IEEE TRANSACTIONS ON AUTOMATIC CONTROL, VOL. AC-26, NO.

1, FEBRUARY 1981

139

Analysis of Descript0.rSystemsUsing NumericalAlgorithms

RICHARD F. SINCOVEC, ALBERT M. EFUSMAN, ELIZABETH L. YIP, AND MICHAEL A. EPTON

I. INTRODUCTION
N we investigate numerical for I theTHIS PAPER,largescaledynamicalsystemsmethodsthe solution of of form Ei,(t)=Ay(t)+g(t),
Y(to)=Yo

(1.1)

where E and A are N X N matrices, E possibly singular, g( t ) is an N component input vector, y ( t ) is an N vector, corresponding initial and to is the initial timewiththe such as (1.1) are called descriptor vector yo. Systems systems [6] because they arise from formulating the system equations in natural physical variables. They are particularly well suited to large scalesystemproblems becausetheypreservephysicalsparsity and provide a common formulation for the interconnection of subsyst e m withdiversephysical properties. An important requirement of a numerical method for the solution of a descriptor system is that it preserve the system structure and efficiently take advantage of sparsity. Since solutions to (1.1) do not always exist, we also require the numerical method to provide information about thesolvability of the problem. Equation (1.1) is sometimes referred to as an implicit modelor a sparse tableau formulation [ 11. A good general discussion of these systems may be found in [8]. If the matrix E is nonsingular, then (1.1) can be formally rewritten as
i,(t)=4W+g(t)Y

where 2= E - 9, t ) = E - 'g(t), which is the usual linear g( state variablemodel. This transformation is costly and generally (1.2) is no easier to solve than (1. l), as we will show. Further, if E is ill-conditioned, this transformation will introduce instabilities into the model. In this section we will substantiate the following statements. 1) Generally, (1.1) hasall of theadvantages of (1.2) when E is nonsingular. 2) Equation (1.1) can generally solve much larger problems. 3) Equation (1.1) generally offers more computational efficiency. to physical 4) Equation (1.1) is morecloselyrelated variables and system structure, hence is easier to "debug." 5) Equation (1.1) is more general since E may be singular. In this section we also present some numerical concepts that will aid in the understanding of thefollowingsecwe make tions. For illustrative purposes, in this section use of the forward and backward Euler methods. However, we later show that similar results are obtained using any explicitmethod (in place of forwardEuler) and a class ofimplicit methods(inplace of backwardEuler). Methods for solving initial value problems are discussed, for example, in [4] and [5]. First, suppose E is a nonsingular constant matrix and weuse a naive numerical strategy, say the forward Euler method, to solve (1.1) and (1.2). The forward Euler method l approximates i, by (y,+, - y n ) / h and evaluates al other timedependent terms at time level t,. Here h is the time step size and y, approximates y(t,)=y(t, + j h ) . Using this strategy, the solution technique for (1.1) becomes

EYn+,= ( E + ~ ) Y+hg(t,), ,
and for (1.2) becomes
~ n + =(I+&)Y, l

-3) (1

+hg(rn)*

-4) (1

Y(t0)'YO

(1 4

MaimscriptreceivedMarch 4, 1980;revisedOctober 6, 1980. This work was supported by the Department of Energyunder Contract

ET-7&c41-2876.

R. F. Sincovec is with the Department of Electrical Engineering and ComputerScience,University of Colorado at ColoradoSprings,Col00. orado Springs, CO 897 A. M. Erisman, E. L Yip, and M. A. Epton are with the Boeing . Computer Services Company, Tukwila, WA 98188

If E is dense and we ignore the number of operations required to form A^ or to factor E, since these are done l once for al time steps, then (1.4) is more efficient than (1.3). Now suppose E and A are sparse. For example, suppse that they are both tridiagonal matrices. Then (1.3) requires order N , O(N), operations and (1.4) requires O ( N 2 ) operations. This follows since the solution of tridiagonal
1981 IEEE

