Chemicd _En@neering Science, Printed in Great Britain.

Vol. 42. No. 6, pp. 1281-1295.

1987 0

OCKW-2509187 S3.OOt0.00 1987 Pergamon Journals Ltd.

REVIEW
ROLE

ARTICLE

NUMBER

24
ANALYSIS

OF CONTINUATION

IN ENGINEERING

RCDIGER SEYDELf and VLADIMIR HLAVACEK Department of Chemical Engineering, State University of New York at Buffalo, Amherst Campus, Buffalo, NY 14260, U.S.A.
Abstract-This paper reviews the state of the art of the continuation methods. In particular, a discussion of the tracing of parameter dependent branches of solutions is presented. Basic steps of continuation as predictors, correctors and parametrizations are introduced and their interaction analysed. Such algorithms are emphasized which give rise to reliable general-purpose computer programs and proved to work satisfactorily when applied to nontrivial problems. The review paper includes brief discussion of some topics of most recent interests that are closely related to continuation, as, for instance, stability, branch switching, and tracing of critical boundaries. Several examples illustrate the procedures. Hints on available software complete this paper.

CONTENTS

1. INTRODUCTION 2. THE CONTINUATION PROBLEM IN A GENERIC FORM

1281 1282 1283

3. TRANSFORMATION TO THE GENERIC FORM (a) Problem with m > 1 parameters (b) Solving a difficult problem by homotopy (c) Boundary-value problems of ODE (d) Periodic solution of ODE (e) Following critical boundaries (f) Continuation and approximation 4. BASIC CONCEPTS OF CONTINUATION

1285 1286

5. PREDICTORS (a) ODE-methods, including tangent (b) Polynomial extrapolation 6. PARAMETRIZATIONS (a) The parametrization as additional equation (b) Arclength and pseudo arclength (c) Local parametrization 7. CORRECTORS 8. STEP CONTROLS 9. CONTINUATION 10. BRANCH 11. THE SUBJECT TO CONSTRAINTS

1287

1288 1289 1289 1290 1290 1290 1291 problem

1293

SWITCHING

STABILITY SOFTWARE

12. AVAILABLE

13. EXAMPLES (1) Reaction in a catalyst particle (2) Autocatalytic reaction-diffusion (3) Hypersonic flow 14. DISCUSSION REFERENCES AND CONCLUSIONS

1293

1. INTRODUCIION

In ton leave from: Technical University Munich, Department of Mathematics (supported by Humboldt FoundationFeodor-Lynen Program). Address for correspondence: Institut fiir Angewandte Mathematik und Statistik, Universitgt Wiirzburg, Am Hubland, D-8700 Wiirzburg, F.R.G.

physical

and

engineering

practice,

the

need

for

constructing the dependence of solutions on certain parameters is great. Very frequently this task can be accomplished by repeated calculations performed for a sequence simple of values of governing parameters. application For of problems, the involved repeated

1281

1282

RODIGER

SEYDEL

and VLADIMIRHLAVACEK

a particular equation solving procedure can be controlled by means of a rather primitive ad hoc strategy. However, many nonlinear problems give rise to multiple solutions and to a very complicated dependence on the parameters. Operation of a reactor with an external heat exchanger (van Heerden, 1953) oxidation of exhaust gas in an afterburner converter (Hlavacek and Votruba, 1977), diffusion and autocatalytic chemical reaction (Janssen et al., 1983), laminar flame problems (Heinemann et al., 1979; Kubicek and Hlavacek, 1983), hydrodynamic problems (Holodniok et al., 1977; Ungar and Brown, 1982) and operation of distillation columns (Magnussen et al., 1979) may serve as examples. Tracing the parameter dependence of such problems needs sophisticated continuation methods. The idea of continuation seems to have been rediscovered several times. Early papers discussing practical aspects of continuation were published in the sixties by Haselgrove (1961), Klopfenstein (1961) and Deist and Sefor (1967). In the same period continuation procedures were applied to different engineering and physical disciplines. Goldberg and Richards (1963) and Goldberg and Mayers (1965) proposed a continuation technique to calculate parametric dependences for civil engineering problems (study of guyed towers and nonlinear structures). Rubbert and Landahl (1967) proposed the continuation idea for numerical solution of nonlinear boundary value problems describing nonlinear Bow. The principle was independently rediscovered by Kubicek and Hlavacek (1971) who applied this approach to solve nonlinear reaction problems. Later several authors used this technique for solution of nonlinear differential (or difference) equations arising in hydrodynamics (Kubicek et al., 1973; Narayana and Ramamoorthy, 1972; Nath, 1973; Sivaneri and Harris, 1980), combustion (Marathe and Jain, 1977) and separation problems (Jelinek et al., 1973). Hlavacek, Kubicek, Marek and associates used extensively continuation techniques to calculate complex exothermic and autocatalytic reaction-diffusion and reaction-convectiondiffusion problems (Janssen er al., 1983; Kubicek and Hlavacek, 1983, 1972; Kubicek and Marek, 1977, 1983; Kubicek et al., 1979a, b; Nandapurkar and Hlavacek, 1983). Continuation anaiysis for two- and three-dimensional problems is still at the infancy stage; Brown and associates performed several studies for free convection and solidification (Chang and Brown, in prep.) and (Ungar and Brown, 1984), analysis for free convection and exothermic reaction (Hlavacek and Bafna, unpublished) and two-dimensional dissipative structures (Hlavacek ef al., unpublished) is being pursued. This paper is based on our own experience in the area of continuation, we do not want to present an exhaustive survey but rather a compact text which will be helpful for researchers intending to use continuation principles in their analysis. Continuation includes several aspects; let us emphasize two major applications. First, one may apply

continuation to facilitate the computation of just one final solution without having interest in the intermediate results which are provided by the continuation method. The second situation is characterized by a particular interest in the parameter dependence of the branches and in the multiplicity of solutions. Recently, the concern seems to focus more on the latter applications of continuation, which is closely related to bifurcation. For a certain time, continuation was considered as a more expensive alternative to a successive application of Newton-Raphson or similar techniques. This impression was caused by the fact that oniy very simple problems had been considered. For complicated solution pattern with multiple steady states of very different shapes, continuation is apparently the only viable alternative to calculate all solutions. Continuation makes it possible to discover all interconnected branches and thus provide a global view of the existing structure of solutions. Since region of attraction of several of these solutions can be very small a random search would not locate them. In this review paper, we address ourselves to continuation techniques that have been applied successfully to complicated problems. Emphasis will be placed upon algorithms that have given rise to reliable general-purpose computer programs. The discussion of related methods will be based on a general introduction into fundamental elements of continuation. Several examples will illustrate the application of continuation strategy toward analysis of difficult engineering problems.

