31 research outputs found
Modelling the discretization error of initial value problems using the Wishart distribution
This paper presents a new discretization error quantification method for the
numerical integration of ordinary differential equations. The error is modelled
by using the Wishart distribution, which enables us to capture the correlation
between variables. Error quantification is achieved by solving an optimization
problem under the order constraints for the covariance matrices. An algorithm
for the optimization problem is also established in a slightly broader context