Diagonally Implicit Symplectic Runge-Kutta Methods with High Algebraic and Dispersion Order

The numerical integration of Hamiltonian systems with oscillating solutions is considered in this paper. A diagonally implicit symplectic nine-stages Runge-Kutta method with algebraic order 6 and dispersion order 8 is presented. Numerical experiments with some Hamiltonian oscillatory problems are presented to show the proposed method is as competitive as the existing same type Runge-Kutta methods

Diagonally Implicit Runge-Kutta Methods for Ordinary Differential Equations. A Review

A review of diagonally implicit Runge-Kutta (DIRK) methods applied to rst-order ordinary di erential equations (ODEs) is undertaken. The goal of this review is to summarize the characteristics, assess the potential, and then design several nearly optimal, general purpose, DIRK-type methods. Over 20 important aspects of DIRKtype methods are reviewed. A design study is then conducted on DIRK-type methods having from two to seven implicit stages. From this, 15 schemes are selected for general purpose application. Testing of the 15 chosen methods is done on three singular perturbation problems. Based on the review of method characteristics, these methods focus on having a stage order of two, sti accuracy, L-stability, high quality embedded and dense-output methods, small magnitudes of the algebraic stability matrix eigenvalues, small values of aii, and small or vanishing values of the internal stability function for large eigenvalues of the Jacobian. Among the 15 new methods, ESDIRK4(3)6L[2]SA is recommended as a good default method for solving sti problems at moderate error tolerances

Collocation methods for a class of second order initial value problems with oscillatory solutions

We derive and analyse two families of multistep collocation methods for periodic initial-value problems of the form y" = f(x, y); y((^x)o) = yo, y(^1)(xo) = zo involving ordinary differential equations of second order in which the first derivative does not appear explicitly. A survey of recent results and proposed numerical methods is given in chapter 2. Chapter 3 is devoted to the analysis of a family of implicit Chebyshev methods proposed by Panovsky k Richardson. We show that for each non-negative integer r, there are two methods of order 2r from this family which possess non-vanishing intervals of periodicity. The equivalence of these methods with one-step collocation methods is also established, and these methods are shown to be neither P-stable nor symplectic. In chapters 4 and 5, two families of multistep collocation methods are derived, and their order and stability properties are investigated. A detailed analysis of the two-step symmetric methods from each class is also given. The multistep Runge-Kutta-Nystrom methods of chapter 4 are found to be difficult to analyse, and the specific examples considered are found to perform poorly in the areas of both accuracy and stability. By contrast, the two-step symmetric hybrid methods of chapter 5 are shown to have excellent stability properties, in particular we show that all two-step 27V-point methods of this type possess non-vanishing intervals of periodicity, and we give conditions under which these methods are almost P-stable. P-stable and efficient methods from this family are obtained and demonstrated in numerical experiments. A simple, cheap and effective error estimator for these methods is also given

SciCADE 95: International conference on scientific computation and differential equations

This report consists of abstracts from the conference. Topics include algorithms, computer codes, and numerical solutions for differential equations. Linear and nonlinear as well as boundary-value and initial-value problems are covered. Various applications of these problems are also included

Application of exponential fitting techniques to numerical methods for solving differential equations

Ever since the work of Isaac Newton and Gottfried Leibniz in the late 17th century, differential equations (DEs) have been an important concept in many branches of science. Differential equations arise spontaneously in i.a. physics, engineering, chemistry, biology, economics and a lot of fields in between. From the motion of a pendulum, studied by high-school students, to the wave functions of a quantum system, studied by brave scientists: differential equations are common and unavoidable. It is therefore no surprise that a large number of mathematicians have studied, and still study these equations. The better the techniques for solving DEs, the faster the fields where they appear, can advance. Sadly, however, mathematicians have yet to find a technique (or a combination of techniques) that can solve all DEs analytically. Luckily, in the meanwhile, for a lot of applications, approximate solutions are also sufficient. The numerical methods studied in this work compute such approximations. Instead of providing the hypothetical scientist with an explicit, continuous recipe for the solution to their problem, these methods give them an approximation of the solution at a number of discrete points. Numerical methods of this type have been the topic of research since the days of Leonhard Euler, and still are. Nowadays, however, the computations are performed by digital processors, which are well-suited for these methods, even though many of the ideas predate the modern digital computer by almost a few centuries. The ever increasing power of even the smallest processor allows us to devise newer and more elaborate methods. In this work, we will look at a few well-known numerical methods for the solution of differential equations. These methods are combined with a technique called exponential fitting, which produces exponentially fitted methods: classical methods with modified coefficients. The original idea behind this technique is to improve the performance on problems with oscillatory solutions

