Strict estimate of the error of numerical solution to the Cauchy problem for a second-order nonlinear differential equation

Publication date 6 February 2002

Published in Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

difference scheme error estimation nonlinear differential equation of second order Noumerov's method numerical examples

Nonlinear ordinary differential equations and systems (34A34) Numerical methods for initial value problems involving ordinary differential equations (65L05) Finite difference and finite volume methods for ordinary differential equations (65L12) Error bounds for numerical methods for ordinary differential equations (65L70)

Review text

A nonlinear differential equation of the form \[ y= f(x, y), \quad 0\leq x \leq X_0, \quad y(0)=y_0, \quad y'(0)=y'_0 \] in the case when \(\frac{\partial f}{\partial y}<0\) is considered. It is noted that in the case mentioned there an effect of exponential increasing of the error estimation with increasing \(x\) occurs while if the solution has a vibrating character then the error is increasing basically slow. A method of finding of a correct error estimation of the numerical solution of the differential equation based on a difference scheme is proposed. The numerical value \(y_m\) can be found by Noumerov's method in the form \[ y_m = 2y_{m-1} - y_{m-2} + \frac{h^2}{12}(f(x_m,y_m) +10f(x_{m-1}, y_{m-1} +f(x_{m-2}, y_{m-2})) + \omega_m, \] where \( m \geq 2\) and \(\omega_m\) is the rounding off error in the \(m\)-th step. The goal of the paper is to estimate the numerical solution \(z_m=y_m(x_m)-y_m\) where \[ \begin{multlined} y(x_m)= \\ =2y(x_{m-1})-y(x_{m-2}) +\frac{h^2}{12}(f(x_m,y(x_m)) + 10f(x_{m-1},y(x_{m-1}))+ f(x_{m-2}, y(x_{m-2}))) + N_m,\end{multlined} \] where \(N_m\) is the local error of Noumerov's method in the \(m\)-th step. An exact expression for \(\mid z_m\mid\) is obtained and two examples of its application are presented.

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