A parameter-uniform finite difference method for singularly perturbed linear dynamical systems

MaRDI QIDQ3585684zbMATH OpenFDO

Authors Sigamani Valarmathi, John J. H. Miller

Publication date 20 August 2010

Full work available at URL https://arxiv.org/abs/0903.1795, http://www.math.ualberta.ca/ijnam/Volume7.htm

zbMATH Keywords

finite difference methodinitial value problemlinear dynamical systemmaximum principlemultiscale problemsparameter-uniform convergenceShiskin piecewise-uniform mesh

Mathematics Subject Classification ID

Linear ordinary differential equations and systems (34A30) Singular perturbations for ordinary differential equations (34E15) Numerical methods for initial value problems involving ordinary differential equations (65L05) Finite difference and finite volume methods for ordinary differential equations (65L12) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)

Abstract: A system of singularly perturbed ordinary differential equations of first order with given initial conditions is considered. The leading term of each equation is multiplied by a small positive parameter. These parameters are assumed to be distinct and they determine the different scales in the solution to this problem. A Shishkin piecewise--uniform mesh is constructed, which is used, in conjunction with a classical finite difference discretization, to form a new numerical method for solving this problem. It is proved that the numerical approximations obtained from this method are essentially first order convergent uniformly in all of the parameters.

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