A stochastic approach to global error estimation in ODE multistep numerical integration
type: Item
instance of: scholarly article
title: A stochastic approach to global error estimation in ODE multistep numerical integration
zbMATH Open document ID: 0704.65061
DOI: 10.1016/0377-0427(90)90279-9
author: Atair Rios Neto
author: Kondapalli Rama Rao
published in: Journal of Computational and Applied Mathematics
publication date: 1990-01-01T00:00:00Z
review text: The numerical integration of ordinary differential equations (ODE) related to initial-value problems, especially in the situations of very long intervals of integration is studied. A stochastic approach to estimate the global errors is proposed. The authors consider local truncation and round-off errors. In the procedure proposed, global errors are treated with respect to their order of magnitude. They are represented, or modelled, through the distribution of random variables belonging to stochastic sequences, which take into account the influence both of local truncation and round-off errors. The dispersions of these random variables, in terms of their variances, are assumed to give an estimation of the errors. The error estimation procedure is developed for Adams-Bashforth-Moulton (ABM) type of multistep methods. The numerical integrator is formulated based on the ABM multistep method. The computational effort in integrating the variational equations to propagate the error covariance matrix associated with error magnitudes and correlations is minimized by employing a first or second order Euler method. The diagonal variances of the covariance matrix, derived using the stochastic approach developed in this paper, are found to furnish reasonable precise measures of the order of magnitude of accumulated global errors in short-term as well as long-term orbit propagations.
Mathematics Subject Classification ID: 65L70
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 34A34
zbMATH DE Number: 4155792
zbMATH Keywords: global error estimation
zbMATH Keywords: Adams-Bashforth-Moulton multistep methods
zbMATH Keywords: initial-value problems
zbMATH Keywords: very long intervals of integration
zbMATH Keywords: stochastic approach
zbMATH Keywords: local truncation
zbMATH Keywords: round-off errors
zbMATH Keywords: error covariance matrix
zbMATH Keywords: Euler method
zbMATH Keywords: long-term orbit propagations
reviewed by: I. Dimov
MaRDI profile type: MaRDI publication profile
full work available at URL: 0377-0427(90)90279-9
OpenAlex ID: W2112692163
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description: scientific article; zbMATH DE number 4155792