Analysis of the dynamics of local error control via a piecewise continuous residual

Positive results are obtained about the effect of local error control in numerical simulations of ordinary differential equations. The results are cast in terms of the local error tolerance. Under theassumption that a local error control strategy is successful, it is shown that a continuous interpolant through the numerical solution exists that satisfies the differential equation to within a small, piecewise continuous, residual. The assumption is known to hold for thematlab ode23 algorithm [10] when applied to a variety of problems. Using the smallness of the residual, it follows that at any finite time the continuous interpolant converges to the true solution as the error tolerance tends to zero. By studying the perturbed differential equation it is also possible to prove discrete analogs of the long-time dynamical properties of the equation—dissipative, contractive and gradient systems are analysed in this way. Supported by the Engineering and Physical Sciences Research Council under grants GR/H94634 and GR/K80228. Supported by the Office of Naval Research under grant N00014-92-J-1876 and by the National Science Foundation under grant DMS-9201727.     

Probabilistic and deterministic convergence proofs for software for initial value problems

The numerical solution of initial value problems for ordinary differential equations is frequently performed by means of adaptive algorithms with user-input tolerance τ. The time-step is then chosen according to an estimate, based on small time-step heuristics, designed to try and ensure that an approximation to the local error commited is bounded by τ. A question of natural interest is to determine how the global error behaves with respect to the tolerance τ. This has obvious practical interest and also leads to an interesting problem in mathematical analysis. The primary difficulties arising in the analysis are that: (i) the time-step selection mechanisms used in practice are discontinuous as functions of the specified data; (ii) the small time-step heuristics underlying the control of the local error can break down in some cases. In this paper an analysis is presented which incorporates these two difficulties. For a mathematical model of an error per unit step or error per step adaptive Runge–Kutta algorithm, it may be shown that in a certain probabilistic sense, with respect to a measure on the space of initial data, the small time-step heuristics are valid with probability one, leading to a probabilistic convergence result for the global error as τ→0. The probabilistic approach is only valid in dimension m>1 this observation is consistent with recent analysis concerning the existence of spurious steady solutions of software codes which highlights the difference between the cases m=1 and m>1. The breakdown of the small time-step heuristics can be circumvented by making minor modifications to the algorithm, leading to a deterministic convergence proof for the global error of such algorithms as τ→0. An underlying theory is developed and the deterministic and probabilistic convergence results proved as particular applications of this theory. This revised version was published online in June 2006 with corrections to the Cover Date.     

Input-to-state stability of Runge–Kutta methods for nonlinear control systems

In the paper we introduce input-to-state stability (ISS) of Runge–Kutta methods for control systems. The ISS properties of Runge–Kutta methods are studied for linear control systems and nonlinear control systems, respectively. The previously reported results in literature are special cases of ISS of Runge–Kutta methods.     

Convergence rate of numerical solutions to SFDEs with jumps

In this paper, we are interested in numerical solutions of stochastic functional differential equations with jumps. Under a global Lipschitz condition, we show that the pth-moment convergence of Euler-Maruyama numerical solutions to stochastic functional differential equations with jumps has order 1/p for any p≥2. This is significantly different from the case of stochastic functional differential equations without jumps, where the order is 1/2 for any p≥2. It is therefore best to use the mean-square convergence for stochastic functional differential equations with jumps. Moreover, under a local Lipschitz condition, we reveal that the order of mean-square convergence is close to 1/2, provided that local Lipschitz constants, valid on balls of radius j, do not grow faster than logj.     

Stability of some boundary value methods for the solution of initial value problems

The stability properties of three particular boundary value methods (BVMs) for the solution of initial value problems are considered. Our attention is focused on the BVMs based on the midpoint rule, on the Simpson method and on an Adams method of order 3. We investigate their BV-stability regions by considering the scalar test problem and constant stepsize. The study of the conditioning of the coefficient matrix of the discrete problem is extended to the case of variable stepsize and block ODE problems. We also analyse an appropriate choice for the stepsize for stiff problems. Numerical tests are reported to evidentiate the effectiveness of the BVMs and the differences among the BVMs considered.Work supported by the Ministero della Ricerca Scientifica, 40% project, and C.N.R. (contract of research # 92.00535.01).     

Stability and oscillations of numerical solutions for differential equations with piecewise continuous arguments of alternately advanced and retarded type

This paper is concerned with the numerical properties of θ-methods for the solution of alternately advanced and retarded differential equations with piecewise continuous arguments. Using two θ-methods, namely the one-leg θ-method and the linear θ-method, the necessary and sufficient conditions under which the analytic stability region is contained in the numerical stability region are obtained, and the conditions of oscillations for the θ-methods are also obtained. It is proved that oscillations of the analytic solution are preserved by the θ-methods. Furthermore, the relationships between stability and oscillations are revealed. Some numerical experiments are presented to illustrate our results.     

Convergence and stability of implicit runge-kutta methods for systems with multiplicative noise

A class ofimplicit Runge-Kutta schemes for stochastic differential equations affected bymultiplicative Gaussian white noise is shown to be optimal with respect to global order of convergence in quadratic mean. A test equation is proposed in order to investigate the stability of discretization methods for systems of this kind. Herestability is intended in a truly probabilistic sense, as opposed to the recently introduced extension of A-stability to the stochastic context, given for systems with additive noise. Stability regions for the optimal class are also given.Partially supported by the Italian Consiglio Nazionale delle Ricerche.     

Relationships among some classes of implicit Runge-Kutta methods and their stability functions

In this paper we apply the theory for implicit Runge-Kutta methods presented by Stetter to a number of subclasses of methods that have recently been discussed in the literature. We first show how each of these classes can be expressed within this theoretical framework and from this we are able to establish a number of relationships among these classes. In addition to improving the current state of understanding of these methods, their expression within this theoretical framework makes it possible for us to obtain results giving general forms for their stability functions.This work was supported by the Natural Sciences and Engineering Research Council of Canada.     