2. THE

CONTlNUATlON

PROBLEM

IN A GENERlC

FORM

We consider

the problem

s(x.n) = 0
where x and y (x, A) are n-dimensional vectors, and i is a real parameter. We assume that g is sufficiently smooth. System (1) consists of n scalar equations defining a curve in the (n + 1)-dimensional (x, A)-space. Continuation means tracing of this curve. Depending on 1, eq. (1) may have several distinct solutions, compare Fig. 1. For a convenient graphical representation of the solutions (x, A) of (1) we need a one-dimensional measure (x) of x. The frequently used

(x) t

Fig. 1. Graphical representation of solutions of g(x,i)

= 0.

Role of continuation in engineering analysis examples are:

1283

w=i~lxf
(X) =
i=l

(square of the Euclidian norm)

norm)

KlTiXlXil(maximum
Xh,

(xl =

for some index k, 1 C k g n.

calculation of just one solution z on the branch B during tracing the branch A. Starting from z, the branch B can be traced. It may be well possible that an isolated branch C appears (for parameter values between & and & in Fig. 2). In practice, it may be difficult to discover the branch C. Such isolated branches arise, for example, in CSTR or tubular reactor problems (Hlavacek et al., 1970, 1971).
3. TRANSFORMATION TO THE GENERIC FORM

continuum of solutions of (l), as it is depicted in Fig. 1, is called branch. Therefore, such a diagram is often called branching diagram. As can be seen in Fig. 1, there are (at least) three distinct solutions for parameter values 1 with jl, < ,%< &. For L = IL (and analogously for L = &) we have a type of a critical solution where there are locally on one side (A < Ai) no solutions and two solutions on the other side (;i > &)_ For I approaching R, (1 > A,) both solutions merge in the critical solution. Such singular points are called turning points. An algebraic feature of a turning point (x*,1*) is gX(x*, A*) is singular (rank < n), but (gX(x*,n*)(g,(x*,A*)) has full rank n (2)

A smooth

At first glance, the finite dimensional system (1) seems to be of very limited applicability. However, as we shall see in this section, most continuation problems can be reduced to the generic form (1). Apart from this, there are continuation methods that do not need the equation g(x, 2) = 0 explicitly, rather such methods are merely based on the solutions (x,L). (a) Problem Consider with m > 1 parameters the problem h(y,P) = 0,

together with some nondegenericity condition. In this paper we are interested in calculating whole branch for a specified interval,

the

with a parameter vector P consisting of m > 1 parameters. Here, y and h(y, P) are I-dimensional vectors. In most applications (Rheinboldt and Burkardt, 1983) one has m- 1 relations between the m parameters. These relations can be written as d(P) = 0.

This means we are going to evaluate all of the information obtained during the tracing process of a branch. There are also applications of continuation where one is only interested in one final solution, for 1 = & say. There are quite a number of methods especially designed for this homotopy aspect, we refer to review papers by Allgower and Georg (1980) and Wacker (1978). Our attention is not confined to one final (fixed) point, rather, we are interested in the branches itself. This interest includes a study of the multiplicities of solutions of (1). As already mentioned, the multiplicity changes at turning points (dr and & in Fig. 1). Another phenomenon related to a change of For example, in multiplicity is the onset of bifurcations. Fig. 2, the number of solutions changes by two if the parameter 1 passes A3. In our effort of tracing all solutions, we need a device for switching branches. Referring to the example of Fig. 2, this means the

In the simplest case, d fixes PI, P2, . . . , P,,, _ 1 to take

some constant prescribed values. If we introduce a new vector by (x, n)r = (y, P)T, that is to say, ;1 = P,,, and x is a vector with dimension n = I + m - 1, then this problem can be written in the generic form

g(x, A): =
(b) Solving a d~~cult problem Assume that the problem u(x) = 0 by homotopy

is hard to solve, as for instance, because of the lack of a reasonable initial guess. Assume that the problem w(x) = 0

is easy to solve and that u and w fit together (same dimension). Then one can solve, for example, the family of problems g(x, A): = &4(x)+ (1 -n)w(x), 0 < ;1 < 1,

A4

x5

x3

Fig. 2. Bifurcation and isola.

starting at 1, = 0 with the simple solution and ending (hopefully) at il, = 1 with the hard problem. This is one possibility of the so-called homotopy method. For other types of embedding see, for example Allgower and Georg (1980), Keller (1978), Kubicek et al. (1978, 1979a,b, 1983) Wacker (1978) and Watson (1979). This type of homotopy has found application in solving difficult distillation (Bhargava and Hlavacek, in press; Salgovic er al., 1981; Wayburn and Seader, 1983), reactor (Kubicek and Hlavacek, 1983), hydrodynamic

1284

RODIGER

SEYDEL~~~

VLADIMIR

HLAVACEK

(Kubicek and Hlavacek, 1983; Watson, 1981) and hydrostatic (Wang and Watson, 1979) problems which could not be solved by any other numerical procedures. To increase the robustness of homotopy, strategies can be used that will be discussed in Section 6. (c) Boundary-value problems of ODE We consider the boundary-value problem Y =f(sY,a r(Y(a),Y(b)) = 03

Thus, the problem of computing periodic solutions is also described by the generic equation g (x, A) = 0. Thereby, the continuation of periodic orbits of autonomous differential equations can be handled by general continuation methods as they will be outlined in the following sections. However, there are special continuation methods tailored to the periodic solution case; see for instance Aluko and Chang (1984), Doedel and Heinemann (1983), Holodniok and Kubicek (1984). (e) Following critical boundaries As can be seen in Fig. 1, there may be parameter values (A,, &) separating I-regions with different numbers of solutions of g (x, A) = 0. If the problem involves a second parameter, say y, then these critical parameters I, and I, may vary with y. Therefore, after investigating the solution behaviour for various pairs of the (,I.,y)-parameter plane one finds curves separating regions with different numbers of solutions. Figure 3 shows such type of curves on an example of a chemical reaction (see Section 14). For parameter values inside the cusp-shape domain one finds three profiles, for parameter values outside that cusp only one profile exists. Usually, after crossing such a critical curve the sofution behaviour changes drastically. Naturally, the behaviour of these critical boundaries (Rheinboldt, 1982) is of great importance. It is shown on the example of Fig. 3 that the critical boundaries may end in a point featuring higher singularity. Qualitative investigations of such phenomena are carried out by catastrophe theory (Poston and Stewart, 1978; Thorn, 1972; Zeeman, 1977) and singularity theory (Golubitsky and Schaeffer, 1979; Golubitsky et al., 1981); for the application of singularity theory to chemical engineering problems see Balakotajah and Luss (1982). For a global quantitative investigation the critical boundaries are traced. Rheinboldt (1982) gives a detailed discussion proposing several numerical methods. In the case of two parameters this tracing can be done very easily by a continuation with respect to one parameter. This procedure will be described in the sequel, following the method of Seydel (1979a). Assume the problem depending on two parameters R and y is described by the equation

where y (t) andfand rare n-vector functions, the prime denotes differentiation with respect to t, a i t < b, and 2 is again a real parameter. Define the initial values of a solution as xi: = yi (a). The solutions of the above mentioned boundaryvalue problem are defined by their initial values, that is to say, by (x,;i). Thus, these solutions can be considered as implicitly defined by some equation g(x,A) = 0.

