On convergence of the projective integration method for stiff ordinary differential equations

DOI10.4310/CMS.2014.V12.N2.A2MaRDI QIDQ396513zbMATH OpenOpenAlexFDO

Authors John MacLean, Georg A. Gottwald

Publication date 13 August 2014

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.6851

zbMATH Keywords

center manifold theoryconvergenceerror analysisfinite difference methodheterogeneous multiscale methodsmulti-scale integratorsnumerical examplesprojective integration

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Numerical methods for stiff equations (65L04) 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) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Abstract: We present a convergence proof of the projective integration method for a class of deterministic multi-dimensional multi-scale systems which are amenable to centre manifold theory. The error is shown to contain contributions associated with the numerical accuracy of the microsolver, the numerical accuracy of the macrosolver and the distance from the centre manifold caused by the combined effect of micro- and macrosolvers, respectively. We corroborate our results by numerical simulations.

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Cited in

(9)

• On convergence of higher order schemes for the projective integration method for stiff ordinary differential equations
• Convergence of equation-free methods in the case of finite time scale separation with application to deterministic and stochastic systems
• Projective integration of expensive stochastic processes
• Error estimation on projective integration of expensive multiscale stochastic simulation
• Adaptively detect and accurately resolve macro-scale shocks in an efficient equation-free multiscale simulation
• Superconvergence of projection integrators for conservative system
• Projective integration methods in the Runge-Kutta framework and the extension to adaptivity in time
• Generalised projective integration scheme in equation-free multiscale modelling
• Strong convergence of projective integration schemes for singularly perturbed stochastic differential systems

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