Rosenbrock methods for stiff ODEs: A comparison of Richardson extrapolation and embedding technique
As a basis for such a comparison the paper studies a Rosenbrock method of order 4 using Richardson extrapolation for stepsize control. The coefficients of such a method are derived and it is shown that the extrapolated value remains A(\(\alpha)\)-stable in the most interesting cases. Various coefficient sets with different stability properties are tested. The results show effects of nonlinear stability and a reduction of order for very stiff problems. The proposed method is L(89.5\(\circ)\)- stable, internally stable and has small error coefficients. As methods based on the embedding technique, the GRK4 codes of the first author and \textit{P. Rentrop} [Numer. Math. 33, 55-68 (1979; Zbl 0436.65047)] are used. Numerical comparisons for the 25 examples of STIFF DETEST and some more difficult problems show the following behaviour: For low tolerances \((10^{-2})\) embedding is superior, for moderate tolerance \((10^{-4})\) both techniques are comparable and for stringent tolerances \((<10^{- 5})\) extrapolation is superior.
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