Cvberm'tics and Systems Analysis, Vol. 35. No. 5.

1999

ANALYSIS OF SYSTEMS OF SINGULAR ORDINARY

DIFFERENTIAL EQUATIONS

V. V. G "rlgorenko, a I. M. Romanishin, b and L. A. Sinitskii a UDC 517.9

Systems of ordinary, dOferential equations with a small parameter at the derivative and specific features
of the construction of their periodic solution are considered. Sufficient conditions of existence and
uniqueness of the periodic solution are presented. An iterative procedure of construction of the
steady-state solution of" a system of differential equations with a small parameter at the derivative is
proposed. This procedure is reduced to the solution of a system of nonlinear algebraic equations and
does not involve the integration of the system of d~fferential equations. Problems of numerical
calculation of the solution are considered based on the procedure proposed. Some sources of its
divergence are found, and the sufficient conditions of its convergence are obtained. The results of
numerical experiments are presented and compared with theoretical ones.

Keywords" system of ordinary, differential equations, small parameter, periodic solution, numerical
calculation, iterative procedure.

INTRODUCTION

Many applied problems of physics, chemistry, and engineering can be reduced to a mathematical model as a system of
differential equations with small parameters at the derivative. The problem of analysis of such systems arises in investigating
nonlinear radio circuits with allowance for small reactive elements (inductances and capacitances), broad-band amplifiers,
processes in digital switching devices, and processes of sound transfer in media with small viscosity and in solving problems
of mass transfer with small diffusivity and problems of chemical kinetics with a high rate of reaction (the small parameter in
this case is the quantity inversely proportional to the reaction rate). The fact that the parameter is small does not exclude the
rigidity of the system under consideration. The scatter of the eigenvalues A of the Jacobian matrix at some parts of the
numerical-calculation process can be of a rather high value. We also point out that the smallness of the parameter at the
derivative implies that the eigenvalues ~ are great as compared with the frequency of external action (in the case of acyclic
signals, as compared with the rate of time variation of variables), which is also a source of rigidity.
We will hereafter consider only the case of periodic and quasiperiodic external actions and restrict ourselves to the
determination of the steady-state condition in the systems under consideration. In the case of periodic external action and
small rigidity, the steady-state conditions can be searched for by numerical integration of the system of differential equations
in terms of a transient process (the solution of the Cauchy problem). This is quite justified owing to the assumption of the
smallness of the parameter of the derivative. For a quasiperiodic external action, such an approach is probably unacceptable
owing to the fact that the "quasiperiod'" can be much greater than the periods of individual components.
The rigidity of a system can lead to inexpedience of the numerical calculation even on an interval of one to two
periods of the external action. This can be because of an excessive division of the step at the initial stage of the process.
A number of studies [1-3] are devoted to the development of special numerical methods for integration of systems of
differential equations with a small parameter of the derivative.

b ~ .
aI. Franko State University, Lvov, Ukraine. Physlcomechanlcal Institute of the National Academy of Sciences of
Ukraine, Lvov, Ukraine. Translated from Kibernetika i Sistemnyi Analiz, No. 5, pp. 103-I 10, September-October, 1999.
Original article submitted February 5, 1997.

1060-0396/99/3505-0769522.00 02000 Kluwer Academic/Plenum Publishers 769

 Asymptotic methods of the analysis of systems of singular differential equations [4-6] are mainly intended for
construction of the solution of the Cauchy problem or boundary-value problems, and approximations are constructed as a
series. The method of jointed asymptotic approximations [4] assumes representation of the solution of the Cauchy problem
by several expansions, each being applicable in some domain. The method from [5, 6] is based on the representation of the
solution as a sum of two expansions: the boundary and regular parts.
The numerical realization of the methods of constructing asymptotic approximations as series is difficult because of
the necessity of preliminarily forming a system of equations for the determination of each succesive term of a series.
In the present study, an iterative procedure of constructing successive approximations for the steady-state solution of a
system of differential equations with a small parameter of the derivative is proposed. This procedure is reduced to the
solution of a system of nonlinear algebraic equations and does not involve the integration of the system of differential
equations. The procedure proposed is close to Vasil'eva's procedure [5] of constructing the regular part of an asymptotic
approximation to the solution of the Cauchy problem. As opposed to Vasil'eva's procedure, the procedure proposed here in
its algorithmic and program realization does not involve preliminary analytical generation of equations to determine higher
approximations to the steady-state solution.
Thus, we will consider a system of ordinary differential equations (ODE)

~)x (1)
t g =f(x,t),
8t

where x is an n-dimensional vector, f ( x , t ) is an n-dimensional T-periodic vector function, f ( x , t + T ) = f ( x , t ) , and s <1

is a small positive parameter. In the case of a quasiperiodic external action, we will assume that the periods of separate
components are commensurable.
It is well known that, for singular perturbed nonlinear equations (1), series constructed with respect to s do not
converge even for arbitrarily small values of e. However, in the numerical realization it is possible to make a sequence of
approximate solutions converge by discretizing the derivatives. This allows us to select an approximation with high
confidence, not being afraid that the error increases for a fixed e as the order of the approximation increases. Moreover, it
turns out that an increase in the interval of discretization of the derivative does not cause increase in the error if the
complexity of the calculations is substantially reduced.

