Differential algebraic equation

In mathematics, differential algebraic equations (DAEs) are a general form of (systems of) differential equations for vector–valued functions x in one independent variable t,

$F(\dot x(t),\, x(t),\,t)=0$

where $x:[a,b]\to\R^n$ is a vector of dependent variables $x(t)=(x_1(t),\dots,x_n(t))$ and the system has as many equations, $F=(F_1,\dots,F_n):\R^{2n+1}\to\R^n$. They are distinct from ordinary differential equation (ODE) in that a DAE is not completely solvable for the derivatives of all components of the function x.

This difference is more clearly visible if the system may be rewritten so that instead of x we consider a pair (x,y) of vectors of dependent variables and the DAE has the form

$\begin{align}\dot x(t)&=f(x(t),y(t),t),\\0&=g(x(t),y(t),t).\end{align}$

where $x(t)\in\R^n$, $y(t)\in\R^m$, $f:\R^{n+m+1}\to\R^n$ and $g:\R^{n+m+1}\to\R^m$.

Every solution of the second half g of the equation defines a unique direction for x via the first half f of the equations, while the direction for y is arbitrary. But not every point (x,y,t) is a solution of g. The variables in x and the first half f of the equations get the attribute differential. The components of y and the second half g of the equations are called the algebraic variables or equations of the system. The term algebraic in the context of DAEs only means free of derivatives and is not related to (abstract) algebra.

The solution of a DAE consists of two parts, first the search for consistent initial values and second the computation of a trajectory. To find consistent initial values it is often necessary to consider the derivatives of some of the component functions of the DAE. The highest order of a derivative that is necessary in this process is called the differentiation index. The equations derived in computing the index and consistent initial values may also be of use in the computation of the trajectory.

Other forms of DAEs

The distinction of DAEs to ODEs becomes apparent if some of the dependent variables occur without their derivatives. The vector of dependent variables may then be written as pair (x,y) and the system of differential equations of the DAE appears in the form

$F\left(\dot x, x, y, t\right) = 0$

where

• x, a vector in $\R^n$, are dependent variables for which derivatives are present (differential variables),
• y, a vector in $\R^m$, are dependent variables for which no derivatives are present (algebraic variables),
• t, a scalar (usually time) is an independent variable.
• F is a vector of n + m functions that involve subsets these n + m variables and n derivatives.

As a whole, the set of DAEs is a function

$F: \R^{(2n+m+1)} \to \R^{(n+m)}$

Initial conditions must be a solution of the system of equations of the form

$F\left(\dot x(t_0),\, x(t_0), y(t_0), t_0 \right) = 0.$

Examples

The pendulum in Cartesian coordinates (x,y) with center in (0,0) and length L has the Euler-Lagrange equations

$\begin{align} \dot x&=u,&\dot y&=v,\\ \dot u&=\lambda x,&\dot v&=\lambda y-g,\\ x^2+y^2&=L^2, \end{align}$

where λ is a Lagrange multiplier. The momentum variables u and v should be constrained by the law of conservation of energy and their direction should point along the circle. Neither condition is explicit in those equations. Differentiation of the last equation leads to

$\begin{align} &&\dot x\,x+\dot y\,y&=0\\ \implies&& u\,x+v\,y&=0, \end{align}$

restricting the direction of motion to the tangent of the circle. The next derivative of this equation implies

$\begin{align} &&\dot u\,x+\dot v\,y+u\,\dot x+v\,\dot y&=0,\\ \implies&& \lambda(x^2+y^2)-gy+u^2+v^2&=0,\\ \implies&& L^2\,\lambda-gy+u^2+v^2&=0, \end{align}$

and the derivative of that last identity simplifies to $L^2\dot\lambda-3gv=0$ which implicitly implies the conservation of energy since after integration the constant $E=\tfrac32gy-\tfrac12L^2\lambda=\frac12(u^2+v^2)+gy$ is the sum of kinetic and potential energy.

To obtain unique derivative values for all dependent variables the last equation was three times differentiated. This gives a differentiation index of 3, which is typical for constrained mechanical systems.

If initial values (x₀,u₀) and a sign for y are given, the other variables are determined via $y=\pm\sqrt{L^2-x^2}$, and if $y\ne0$ then v = − ux / y and λ = (gy − u² − v²) / L². To proceed to the next point it is sufficient to get the derivatives of x and u, that is, the system to solve is now

$\begin{align} \dot x&=u,\\ \dot u&=\lambda x,\\[0.3em] 0&=x^2+y^2-L^2,\\ 0&=ux+vy,\\ 0&=u^2-gy+v^2+L^2\,\lambda. \end{align}$

This is a semi-explicit DAE of index 1. Another set of similar equations may be obtained starting from (y₀,v₀) and a sign for x.

