On the analysis of spectral deferred corrections for differential-algebraic equations of index one

Abstract

In this paper, we present a new spectral deferred corrections (SDC) method to solve semi-explicit differential-algebraic equations (DAEs) with the ability to be parallelized. The new scheme restricts numerical integration to differential equations. In Y. Xia et al. (2007), it was shown that each correction elevates the order of the solution by one. We show that this carries over to the new SDC scheme. The derivation of the method combines the approach of SDC and the idea to enforce the algebraic constraints without numerical integration as shown in the $\varepsilon$-embedding method by E. Hairer and G. Wanner (1996). Keeping the algebraic equations as an implicit condition of the system allows an efficient solve of semi-explicit DAEs with high-accuracy. The proposed scheme is compared with other DAE methods. We demonstrate that the proposed SDC scheme is competitive with Runge-Kutta methods for DAEs in terms of accuracy and its parallelized versions are very efficient compared to their associated sequential SDC variants.