Numerical evaluation of ODE solutions by Monte Carlo enumeration of Butcher series

DOI10.1007/S10543-022-00936-WMaRDI QIDQ2098780zbMATH OpenOpenAlexFDO

Authors Guillaume Penent, Nicolas Privault

Publication date 22 November 2022

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.05998

zbMATH Keywords

Butcher seriesMonte Carlo methodordinary differential equationsrandom treesRunge-Kutta method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Abstract: We present an algorithm for the numerical solution of ordinary differential equations by random enumeration of the Butcher trees used in the implementation of the Runge-Kutta method. Our Monte Carlo scheme allows for the direct numerical evaluation of an ODE solution at any given time within a certain interval, without iteration through multiple time steps. In particular, this approach does not involve a discretization step size, and it does not require the truncation of Taylor series.

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Cited in

(5)

• A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
• Numerical Solution of the Incompressible Navier-Stokes Equation by a Deep Branching Algorithm
• Numerical solution of the modified and non-Newtonian Burgers equations by stochastic coded trees
• A deep branching solver for fully nonlinear partial differential equations
• Probabilistic representation of ODE solutions with quantitative estimates

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