Splitting methods for autonomous and non-autonomous perturbed equations

[EN] This thesis addresses the treatment of perturbed problems with splitting methods. After motivating these problems in Chapter 1, we give a thorough introduction in Chapter 2, which includes the objectives, several basic techniques and already existing methods. In Chapter 3, we consider the numerical integration of non-autonomous separable parabolic equations using high order splitting methods with complex coefficients (methods with real coefficients of order greater than two necessarily have negative coefficients). We propose to consider a class of methods that allows us to evaluate all time dependent operators at real values of the time, leading to schemes which are stable and simple to implement. If the system can be considered as the perturbation of an exactly solvable problem and the flow of the dominant part is advanced using real coefficients, it is possible to build highly efficient methods for these problems. We show the performance of this class of methods for several numerical examples and present some new improved schemes. In Chapter 4, we propose splitting methods for the computation of the exponential of perturbed matrices which can be written as the sum A = D+epsilon*B of a sparse and efficiently exponentiable matrix D with sparse exponential exp(D) and a dense matrix epsilon*B which is of small norm in comparison with D. The predominant algorithm is based on scaling the large matrix A by a small number 2^(-s) , which is then exponentiated by efficient Padé or Taylor methods and finally squared in order to obtain an approximation for the full exponential. In this setting, the main portion of the computational cost arises from dense-matrix multiplications and we present a modified squaring which takes advantage of the smallness of the perturbation matrix B in order to reduce the number of squarings necessary. Theoretical results on local error and error propagation for splitting methods are complemented with numerical experiments and show a clear improvement over existing methods when medium precision is sought. In Chapter 5, we consider the numerical integration of the perturbed Hill's equation. Parametric resonances can appear and this property is of great interest in many different physical applications. Usually, the Hill's equations originate from a Hamiltonian function and the fundamental matrix solution is a symplectic matrix. This is a very important property to be preserved by the numerical integrators. In this chapter we present new sixth-and eighth-order symplectic exponential integrators that are tailored to the Hill's equation. The methods are based on an efficient symplectic approximation to the exponential of high dimensional coupled autonomous harmonic oscillators and yield accurate results for oscillatory problems at a low computational cost. Several numerical examples illustrate the performance of the new methods. Conclusions and pointers to further research are detailed in Chapter 6.[ES] Esta tesis aborda el tratamiento de problemas perturbados con métodos de escisión (splitting). Tras motivar el origen de este tipo de problemas en el capítulo 1, introducimos los objetivos, varias técnicas básicas y métodos existentes en capítulo 2. En el capítulo 3 consideramos la integración numérica de ecuaciones no autónomas separables y parabólicas usando métodos de splitting de orden mayor que dos usando coeficientes complejos (métodos con coeficientes reales de orden mayor de dos necesariamente tienen coeficientes negativos). Proponemos una clase de métodos que permite evaluar todos los operadores con dependencia temporal en valores reales del tiempo lo cual genera esquemas estables y fáciles de implementar. Si el sistema se puede considerar como una perturbación de un problema resoluble de forma exacta y si el flujo de la parte dominante se avanza usando coeficientes reales, es posible construir métodos altamente eficientes para este tipo de problemas. Demostramos la eficiencia de estos métodos en varios ejemplos numéricos. En el capítulo 4 proponemos métodos de splitting para el cálculo de la exponencial de matrices perturbadas que se pueden escribir como suma A = D + epsilon*B de una matriz dispersa y eficientemente exponenciable con exponencial dispersa exp(D) y una matriz densa epsilon*B de noma pequeña. El algoritmo predominante se basa en escalar la matriz grande con un número pequeño 2^(-s) para poder exponenciar el resultado con métodos eficientes de Padé o Taylor y finalmente obtener la aproximación a la exponencial elevando al cuadrado repetidamente. En este contexto, el coste computacional proviene de las multiplicaciones de matrices densas y presentamos una cuadratura modificada aprovechando la estructura perturbada para reducir el número de productos. Resultados teóricos sobre errores locales y propagación de error para métodos de splitting son complementados con experimentos numéricos y muestran una clara mejora sobre métodos existentes a precisión media. En el capítulo 5, consideramos la integración numérica de la ecuación de Hill perturbada. Resonancias paramétricas pueden aparecer y esta propiedad es de gran interés en muchas aplicaciones físicas. Habitualmente, las ecuaciones de Hill provienen de una función hamiltoniana y la solución fundamental es una matriz simpléctica, una propiedad muy importante que preservar con los integradores numéricos. Presentamos nuevos integradores simplécticos exponenciales de orden seis y ocho tallados a la ecuación de Hills. Estos métodos se basan en una aproximación simpléctica eficiente a la exponencial de osciladores armónicos acoplados de dimensión alta y dan lugar a resultados precisos para problemas oscilatorios a un coste computacional bajo y varios ejemplos numéricos ilustran su rendimiento. Conclusiones e indicadores para futuros estudios se detallan en el capítulo 6.[CA] La present tesi està enfocada al tractament de problemes perturbats utilitzant, entre altres, mètodes d'escisió (splitting). Comencem motivant l'oritge d'aquest tipus de problems al capítol 1, i a continuació introduïm el objectius, diferents tècniques bàsiques i alguns mètodes existents al capítol 2. Al capítol 3, consideram la integració numèrica d'equacions no autònomes separables i parabòliques utilitzant mètodes d'splitting d'ordre major que dos utilitzant coeficients complexos (mètodes amb coeficients reials d'ordre major que dos necesariament tenen coeficients negatius). Proposem una clase de mètodes que permeten evaluar tots els operadors amb dependència temporal explícita amb valors reials del temps. Esta forma de procedir genera esquemes estables i fàcils d'implementar. Si el sistema es pot considerar com una perturbació d'un problema exactament resoluble, i la part dominant s'avança utilitzant coeficients reials, es posible construir mètodes altament eficients per aquest tipus de problemes Demostrem la eficiència d'estos mètodes per a diferents exemples numèrics. Al capítol 4, proposem mètodes d'splitting per al càcul de la exponencial de matrius pertorbades que es poden escriure com suma A = D + epsilon*B (una matriu que es pot exponenciar fàcilment i eficientemente, com es el cas d'algunes matrius disperses exp(D), i una matriu densa epsilon*B de norma menuda). L'algorisme predominant es basa en escalar la matriu gran amb un nombre menut 2^(-s) per a poder exponenciar el resultat amb mètodes eficients de Padé o Taylor i finalment obtindre la aproximació a la exponencial elevant al quadrat repetidament. En este context, el cost computacional prové de les multiplicacions de matrius denses i presentem una quadratura modificada aprofitant la estructura de matriu pertorbada per reduir el nombre de productes. Resultats teòrics sobre errors locals i propagació d'error per a mètodes d'splitting son analitzats i corroborats amb experiments numèrics, mostrant una clara millora respecte a mètodes existens quan es busca una precisió moderada. Al capítol 5, considerem la integració numèrica de l'ecuació de Hill pertorbada. En este tipus d'equacions poden apareixer resonàncies paramètriques i esta propietat es de gran interés en moltes aplicacions físiques. Habitualment, les equacions de Hill provenen d'una función hamiltoniana i la solució fonamental es una matriu simplèctica, siguent esta una propietat molt important a preservar pels integradors numèrics. Presentams nous integradors simplèctics exponencials d'orden sis i huit construits especialmente per resoldre l'ecuació de Hill. Estos mètodes es basen en una aproxmiació simplèctica eficient a la exponencial d'osciladors harmònics acoplats de dimensió alta i donen lloc a resultats precisos per a problemas oscilatoris a un cost computacional baix. La eficiencia dels mètodes s'il.lustra en diferents exemples numèrics. Conclusions i indicadors per a futurs estudis es detallen al capítol 6.Seydaoglu, M. (2016). Splitting methods for autonomous and non-autonomous perturbed equations [Tesis doctoral no publicada]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/71358TESI

