A quantitative probabilistic investigation into the accumulation of rounding errors in numerical ODE solution

DOI10.1016/J.CAMWA.2009.01.020zbMATH Open1186.65096arXivmath/0512364OpenAlexW1978062485MaRDI QIDQ971612FDOQ971612

Authors: Sebastian Mosbach, Amanda G. Turner 

Publication date: 16 May 2010

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Abstract: We examine numerical rounding errors of some deterministic solvers for systems of ordinary differential equations (ODEs). We show that the accumulation of rounding errors results in a solution that is inherently random and we obtain the theoretical distribution of the trajectory as a function of time, the step size and the numerical precision of the computer. We consider, in particular, systems which amplify the effect of the rounding errors so that over long time periods the solutions exhibit divergent behaviour. By performing multiple repetitions with different values of the time step size, we observe numerically the random distributions predicted theoretically. We mainly focus on the explicit Euler and RK4 methods but also briefly consider more complex algorithms such as the implicit solvers VODE and RADAU5.

Full work available at URL: https://arxiv.org/abs/math/0512364

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zbMATH Keywords

Markov jump processeslimit theoremrounding errorsnumerical ODE solutionsaddle fixed point

Mathematics Subject Classification ID

Roundoff error (65G50) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for numerical methods for ordinary differential equations (65L70)

Cites Work

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Cited In (6)

• Rounding Error in Numerical Solution of Stochastic Differential Equations
• Probabilistic integration: a role in statistical computation?
• Stochastic rounding and reduced-precision fixed-point arithmetic for solving neural ordinary differential equations
• Rounded data analysis based on multi-layer ranked set sampling
• A posteriori error analysis of round-off errors in the numerical solution of ordinary differential equations
• Title not available (Why is that?)

Uses Software

• VODE
• RADAU
• RODAS
• mctoolbox

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