Iterated defect correction for the efficient solution of stiff systems of ordinary differential equations

Iterated Defect Correction (IDeC)-methods based on the implicit Euler scheme are shown to have a fixed point. This fixed point coincides with the solution of certain implicit multi-stage Runge-Kutta methods (equivalent to polynomial collocation). Sufficient conditions for the convergence of the iterates to the fixed point are given for linear problems. These results indicate that for a large variety of general non-linear stiff problems, fixed-point-convergence can be expected, and moreover they indicate that the rate of convergence to the fixed point is very high for very stiff problems. Thus the proposed methods combine the high orders and the high accuracy of multistage-methods with the low computational effort of single-stage methods.     

Modified Defect Correction Algorithms for ODEs. Part I: General Theory

The well-known method of Iterated Defect Correction (IDeC) is based on the following idea: Compute a simple, basic approximation and form its defect w.r.t. the given ODE via a piecewise interpolant. This defect is used to define an auxiliary, neighboring problem whose exact solution is known. Solving the neighboring problem with the basic discretization scheme yields a global error estimate. This can be used to construct an improved approximation, and the procedure can be iterated. The fixed point of such an iterative process corresponds to a certain collocation solution. We present a variety of modifications to this algorithm. Some of these have been proposed only recently, and together they form a family of iterative techniques, each with its particular advantages. These modifications are based on techniques like defect quadrature (IQDeC), defect interpolation (IPDeC), and combinations thereof. We investigate the convergence on locally equidistant and nonequidistant grids and show how superconvergent approximations can be obtained. Numerical examples illustrate our considerations. The application to stiff initial value problems will be discussed in Part II of this paper.     

IDeC — Convergence independent of error asymptotics

The present paper is concerned with the method of Iterated Defect Correction (IDeC) for two-point boundary value problems. We investigate the contractive behaviour of the IDeC iteration in a completely discrete setting. Our results (which are a generalization of classical results based on asymptotic expansions of the discretization error) imply the stability of the collocation method which defines the fixed point of the IDeC iteration.     

Analysis of a defect correction method for geometric integrators

We discuss a new variant of Iterated Defect Correction (IDeC), which increases the range of applicability of the method. Splitting methods are utilized in conjunction with special integration methods for Hamiltonian systems, or other initial value problems for ordinary differential equations with a particular structure, to solve the neighboring problems occurring in the course of the IDeC iteration. We demonstrate that this acceleration technique serves to rapidly increase the convergence order of the resulting numerical approximations, up to the theoretical limit given by the order of certain superconvergent collocation methods. This project was supported by the Special Research Program SFB F011 ‘AURORA’ of the Austrian Science Fund FWF.     

Convergence of linear multistep and one-leg methods for stiff nonlinear initial value problems

To prove convergence of numerical methods for stiff initial value problems, stability is needed but also estimates for the local errors which are not affected by stiffness. In this paper global error bounds are derived for one-leg and linear multistep methods applied to classes of arbitrarily stiff, nonlinear initial value problems. It will be shown that under suitable stability assumptions the multistep methods are convergent for stiff problems with the same order of convergence as for nonstiff problems, provided that the stepsize variation is sufficiently regular.     

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.     

Efficient Time Integration of IMEX Type using Exponential Integrators for Compressible,Viscous Flow Simulation

We investigate the adaption of the recently developed exponential integrators called EPIRK in the so-called domain-based implicit-explicit (IMEX) setting of spatially discretized PDE's. The EPIRK schemes were shown to be efficient for sufficiently stiff problems and offer high precision and good stability properties like A- and L-stability in theory. In practice, however, we can show that these stability properties are dependent on the parameters of the interior approximation techniques. Here, we introduce the IMEX-EPIRK method, which consists of coupling an explicit Runge-Kutta scheme with an EPIRK scheme. We briefly analyze its linear stability, show its conservation property and set up a CFL condition. Though the method is convergent of only first order, it demonstrates the advantages of this novel type of schemes for stiff problems very well. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

求解带刚性源项标量双曲型守恒律方程的保有界WCNS格式

带刚性源项的双曲守恒律方程是很多物理问题,特别是化学反应流的数学模型.本文考虑带刚性源项的标量双曲型守恒律方程,通过时空分离的方式,发展了一类保有界的WCNS格式.对于空间离散,我们将参数化的通量限制器推广到WCNS框架,使得方程对流项离散后满足极值原理.对于时间离散,我们将半离散的WCNS改写成指数形式,采用三阶修正...     