0018-9286/S1/0200-0139$00.75

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method we must solve equations at every step with either model. Finally, suppose that E is singular or almost singular. Forward Exact Euler Backward Euler Solution Solution tn Solution Then the following questions immediately arise. 1. 1. 0. 1. 1) Do solutions exist to the differential equations? 0.01oo9o - 8.89 0.01 0.010045 2) Does a solution pass through yo? 0.020007 80.22 0.02 0.019999 0.029996 -721.67 0.03 0.029996 3) Can thesequestionsbeansweredwithoutproblem transformations? 4) Can these questionsbeansweredwithoutundersystems of equations is O( N ) , but 2 would be af u l l matrix standing a priori the singular nature of E? Also note that if ( E - h A ) is nonsingular, the then and the required matrix multiplication in (1.4) would be O N ) . In the preceding arguments,we have assumed that backward Euler method (1.5) generates answers. What do ( E and A are constantmatriceswhichpermit A^ to be they mean? One approach to answering these questionsis via transformed only once at the beginning of the solution algoformation techniques. Unfortunately, transformathese rithm.However, if E and A are not constant, then one tions destroy all the equation structure which we sought of in these arguments and (1.3) is cannot ignore 2 = E the better approach whether or not E and A are dense or to preserve. Further, the methods we will propose will be applicabletononlinearproblems,whilethe transfomasparse matrices. tion approach is only for linear problems. Recently, the Nowsuppose the modelis stiff, i.e., thereisawide shuffle algorithm has been suggested for use on descriptor range of time constants very or small constants time compared with the interval of interest. This assumption is systems [6].This algorithm is a reasonable analysis tool, since itrequires rank dequite realistic since many physical systems are stiff. The but itispotentiallyunstable forward Euler method may be totally inadequate if h has termination by factorization. Also itdoes not preserve to be restricted by numerical stability. For example, con- sparsity, and sincesome of the information that it attempts to determine is available directly by other more sider the single equation direct techniques, it is not computationally necessary. j=-lO(y-sint)+cost, =l, y(O) In theremainder of this paper weanswer the above questions and show that questions of solvability and adwith exact solution missibleinitialconditions can beansweredstably and y(t)=sint+e-lW. rigorously as a by-product of the computations that preserve the original equation structure and sparsity. Hence, In Table I, we presentthenumericalsolution of this descriptor systems are appropriate for large systems. equationusing h =0.01withthe forward and backward Euler method. The backward Euler method is the simplest stiff method which approximates j by ( y n + ,- y n ) / h and 11. DETINTIONS PRELIMINARY THEORETICAL AND evaluatesallothertime-dependentterms at time level
TABLE I
EFpEcrs OF STIFFNESS Ncnd~ruCAL ON METHODS
tn+ 1

RESULTS

is unstable even if Clearly, the forward Euler method h=0.01. The step size would have to be less than 0.001 for thismethodto be stable.Sucha small stepsizeseems unrealistically small to solve the problem at hand, because we would expect a step size which is reasonable to sample the solution curve. If we apply the backward Euler method to the solution of (1.1) and (1.2) we obtain
( E - m ) y n + , = E ~ n+ h g ( t n + , )

and
( I - ~ l Y n=+ l + h a t , + , ) , rn

In this section, we review thecanonical form for a solvabledescriptorsystem and discuss concept the of admissible initial conditions.The canonical form supports the computational results theoretically,but does not affect the computation itself. Gantmacher [3] hasgiven a completeanalysis of the general matrix pencil, A - h E , where A and E are N x N matrices and A or E or both can be singular. Details o f (1 -5) the application of this to descriptor systems are discussed The key result, however, is that by Yip and Sincovec [9]. there exist nonsingular matricesP and Q which reduce the matrix pencil A - A E to a canonical form. When P and Q (1-6) are applied to the descriptor system (l.l), we have
PEQe-~(t)=PAQQ-y(t)+Pg(t),

respectively. For large problems, ( E - h A ) is generally sparse whereas ( I - h A ) is less sparse and possibly dense because it involves the term E -A. The solution of large sparsesystems of 10 O00 or more equations is often an easycomputationaltask.However,thesolution of only 500 denseequations is generallyquitedifficult and is pushing the computational capabilities of even the largest integration computers. Observe that with an implicit

(2.1)

which is composed of five types of independent canonical subsystems. Three of the types correspond to cases where no solutions exist, or infinitely many solutions exist. Even though an incompletedescription of aphysicalsystem mayleadtosuchcanonicalsubsystems,thesetypes of

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systems are not the subject of this paper. The remaining two types are the Ones of interest, and they correspond to the case when ( A -A E ) is a regular matrix pencil,that is, det(A -XE) is not identically zero. In this case, (2.1) is equivalent to
il(t)=Elxl(t)+fl(t)7 Xl(tO)=Xl,O~

E 2 i 2 (t ) = x 2 ( t ) + it ) , f( where

x2( t o )

The initial conditions of (1.1) deserve a few additional comments. If E is a diagonal matrix with 1's or 0's down thediagonal, then (1.1) is simply a system of ordinary differential equations coupled to a system of algebraic equations. For such a systemone can specify arbitrary initial conditions corresponding to the differential equa(2'2a) tions, but the initial conditions for the algebraic equations (2.2b) are not arbitrary sincethey are determined by the requirement that the algebraic equations be satisfied initially. For arbitrary an descriptor system we say that y ( t o )=yo is admissible if and only if a unique solution y ( t ) for (1.1) existssuch that y ( t o ) = y o . Alternatively, there exists E2 such that

and E, has the property that there exists an integer m such that ET =0, ET-' ZO. This value of m is defined to be the nilpotency of the descriptor system and although E, is not unique, the value of m is and, therefore, the concept of nilpotency is well defined. For example, if m = 3 , and

E2=[!

