Krylov approximation of linear ODEs with polynomial parameterization

DOI10.1137/15M1032831zbMATH Open1338.65183arXiv1507.07507MaRDI QIDQ2806185FDOQ2806185

Authors: Antti Koskela, Elias Jarlebring, M. E. Hochstenbach 

Publication date: 17 May 2016

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Abstract: We propose a new numerical method to solve linear ordinary differential equations of the type $fracpartialupartialt(t,varepsilon)=A(varepsilon),u(t,varepsilon)$, where $A:mathbbCightarrowmathbb{C}^{nimesn}$ is a matrix polynomial with large and sparse matrix coefficients. The algorithm computes an explicit parameterization of approximations of $u(t,varepsilon)$ such that approximations for many different values of $varepsilon$ and $t$ can be obtained with a very small additional computational effort. The derivation of the algorithm is based on a reformulation of the parameterization as a linear parameter-free ordinary differential equation and on approximating the product of the matrix exponential and a vector with a Krylov method. The Krylov approximation is generated with Arnoldi's method and the structure of the coefficient matrix turns out to have an independence on the truncation parameter so that it can also be interpreted as Arnoldi's method applied to an infinite dimensional matrix. We prove the superlinear convergence of the algorithm and provide a posteriori error estimates to be used as termination criteria. The behavior of the algorithm is illustrated with examples stemming from spatial discretizations of partial differential equations.

Full work available at URL: https://arxiv.org/abs/1507.07507

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zbMATH Keywords

convergencesparse matrixalgorithma posteriori error estimatesmatrix functionsmodel order reductionexponential integratorsKrylov methodsmatrix exponentialArnoldi's methodparameterized ordinary differential equationsFréchet derivatives

Mathematics Subject Classification ID

Linear ordinary differential equations and systems (34A30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Uses Software

• Expokit
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• mftoolbox

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