Extrapolation-based implicit-explicit general linear methods

For many systems of differential equations modeling problems in science and engineering, there are natural splittings of the right hand side into two parts, one non-stiff or mildly stiff, and the other one stiff. For such systems implicit-explicit (IMEX) integration combines an explicit scheme for the non-stiff part with an implicit scheme for the stiff part. In a recent series of papers two of the authors (Sandu and Zhang) have developed IMEX GLMs, a family of implicit-explicit schemes based on general linear methods. It has been shown that, due to their high stage order, IMEX GLMs require no additional coupling order conditions, and are not marred by order reduction. This work develops a new extrapolation-based approach to construct practical IMEX GLM pairs of high order. We look for methods with large absolute stability region, assuming that the implicit part of the method is A- or L-stable. We provide examples of IMEX GLMs with optimal stability properties. Their application to a two dimensional test problem confirms the theoretical findings.     

The method of successive extrapolated iterated defect correction and its application to second kind Fredholm's integral equations

We describe an application of the principle of Iterated Defect Correction (IDeC) on the quadrature methods for the numerical solution of Fredholm's integral equations of the second kind. We also derive an asymptotic expansion for the global error in the solution produced by the IDeC method. Applying Richardson extrapolation repeatedly on the IDeC method, we present the technique of Successive Extrapolated Iterated Defect Correction (SEIDeC) and the resulting asymptotic expansion for the global error. Numerical tests confirm the asymptotic results and demonstrate the power of the IDeC method as well as the superiority of our method SEIDeC.     

Variable-Order ESIRK Methods for Stiff Differential Equations

ESIRK methods (Effective order Singly-Implicit Runge–Kutta methods) have been shown to be efficient for the numerical solution of stiff differential equations. In this paper, we consider a new implementation of these methods with a variable order strategy. We show that the efficiency of the ESIRK method for stiff problems is improved by using the proposed variable order schemes.     

Partitioned adaptive Runge-Kutta methods and their stability

Summary This paper deals with the solution of partitioned systems of nonlinear stiff differential equations. Given a differential system, the user may specify some equations to be stiff and others to be nonstiff. For the numerical solution of such a system partitioned adaptive Runge-Kutta methods are studied. Nonstiff equations are integrated by an explicit Runge-Kutta method while an adaptive Runge-Kutta method is used for the stiff part of the system.The paper discusses numerical stability and contractivity as well as the implementation and usage of such compound methods. Test results for three partitioned stiff initial value problems for different tolerances are presented.     

Global error estimation and control in linearly-implicit parallel two-step peer W-methods

The class of linearly-implicit parallel two-step peer W-methods has been designed recently for efficient numerical solutions of stiff ordinary differential equations. Those schemes allow for parallelism across the method, that is an important feature for implementation on modern computational devices. Most importantly, all stage values of those methods possess the same properties in terms of stability and accuracy of numerical integration. This property results in the fact that no order reduction occurs when they are applied to very stiff problems. In this paper, we develop parallel local and global error estimation schemes that allow the numerical solution to be computed for a user-supplied accuracy requirement in automatic mode. An algorithm of such global error control and other technical particulars are also discussed here. Numerical examples confirm efficiency of the presented error estimation and stepsize control algorithm on a number of test problems with known exact solutions, including nonstiff, stiff, very stiff and large-scale differential equations. A comparison with the well-known stiff solver RODAS is also shown.     

Solving Volterra Integral Equations with ODE Codes

Some nonlinear Volterra integral equations are equivalent toan initial-value problem for a system of ordinary differentialequations (ODEs). Because effective ODE codes are widely available,some authors have sought to exploit this connection for thenumerical solution of the integral equations. There are twomajor difficulties: One would like to solve large systems ofODEs. The initial-value problem for the ODEs may be stiff. Theinitial-value problems are shown to have a remarkable structurewhich can be exploited to overcome these two difficulties.     

Global error estimation and control in linearly-implicit parallel two-step peer W-methods

The class of linearly-implicit parallel two-step peer W-methods has been designed recently for efficient numerical solutions of stiff ordinary differential equations. Those schemes allow for parallelism across the method, that is an important feature for implementation on modern computational devices. Most importantly, all stage values of those methods possess the same properties in terms of stability and accuracy of numerical integration. This property results in the fact that no order reduction occurs when they are applied to very stiff problems. In this paper, we develop parallel local and global error estimation schemes that allow the numerical solution to be computed for a user-supplied accuracy requirement in automatic mode. An algorithm of such global error control and other technical particulars are also discussed here. Numerical examples confirm efficiency of the presented error estimation and stepsize control algorithm on a number of test problems with known exact solutions, including nonstiff, stiff, very stiff and large-scale differential equations. A comparison with the well-known stiff solver RODAS is also shown.     

