Convergence Aspects of Step-Parallel Iteration of Runge-Kutta Methods for Delay Differential Equations

Implicit Runge-Kutta methods are known as highly accurate and stable methods for solving differential equations. However, the iteration technique used to solve implicit Runge-Kutta methods requires a lot of computational efforts. To lessen the computational effort, one can iterate simultaneously at a number of points along the t-axis. In this paper, we extend the PDIRK (Parallel Diagonal Iterated Runge-Kutta) methods to delay differential equations (DDEs). We give the region of convergence and analyze the speed of convergence in three parts for the P-stability region of the Runge-Kutta corrector. It is proved that PDIRK methods to DDEs are efficient, and the diagonal matrix D of the PDIRK methods for DDES can be selected in the same way as for ordinary differential equations (ODEs).     

Total Variation Diminishing Implicit Runge-Kutta Methods for Dissipative Advection-Diffusion Problems in Astrophysics

We investigate the properties of dissipative full discretizations for the equations of motion associated with models of flow and radiative transport inside stars. We derive dissipative space discretizations and demonstrate that together with specially adapted total-variation-diminishing (TVD) or strongly stable Runge-Kutta time discretizations with adaptive step-size control this yields reliable and efficient integrators for the underlying high-dimensional nonlinear evolution equations. For the most general problem class, fully implicit SDIRK methods are demonstrated to be competitive when compared to popular explicit Runge-Kutta schemes as the additional effort for the solution of the associated nonlinear equations is compensated by the larger step-sizes admissible for strong stability and dissipativity. For the parameter regime associated with semiconvection we can use partitioned IMEX Runge-Kutta schemes, where the solution of the implicit part can be reduced to the solution of an elliptic problem. This yields a significant gain in performance as compared to either fully implicit or explicit time integrators. (© 2011 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

The efficiency of Singly-implicit Runge-Kutta methods for stiff differential equations

Singly-implicit Runge-Kutta methods are considered to be good candidates for stiff problems because of their good stability and high accuracy. The existing methods, SIRK (Singly-implicit Runge-Kutta), DESI (Diagonally Extendable Singly-implicit Runge-Kutta), ESIRK (Effective order Singly-implicit Rung-Kutta) and DESIRE (Diagonally Extended Singly-implicit Runge-Kutta Effective order) methods have been shown to be efficient for stiff differential equations, especially for high dimensional stiff problems. In this paper, we measure the efficiency for the family of singly-implicit Runge-Kutta methods using the local truncation error produced within one single step and the count of number of operations. Verification of the error and the computational costs for these methods using variable stepsize scheme are presented. We show how the numerical results are effected by the designed factors: additional diagonal-implicit stages and effective order.     

Approximating Runge-Kutta matrices by triangular matrices

The implementation of implicit Runge-Kutta methods requires the solution of large systems of non-linear equations. Normally these equations are solved by a modified Newton process, which can be very expensive for problems of high dimension. The recently proposed triangularly implicit iteration methods for ODE-IVP solvers [5] substitute the Runge-Kutta matrixA in the Newton process for a triangular matrixT that approximatesA, hereby making the method suitable for parallel implementation. The matrixT is constructed according to a simple procedure, such that the stiff error components in the numerical solution are strongly damped. In this paper we prove for a large class of Runge-Kutta methods that this procedure can be carried out and that the diagnoal entries ofT are positive. This means that the linear systems that are to be solved have a non-singular matrix. The research reported in this paper was supported by STW (Dutch Foundation for Technical Sciences).     

The non-existence of symplectic multi-derivative Runge-Kutta methods

A sufficient condition for the symplecticness ofq-derivative Runge-Kutta methods has been derived by F. M. Lasagni. In the present note we prove that this condition can only be satisfied for methods withq1, i.e., for standard Runge-Kutta methods. We further show that the conditions of Lasagni are also necessary for symplecticness so that no symplectic multi-derivative Runge-Kutta method can exist.This research has been supported by project PB89-0351 (Dirección General de Investigación Científica y Técnica) and by project No. 20-32354.91 of Swiss National Science Foundation.     