H],
,
+f22

for an arbitrary x l ( t 0 ) as shown i [7]. n

i2(t)=[
x23

(1.1) summary, we conclude the initial conditionsthen In is always solvable and that is nonsingular are if E admissible. If det(A - X E ) r O then (1.1) solvable but is f the initial conditions are not necessarilyadmissible. I det(A -AE)=O, then (1.1) is not solvable. We illustrate come ideas these how into play with an example in the next EXAMPLE 111. ANILLUSTRATIVE (2.3)

and f i ( t ) =

I"']
f,
fu
1 =x21 +&I 2 2

section.

then (2.2b) is equivalent to

In Section I1 we defined an admissible initial condition for a solvable descriptor system. In this section we take a solvabledescriptorsystemexamplewhere E is singular O=x, +fa. and the initial conditions are inadmissible. We demonNote that we can easily solve (2.3) by starting with the last strate two expected results. The. explicit method cannot E proceed, since it requires nonsingular, while the implicit equation to obtain method produces "answers," since it solves equations with x u = -fu the coefficient matrix E - hA. For the example we show x22 = - f P -f22 (2.4) what the apparently reasonable initial conditions are, and show that the implicit method produces the solution to x 2 1= -fh2)-f (1) -f this problem in spite of the wrong initial point. In Sections 22 21 IV and V we show that with the backward Euler method where f ( i ) denotes the ith derivative with respect to t. Of and the general class of k-step backward differentiation particular interest is the fact that the solution of (2.3) is methods, errorsfrom inadmissible initial values are always not dependent on the initial conditions.Luenberger [6] damped out. In particular, wewillshow that the "solucalls systems of this type pure predictors. In general, E2 in tions"converge to the solution of theoriginalproblem (2.2) is made up of diagonal subblocks of the form E, of with "certain" initial conditions after ( m - l ) k + 1 steps, this example. where m is the nilpotency of the descriptor system and k is Thus, we say solvability of the descriptor system (1.1) is the order of themethod. After demonstrating thesereequivalent to the condition det ( A - A E ) 30, which is also sults, we give some alternate interpretations for the meanequivalent to the existence of the matrices P and Q that ing of these solutions. transform ( 1 . 1 ) to (2.2). It is an easy task to verify that the We consider the following example: solution of (2.2) is given by
I3 = x 2 2 2 xl(t)=e'Elx10
m- 1

dr

(2.5a) (2.5b)

3 + ,+ x , , 1 =x1 i

x,(0)=2 x,(O)= 1. (3.1)

il+i25 , =2x, + The system is equivalent to

x2(t)= -

2,E; f$'(t).

i=O

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1, +i2, , 1 ( 0 ) = 2 =x1 + x x
o = X 1X 2 -

TABLE I I

+5,

X2(0)= 1,

REsuLrs w r r ~ BACKWARD E

m METHOD
Exact

which is, in turn, equivalent to

j1

=Y~Y

Y1(0)=3~
y2(0)= 1

n 0 0 1 -0.8333 0.1

I8

Backward Euler
2.
x; x; x;

1.

4.1667 4.5576

-1. -0.8422

y2 = - 5 ,

(3 4

-0.6481 2 -0.6679 4.3519 0.2 -0.4424 3 0.3

-0.4752

4. 4.1578 4.3321 4.5248

wherey, =x1 + x 2 , y 2 = x 1- x 2 . Note that we cannot satisfy y2(0)= 1 but, by ignoring the initial condition on y2 and using yl(0) = 3, we obtain a solution
y 1 =3e,

y2 = -5, choose h = 0.1, then we can generate the results shown inTable 11. Note that even though the initial condition used in the is inconsistent, the numerical implicit method Euler method appears to converge to the same solution obtained by satisfying the initial condition of the differential equation in the transformed variables while ignoring the initial condition on the algebraic equation in the transformed variables. This situation is graphically illustrated in Fig. 1. In Sections IV and we that the results for this example are true in general. The key question is this: since there is no solution passing through the given initial conditions, is the solution obtained the best one? Unfortunately there is not enough information present to answer this question. We have shown for this example, and in general in the next meaning which can be attached to the twosections,a computed solution. In Section VI1 we show another interpretation-that there is a particular perturbed problem in the neighborhood of the givenonewhich has this computed solution as its exact solution. Alternatively,however, suppose in the original problem (3.1) we defined the best solution as the one satisfying x,(O)=2 where x2(0) was unspecified. This problem has a true solution

A# 1. If we

which implies that

Xl(t) =9

3e - 5

x2(t)=-

3e2+5 2 .