CONDITIONS OF E X I S T E N C E AND UNIQUENESS OF T H E PERIODIC S O L U T I O N

Let us introduce some constraints on .f(x,t) providing the uniqueness of the solutions t~r the system of algebraic
equations
f(x,t) -b, (2)

for all b e R n and t~[0, T], and the existence and uniqueness of the periodic condition of ODE system (I).
The solution of system (2) is unique if the following conditions are satisfied [7]:

(i) det]0/,
0 r - -/" ~: V.,c~ R " , t ~ [0, T];
1.,,...,I

(ii) lim IIf(x,t)ll=oo kT't~ [0, T].

Ilxll---),,o

Certainly, it is not sufficient to satisfy these conditions in order that the periodic solution o f ODE system (1) exist, be
unique, and, especially, be stable.
For actual electrotechnical systems, the problem of existence of the periodic solution does not arise, since it is
supposed that system (1) is dissipative [8]. What this means is that tbr sufficiently large t, irrespective of the initial
conditions, the solutions x(t) satisfy the inequality

IIx(t)ll_< R, R > O.

It is well known [9] that there exists at least one periodic solution for dissipative systems (1) with a periodic
right-hand side. It is pertinent to note that for some vector functions f ( x , t) the periodic motion is unique and stable (the
property of convergence [8]) for all e. For example, this is true for all f(x, t) whose Jacobian matrix is negative definite tbr
all x and t ~ [0, T]. If the convergence cannot be proved for all e, then it is important to find the convergence conditions for
sufficiently small e.

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 Let us consider system (1) introducing the new variable

v = x ( t ) - x ()(t),

where x ~ is a solution of the system

.f(x o t) = O.

Then it follows from (1) that

dv dx ~
dO - f ( x ( ) + v, O) - - - ~ - , 0 =t / e.
(3)
Assume that for the system dv
-- = f ( x ~ + y , O) . (4)
dO
the equilibrium position y = 0 is exponentially stable in the large. Then for (4) there exists a Lyapunov function [10]
V(y,O) such that it positively solves the stability problem and satisfies the estimates

clllyll 2 <V(y,O)<_c211yll 2 , (5)

dV
W(y, 0) = < - c 3 II vii 2
dO

where c I , c2, c 3 , c 4 are positive constants.

Applying the same Lyapunov function to system (3), we obtain

" 0V dx/"0
dV = W(y, O) + e ~"
dt i=~ OYi dt

According to estimates (5), if

dx ~
II II_<l,
dt
then we have dV
< c 311yil 2 + enc4/i I vii.
dO
This means that the conditions of the Ioshizava theorem are satisfied [8] for

Ilvll>R =
c4l lIE,
c3

and all the solutions fall into a sphere of radius R for sufficiently large t. Therefore, the periodic solution, which
necessarily exists for a dissipative system, tends to x ~ as e--+ 0. This solution is unique by virtue of the closeness to
x()(t) for sufficiently small e. But here, the additional assumption that x ~ is asymptotically stable is necessary. Then
the impossibility of the existence of two periodic solutions, .7 (l). and .~" (2), follows from the fact that the solution v = 0
tbr the equation dv
- = .1.(.~ (l)+ v, 0) - f ( Y ( l ) 0),
dO
where v=.~: (2)_.~" (1) is asymptotically stable for sufficiently small e. Indeed, the linearized equation

dv

is asymptotically stable since

11.7 (l) _x(O)ll< c&

771
and the matrix f'(,~" ({))(0)) is asymptotically stable.
We now focus on the iterative procedure of construction of successive approximations to periodic solution (1) if it
exists and is unique.

THE I T E R A T I V E P R O C E D U R E OF C O N S T R U C T I O N OF SUCCESSIVE
A P P R O X I M A T I O N S . T H E O R E T I C A L P R E M I S E S OF C O N V E R G E N C E
OF THE P R O C E D U R E

The Procedure of Construction of Successive Approximations. We will take the solution of the system of algebraic
equations
f(x~ =0 (6)

as a zero approximation to the steady-state solution of system (1).