Efficient numerical methods for initial-value solid-state laser problems

The difficulties of solving initial-value solid-state laser problems numerically arise from both stiffness of the problems and near-to-zero nonnegative exact solutions. Stability and non-negativity must be maintained simultaneously in the numerical solutions. Backward differentiation formulas (BDFs) is capable of dealing with stiff problems ,but is of small oscillation when time-step is large. Therefore unfortunately BDFs suffers from severe time-step restriction . In this paper,we present an optimized numerical approach, with which 3-dimensional laser problems can be solved faster and much more efficiently. These techniques can not only be used for solid-state laser systems, but can also be applied to solve other stiff problems which have near-to-zero nonnegative exact solutions. (© 2012 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

On some contact problems for composite half-spaces PMM vol. 31, no. 6, 1967, pp. 1001–1008

Solutions are presented herein of some contact problems connected with the torsion of a composite half-space. In the general case the problem of the torsion of a composite elastic half-space is examined by means of the rotation of a stiff finite cylinder welded into a vertical recess of this half-space. Moreover, the following particular problems on the torsion of such a half-space are considered.

1. 1) A composite half-space with a vertical elastic infinite core, twisted by means of the rotation of a stiff stamp affixed to the upper endplate of the elastic core.

2. 2) A half-space with a vertical cylindrical infinite hole, twisted by means of the rotation of a stiff finite cylinder welded into the upper part of this hole.

In the general case the solution of the problem reduces to the solution of an integral equation of the second kind on a half-line. The question of the solvability of this fundamental integral equation is investigated, and it is shown that its solution may be constructed by successive approximations.

Let us note that the problem of the torsion of a homogeneous half space and of an elastic layer by means of rotation of a stiff stamp has been considered by Rostovtsev [1], Reissner and Sagoci [2], Ufliand [3], Florence [4], Grilitskii [5] and others.

The problem of the torsion of a circular cylindrical rod and the half-space welded to it which are subject to a torque applied to the free endface of the rod has been considered by Grilitskii and Kizyma[6].

The torsion of an elastic half-space with a vertical cylindrical inclusion of some other material by the rotation of a stiff stamp on the surface of this half-space has been considered in [7], wherein it has been assumed that the stamp is symmetrically disposed relative to the axis of the inclusion and lies simultaneously on both materials.     

求解变系数半线性刚性问题的Rosenbrock方法的定量误差分析

本文研究了Rosenbrock方法关于带变系数线性部分的半线性刚性问题的定量误差性态,获得了局部和整体误差分析结果.这是对Strehmel等人于1991年所获的Rosenbrock方法关于带常系数线性部分的半线性刚性问题相应结果的推广和发展.     

The use of approximate factorization in stiff ODE solvers

We consider implicit integration methods for the numerical solution of stiff initial-value problems. In applying such methods, the implicit relations are usually solved by Newton iteration. However, it often happens that in subintervals of the integration interval the problem is nonstiff or mildly stiff with respect to the stepsize. In these nonstiff subintervals, we do not need the (expensive) Newton iteration process. This motivated us to look for an iteration process that converges in mildly stiff situations and is less costly than Newton iteration. The process we have in mind uses modified Newton iteration as the outer iteration process and a linear solver for solving the linear Newton systems as an inner iteration process. This linear solver is based on an approximate factorization of the Newton system matrix by splitting this matrix into its lower and upper triangular part. The purpose of this paper is to combine fixed point iteration, approximate factorization iteration and Newton iteration into one iteration process for use in initial-value problems where the degree of stiffness is changing during the integration.     

Choice of strategies for extrapolation with symmetrization in the constant stepsize setting

Symmetrization has been shown to be efficient in solving stiff problems. In the constant stepsize setting, we study four ways of applying extrapolation with symmetrization. We observe that for stiff linear problems the symmetrized Gauss methods are more efficient than the symmetrized Lobatto IIIA methods of the same order. However, for two-dimensional nonlinear problems, the symmetrized 4-stage Lobatto IIIA method is more efficient. In all cases, we observe numerically that passive symmetrization with passive extrapolation is more efficient than active symmetrization with active extrapolation.