Such an equation can be formulated by means of shooting methods (see, for example, Kubicek and Hlavacek, 1983; Stoer and Bulirsch, 1980) s(x,k) where 4(x) problem = r(x,4(x)) = 0,

denotes the solution of the initial-value

Y =f(t.Y.a

Y(a)

= x

evaluated at t = b. There are continuation monitors that do not need the equation g (x, ;i) in an explicit form, see for instance Seydel (1984). (d) Periodic solution of ODE Consider the system of autonomous ferential equations with n components i = h(z,A). We are interested in its periodic solutions, z(O) = z(T), where T is the period. A simple transformation of the integration interval leads to

ordinary dif-

with a phase condition Y that fixes the period. The prime means differentiation with respect to a unit time t,O< t< 1. With

a boundary-value problem results of the type previously discussed. As a phase condition one can use Y = i&(0) = ht (z (O), 2) or Y = zL(0) - ~(k, ,I) or an integral condition Heinemann (1983). for some real number 9. as used in Doedel and Fig. 3.
Critical boundaries with a cusp Seydel (1979a). singularity,

(e.g. k = 1)

from

Role of continuation in engineering analysis with y and h both being I-dimensional vectors. For a fixed value of I, the y-values of a critical boundary can be calculated by solving the enlarged system h(Y,A,Y) h,(Y,A,Y)U = 0 ( y - 1 > for, e.g., k = I. The matrix h, is obtained by evaluating the 1 partial derivatives of h of the first order. The vector u is again I-dimensional. Thus the above system includes 21+ 1 scalar equations for the unknowns Y, y, 11. Writing the unknowns as a vector x of dimension n = 21+ 1 we again have to solve an equation of the generic form Y g(x,1)=0, withx= Y 0 u

1285

where g is defined by the above enlarged system. Solving this system repeatedly, for various values of 1, yields pairs of (A, y)-values lying on a critical boundary. This technique can be used to trace (segments of) critical boundaries including the dependence of both turning points and (Hopfj bifurcation points on a second parameter. Problems depending on several parameters occur in all fields of engineering and science. In Rheinboldt (1982), critical boundaries of problems of stability of aircraft in flight and buckling of circular arches are calculated. Typically, problems in fluid mechanics involve several parameters; for example, the problem of Marangoni convection discussed in Rosenblat et al. (1982) involves at least seven parameters such as Marangoni number, Rayleigh number, Prandtl number, aspect ratio, etc. Continuation and approximation As was already outlined, solution of boundary-value problems and location of periodic solutions for ordinary differential equations can be accomplished by techniques which are based on the shooting type solvers. Here the boundary-value problem is converted to initial-value problems. There are many problems where this approach works well. However, there are problems where the shooting algorithm has not performed satisfactorily even if the multiple shooting modification is adopted. Examples of poor behaviour of the related initial-value problems are problems from combustion and flame theory (Kubicek and Hlavacek, 1983; Dwyer et al., 1982) boundary-layer problems (Kubicek and Hlavacek, 1983; Holt, 1964), tubular reactors and afterburners (Kubicek and Hlavacek, 1983; Votruba et al., 1975) rotating fluids (Kubicek and Hlavacek, 1983; Lance and Rogers, 1962) and many others (Wang and Watson, 1979; Watson, 1981), etc. For location of periodic solutions of ordinary differential equations highly unstable limit cycles (Hlavacek et al., 1970) often cannot be integrated by shooting procedures. Treatment of these extremely sensitive problems will centre on utilization of the finite-difference approach (Hlavacek and van Rompay, 1982) or on collocation. High order finite-diterence (f)

schemes keep the dimension of the resulting algebraical system low. Orthogonal collocation or Galerkin method can be used for this purpose as well. For diffusion related problems Hlavacek, van Rompay and Janssen (1982-1983) recommended the Stdrmer-Numerov scheme which is of 0(h4) type and tridiagonal matrix structure of the finite-difference approximation is retained. Discretization may also affect the multiplicity of solutions (Beyn and Doedel. 1981). Continuation of elliptic problems is based on partial or full discretization. Semi-discretization of an elliptic problem in one space dimension (method of lines) results in a set of ordinary differential equations of the boundary value type and shooting can be used. For diffusion related problems the two-dimensional Stdrmer-Numerov scheme can be adopted (Roose et al., 1984). A combination of continuation algorithm and ELLPACK (Rice and Boisvert, 1984) package can be very useful for analysing nonlinear elliptic problems. Chang and Brown (1984) and Ungar and Brown (1984) used finite-elements and Galerkin approach to convection problems. continue solidification-free For computation of periodic solutions for a parabolic problem method of lines can be used for approximation, see for instance Seydel (1985).
4. BASIC CONCEPTS OF CONTINUATION

We assume that at least one solution to eq. (1) was calculated, say for II = ;1,. Let us denote this first solution by (x1,2 ). This assumption may be very stringent; often it is hard to find a first solution on some branch. If all branches are connected via bifurcation points, then by applying branch switching techniques (Seydel, 1983a,c) it is possible (at least in principle) to find a first solution on any branch. If there are isolated branches then finding corresponding first solutions might require many trials, varying of other parameters than 11,or good luck. Assuming that a first solution (x ) ,;l is available, the continuation problem is to calculate further solutions, (X2,/12),(X3,A3),..