We will determine the subsequent approximations to the desired steady-state solution on the basis of the iterative
procedure dx ~ -l
f ( x t~ ,t) =e
dt (7)
where k = 1, 2 . . . . .
Linear Systems. Let us consider the application of procedure (6), (7) to the system of linear ODEs

dr (8)
e ~ = At + a(t),
dt

where A is a nondegenerate n xn-matrix and a(t) is an n-dimensional vector function: the rest of the notation is the
same as in (1).
The sufficient conditions of convergence of the iterative procedure (6), (7) to the steady-state solution of the system of
linear ODEs (8) are considered in [11]. In particular, it was shown that iterative procedure (6), (7) converges to the
steady-state solution of system (8) if the condition

e a)M P(A - l ) < 1 (9)

is satisfied, where (,oM is the maximum frequency in the spectrum a(t) and p(A) is the spectral radius of the matrix A.
However, in the numerical realization of the procedure, the round-off errors occurring in the calculation of derivatives
make the spectrum extend beyond the limits w M , and the iterative procedure diverges even if condition (9) is satisfied.
Therefore, the use of such an approach assumes restriction of the spectrum during the entire iterative process so that the
approximations x~(t) do not contain frequencies violating inequality (9), irrespective of their cause.
The Condition of Convergence of the Procedure for a Restricted Spectrum. For nonlinear systems, the
convergence is never observed for each subsequent iteration owing to the extension of the spectrum x/~(t).
The convergence of the process can be provided only if the spectrum of the functions x k (t) is restricted. In this case, it
is possible to achieve the realization of the inequality

Ildx k / dtll< al[k k (t)l l,

and this allows us to establish conditions under which the iterative process conver,,es=. The estimate a for the scalar
periodic function ~,(t) with a restricted spectrum is elementary. Let

M
~p(t) = ~ ~p~ s in(kw t + ~o k ):
k---5)

then M
d~, = ~ , ~ kWk cos(kzot + ~o~).
dt ~--4)
Taking an L2-norm, according to the Parseval theorem we obtain

IId~p / dtll <_wMll qA[.

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 It is obvious that this relation remains the same for the vector function x(t).
Let us consider the iterative process for Eq. (1). For the kth and (k + 1)th iterations, we have

dr k-I drk
f(x k ,t)=e~" ./(x x +1 ,t) = e - -
dt dt

Therefore.
d(x/, - _ x k -1)
.[(x ~ +l , t ) - . f ( . r k ,t) = e
dt (~0)
whence
d (x k _ x k-J )
[f(x k+! ,t) - f ( x k ,t)] r (_r k+l _ x ~ ) = ( x ~+l _ x ~ ) r e
dt
According to the well-known relation [8],

AIIx k+l -x/~ II2 >[f(x/~+! ,t) - f ( x / " ,t)] r (x k+! - x k ) > AIIx k+l - x k l l 2,

where X and A are the minimum and maximum eigenvalues of the symmetrized Jacobian matrix J = l / 2 ( ( O f / O x ) r
+ (o.[/ax)). if the matrix J is negative definite, then A < 0. Therefore,

ilxk+l_xkll<_llxk_xk_lllewM 1
IAI

From here we conclude that the iterative process converges if

~-W-M e < l. (I1)

IAI

If the matrix ( o f / a x ) is not of fixed sign, then it is much more difficult to establish the convergence. Let us try to do
this based on the equality f ( b ) - f ( a ) = C ( b - a ) , where C = ( O f / a x ) . The symbol * specifies that some rows of the
Jacobian matrix are calculated at various points. For the sth row we have

x,=x, k + ~ , (xk+l
, - x . )~
,0_<~s_ <I.

Theretbre, strictly speaking, it is beyond reason to assume that d e t C r 0, which does not allow us to estimate IIC-I IL
If we managed to do this, then the condition of convergence would take the form

wMellCI1-1 < 1.

In the case of a small difference x s - x ~ , we can assume that C =(0f/Ox)x=.~.k. Then we obtain

<1.

Note that the conditions of convergence presented above do not depend on the degree of nonlinearity of the right-hand
ii ii

sides in that case wherell(Of/ax)-lllandlAiare maximum f o r x _ O a n d decrease as Ilxll increases. Otherwise, the application
ii ii

of the above criteria is rather difficult, since the ran,,e of chan~e of the vector x is not known beforehand for the desired
solution.
Restriction of the S p e c t r u m in Numerical Calculation. One way of restricting the spectrum, which quite naturally
arises in numerical calculation, is replacement of the derivative by its discrete analog.
Let us consider the case where x is a scalar and a difference of the first order is used as a derivative, i.e., we put

dx Xm -- Xm - 1

dt h

Here, the subscript designates discrete time that takes integer values. If we take N equidistant points on the period T,