(3 -3)

This solution is reasonable in the sense that in the transformed variables the ordinary differentialequation and its initial condition is and the algebraic equation is satisfied in spite of its inconsistent initial condition. We observe that in the original variables we have solved the differential equations corresponding to initial conditions
x,(O)= - 1, xZ(0)=4.

Now suppose that we try to solve the original descriptor system in equation (3.1) using the explicit Euler method. Then we have
x;+l

-x;

h
x;+l-x;

+ ,
+

p + 1 -

h h

x; = x ; + x ; ,
n

X;+l

=2x; +5,

or
x+, +x;+=x; 1
+ x ; +h(xf + x ; ) ,
+X;

x;+l

+X;+

=x;

+ h ( 2 x ; +5).

(3.4) which is not close in any sense to the computed solution, We comment that a jump at the initial step gives an indication that the initial conditions are inadmissible. Continuing to compute past this produces a solution for a related set of initial conditions. Whether this is a realistic our usable solution depends on an assessmentby the analyst. In Section VI we show, for the general case, how to compute initial conditions corresponding to the computed solution to aid in this assessment.

These equations clearly cannot be solved! Suppose that wenow try to use the backwardEuler method on the original problem. Then
h h XI +l - x ; x ; + I - x ;
h

= 2 x ; + +5.

(3.5)

If (1 - h)(2 h)#O, then we can solve this system to obtain

x;+l

=-

x;+x; 2(1-h)

+ -. 2

IV. BACKWARD EULER METHOD

In this section we give some results which explain the success of the backward Euler method in the example of the previous section. This method applied to the descriptor system (1.1) is given by (1.5). If we apply the backward

Note that the condition h# 1 required to solve this system corresponds to the condition thatdet(A -XE)#O for

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It iseasytoextend this result to general descriptor systems (1.1) by simply using P and Q to back transform A statement of the resulting totheoriginalvariables. theorem is given by Theorem 2. Numerical Sol Theorem 2: Suppose I is the set of admissible initial Inadmissible conditions for the descriptor variable system (1.1). Let y, 1.c L C by any descriptor variable and define yn(yo) to be the approximation obtained for y ( n h ) by the backward Euler t method [defined by (1.5)] with the initial value y(t,)=y,. Fig. 1. The numerical behaviorof the backward Euler method. Then there exists a unique 9, in I such that yn( yo)=yn(yo) for n > m where M is the nilpotency of the descriptor Euler method to the descriptor system in canonical form system. To summarize, we can solve (1.1) with arbitrary initial (2.2), we get conditions by first transforming to the canonical form (2.2), then determining a corresponding consistent initial condition yielding the solution (2.5) and finally back transforming to the original variables to obtain the desired solution or we cansolve (1.1) directly with the implicit Euler method (1.5). Then, to withinroundoff error, the We shall outline a proof of the following theorem which states that the backward Eulermethod applied to the two solutions will be identical after m steps whether or not descriptor system in canonical form for arbitrary initial the initial conditions were consistent. An alternate way of interpreting this solution is by conditions generates a numerical solution consistent with an admissible initial condition. Details of the proofs are considering perturbation. Clearly any perturbation to the E matrix in (1.1) making it nonsingular causes the perfound in [7]. Theorem I : Suppose I, is the set of admissible initial turbed system to be equivalent to a state variable model. conditions for the descriptor variable system in the canon- Hence, the initial conditions would be admissible for the x x z ( t o ) ) be perturbed problem. In Section VI1 we relate the numerical ical form (2.2). Let x .z o ) = ( x , ( t o ) , arbitrary and define x,(xo) to be the approximation ob- solution of the original problem to the numerical solution tained for (x,(&), x,(nh)) by the backward Euler method of a particular, stably perturbed problem. It is important defined in (4.1) with initial condition xo. Then there exists to notice, in this respect, that not all small perturbations , 4z,o)in I, independent of the step size of the system (1.1) are physically reasonable. Inparticular, a unique 4 = infinite eigenvalues of the system (1.1) can be moved into h such that x , ( 4 , ) = ~ , ( ~ , for n > m where m isthe ) unstable regions of the complex plane by small perturbanilpotency o the descriptor system. f The key idea in the proof is to use (4.1) in a recursive tions of E and A . , ~ manner to define X ] , , and X,,, in terms of x ~and xzo. With the observation that E, and (E, - h I ) - ' commute since ( E , - h l ) is a matrix polynomial in terms of E,, we get
Admissible I.C. ^--c