.,

usually until one reaches a target point, say at J. = &. The j th continuation step starts from an approximation of (xj, nj) and attempts to calculate a next solution (x j+l 3li+l)

3 (xj,p)4(xj+1,p+1),

at a certain specified distance. With predicrorcorrector methods, the stepj - j + 1 is split up into two steps, a predictor and a corrector,

compare Fig. 4. Depending on the types of the predictor and the corrector, the major portion of work may either be associated with the predictor (resulting in an annroximation close to the branch) or with the correc__

1286

RODIGERSEYDEL

and VLADIMIR

HLAVACEK

(xl : h j+l,
_-i~,j+l,Xj+l~

Aj+i)

A better parametrization is given by the arclength s (Klopfenstein, 1961): upon differentiating (3) with respect to S, one obtains

(xj Q)

,-/

_--The arclength s is defined by

Fig. 4. Predictor-corrector

step. Equations (4a) and (4b) form a system equations for the (n + 1) unknowns of
(n + 1)

tor (if a predictor leads to an approximation far from the branch). Mostly, the corrector is applied to an equation which is not identical to g (x, A) = 0. In addition to (1) a condition is needed that identifies the location of the next solution on the branch. This identifying condition is related to the type of parametrization strategy applied to the branch in question. Continuation methods differ, among other things, in the following: (1) (2) (3) (4) choice of the predictor, type of the parametrization strategy, type of the corrector method, steplength control.

A solution of (4) was given in Kubicek (1976) and it will be described later on. An important special case resulting from (3) is the tangent to the branch. With the abbreviations vi:=dxi(l one derives formally
CiGn),

~.+~:=dl

from (3) the equation (SXlSl)U = 0

Whereas the first three aspects of continuation can be chosen quite independently, the fourth point (step control) has to meet the attributes of the predictor, corrector and the underlying parametrization. The first three aspects can be explained rather generally (in the following three sections), whereas only brief remarks will be made on particular step controls.

for a tangent v. A normalization has to be imposed in order to give u a non-zero length. One can use, for example, egu = ulr= 1, where ek is the k th unit vector of the (n + l)dimensional space. Thus, a tangent Y is determined as the solution of the linear system

5.PREDICTORS

Predictors

can be roughly

divided into two classes,

(i) ODE-methods

which are based on derivatives of which are based on

s(x.l), (ii) polynomial extrapolations solutions (x, 1) of (1).

If the full-rank condition in (2) holds along the whole branch, then the solution of (5) should not cause any problems. Many continuation methods are based on the tangent; see, for example Keller (1977), Menzel and Schwetlick (1978), Rheinboldt (1980) and Rheinboldt and Burkardt (1983). The corresponding predictor at (x ni) is calculated by (compare Fig. 4). , (2 j+l,Jj+l)= (xj,i )+hju,

(a) ODE-methods, including tangent It is possible to formulate a differential equation which has the branch as a solution. From the differential 0 = dg = g,dx+g,dk one immediately develops dx dl= the ODE-system (3)

- (SX)_ lgn.

where hj is an appropriate steplength. This tangent predictor can be considered as an Euler step for solving a differential equation that describes the branch. We now return to the differential equation (4) which implicitly defines the n + 1 derivatives of x1, . . , x,, A with respect to the arclength s. In the following, we briefly outline the procedure of Kubicek (1976) for obtaining explicit differential equations. We remark that the system (4a) is linear, dx
9xds

By integrating this system, starting from the initial value (x A one obtains the branch parametrized by , ), 1. This procedure, as it was proposed in Davidenko (I953), fails at turning points because one encounters a singularity of gX, see (2).

dL

+91s

. = U

whereas eq. (4b) defining s as the arclength is nonlinear. For the moment, one of the components is

Role of continuation in engineering analysis considered to be prescribed, l<m<n+l. on

4. PARAMETRIZATIONS

1287

ds#Oforoneindexm,

tangents. Apparently, higher order predictors do not work very effectively and thus do not play an important role. Frequently, cheaper predictors are preferred (tangent, secant).

Then (4a) is solved. This gives a solution depending dx,lds, 2 = Pi%, = 1,2,.

. . ,m-l,m+l,.
into (4b)

. .,n+l.
yields the

Substituting these expressions actual value of dx,/ds:

i+-m

Now one has n + 1 explicit derivatives. In Kubicek (1976), a multistep method is used for the numerical solution. Depending on the number of steps involved, a predictor close to the branch is obtained. extrapolation (b) Polynomial Based on one or more calculated (~ ,iij), (xji,Rj-

solutions

I), . . . , (xj-r,kj-y

a polynomial can be constructed that passes through these previous solutions. One assumes that the polynomial provides an approximation to the branch in the region to be calculated next (A x Lj* Then, a ). predictor is obtained by evaluating the polynomial at A = Aj+i. The trivial case is the zero-order polynomial (r = 0), here the previous solution is used as predictor: (2 j+ 17Kj+ 1) = (xj,jjj)_ version 1) = (xj,lj+ i),

As already mentioned, the branch consists of solutions of (1) forming a curve in the (x, I)-space. This curve has to be parametrized. A parametrization is a mathematical way of identifying each solution on the branch. Terms like next or previous solution make sense only by introducing a parametrization. A parametrization is a kind of measure along the branch. There are many different kinds of parametrizations, all of them are in some sense natural. The most obvious one parametrizes by 1. Fixing this parameter has the advantage of being physically meaningful. However, this parametrization encounters difficulties when a turning point is reached where two parts of a branch merge (cf. Fig. 1). A parametrization by 2 can of Seydel be maintained if the special predictor (1983a, c) is applied. This predictor is perpendicular to the R-axis and provides a way to jump over the turning point, calculating a solution on the opposite side fixing the same value of E..In the sequel, we shall only discuss parametrizations that do not need special provisions at turning points. (a) The parametrization as additional equation Fixing another parameter than A, say P, the solutions of (1) depend on P, x(P),4P). The system g (x, A) = 0 consists of n equations n + 1 unknowns (x, A). If the parametrization vided by one additional scalar equation, N(x,R,P) one can formulate an enlarged = 0, system for the is pro-

The slightly modified (2 j+ i,lj+

is also used. In Deist and Sefor (1967) such kind of predictor strategy is called repetitive local iteration procedures. A polynomial of the first order (r = 1) is given by the secant (compare Fig. 5), (2 i+i ) >1 = (xj,~j)+h(xj_xx -l,~j_-j-l),

(NSA) =O
which now consists of n + 1 equations for n + 1 unknowns (x, A). By solving (6) for specified values of the parameter P, one obtains the dependence x (P), A(P). Attaching such a normalizing condition to a system is a standard device in numerical analysis. In the context of branch tracing we refer to Keller (1977), Rheinboldt (1980), Seydel (1979b). In (6) the normalizing condition is attached to the given equation (1). Then, an equation solving procedure as Newton method is applied to (6) s instead of (1). The alternative of first applying Newton s method to (1) and then normalizing Newton s iteration is also possible. In this second approach it is the iteration system which is augmented by a normalizing condition, see for instance Haselgrove (1961), Menzel and Schwetlick (1978). The formulation (6) has the advantage of not being designed to be used with a special version of Newton s

here h again denotes an appropriate step size. Higher order (r 2 2) formulas are given in Haselgrove (1961), they can also include previous

(xl i

(x
1

_$=&
A

Fig. 5. Predictor based on secant.

