Solving 0 = F(t, y(t), y′(t)) in Matlab

Important algorithms and design decisions of a new code, ode15i, for solving 0 = F(t, y(t), y′(t)) are presented. They were developed to exploit Matlab, a popular problem solving environment (PSE). Codes widely-used in general scientific computation (GSC) compute consistent initial conditions only for restricted forms of the differential equations. ode15i does this for the general problem, a task that is qualitatively different. Unlike popular codes in GSC, ode15i saves partial derivatives because this is more efficient in the PSE. A new representation of fixed leading coefficient BDFs is based on the Lagrangian form of polynomial interpolation. Basic computations are both clear and efficient in the PSE when using this form. Some numerical experiments show that ode15i is an effective way to solve fully implicit ODEs and DAEs of index 1 in Matlab.