.. 1

- ;1

where U = ( I - h E , ) - ' and V = ( E , - h I ) - ' . Now clearly the term V"E,"xzo = 0 for n > m since E$ = 0 for n > m showing that is independent of the choice of Thus, if z, = ( z ] , ~ z , , ~ )is another initial condition with , tl,O and zzo arbitrary, then x,(x,)=x,(zo) for n > m. Note that These general formulas are the basis for most practical stiff integration codes, whereas backward Euler, a special case, was used for illustrative purposes earlier. The following theorem indicates that after ( m - l)k+ 1 steps (where m is the nilpotency of the descriptor system), Gear's k-step method will for an arbitrary initial condition yield a numerical solution consistent with some admissible initial condition.

is an admissible initial condition for (2.2). Thus, Z,(X,)= x,(x,) and (x,(nh), x,(nh)) uniquely determined by is for n > m.

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Theorem 3: Suppose I is the set of admissibleinitial conditions for the descriptor variable system in (1.1). Let y, be any descriptor variable and define yn(y,) to be the approximation obtained fory(nh) by Gear's k-step method defined in (5.1) with the initial condition y ( t , ) =yo, then there exists a unique 9, in I , such that yn(y,) =yn(fo) for n 2 ( m- l)k 1, where m is the nilpotency of the descripk t rn steps forward IC tor variable system. \ The proof of Theorem 3 is rather complicated and t consists of first proving the analog of Theorem 3 for a Fig. 2. The computation o admissible initial conditions. f descriptor variable system in standard canonical form and then using the transformation matrices to obtain the desired result [7]. Implicit in the statement of Theorem 3 is ,yk are generated using obtain the desiredresult [7]. In this section, have the assumption that y,, y,,. we lower order Gear formulas, which is consistent with cur- introduced a method, namely, the back-tracing function rent self starting variable-order codes. X(y,, h), to approximate an admissible initial condition k, for a descriptor variable system using the backward Euler VI. COMPUTATION OF ADMISSIBLE INITIAL method and the forward Euler method integrating backCONDITIONS wards. However, as implied by Theorem 4, in order to use the method weneed to know an upperboundfor the In this section, show we how an admissible initial nilpotency of the descriptor variable system. The probIem condition can becomputedusing an implicit ordinary of finding an upperbound for the nilpotency of the differential equation method, namely, the forward Euler descriptor variable system still needs to be addressed in method integrating backwards. The forward Euler method future work. However, an obvious, relatively low-cost integrating backwards for the descriptor variable system approach for determining m is to guess k and compute 9, can be derived as follows. using backtracing with a verysmall step size h. Then integrate the two systems simultaneously, with initial con1 -E(y,-yn-,)=Ay~-,+gn-l, h (6-1) ditions y, and y,, and determine m < k as the smallest step number for which the two systems agree.If the systems do not agree for m < k, one would have to increase k and which is equivalent to repeat the process. Fig. 2 illustrates these results. Y,-,=(E+hA)-'[Eyn-hgn-,]. (6-2)

I . '

Now we shall define the back-tracing function X(y,, h ) k, for the descriptor variable system in (1.1) and show that if k is greater than or equal to the nilpotency of the system, then X(y,, k, h ) is an admissible initial condition as h approaches zero. Definition 6.1: Given the descriptor variable yo, apply the backward Euler method defined in (1.5) and obtain y, for in= 1,2; k . Then write y k =yk and apply the forward Euler method integrating backwards defined in (6.2) and obtain

VII. NUMERICAL I~LICATIONS The error monitoring procedures in modem ordinary differential equations integrators are very sophisticated. Our intent. is not to describe the actual details but to merely comment on the consequences of such procedures as related to the numerical solution of descriptor systems. The error monitoring determines: 1) whether E-hP0A isnearlysingular for al h, and 2) whether the solution l changes too rapidly for the given h . Observe that if E - hPoA is nearly singular for all h, then (1.1)isvery close to an unsolvable problem by the results of Section 11. Hence, the error monitoring can identify this condition by repeated failures to pass the error testusingsuccessively smaller values of h. In stiff problems the solution can change rapidly for a small h until the transients damp out, however, for inadmissible initial conditions the error estimate does not damp out for small h. Hence, if E-hP,A is not nearly singular, then the error monitoring can identify inadmissible initial conditions. By allowing the integration to proceed in spite of this condition, we will ultimately arrive at a solution curve. Using the approach from Section VI, we can then identify the initial condition for the problem that has been solved and determine if it is

a ,

13k-j

= ( E + h A ) - ' ( Eyk-,+l - h g k - j )