1288

RODIGER

SEYDEL

and VLADIMIR

HLAVACEK

method. Rather, any modification or any other iteration method can be applied to solve (6). The general setting of (6) includes all types of parametrizations; some major parametrizations will be discussed in the following. (b) Arclength and pseudo arclength As already mentioned, the arclength can be used for the parametrization of a branch. Multiplying formally the arclength condition (4b) by (ds) one obtains the , approximation N,(x,il,s): = (x, -xi(so))2+

Rheinboldt (1980), Rheinboldt and Burkardt (1983) and coworkers deand Seydel (1979). Rheinboldt veloped a sophisticated continuation algorithm based on this parametrization. With local parametrization, the index k and therewith the parameter is locally determined at each continuation - point (xj, nj). Corresponding criteria do not encounter difficulties when turning points are to be passed. In Rheinboldt (1980) the criterion for choosing k is based on the tangent v [see eq. (511. Roughly speaking, k is determined such that
ntl Iukl = max )vil;

. . . +(x (sg))2 -x = 0.

+ (A - A(so))2 - (s -sgy

i=1

If (x (so), A( so)) is the previously calculated solution during continuation, then by N1 (x, A, s) = 0 the solution (x(s),;I(s)) at arcIength-distance As = s-s,, is fixed. Such a type of parametrization has been advocated by Keller (1977) see also Keller (1978), Chan and Keller (1982), and Decker and Keller (1980, 198 1). In Keller (1977) also pseudo arclength was proposed, that is for 0 < 6 < 1 either

the kth component of the tangent to be maximal. In the algorithm of Seydel (1984), which is based on secantpredictor, the relative changes in xL are to be maximal,

N2(X~;1,S):= 0,
or
N3(X,;1,S): = 8

$, (Xi-Xi(SO)) +
= 0

(1 -O)(A-A.(S~))2

After an index k is fixed, a suitable parameter value q has to be determined. Of course, such a value of q depends on the index k, on the location on the branch (i.e. on i), and on the desired stepsize h, rl = v(k,i,h).

-(s-so)2

2
i=l

A very simple strategy gives a relation between the next stepsize PI- xi and the previous stepsize xi - x :- 1 by +I = x ,+ (x{--x:-l)cL

y(,i-Xi(S0))

