Least-squares collocation for higher-index linear differential-algebraic equations: Estimating the instability threshold

Abstract:

Differential-algebraic equations with higher-index give rise to essentially ill-posed problems. The overdetermined least-squares collocation for differential-algebraic equations which has been proposed recently is not much more computationally expensive than standard collocation methods for ordinary differential equations. This approach has displayed impressive convergence properties in numerical experiments, however, theoretically, till now convergence could be established merely for regular linear differential-algebraic equations with constant coefficients. We present now an estimate of the instability threshold which serves as the basic key for proving convergence for general regular linear differential-algebraic equations.