Jacobian-free implicit MDRK methods for stiff systems of ODEs

DOI10.1016/J.APNUM.2023.10.007arXiv2302.02882OpenAlexW4388197364MaRDI QIDQ6131491FDOQ6131491

Authors: Jeremy Chouchoulis, Jochen Schütz 

Publication date: 5 April 2024

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Abstract: In this work, an approximate family of implicit multiderivative Runge-Kutta (MDRK) time integrators for stiff initial value problems is presented. The approximation procedure is based on the recent Approximate Implicit Taylor method (Baeza et al. in Comput. Appl. Math. 39:304, 2020). As a Taylor method can be written in MDRK format, the novel family constitutes a multistage generalization. Two different alternatives are investigated for the computation of the higher order derivatives: either directly as part of the stage equation, or either as a separate formula for each derivative added on top of the stage equation itself. From linearizing through Newton's method, it turns out that the conditioning of the Newton matrix behaves significantly different for both cases. We show that direct computation results in a matrix with a conditioning that is highly dependent on the stiffness, increasing exponentially in the stiffness parameter with the amount of derivatives. Adding separate formulas has a more favorable behavior, the matrix conditioning being linearly dependent on the stiffness, regardless of the amount of derivatives. Despite increasing the Newton system significantly in size, through several numerical results it is demonstrated that doing so can be considerably beneficial.

Full work available at URL: https://arxiv.org/abs/2302.02882

zbMATH Keywords

Jacobian-freemultiderivative Runge-KuttaODE integrator

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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