+(l-e)ep
The latter parametrization expansion,

(A-A(So))-(S-sSo)=O. is motivated by the Taylor

x(s)-x(s0)

~~~(s-so)+o(Js-soJI);

where tl is a certain adjustable factor [compare Section 8 and Seydel (1984)]. Other strategies were proposed in Rheinboldt et al. (1980) and Rheinboldt and Burkardt (1983). We finally remark that the local parametrization concept can be applied to the continuation by asymmetry, as it was introduced in Seydel (1983a). This includes the case N(x,&a): = q--x,-a (a # 0).

again dx(sO)/ds and dL(s,)/ds are evaluated at the previously calculated solution. Among the problems solved by this type of continuation are driven cavity flows and flows between rotating disks (Keller, 1981) and equations describing premixed laminar flames (Heinemann et al., 1979). (c) Local parametrization The term local parametrization was used in Rheinboldt and Burkardt (1983) for the following parametrization: all of the components xi are admitted as local parameters, including x, + 1: = i. This leads to the equation N(x,q):=xr--l],indexkfrom l<k<n+l,

Such a parametrization by asymmetry forces the distance between two components to be nonzero. This may be helpful when branches close to symmetrybreaking bifurcations have to be traced.
7. CORRECTORS

In this section, we briefly mention the methods that are typically used to solve system (l), or the augmented system (6). Most frequently, one uses Newton s method or Newton-like methods. If we rewrite systems (1) or (6) as G(Y) = 0 then the iter(7)

with some suitable value of q, and yields the augmented system (6)

with y either n or (n + I)-dimensional, ation is defined by M + (Y ) ), l - Y = - G(Y

( 1
g(x) =
xk--?

0.

In the context of branch tracing, such systems were used, for example, in Den Heijer and Rheinboldt (198 l),

generating a sequence y predictor Y

y2, y3, . . . , starting from the ,

0. - (gj+l,Xi+l). ._

Role of continuation in engineering analysis The Jacobian matrix M is defined by Mi _ 9(-Y ).

1289

- ~

8Y

m the case of Newton s

method,

ag(YO) m . ___
3Y

the case of the chord method,

or, with quasi-Newton methods, M can be obtained by updating the Jacobian by, for example, Broyden s rank-one updates (Broyden, 1965; Dennis and More, 1977; Stoer and Bulirsch, 1980). The quasi-Newton methods are a highly recommendable compromise between the locally fast but expensive Newton s method and the cheap but slowly converging chord method. Typically, modifications are used which involve relaxation factors; see, for example De&hard (1979) and Stoer and Bulirsch (1980). As already mentioned in the previous section, there are continuation methods which apply the step of augmenting the system not to the original equation [as in (6)], but rather to the iteration (7). Such a procedure of controlling the path of iteration was proposed by Haselgrove (1961). Following this idea, one attaches an equation that forces the iteration of (7) to be perpendicular to the tangent u, ar(Y +

) -y

= 0.

hardly possible. In Den Heijer and Rheinboldt (1981) and Rheinboldt et al. (1983) the branch was locally replaced by a quadratic polynomial. This enables a derivation of convergence measures involving the curvature of the branch. A very simple strategy of controlling the steplength of Seydel(1984) has shown good results, e.g. on a very complicated equation describing oscillations of a beam. This strategy is based on the observation that the total amount of work involved in a continuation depends on the average steplength in a somewhat convex manner: the continuation is expensive for both very short steps (too many correctors) and for very large steps (slow or no convergence of correctors). The costs of a continuation are moderate for a certain medium steplength, which is related to an optimal corrector-iteration number lopt. Of course, this number depends on the type of corrector and on the prescribed precision tolerance E. With quasi-Newton correctors and E = 10P4, Iopt has shown to be about I OPf a 6. One should try to adjust the stepsize in such a way that each continuation step needs about Iopt corrector iterations. Let Ij denote the number of iterations needed to approximate the last continuation step. Then a simple strategy is to reduce the stepsize in case Ij > Z,,, , and to increase the stepsize in case Ii < Iopt. This can be done, for example, by updating the previous stepsize by multiplication with the factor CL = kp,lIi.

In this normalizing condition, the tangent u can be replaced by another suitable vector; see, for example, Menzel and Schwetlick (1978).
8. STEP CONTROLS

9. CONTINUATION

SUBJE43

TO CONSTRAINTS

In simple problems, the above mentioned principles may work efficiently without a steplength control; i.e. constant steps are taken throughout, say with As = 0.1 in the case of an arclength continuation. If the stepsize is small enough, such a step strategy might be successful for a wide range of problems. However, such results are often obtained in an inefficient manner, involving too many steps along flat branches. The steplength should be adapted to the actual convergence behaviour. Ultimately, it is the flexibility of a step control deciding whether a continuation algorithm is good. As was already mentioned, a step control has to meet the features of the underlying combination predictor/ parametrization/corrector. Thus, steplength algorithms are specifically designed and cannot be described in detail in the present paper. We refer to papers of Rheinboldt and coworkers (1980, 1982, 1983). In the following, only some general aspects are briefly summarized. Step controls may be based on estimates of the convergence corrector quality of the used. Corresponding measures of convergence are not easy to develop, they also depend on the underlying model of the error behaviour. In Den Heijer and Rheinboldt (1981) it was shown that an extrapolation of convergence radii of previous continuation steps into future is

In many applications, a step control is not free, rather, the step control has to obey certain side conditions imposed by the user. Let us illustrate this widespread situation by a typical example. Assume that one is investigating a problem of periodic solutions being mainly interested in the stability behaoiour. The questions are for what values of the parameter 1 is the solution stable, at what critical value is the stability lost? Naturally, the situation close to a point of loss of stability (bifurcation) is then studied in more detail. This may call for substantial smaller step sizes. Thus, a step control needs to incorporate such a constraint. The practical implications of this situation are significant. One may wish to trace a branch close to the point of the loss of stability by prescribing a small step size in the physical parameter 1, not affected by any step control. In view of this aspect, in Seydel(1984) a weighted local parametrization was proposed. Here, the variables xj(i = 1,2, . . . , n) and the parameter 1 are not treated in the same way. The choice of the index k (see Section 6c) is influenced by a suitable weighting factor strongly preferring 1. This appears to be a compromise since it takes into account the physical significance of L and enables a smooth crossing of a turning point. This technical advantage of a local parametrization may dissatisfy somebody who prefers to study stability in an interactive way, mistrusting any automatic step control.

1290 10. BRANCHSWITCHING

RODIGER SEYDEL~~~ VLADIMIR

HLAVACEK

As was already mentioned, one needs techniques for branch switching in order to find a first solution on a new branch emerging from a bifurcation point. We assume the situation (see Fig. 2) that some solutions on the branch A have been calculated during the continuation procedure and nothing is known about the branch B. There are essentially two classes of methods for branch switching, i.e. for calculating one solution z on the new branch. The first type of methods was proposed and used by Keller (1977), Moore (1980) and Kubicek and Klic (1983). These authors first calculate the bifurcation point. This can be done, for example, by methods of Seydel (1979a) or Moore (1980). Then they calculate the tangent vectors of the particular branches [see eq. (5) J and proceed along the new branch in the direction given by the tangent. The second class of methods [introduced in Seydel (1983a, c)] is extremely efficient since the exact location of the bifurcation point is not required. This procedure has two advantages. First one saves a significant amount ofcomputing time. Second this approach does not suffer from problems related to disappearance of the bifurcation point due to small imperfections. The solution z is obtained by solving the enlarged system (Iv$zli)) = O

