Numerical integrators based on modified differential equations
نویسندگان
چکیده
Inspired by the theory of modified equations (backward error analysis), a new approach to high-order, structure-preserving numerical integrators for ordinary differential equations is developed. This approach is illustrated with the implicit midpoint rule applied to the full dynamics of the free rigid body. Special attention is paid to methods represented as B-series, for which explicit formulae for the modified differential equation are given. A new composition law on B-series, called substitution law, is presented.
منابع مشابه
High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrated with the constructions of new methods of weak order two, in particular, semi-implicit integrators well suited for stiff (meansquare stable...
متن کاملSecond weak order explicit stabilized methods for stiff stochastic differential equations
We introduce a new family of explicit integrators for stiff Itô stochastic differential equations (SDEs) of weak order two. These numerical methods belong to the class of onestep stabilized methods with extended stability domains and do not suffer from stepsize reduction that standard explicit methods face. The family is based on the classical stabilized methods of order two for deterministic p...
متن کاملHamiltonian Mechanics and the Construction of Numerical Integrators
Introductory courses on differential equations cover integration techniques for integrable differential equations. However, most systems of ordinary differential equations are too complicated to be integrated exactly. Therefore, mathematicians have developed ways through which we can approximate such systems. These numerical integrators solve systems of differential equations to within a certai...
متن کاملExponential Integrators for Semilinear Problems
In the present work, exponential integrators for time integration of semilinear problems are studied. These integrators, as there name suggests, use the exponential and often functions which are closely related to the exponential function inside the numerical method. Three main classes of exponential integrators, exponential linear multistep (multivalue), exponential Runge–Kutta (multistage) an...
متن کاملHigh Order Numerical Approximation of the Invariant Measure of Ergodic SDEs
We introduce new sufficient conditions for a numerical method to approximate with high order of accuracy the invariant measure of an ergodic system of stochastic differential equations, independently of the weak order of accuracy of the method. We then present a systematic procedure based on the framework of modified differential equations for the construction of stochastic integrators that cap...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Math. Comput.
دوره 76 شماره
صفحات -
تاریخ انتشار 2007