Single-iteration Sobolev descent for linear initial value problems

convergence initial value problems iterative method linear differential equations minimization methods numerical experiments second-order boundary value problem steepest descent

Mathematics Subject Classification ID

Linear ordinary differential equations and systems (34A30) Linear boundary value problems for ordinary differential equations (34B05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Review text

This paper deals with the numerical solution of initial value problems (IVPs) for linear scalar differential equations where the unknown function \( y = y(x)\), \( x \in I=[0,1]\) satisfies the differential equation \( D y \equiv y^{(n)}+ p_{n-1} y^{(n-1)}+ \ldots + p_0 y = f \) in \(I\) where \( p_j \) are continuous in \(I\) together with the initial conditions \( y^{(j)}(0) = y_j\), \( j=0, \ldots , n-1\). The proposed approach introduces a suitable Hilbert space \(X\) and a functional \(K\) in this space so that the unique solution of the IVP minimizes this functional. Then, it is proved that a steepest descent based on the gradient induced by the inner product of \(X\) converges in one iteration to the unique solution. A simple example with a uniform discretization of a second-order test problem is presented by including a MATLAB code and the results of some numerical experiments. The authors note that the proposed approach can be extended to other differential problems showing the application to a particular second-order boundary value problem.

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Matlab

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