Hopf bifurcation, where one pair of eigenvalues is purely imaginary (Arnol d, 1983; Hassard et al., 1981; Seydel and Hlavacek, in press). At a Hopf bifurcation, a branch of periodic solutions emerges. The determination of the stability of a periodic solution requires more extensive efforts than handling the equilibrium situation. Again, stability criteria are based on eigenvalues, We first recall the definition of the monodromy matrix M. Consider the matrix differential equation (initial-value problem) A = h,(z,I)A, A(0) = I,

for a prescribed value of a distance 6 to the bifurcation point. The solution procedure starts from an initial guess close to z that can be calculated from the data available on the branch A. Various choices for the scalar equation N (z, A, 6) are discussed in Seydel (1983a,c). 11. THE STABILITY In order to cope with questions of exchange of stability which arise for complex bifurcation diagrams, we briefly review the calculation of stability. This section may be viewed as a kind of appendix. We start with the simpler situation of stability ofan equilibrium and proceed then to stability of a periodic solution of

evaluated at a specific periodic orbit z(t) with period T and parameter II. The &-matrix I is the identity matrix. The monodromy matrix M is now defined as M = A(T). Of course, M depends on the particular parameter A. Denote the eigenvalues of M by JIM(k =l . ., n), these eigenvalues are also called characte&tfc or Floquet multipliers (Hahn, 1967). One of the eigenvalues is always unity, the other n - 1 multipliers determine the stability. If they are all inside the unit circle of the complex plane then the periodic orbit is stable. The stability is lost when one (pair of) multiplier(s) crosses the unit circle. Depending on where the unit circle is crossed, different types of bifurcation arise, see Arnol (1983). It is clear that the d major part of work necessary for a stability analysis is the calculation of the monodromy matrix. There are several methods of obtaining M, some were introduced in Seydel (1984a, 1985). One method (see also Holodniok and Kubicek, 1984) integrates the system (;) = ($(;;;A) (2;;;:;) =

which consists of n + n2 components. The n-vector z0 is obtained from the periodic orbit z(t) at any time to, z0 = z(to). This system is integrated from 0 to ?, thereby providing the monodromy matrix via M = A(T). Ifthe dimension n is large then the integration of a system consisting of n + nz components requires large computer memory. The storage problem can be overcome by the methods of Seydel (1984a, 1985) see also Seydel and Hlavacek (in press, eq. (14)). 12. AVAlLABLE SOFTWARE During the past years, several programs were developed that may be used to accomplish a particular continuation procedure. The earliest published Fortran routine for continuation purposes seems to be Kubicek DERPAR s (1976) routine representing an early stage of the development. The continuation methods proposed by Rheinboldt are implemented in a code in Rheinboldt and Burkardt (1983), this program exhibits a sophisticated step size control. A very short but powerful program was published in Seydel (1984b). The codes AUTO (Doedel and Heinemann, 1983) and PEFLOQ (Aluko and Chang, 1984), were primarily developed to trace branches of periodic solutions of ordinary differential equations, recent versions have an extended applicability. A general

i = h(z,A).
An equilibrium (stationary solution, steady state) is defined by 0 = h(z, 2). Stability of the constant solution is determined by the eigenvalues pk( k = 1, _ _ , n) of the matrix of the first-order partial derivatives h,, evaluated at the equilibrium; see, for example Hirsch and Smale (1974). If all of the eigenvalues have negative real parts then the equilibrium in question is locally stable. If one or more eigenvalues have a positive real part then the equilibrium is unstable. Thus, in order to investigate the stability of an equilibrium one needs a method for calculation of eigenvalues of matrices as the QR-method (see, for example Stoer and Bulirsch, 1980). Various types of loss of stability may arise when the real part of an eigenvalue is zero. Of special interest is the case of the

Role of continuation in engineering analysis package for various problems related to continuation, bifurcation and branch switching is BIFPACK (Seydel, lY83b). Using BIFPACK along with standard algorithms of numerical analysis (as provided by EISPACK, MINPACK, ELLPACK and other packages) offers a realistic chance to solve most problems related to computation of parameter dependence. Also, the special bifurcation software for handling Hopf bifurcation (Hassard, 1980 or Roose, 1984) may be helpful.
13. EXAMPLES

1291 (9)

+,,$$ = x2y-Bx
subject to boundary z=o: z = 1: conditions x = x, x = x, Y=V y = J7.

(10) (11)

In this final section, we illustrate some of the techniques on several examples. Here we concentrate on boundary-value problems. For examples of periodic solutions we refer to Seydel and Hlavacek (in press). 1. Reaction in a catalyst particle In this example, we focus our attention on the calculation of critical boundaries (see Section 3e). A model of a chemical reaction within a porous catalyst particle of the plate shape (from Hiavacek et al., 1968) is described by a boundary-value problem
Example

Here x and Y are concentrations of components X and Y, z is the space coordinate,gx and gy are the diffusion coefficients, L is the characteristic length of the system. We can use both shooting and finite-difference approach for continuation. To apply the shooting strategy denote the unknown values of x (O) and Y (O)
x (0) = VI, Y (0) = f72

(12)

The initial conditions (12) along sufficient information to integrate and (9) across. At z = 1 we have:

with (10) provide differential eqs (8) (13) (14) in

Fl ( I17v2rL) = x(1)--x
F2(fl1,7l2.L)=

Y(l)-_.

The unknown values of rl 1 and q2 are manipulated such a way that

4 = 64 exp (rPt1 f+ (O) = 0, 4(l)

+)/(l + B(1

- @))),

= 1.

(16)
Continuation algorithm can be used toward these two implicitly given nonlinear equations

The solution depends on three real parameters 8, y. 6. Upon denoting y = 4(O) and $( t; y) as the solution of the initial-value problem ti = Sti exp (y/3(1 ti(O) = Y, V+ = 0 (O) problem

drl -=
dL Here

_+?E

$)l(l + B(1 -

$)))

i?L

we have the continuation 0 =

h(Y,P,Y,4

I-=
= $/(kY)1.

Let us fix one of the parameters, say /J= 0.4. Prescribing, in addition, a second parameter results in a continuation problem in the remaining third parameter. Leaving both y and 6 free leads to the investigation of possible critical boundaries in the (y, &-plane. By using techniques outlined above, such curves were calculated, see Fig. 3; further details can be found in Rheinboldt (1982) and Seydel (1979a). Let us point out that the function h(y, /3,v,S) is not needed explicitly. Rather, a standard boundary-value problem solver is applied directly to a particular boundaryvalue problem; the results shown in Fig. 3 were obtained by means of the multiple shooting code BOUNDS (Bulirsch et al., 1977). Also the enlarged system of dimension 2Z+ 1 can be formulated as a boundary-value problem (Seydel, 1979a).
Example 2. Autocatalytic reaction-diffusion problem

The elements of the Jacobian matrix are aFi -=aq, a-4) ab =yl(l) aF1 -=-= h2 (1) ax(l) 852
Y2(1)

_)
and

aF1 ah

aF2 aq2

dF1 ax(l) = ~ = __ aL aL

y3

-=aF2

ayw
-3

aql

-=
aF2

aL

aa, am
aL

=ql(l)

am !?.!$----_=
2

as2

672(1)

q3

(1).

An autocatalytic reactiondiffusion problem, in the literature frequently referred to as Brusselator, is described by two differential equations: $%.s = (B+l)x-z4-x2y

The values of the variational variables can be calculated from variational equations. For the continuation process we may integrate two second-order equations along with six second-order variational equations for yi, qi, i = 1,2,3. A finite-difference approach takes advantage of the St4rmerrNumerov formula having 0( h4) accuracy. For a differential equation d2w F +G(<,w) = 0

(8)

1292

RODIGER SEYDEL~~~ VLADIMIR HLAVACEK

we can write

Yk = ~[-2~Ay:+Y~Y~+Y~(Y~+Y,)l
where P2G _ Gkm,--Gk+Gk+, kh2

+Y %YZYb ZAyf+

2ReY2 Y7

=X%(y)

(18)

Y;

=Yb
+ 2(Y, + Ys))

