On the global error of discretization methods for highly-oscillatory ordinary differential equations
Airy's equationglobal errorhighly-oscillatory differential equationlog-oscillatorMagnus expansionnumerical examplesRiccati equationRunge-Kutta methodWKB technique
Linear ordinary differential equations and systems (34A30) Oscillation theory, zeros, disconjugacy and comparison theory for ordinary differential equations (34C10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for numerical methods for ordinary differential equations (65L70)
The author considers the numerical integration of linear highly-oscillating systems of the form \(y+g(t)y=0\), where \(g(t) \to \infty\) for \(t \to \infty\), e.g. \(g(t)= t^2, g(t)=t\) or \(g(t)=\log(1+t)\) leading to Riccati's and Airy's equation and the log-oscillator, respectively. Using WKB analysis an explicit form of the global-error envelope is derived for Runge-Kutta and Magnus methods. The starting point for the analysis is a global-error expansion of an arbitrary time-stepping method dating back to P. Henrici. The error formula provides a thorough explanation for the superior performance of the Magnus methods compared to classical solvers for the type of ordinary differential equations considered. The author also proposes a modification of the Magnus method based on local linearisation. The theoretical results are illustrated by nicely chosen numerical examples.
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