational examples back up the theory. A comparison to a standard integrator on an index three control problem illustrates that while the explicit approach can be somewhat more expensive computationally, it can be easier to apply, and does not suffer from order reduction in the higher index variables.