Systematic construction of efficient six-stage fifth-order explicit Runge-Kutta embedded pairs without standard simplifying assumptions

This thesis examines methodologies and software to construct explicit Runge-Kutta (ERK) pairs for solving initial value problems (IVPs) by constructing efficient six-stage fifth-order ERK pairs without standard simplifying assumptions. The problem of whether efficient higher-order ERK pairs can be constructed algebraically without the standard simplifying assumptions dates back to at least the 1960s, with Cassity's complete solution of the six-stage fifth-order order conditions. Although RK methods based on the six-stage fifth-order order conditions have been widely studied and have continuing practical importance, prior to this thesis, the aforementioned complete solution to these order conditions has no published usage beyond the original series of publications by Cassity in the 1960s. The complete solution of six-stage fifth-order ERK order conditions published by Cassity in 1969 is not in a formulation that can easily be used for practical purposes, such as a software implementation. However, it is shown in this thesis that when the order conditions are solved and formulated appropriately using a computer algebra system (CAS), the generated code can be used for practical purposes and the complete solution is readily extended to ERK pairs. The condensed matrix form of the order conditions introduced by Cassity in 1969 is shown to be an ideal methodology, which probably has wider applicability, for solving order conditions using a CAS. The software package OCSage developed for this thesis, in order to solve the order conditions and study the properties of the resulting methods, is built on top of the Sage CAS. However, in order to effectively determine that the constructed ERK pairs without standard simplifying assumptions are in fact efficient by some well-defined criteria, the process of selecting the coefficients of ERK pairs is re-examined in conjunction with a sufficient amount of performance data. The pythODE software package developed for this thesis is used to generate a large amount of performance data from a large selection of candidate ERK pairs found using OCSage. In particular, it is shown that there is unlikely to be a well-defined methodology for selecting optimal pairs for general-purpose use, other than avoiding poor choices of certain properties and ensuring the error coefficients are as small as possible. However, for IVPs from celestial mechanics, there are obvious optimal pairs that have specific values of a small subset of the principal error coefficients (PECs). Statements seen in the literature that the best that can be done is treating all PECs equally do not necessarily apply to at least some broad classes of IVPs. By choosing ERK pairs based on specific values of individual PECs, not only are ERK pairs that are 20-30% more efficient than comparable published pairs found for test sets of IVPs from celestial mechanics, but the variation in performance between the best and worst ERK pairs that otherwise would seem to have similar properties is reduced from a factor of 2 down to as low as 15%. Based on observations of the small number of IVPs of other classes in common IVP test sets, there are other classes of IVPs that have different optimal values of the PECs. A more general contribution of this thesis is that it specifically demonstrates how specialized software tools and a larger amount of performance data than is typical can support novel empirical insights into numerical methods