Integrating Lipschitzian dynamical systems using piecewise algorithmic differentiation

DOI10.1080/10556788.2017.1378653MaRDI QIDQ4685599zbMATH OpenOpenAlexFDO

Authors Andreas Griewank, Richard Hasenfelder, Manuel Radons, Lutz Lehmann, Tom Streubel

Publication date 9 October 2018

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.00745

zbMATH Keywords

automatic differentiationdense outputenergy preservationLipschitz continuitynonsmoothpiecewise linearizationtrapezoidal rule

Mathematics Subject Classification ID

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) Numerical methods for ordinary differential equations (65L99) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Abstract: In this article we analyze a generalized trapezoidal rule for initial value problems with piecewise smooth right hand side (F:R^n oR^n). When applied to such a problem the classical trapezoidal rule suffers from a loss of accuracy if the solution trajectory intersects a nondifferentiability of (F). The advantage of the proposed generalized trapezoidal rule is threefold: Firstly we can achieve a higher convergence order than with the classical method. Moreover, the method is energy preserving for piecewise linear Hamiltonian systems. Finally, in analogy to the classical case we derive a third order interpolation polynomial for the numerical trajectory. In the smooth case the generalized rule reduces to the classical one. Hence, it is a proper extension of the classical theory. An error estimator is given and numerical results are presented.

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Cited in

(7)

• Nonsmooth Hessenberg differential-algebraic equations
• Experiments with generalized midpoint and trapezoidal rules on two nonsmooth ODE's
• On the abs-polynomial expansion of piecewise smooth functions
• Determining key parameters in riots using lexicographic directional differentiation
• A piecewise smooth version of the Griewank function
• Numerical simulation of differential-algebraic equations with embedded global optimization criteria
• An open Newton method for piecewise smooth systems

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• dcc

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