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A simple convergent solver for initial value problems

By Rafael G. Campos and Francisco Domínguez Mota

Abstract

We present a stable and convergent method for solving initial value problems based on the use of differentiation matrices obtained by Lagrange interpolation. This implicit multistep-like method is easy-to-use and performs pretty well in the solution of mildly stiff problems and it can also be applied directly to differential problems in the complex plane. 1

Topics: Initial value problem, Differentiation matrices, Lagrange interpolation, Convergence, Stability
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