On projected Runge-Kutta methods for differential-algebraic equations

Ascher and Petzold recently introducedprojected Runge-Kutta methods for the numerical solution of semi-explicit differential-algebraic systems of index 2. Here it is shown that such a method can be regarded as the limiting case of a standard application of a Runge-Kutta method with a very small implicit Euler step added to it. This interpretation allows a direct derivation of the order conditions and of superconvergence results for the projected methods from known results for standard Runge-Kutta methods for index-2 differential-algebraic systems, and an extension to linearly implicit differential-algebraic systems.     

On implicit Runge-Kutta methods with high stage order

It is well known that high stage order is a desirable property for implicit Runge-Kutta methods. In this paper it is shown that it is always possible to construct ans-stage IRK method with a given stability function and stage orders−1 if the stability function is an approximation to the exponential function of at least orders. It is further indicated how to construct such methods as well as in which cases the constructed methods will be stiffly accurate.     

Runge-Kutta methods with a multiple real eigenvalue only

Due to practical reasons one is interested inv-stage Runge-Kutta methods whose defining matrix has just one realv-fold eigenvalue. The purpose of this note is to show that methods of this type can be constructed by the method of collocation using the ratio between the zeros of certain Laguerre polynomials as collocation points.     

Efficient implementation of Gauss collocation and Hamiltonian boundary value methods

In this paper we define an efficient implementation for the family of low-rank energy-conserving Runge-Kutta methods named Hamiltonian Boundary Value Methods (HBVMs), recently defined in the last years. The proposed implementation relies on the particular structure of the Butcher matrix defining such methods, for which we can derive an efficient splitting procedure. The very same procedure turns out to be automatically suited for the efficient implementation of Gauss-Legendre collocation methods, since these methods are a special instance of HBVMs. The linear convergence analysis of the splitting procedure exhibits excellent properties, which are confirmed by a few numerical tests.     

A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations

In Burrage and Burrage [1] it was shown that by introducing a very general formulation for stochastic Runge-Kutta methods, the previous strong order barrier of order one could be broken without having to use higher derivative terms. In particular, methods of strong order 1.5 were developed in which a Stratonovich integral of order one and one of order two were present in the formulation. In this present paper, general order results are proven about the maximum attainable strong order of these stochastic Runge-Kutta methods (SRKs) in terms of the order of the Stratonovich integrals appearing in the Runge-Kutta formulation. In particular, it will be shown that if ans-stage SRK contains Stratonovich integrals up to orderp then the strong order of the SRK cannot exceed min{(p+1)/2, (s−1)/2},p≥2,s≥3 or 1 ifp=1.     

The Approximate Runge-Kutta Computational Process

Implicit Runge-Kutta methods are efficient for solving stiff ODEs and DAEs. To bridge the gap between their theoretical analysis and practical implementation, we introduce the notion of the (, K)-approximate Runge- Kutta process to account for inevitable iteration errors. We prove iteration error bounds uniform with respect to stiffness, and investigate stage derivative reuse for methods having a first explicit stage. The latter technique may result in significant performance gains, also when such methods are used as error estimators. Previous computational heuristics can therefore be replaced by a consistent approach supported by theoretical analysis. The approximate but well-defined computational process is evaluated using approved test problems.     

The reliability/cost trade-off for a class of ODE solvers

In the numerical solution of ODEs, it is now possible to develop efficient techniques that will deliver approximate solutions that are piecewise polynomials. The resulting methods can be designed so that the piecewise polynomial will satisfy a perturbed ODE with an associated defect (or residual) that is directly controlled in a consistent fashion. We will investigate the reliability/cost trade off that one faces when implementing and using such methods, when the methods are based on an underlying discrete Runge-Kutta formula. In particular we will identify a new class of continuous Runge-Kutta methods with a very reliable defect estimator and a validity check that reflects the credibility of the estimate. We will introduce different measures of the “reliability” of an approximate solution that are based on the accuracy of the approximate solution; the maximum magnitude of the defect of the approximate solution; and how well the method is able to estimate the maximum magnitude of the defect of the approximate solution. We will also consider how methods can be implemented to detect and cope with special difficulties such as the effect of round-off error (on a single step) or the ability of a method to estimate the magnitude of the defect when the stepsize is large (as might happen when using a high-order method at relaxed accuracy requests). Numerical results on a wide selection of problems will be summarized for methods of orders five, six and eight. It will be shown that a modest increase in the cost per step can lead to a significant improvement in the quality of the approximate solutions and the reliability of the method. For example, the numerical results demonstrate that, if one is willing to increase the cost per step by 50%, then a method can deliver approximate solutions where the reported estimated maximum defect is within 1% of its true value on 95% of the steps.     