773
then h = T I N and 0_< m_< N - 1 . In this case, (7) takes the form

1 ( k-I
f ( x mk , m ) = ~ e xm - x s o- - 1i ) " 0 <--m < N - 1 .
m --
(12)

Similarly to (10), we write the relation

=
'[ " m-I
-'
--A'm-I )
] "

Performing transformations similar to those used in the continuous case, we have

1
IIx k+l -xk~ II ~ e II(.x:~ - ~rk ) - ( X mk-i - ~rk-l )11
" m-I " m-I "
IAIh

Since IIx m - - X m _ 111<__21Ixm II, for a function with a restricted spectrum, discarding the index m and taking into account
T 2:r
the fact that h = n = , we finally obtain
N wN

iix k +l _ x k l l < ~cllx k - x k - i l l ,

s wN
where x -- ~ ~ . The iterative process converges if
IAI :r

e wN (13)
~~<1.
IA! :r

A comparison of (11) and (13) shows that the discretization corresponds to a definite N, which, in this case, is equal
to N /~z.
If we take
dA" Xm + l -- Xm - l
dt 2h
(14)

to approximate the derivative, then the value of tc will be half that in (13), i.e., it is sufficient for convergence of the
iterative procedure that the condition

e wN (15)
~ ~ < 2
IAI

be satisfied.
It should be pointed out that similar conditions of convergence may be obtained for other approximations of
derivatives.

RESULTS OF NUMERICAL EXPERIMENTS

Numerical experiments were carried out for the equation

dx 1 3 (16)
. . . . x - x + f(t),
dt e

where f ( t ) was selected so that the analytical solution of Eq. (16) had the form

x(t) = a sin t.

The objective of the numerical experiments was to test the theoretical results for convergence of the iterative
procedure (6), (7) and to analyze the dependence of the accuracy of the numerical solution on the parameters of the
computing process.

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 TABLE 1
Iteration k
6,n~tx, %
number
N=64 ] N=32 I N=I6
0 19.36 19.84 19.,~4
1 2.71 2.58 2.61
2 1.62 1.34 0.55
3 0.77 0.67 0.62
4 0.84 0.59 (7.62
5 0.69 0.44 0.51
6 0.91 0.27 0.47

40 rapid growth 0.14 0.49

Table 1 presents the dependence of the maximum relative accuracy (in percent)

1
O~ax = m a x - I I x ( t r n ) - x k ll
rn a

on the number of iterations for various values of N (N is the n u m b e r of steps within the period). The results were
obtained for e = 0 . 2 and a = 1, and the derivative was approximated by formula (14).
The results presented are in full agreement with the conditions of convergence (15). Indeed, from the condition x < 1
we obtain that N < 31 for the selected values of the parameters. The fact that in actual experiment the stability was achieved
even for N =32 is a result of reduction of the equivalent time constant due to nonlinearity.
Since the condition of convergence places a rigid constraint on the number of discretization points, the problem of
satisfaction of this condition for a small number of iterations arises. If the condition of convergence is not satisfied, then the
number of discretization points can be increased and, therefore, the accuracy of calculation of the derivative can be
improved.
As is seen from Table 1, where the results of calculations are presented, even if the condition of convergence is not
satisfied, the first iterations lead to an improvement of the result; then, however, the effects of "parasitic excitation" start to
predominate. The minimum values of the relative accuracy in each of the variants in the table are underlined. Their
comparison shows that the minimum error is achieved if the condition tc _=_1 is satisfied. Thus, we may draw the conclusion
that the suppression of the effects of "parasitic excitation" by reducing N compensates for the increase in the error of
calculation of the derivative.
In this case, the accuracy of the result is quite satisfactory even tbr a few discretization points.

RELATION OF T H E P R O C E D U R E WITH THE IMPLICIT EULER METHOD

If a discrete analog of the derivative is used tbr the search for the periodic solution of (1), the question arises about the
relationship between the method considered above and the method of direct numerical integration of system (1). For the
implicit Euler method the difference equation for system (1) takes the form

e(Xm -X,n -1 ) = f ( X m , m)h. (17)

A comparison of (17) and (12) shows that (12) is the iterative procedure of the solution of system (I), the zero
iteration being fulfilled for the zero values x ~ = 0 and m =0.
Since f ( x , t + T) = f ( x , t), for such an approach the periodic solution of (1) is searched for, bypassing the transient.
In summary, we point out that considering other difference schemes of numerical integration of system (1) in
searching for its periodic solution, it is possible to obtain appropriate (other than (12)) iterative procedures of construction of
successive approximations to the desired periodic solution, and also conditions of their convergence, which are similar to
(13), (15).

775
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