(6.3)

for j = 1,. k. We define X(y,, k,h)=)?,. We shall call X( yo, k, h ) the back-tracing function. We can now state the following theorem which makes use of the back-tracing function for descriptor variable systems. Theorem 4: Suppose backthe tracing function X ( y o ,k, h ) is applied to the descriptor variable system in (l.l), then for k> m , and as h approaches zero, X ( y , , k , h ) approaches a unique admissible initial condition. To prove this theorem, we prove the analog of Theorem 4 for descriptor variable systems in canonical form and then use the existence of the transformation matrices to
a ,

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reasonable physically, or if some alternate error source may be present in the model. We give another interpretation of the solution produced by the implicit method, though the details are left to [7]. In the case of inadmissible initial conditions it must be true that E is singular. Now there is a small value of E and a particular matrix H for which E E H is nonsingular and the resultant system still stable provided that the original system is stable. Hence, the initial conditions are admissible for the perturbed descriptor problem

accuracy of the state components, i.e., (2.2a), and avoids the explicit computation of a transformation matrix. We shall concern ourselves with devising an appropriatemodification of the classical predictor-corrector error estimation scheme that is appropriatefor application to the implicit differential system (1.1) that arises in the study of descriptor variable systems. It will turn out that the apl i propriate measure of error wtake the form

5, =ME
where M denotes a canonical state variable projection matrix and E is a conventional predictor-corrector measure of error. The projection matrix M is applied to filter out nonstate variable components of error. The justification for performing thisfiltering process will be developed in the course of our discussion. The key motivation behind the filtering procedure isthe observation that it is both difficult and somewhat unnecessary to perform step size based error control during the numerical integration of (2.2b). To see this, one needs merely reflect on the fact that the numerical approximate solutions generated for (2.2b) depend solely on the local behavior of the function f , ( t ) . Thus, any errors committed on a given integration step affect the numerical solution only locally and are not propagated globally. l i Of course, it w be necessary to perform some sort of error control on canonical nonstate subsystems, but this needs to be done only for integration steps at which one wants to examinethe solution. Furthermore, the error controls on nonstate systems need to be no more stringent than the global accuracy that one requires. Since global accuracy requirements are necessarily less stringent than local accuracy requirements, see that whatever requirewe ments are placed on the accuracy of nonstate subsystems, these requirements may be considerably relaxed compared with the requirements placed on state subsystems. With this justification of our intentions, we can now describe the filtering algorithm. Consider the system (1.1). For any point y ( t ) along its solution trajectory we can write y ( t )= Q x ( t ) [the matrix Q here is the same as in (2.1)] as a sum of two pieces, one depending on x l ( t ) , the canonical state vector of length n,, and the other depending on x2( t ) , the canonical nonstate vector of length n,.

(E+eH)Ji(t)=Ay(f)+g(t),

Y(~,)=Y,.

(7.1)

In [7], where therelation between descriptor variablesand singular perturbation analysis is discussed, it is shown that the solution generated by an implicit method for (1.1) corresponds to thesolution of (7.1). This is another way of establishing its reasonableness. We emphasize, however, that this solution is produced without actually determining an E and working with (7.1). Further, totry to do this and to solve (7.1) with an explicit method directly would be numerically unstable, because E + E H would be very ill-conditioned. In the next two sections we consider some further insight in the analysisof the numerical methods applied to descriptor models. In particular, the analysis we have presented so far is shown to be consistent with truncation error analysis. VIII. CONVERGENCEIMPLICIT ORDINARY OF DIFFERENTIAL EQUATIONS O D S H

In this section we study the local truncation error and its global propagation associated with the application of the backward Euler method and Gears k-step method to the solution of descriptor variable systems. Using the standard reduction of a descriptor variable system (1.1) to its standard canonical form (2.2), it is necessary to show that the numerical methods under consideration converge to a true solution of the system (1.1) as the step size tends to zero. The fact that these methods converge to the analytic solution of (2.2a) is guaranteed whenever the right-hand side of (2.24 satisfies a Lipschitz condition. This can be easily proved using the methods described by Butcher[2]. The assertion that these methods converge to the analytic is an admissolution of (2.2b) when the initial vector sible initial condition and ET =0, ET- #O needs to be proved. This result is proved by Sincovec et al. [7]. They show that the order of convergence of the global error is q h k ) for Gears k-step method, We remark that the backward Euler method is merely Gears one-step method.