The equivalence of algebraic stability andAN-stability

It is shown that, under certain restrictions,AN-stability is equivalent to algebraic stability for general linear methods. The restrictions have the purpose of excluding from consideration methods which can be replaced by simpler methods in various specific ways andAN-stability is to be interpreted in the strong sense. This result generalizes known results for Runge-Kutta and for one-leg methods.     

High order algebraically stable Runge-Kutta methods

In Burrage and Butcher [3] the concept of Algebraic Stability was introduced in the study of Runge-Kutta methods. In this paper an analysis is made of the family ofs-stage Runge-Kutta methods of order 2s—2 or more which possesses this property.     

A stability property ofA-stable natural Runge-Kutta methods for systems of delay differential equations

A natural Runge-Kutta method is a special type of Runge-Kutta method for delay differential equations (DDEs); it is known that any one-step collocation method is equivalent to one of such methods. In this paper, we consider a linear constant-coefficient system of DDEs with a constant delay, and discuss the application of natural Runge-Kutta methods to the system. We show that anA-stable method preserves the asymptotic stability property of the analytical solutions of the system.     

CONVERGENCE OF PARALLEL DIAGONAL ITERATION OF RUNGE-KUTTA METHODS FOR DELAY DIFFERENTIAL EQUATIONS

Implicit Runge-Kutta method is highly accurate and stable for stiff initial value prob-lem.But the iteration technique used to solve implicit Runge-Kutta method requires lotsof computational efforts.In this paper,we extend the Parallel Diagonal Iterated Runge-Kutta(PDIRK)methods to delay differential equations(DDEs).We give the convergenceregion of PDIRK methods,and analyze the speed of convergence in three parts for theP-stability region of the Runge-Kutta corrector method.Finally,we analysis the speed-upfactor through a numerical experiment.The results show that the PDIRK methods toDDEs are efficient.     

Explicit adaptive Runge-Kutta methods for stiff and oscillation problems

Explicit Runge-Kutta methods with the coefficients tuned to the problem of interest are examined. The tuning is based on estimates for the dominant eigenvalues of the Jacobian matrix obtained from the results of the preliminary stages. Test examples demonstrate that methods of this type can be efficient in solving stiff and oscillation problems.     

Symplectic Runge-Kutta methods with real eigenvalues

Iserles [1] constructed symplectic Runge-Kutta methods with real eigenvalues with the help of perturbed collocation. This note shows that such methods can comfortably be obtained using theW-transformation of [2].     

Dissipativity of multistep runge-kutta methods for nonlinear volterra delay-integro-differential equations

This paper is concerned with the numerical dissipativity of multistep Runge-Kutta methods for nonlinear Volterra delay-integro-differential equations.We investigate the dissipativity properties of (k,l)algebraically stable multistep Runge-Kutta methods with constrained grid and an uniform grid.The finitedimensional and infinite-dimensional dissipativity results of (k,l)-algebraically stable Runge-Kutta methods are obtained.     

TVD-based Finite Volume Methods for Sound-Advection-Buyancy Systems

Split-explicit Runge-Kutta methods provide an efficient integration procedure for hyperbolic systems with coupled slow and fast wave phenomena. They are generalized to multirate infinitesimal step methods (MIS) in order to develop an order to provide order conditions and to establish stability properties. The construction of MIS methods is based on an underlying Runge-Kutta method. This method is choosen to be total variation diminishing (TVD) to improve the stability properties of the method. Here, the maximum Courant number is improved by a factor of 4. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)