Semi-explicit DAE of index 1

DAE of the form

$\begin{align}\dot x&=f(x,y,t),\\0&=g(x,y,t).\end{align}$

are called semi-explicit. The index-1 property requires that g is solvable for y. In other words, the differentiation index is 1 if by differentiation of the algebraic equations for t an implicit ODE system results,

$\begin{align} \dot x&=f(x,y,t)\\ 0&=\partial_x g(x,y,t)\dot x+\partial_y g(x,y,t)\dot y+\partial_t g(x,y,t), \end{align}$

which is solvable for $(\dot x,\,\dot y)$ if $\det\left(\partial_y g(x,y,t)\right)\ne 0$.

Every sufficiently smooth DAE is almost everywhere reducible to this semi-explicit index-1 form.

Numerical treatment of DAE and applications

A major problem in the solution of DAEs is the problem of index reduction. Most numerical solvers require ordinary differential equations of the form

$\left[\frac{dx}{dt}, \frac{dy}{dt}\right]^T = g(x,y,t).$

However it is a non-trivial task to convert arbitrary DAE systems into ODEs. Techniques which can be employed include Pantelides algorithm and dummy variable substitution.

Numerical solution of DAEs

Many physical systems are naturally described by a set of DAEs. Software can be used to attempt to solve these problems. The table below lists a number of software packages for the numerical solution of DAEs.

Name	Brief info
ACADO	Automatic Control and Dynamic Optimization (C++ and Matlab)
APMonitor	Any index DAEs (Index 0 to 3 Pendulum example)
DASSL/DASPK	Up to index-1 DAEs (and a special form of index-2), sequential solution approach
EMSO
Jacobian (software)
MATLAB	Up to index-1 DAEs with ode15s, sequential solution approach
Modelica	Applications in the auto industry
OdePkg	Used with Octave
DAETS	Use Structural Analysis and Taylor methods

See also

• Delay differential equation
• Algebraic differential equation, a different concept despite the similar name

References

• Hairer, E.; Wanner, G. (1996). Solving Ordinary Differential Equations II: Stiff and Differential-Algebraic Problems (2nd revised ed.). Berlin: Springer-Verlag. 

• Ascher, Uri M.; Petzold, Linda R. (1998). Computer Methods for Ordinary Differential equations and Differential-Algebraic equations. Philadelphia: SIAM. ISBN 0-89871-412-5. 

• Kunkel, Peter; Mehrmann, Volker Ludwig (2006). Differential-algebraic equations: analysis and numerical solution. Zürich, Switzerland: European Mathematical Society. ISBN 3037190175, 9783037190173. http://books.google.co.uk/books?id=iRZPqCwkI_IC. 
• G. Fábián; D.A. van Beek; J.E. Rooda (2001). "Index Reduction and Discontinuity Handling using Substitute Equations". Mathematical and Computer Modelling of Dynamical Systems 7 (2): 173–187. http://se.wtb.tue.nl/~vanbeek/pub/mcmds01.pdf. 
• Ilie, Silvana; Corless, Robert M.; Reid, Greg (2006). "Numerical Solutions of Differential Algebraic Equations of Index −1 Can Be Computed in Polynomial Time". Numerical Algorithms 41 (2): 161–171. 
• Nedialkov, Ned S.; Pryce, John D. (2005). "Solving Differential-Algebraic Equations by Taylor Series (I): Computing Taylor Coefficients". BIT. http://www.cas.mcmaster.ca/~nedialk/PAPERS/DAEs/taylcoeff_I/taylorcoeffsdae.pdf. 
• Nedialkov, Ned S.; Pryce, John D. (2005). "Solving Differential-Algebraic Equations by Taylor Series (II): Computing the System Jacobian". BIT. http://www.cas.mcmaster.ca/~nedialk/PAPERS/DAEs/taylcoeff_II/sysjac.pdf. 
• Nedialkov, Ned S.; Pryce, John D. (2007). "Solving Differential-Algebraic Equations by Taylor Series (III): the DAETS Code". Journal of Numerical Analysis, Industrial and Applied Mathematics (JNAIAM) 1 (1): 1–30. ISSN 1790–8140. http://www.cas.mcmaster.ca/~nedialk/PAPERS/DAEs/daets/daets_color.pdf.