Ordinary Differential Equations Initial Value Problems

Presume that a problem is described as an ordinary-differential-equation initial-value problem, such as the mass-action kinetics or plug-flow problems discussed earlier. In the standard form, such a problem might be written as... 

Nonlinear Ordinary Differential Equations-Initial-Value Problems... 

Ordinary Differential Equations (Initial Value Problems) 107... 

Other methods can be used in space, such as the finite element method, the orthogonal collocation method, or the method of orthogonal collocation on finite elements. One simply combines the methods for ordinary differential equations (see Ordinary Differential Equations—Boundary Value Problems ) with the methods for initial-value problems (see Numerical Solution of Ordinary Differential Equations as Initial Value Problems ). Fast Fourier transforms can also be used on regular grids (see Fast Fourier Transform ). 

Figure 8 depicts our view of an ideal structure for an applications program. The boxes with the heavy borders represent those functions that are problem specific, while the light-border boxes represent those functions that can be relegated to problem-independent software. This structure is well-suited to problems that are mathematically either systems of nonlinear algebraic equations, ordinary differential equation initial or boundary value problems, or parabolic partial differential equations. In these cases the problem-independent mathematical software is usually written in the form of a subroutine that in turn calls a user-supplied subroutine to define the system of equations. Of course, the user must write the subroutine that defines his particular system of equations. However, that subroutine should be able to make calls to problem-independent software to return many of the components that are needed to assemble the governing equations. Specifically, such software could be called to return in-... 

Note that all the conditions are known at one time, t = 0. Thus it is possible to calculate the function on the right-hand side at f = 0 to obtain the derivative there. This makes the set of equations initial value problems. The equations are ordinary differential equations because there is only one independent variable. Any higher-order ordinary differential equation can be turned into a set of first-order ordinary differential equations they are initial value problems if all the conditions are known at the same value of the independent variable [Finlayson, 1980, 1997 (p. 3-54), 1990 (Vol. BI, p. 1-55)]. The methods for initial value problems are explained here for a single equation extension to multiple equations is straightforward. These methods are used when solving plug-flow reactors (Chapter 8) as well as time-dependent transport problems (Chapters 9-11). 

This text first presents a fundamental discussion of linear algebra, to provide the necessary foundation to read the applied mathematical literature and progress further on one s own. Next, a broad array of simulation techniques is presented to solve problems involving systems of nonlinear algebraic equations, initial value problems of ordinary differential and differential-algebraic (DAE) systems, optimizations, and boundary value problems of ordinary and partial differential equations. A treatment of matrix eigenvalue analysis is included, as it is fundamental to analyzing these simulation techniques. 

Gear C W 1971 Numerical Initial Value Problems in Ordinary Differential Equations (Englewood Cliffs, NJ Prentice-Hall)... 

NUMERICAL SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS AS INITIAL VALUE PROBLEMS... 

A differential equation for a function that depends on only one variable, often time, is called an ordinary differential equation. The general solution to the differential equation includes many possibilities the boundaiy or initial conditions are needed to specify which of those are desired. If all conditions are at one point, then the problem is an initial valueproblem and can be integrated from that point on. If some of the conditions are available at one point and others at another point, then the ordinaiy differential equations become two-point boundaiy value problems, which are treated in the next section. Initial value problems as ordinary differential equations arise in control of lumped parameter models, transient models of stirred tank reactors, and in all models where there are no spatial gradients in the unknowns. 

The solution of boundary value problems depends to a great degree on the ability to solve initial value problems.) Any n -order initial value problem can be represented as a system of n coupled first-order ordinary differential equations, each with an initial condition. In general... 

The best packages for stiff equations (see below) use Gear s backward difference formulas. The formulas of various orders are [Gear, G. W., Numerical Initial Value Problems in Ordinary Differential Equations, Prentice-Hall, Englewood Cliffs, N.J. (1971)]... 

This equation must be solved for yn +l. The Newton-Raphson method can be used, and if convergence is not achieved within a few iterations, the time step can be reduced and the step repeated. In actuality, the higher-order backward-difference Gear methods are used in DASSL [Ascher, U. M., and L. R. Petzold, Computer Methods for Ordinary Differential Equations and Differential-Algebraic Equations, SIAM, Philadelphia (1998) and Brenan, K. E., S. L. Campbell, and L. R. Petzold, Numerical Solution of Initial-Value Problems in Differential-Algebraic Equations, North Holland Elsevier (1989)]. 

---