IX. ERROR CONTROL

The objective of this section is to define a procedure that enables one to control the numerical integration

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Defining M by

we can see immediately that (9.1) implies

u(t)=Mu(t)+(I-M>y(t>.

(9.3)

ical nonstate variables x,( t ) . Since the local errors in these nonstate components will generallybe of order O(hg+') for some g < k, where k is the order of the method, whereas the errors in the state components x l ( t ) will be of the expected order, O(hk+'), we find it convenient to remove the nonstate components of E by applying either the projection M or its approximation M ( h , n). Defining E , , E , and E , , Z by the natural relations ,
1

In (9.3), the first term on the right-hand side is the contribution made by the canonical states x l ( t ) and the second term is the contribution of the canonical nonstates x,(t). Thus, we definey,(t) andy2(t) by
y l ( t ) =My( t ) (state component of y )
y2( t )= ( I - M ) y ( t )

=ME

2, = M ( h , n ) e

(9.6a) (9.6b)

E~=(I-M)E ;z=(I-M(h,n))~

(nonstate component of y )

and notice that

we see that it is desirable to control just E , . Now since M is difficult or impossible to compute, we invoke Theorem 5, and replace M by M ( h , n) for some n 2 m. Thus, the practical computational algorithm that we propose controls the error term Z, rather than or E . Since, by Theorem 5, M ( h , n)+M as h+O, then

z1 = M ( h , n)E+ME=E,.
Thus, one can readily see that controlling Z, comes very

f close to thedesiredobjective o controlling E , . It is an easy consequence of the discussion that led upto the iert The matrix M defined by (9.2) is a projection matrix. We definition of E,, together with the l n a i y of the numerical methods being considered, that E , is O(hk+'), where k can now describe the objective of the error control procedure to be used during the numerical integration of the is the order of the backward differentiation formula. This fact that E , possesses the appropriate asymptotic order will system in (1.1). Objectiw: Define a procedure that enables one to con- enable the standard step size adjustment algorithms to trol the numerical integration accuracy of the state com- proceed substantially more smoothly than if control were ponent of y , y l ( t )= My(t). It is understood that such a attempted on the unfiltered E . For example, if m = 1 and we are using the backward procedure should avoid the explicitcomputation of the Euler method (Bo = 1) to solve (1. I), then the desired error matrix Q. We have added the provision that explicit computation vector E , that we use with standard step size adjustment of Q beavoidedbecause the actual computation of Q algorithms is given by would necessarily involve repeated rank identification, a (E-hA)E, = E . task that is difficult, if not impossible, in a real computation environment that includes rounding error. Thus, the Note that the E - h 4 is already factored in the implemendefinition of M in (9.2) is not an adequate characteriza- tation of the backward Euler method. tion of M from the point of view of practical computation. For a descriptor system with nilpotency m, we have by It is fortunate, then, that we can state a characterization (9.6a) that of M that does not involve Q explicitly.Thefollowing theorem defines this alternative characterization. E, =[(E-h/?OA)-lE]mE. Theorem 5: Let m be the nilpotency of the descriptor variable system in (1.1). Let In this case, the desired error vector E , can be calculated M(h,n)=[(E-h/?oA)-'E]"
(9.4)

by letting 6") = E and for i = 1,2,

- . ,m ysolving

where Po is defined by (5.1). Then, for

M = limM(h,n)
h-0

(9.5)

a(').

Then P,

the desired error vector. One

can

also compute the error vector E2 corresponding to the nonstate components. By (9.6b), E , = - E 1 .

provided n > m. The proof of Theorem 5 is given by Sincovec et ai. [7]. We now have the machinery necessary to describe the filtering procedure to be used during error estimation. The estimate for the local truncation error E will in general be contaminated with components associated withthe canon-

The preceding error monitoring procedure requires the solution of m l n a systems but it is not prohibitively ier expensive since E-h/?,,A is already factored in the imple mentation of the numerical integration algorithm. Also for most descriptor systems that arise in practice, m is seldom greater than 2. This error monitoring strategy is very

SINCOVEC er

al.: DESCRIPTOR s y m w

USING NUMERICAL ALGORITHMS

147 Colorado Springs. His research contributions have been primarily concerned with the development of generalized computer software for solving large classes of physicalproblems that can be describedby differential equations. Dr. Sincovec i a s member of theSociety for Industrial and Applied Mathematics,Society the Of Petroleum and the &sociation for Computing Machinery.