Using the Stormer-Numerov formula for approximation of eqs (8) and (9) we get a six diagonal matrix. For the finite-difference approximation we will continue a set of nonlinear algebraical equations. For a calculation of parametric dependence on L the following steps must be performed: (i) integrate eq. (17) as long as the matrix f is regular, (ii) if the matrix f approaches singularity (which can be easily discovered by checking the diagonal elements in the factorization process off) switch over to another parametrization as, for example, local parametrization or arc length continuation (see Section 6), (iii) being at the new branch switch back to integration of eq. (I 7).
The procedure mentioned above is one way of over-

I y =

= -2Ay,

=f7(y).

The boundary

conditions

are:

y, (to) = 0.9617, y3 ( to) = 0.4078, ys(to)

Y3(ZJ-)

y2 (to) = -0.1018,

= -0.0212,
= 1.0, ys(tJ-)

y,(fa)
= -

= 0.9998,
1.0.

coming turning points. Singularity of the Jacobian may also indicate occurrence of a bifurcation point. At a bifurcation point we can switch to a new branch by using branch switching techniques, see Section 10. Figure 6 displays the bifurcation diagram. As we can infer from the diagram a rich spectrum of multiple solutions exist and evidently it is impossible to locate them if a random search is performed.
ExampIe 3. Hypersonic flow

The numerical values of the parameters

Re =

are:
to = 0.05,

100,

A = 0.515,

CJ= 0.400,

f/ = 0.3303.

Hypersonic flow around a sphere is described by a set of nonlinear differential equations (Holt, 1964; Roberts er al., 1969):

The boundary value problem presented above has resisted all standard procedures including finitedifference approximation and Newton-Raphson method. Apparently, the only possibility to calculate the solution is continuation. We will use the following embedding procedure: Y; = rfi (Y)
Y; Y;
Yk Y;

Y,l = -~(yh+2(Y3+Yz))=fi(Y) Y; = Y1Y3(Y3+Yg) Y; = Y4 =f2(y)

= lfz(Y)
=Y4 = =Y6 ff4(Y)

Fig. 6. Bifurcation diagram of a diffusion autocatalytic system. x(0) vs L.

Role of continuation

in engineering analysis

1293

1 Yk = -,y4+t L Y; = tf7 (Y).

r j6(Y)+;Y4 L L

1 J

For t = 0 we can easily calculate the solution of the linear boundary value problem subject to boundary conditions presented above. Evidently for t = 1 we have the original set of equations to be solved. Hence we will try to continue the solution from t = 0 to t = 1. For a new value of tk, t, = tk _ 1 + At the solution to (18) can be calculated by shooting combined with the Newton correction algorithm for the missing boundary conditions. The resulting profiles were damped by multiplication by a factor 0.1. With At = 0.05 the solution can be continued up to t = 0.55, for higher values the increment At must be shortened. Finally, for t = 0.91 the maximum permissible step is as low as At = 0.0005 and continuation is very expensive. However, the already calculated profile is good enough to result in a convergent finite-difference approach and Newton-Raphson used to original equations. The method converges in 10 iterations. On the other hand, this approach will fail for starting profiles calculated by continuation for t c 0.45; Newton-Raphson will diverge.
14. DlSCUSSlON
AND CONCLUSIONS

why, so far, a numerical comparison of only some of the major continuation methods is still missing. Certainly, all of the continuation methods have their merits. For an engineer working on a particular problem it may be encouraging that relatively simple continuation principles work satisfactorily for complicated problems.
REFERENCES Allaower. E. and Georg, IL, 1980, Simphcial and continuation &&hods for appro;mating fixed points and solutions to svstems of eauations. SIAM Rev. 22, 28-85. Alu-ko, M. and Chang, H.-C., 1984, PEFLOQ: an algorithm for the bifurcational analysis of periodic solutions of autonomous systems. Comput. Chem. Engng 8, 355-365. Arnol d. V. 1.. 1983. Geometrical Methods in the Theory of Ordinary Differential Equations. Springer, New York.. Balakotaiah, V. and Luss, D., 1982, Structure of the steadystate solutions of lumped-parameter chemically reacting systems. Chem. Engng Sci. 37, 1611-1623. Beyn, W. J. and Doedel E., 1981. Stability and multiplicity of solutions to discretizations of nonlinear ordinary differential equations. SIAM J. Sci. Stat. Comput. 2, 107-120. Bhargava, R. and Hlavacek, V., 1986, Experience with adopting one-parameter imbedding methods towards calculation ofcountercurrent separation processes. Chem. Engng Commun. in press. Broyden, C. G., 1965, A class of methods for solving nonlinear simultaneous equations. Math. Comput. 19, 577-593. Bulirsch, R., Stoer, J. and Deuflhard, P., 1977, Multiple shooting code BOUNDS. Technical University, Munich, Department of Mathematics. Chart, T. F. C. and Keller, H. B., 1982, Arclength continuation and multigrid techniques for nonlinear elliptic eigenvalue problems. SIAM J. Sci. Stat. Comput. 3, 1733194. Chang, Ch. J. and Brown, R. A., Natural convection in steady solidification: finite element analysis of a two-phase Rayleigh- Benard Problem. J. Comput. Phys. Davidenko, D. F., 1953, On a new method of numerical solution of systems of nonlinear equations. Dokl. Akad, Nauk. SSSR 88, 601-602; Math. Rev. 14, 906. Decker, D. W. and Keller, H. B., 1980, Solution branching-a constructive technique, in New Approaches to Nonlinear Problems in Dynamics (Edited by Holmes, P.). SIAM, Philadelphia. Decker, D. W. and Keller, H. B., 1981, Path following near bifurcation. Commun. Pure appl. Math. 34, 149-175. Deist, F. H. and Sefor, L., 1967, Solution of systems of nonlinear equations by parameter variation. Comput. J. 10, 78-82. Den Heijer, C. and Rheinboldt. W. C., 1981, On steplength algorithms for a class of continuation methods. SIAM J. Numer. Anal. 18, 92s948. Dennis, J. E. and More, J. J., 1977, Quasi-Newton methods, motivation and theory. SIAM Rev. 19, 4689. De&hard, P., 1979, A stepsize control for continuation methods and its special application to multiple shooting techniques. Numer. Math. 33, 11>146. Doedel, E. J. and Heinemann, R. F., 1983, Numerical computation of periodic solution branches and oscillatory dynamics of the stirred tank reactor with A + B + C r&ions. Chem. Engng Sci. 38, 1493-1499. Dwyer, H. A., Smooke, M. D. and Kee, R. J., 1982, Adaptive gridding for finite difference solutions to heat and mass transfer. SANDIA Report SAND 82-8661 (April 1982). Goldberg, J. E. and Richards, R. H., 1963, Analysis of nonlinear structures. J. Struct. Div. Proc. ASCE 89, 333. Goldberg, J. E. and Mayers, J. V., 1965, A study of guyed towers. J. Struct. Div. Proc. ASCE 91, 57. Golubitsky, M. and Schaeffer, D., 1979, A theory for imperfect bifurcation via singularity theory. Commun. Pure appl. Math. 32, 21-98.

Continuation methods make it possible to perform a parametric study in a systematic way. For many physical problems the continuation algorithm is the only way to obtain a complete bifurcation diagram. Continuation approach can be combined with an analytical study, for certain values of the governing parameters (usually zero or low values) we can solve the system in question analytically. Continuation can extend these solutions to regions where an analytical approach is hopeless. A tracing of all singular points on the branch makes it possible to evaluate new branches emanating from these points (see e.g. Janssen ef al., 1983). However, the continuation approach will never guarantee that all possible solutions have been located. Certain branches may be completely isolated (Hlavacek et al., 1970) or may bifurcate from infinity As a result, for complicated nonlinear problems it might be worth solving the governing equations for a random choice of parameters and to check whether the calculated point is a part of the already constructed bifurcation diagram. If not, the continuation algorithm will discover a new branch which is disconnected (isolated) from the already calculated branches. We have to be aware that even the best continuation method cannot guarantee to find all of the solutions/ branches. To some extent, a parameter study of a difficult problem may be a venturous exploration. At present state, no particular continuation method can be recommended exclusively. As was pointed out in the foregoing sections, different alternatives of combining the basic steps (predictor, parametrization, corrector, step control) lead to a vast number of possible continuation methods. This situation explains

1294

RODIGER

SEYDEL

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