Existence of Dafermos profiles for singular shocks

For a model system of two conservation laws, we show that singular shocks have Defermos profiles.     

Exponential mean square stability of numerical methods for systems of stochastic differential equations

This paper is concerned with exponential mean square stability of the classical stochastic theta method and the so called split-step theta method for stochastic systems. First, we consider linear autonomous systems. Under a sufficient and necessary condition for exponential mean square stability of the exact solution, it is proved that the two classes of theta methods with θ≥0.5$\theta \ge 0.5$ are exponentially mean square stable for all positive step sizes and the methods with θ<0.5$\theta <0.5$ are stable for some small step sizes. Then, we study the stability of the methods for nonlinear non-autonomous systems. Under a coupled condition on the drift and diffusion coefficients, it is proved that the split-step theta method with θ>0.5$\theta >0.5$ still unconditionally preserves the exponential mean square stability of the underlying systems, but the stochastic theta method does not have this property. Finally, we consider stochastic differential equations with jumps. Some similar results are derived.     

B-convergence results for linearly implicit one step methods

B-consistency andB-convergence of linearly implicit one step methods with respect to a class of arbitrarily stiff semi-linear problems are considered. Order conditions are derived. An algorithm for constructing methods of order>1 is shown and examples are given. By suitable modifications of the methods the occurring order reduction is decreased.     

Convergence on cooperative cascade systems with length one

Motivated by the open problems on the generic convergence of cooperative systems without the assumption of irreducibility independently proposed by Smith and Sontag, this paper investigates the generic convergence for the solutions of cooperative cascade systems with length one. First, by fixing a solution of a base system converging to an equilibrium, we establish both the Nonordering of Limit Sets and the Limit Set Dichotomy for the solutions of the cascade system. Combining these tools with the idea of limiting equation, we then prove the Sequential Limit Set Trichotomy and hence the quasiconvergence in generic meaning. The generic convergent result is finally obtained by improving the Limit Set Dichotomy.     

Switching between modified Newton and fix-point iteration for implicit ode-solvers

In this paper we discuss the automatic switch between modified Newton iteration with the Jacobian not equal zero and fix-point iteration, i.e. the Jacobian equal zero. The switching strategy is based on the ratio between the norm of the displacement and the norm of the residual. Several examples are discussed both from non-stiff and stiff systems. These examples show that our strategy is working as predicted.This work was supported by NATO Research Grant Programme, project RG 096.80 and by National Sciences and Engineering Research Council of Canada, Grants: A1244, A3597, A4076, A8111, A8239, A8639.     

Convergence of the Lax–Friedrichs scheme for isothermal gas dynamics with semiconductor devices

In this paper we study the existence of global solutions to the Euler equations of compressible isothermal gas dynamics with semiconductor devices. We construct the approximate solutions by Lax–Friedrichs scheme. The convergence and consistency are obtained by using the compensated compactness framework for γ = 1. The global entropy solutions in L^∞ are obtained. We deal with the initial data containing unbounded velocity which is different from the isentropic case. Received: November 18, 2003     

Long periodic shadowing

A general theorem for establishing the existence of a true periodic orbit near a numerically computed pseudoperiodic orbit of an autonomous system of ordinary differential equations is presented. For practical applications, a Newton method is devised to compute appropriate pseudoperiodic orbits. Then numerical considerations for checking the hypotheses of the theorem in terms of quantities which can be computed directly from the pseudoperiodic orbit and the vector field are addressed. Finally, a numerical method for estimating the Lyapunov exponents of the true periodic orbit is given. The theory and computations are designed to be applicable for unstable periodic orbits with long periods. The existence of several such periodic orbits of the Lorenz equations is exhibited. This revised version was published online in June 2006 with corrections to the Cover Date.     

A multiresolution finite volume scheme for two-dimensional hyperbolic conservation laws

In this paper, high-resolution finite volume schemes are combined with an adaptive mesh technique inspired by multiresolution analysis to improve the computational efficiency for two-dimensional hyperbolic conservation laws. The method is conservative. Moreover, it is stable which is proven numerically in this paper. The computational grid is dynamically adapted so that higher spatial resolution is automatically allocated to regions where strong gradients are observed. Using this proposed scheme, we compute several two-dimensional model problems and a compressive rate ranging from about 5–10 is observed in all simulations.     

On general balance laws with boundary

This paper is devoted to general balance laws (with a possibly non-local source term) with a non-characteristic boundary. Basic well posedness results are obtained. New uniqueness results for the solutions to conservation and/or balance laws with boundary are also provided.     

Nonlinear diffusion waves for hyperbolic p-system with nonlinear damping

This paper is concerned with the p-system of hyperbolic conservation laws with nonlinear damping. When the constant states are small, the solutions of the Cauchy problem for the damped p-system globally exist and converge to their corresponding nonlinear diffusion waves, which are the solutions of the corresponding nonlinear parabolic equation given by the Darcy's law. The optimal convergence rates are also obtained. In order to overcome the difficulty caused by the nonlinear damping, a couple of correction functions have been technically constructed. The approach adopted is the elementary energy method together with the technique of approximating Green function. On the other hand, when the constant states are large, the solutions of the Cauchy problem for the p-system will blow up at a finite time.     

A remark about the justification of the nonlinear Schrödinger equation in quadratic spatially periodic media

We prove the validity of a technical assumption necessary in a proof of the validity of the nonlinear Schr?dinger equation as envelope equation in quadratic spatially periodic media.