sensitive to the correct identification of rn but as indicated a procdure can often be used to determine the nilpotency of the descriptor system. Finally, if m>O is known and the initial conditions for the descriptor system are inadmissible, then this error monitoring strategy i required for the first ( m- l)k+ 1 time steps. s

in Section

X. CONCLUSIONS For descriptor systemswe have presented and analyzed a numerical solution technique which 0 preserves sparsity and natural physical structure, e identifies nonsolvable system, e resolves initial value consistency problems, e controis numerical integration error in only the state variables, and 0 is applicable to stiff descriptor systems.
REFERENCES

R I . Brayton, F. G. Gustavson, and G. D. Hachtel, A C new efficient algorithm for solving differential-algebraic systems using implicit backward differentiation formulas, Proc. ZEEE, vol.60, no. 2, pp. 98-108, 1972. J. C. Butcher, On the convergence of numerical solutions to ordinary differentialequations, Math. Comp., voL20,pp.1-10, 1966. F. R Gantmacher, The Theoty of Matrices, vol. New 2. York: Chelsea, 1959. C. W. Gear, Numerical Initial Vaiue ProbIems in Ordinary Differential Equations. Englewood Cliffs, NJ: Prentice-Hall, 1971. C.W. Gear and L. E. Shampine, A users view of solvingstiff orrlmary differential equations, SIAM R m i m , voL21, no. 1;pp. 1-17, Jan. 1979. D. G. Luenberger, R. E. Larson, D. N. Stengel, and T. B. Cline, A descriptor variable approach to modeling and optimization of largescalesystems, in @stems Engineering for Power: Organizational F o m for Large Scale @stems, vol. 1, L. H. Fink and T. A. Trygar, Editors., CONF-7909WP2. Springfield, VA: NTIS, Oct. 1979. R. F. Sincovec,E. L. Yip, M. A. Epton, J. W. Manke, A. M. Erisman, B. Dembart, and P. Lu, Solvability of largescale descrip tor systems, in @ s t e m Engineeringfor Power: Organizational Form for Large Scale System, vol. 1, L. H. Fink and T. A. Trygar, Editors., CONF-79090Q-P2. Springfield, VA: NTIS, Oct. 1979. J. H. Willcinson, Lineardifferential equations and Kroneckers canonical form, in Recent A h c e s in Numerical Analysis, C. de Boor and G. H. Golub, Editors. New York: Academic, 1978. E. L. Yip and R. F.Sincovec, Controllability and observability of continuous descriptor systems, ZEEE Trans. Automat. Conk., to appear.

Albert M. Exisman was born in Oak Park, I11941. He received the linois on February 15, B.S. degree in Mathematics from Northern Illinois University, D Kalb, I in 1962, and the e L M.S. and Ph.D. degrees in applied mathematics from Iowa State University, Am=,IA in 1%7 and 1%9, respectively. He has been with the mathematicsstaff at Boeing Computer ServicesTukwila,WAsince he manager of the 1969. In 1973became Numerical Analysis group at BCS, and in 1976 f he began his present assignment of manager o the Mathematics and i Modeling staff. Hs research interests include the development and methods, mathematical software and application of sparse matrix mathematical softwarelibraries, and the application of mathematical softmare to the formulation and solution of mathematical models. Dr. Erisman is amember of SIAM (and the SIAM Council), and ACM.

L Yip was born in Pembroke Dock, S.W. Wales on September 12, 1945. She received

ahntn University of Wsigo. Her current research interests are in the areas of out-of-core solution for large linear systems, linear programming,and matrix pencils.

Richard F Sincovec received . the B.S. degree from the University of Colorado in 1964 and the MS. and Ph.D. degrees from Iowa State University in 1967 and 1968, respectively, all in applied mathematics. He was a Senior Research Mathematicianwith Exxon Production Research in Houston, TX, from 1968 to 1970. In 1970, he joined Kansas State University as an AssistantProfessor of Computer Science and Mathematics. In 1977, he Computer left Kansas State to join Boeing Services in Seattle, RA, as Manager,NumericalAnalysis. He is currently Professor o CI)mputer Science at the University of Colorado at f

Michael A. Qton was born in Spokane, Washington on September 2,1948. He received the B.S. degree from Gonzaga Univenity, Spokane, WA in 1968 and the M.S. and Ph.D. degrees in applied mathematics from Princeton University, Princeton, NJ in 1970 and 1973, respectively. He has been with Boeing Computer Services Company since 1972. His current research interests are numerical solution of ordinary differential equations, implicit differential equations, and collocation methods for the solution of integral equations derived from partial differential equations. Dr. Epton is a member of SIAM and the American Mathematical Society.