Collocation for initial value problems based on Hermite interpolation (Q1097648)

A hybrid method utilizes solution values at k grid-step points and \(\ell\) off-step points to approximate the solution at a new grid step point. The authors reformulate such methods in the form of a collocation method which uses values at the first grid-step point to approximate the solution at the remaining k step points. Implicit in this method are k off-step estimates of the solution. For a system of m differential equations, km nonlinear equations must be solved in each step. Convergence of these equations and of the method itself are established, and the method is extended to second order problems. Several examples illustrate the accuracy achievable. The convenient step size change and improved accuracy over a sequential hybrid method may not be sufficient to compensate for the added cost of solving the large nonlinear system in each step.