In \cite{BDM2003} the modified Patankar-Euler and modified Patankar-Runge-Kutta schemes were introduced to solve positive and conservative systems of ordinary differential equations. These modifications of the forward Euler scheme and Heun's method guarantee positivity and conservation irrespective of the chosen time step size. In this paper we introduce a general definition of modified Patankar-Runge-Kutta schemes and derive necessary and sufficient conditions to obtain first and second order methods. We also introduce two novel families of second order modified Patankar-Runge-Kutta schemes.
In this paper, we perform stability analysis for a class of second and third order accurate strong-stability-preserving modified Patankar Runge-Kutta (SSPMPRK) schemes, which were introduced in [4,5] and can be used to solve convection equations with stiff source terms, such as reactive Euler equations, with guaranteed positivity under the standard CFL condition due to the convection terms only. The analysis allows us to identify the range of free parameters in these SSPMPRK schemes in order to ensure stability. Numerical experiments are provided to demonstrate the validity of the analysis.
Since almost twenty years, modified Patankar--Runge--Kutta (MPRK) methods have proven to be efficient and robust numerical schemes that preserve positivity and conservativity of the production-destruction system irrespectively of the time step size chosen. Due to these advantageous properties they are used for a wide variety of applications. Nevertheless, until now, an analytic investigation of the stability of MPRK schemes is still missing, since the usual approach by means of Dahlquist's equation is not feasible. Therefore, we consider a positive and conservative 2D test problem and provide …
Modified Patankar-Runge-Kutta (MPRK) methods preserve the positivity as well as conservativity of a production-destruction system (PDS) of ordinary differential equations for all time step sizes. As a result, higher order MPRK schemes do not belong to the class of general linear methods, i.e. the iterates are generated by a nonlinear map $\mathbf g$ even when the PDS is linear. Moreover, due to the conservativity of the method, the map $\mathbf g$ possesses non-hyperbolic fixed points. Recently, a new theorem for the investigation of stability properties of non-hyperbolic fixed points of a non…
Production-destruction systems (PDS) of ordinary differential equations (ODEs) are used to describe physical and biological reactions in nature. The considered quantities are subject to natural laws. Therefore, they preserve positivity and conservation of mass at the analytical level. In order to maintain these properties at the discrete level, the so-called modified Patankar-Runge-Kutta (MPRK) schemes are often used in this context. However, up to our knowledge, the family of MPRK has been only developed up to third order of accuracy. In this work, we propose a method to solve PDS problems, b…
In recent years, the efficient numerical solution of Hamiltonian problems has led to the definition of a class of energy-conserving Runge-Kutta methods named Hamiltonian Boundary Value Methods (HBVMs). Such methods admit an interesting interpretation in terms of continuous-stage Runge-Kutta methods, which is here recalled and revisited for general differential problems.
The conditions for a Runge--Kutta method to be of order $p$ with $p\ge 5$ for a scalar non-autonomous problem are a proper subset of the order conditions for a vector problem. Nevertheless, Runge--Kutta methods that were derived historically only for scalar problems happened to be of the same order for vector problems. We relate the order conditions for scalar problems to factorisations of the Runge--Kutta trees into "atomic stumps" and enumerate those conditions up to $p=20$. Using a special search procedure over unsatisfied order conditions, new Runge--Kutta methods of "ambiguous orders" fiv…
In this paper, we present a framework to construct general stochastic Runge-Kutta Lawson schemes. We prove that the schemes inherit the consistency and convergence properties of the underlying Runge-Kutta scheme, and confirm this in some numerical experiments. We also investigate the stability properties of the methods and show for some examples, that the new schemes have improved stability properties compared to the underlying schemes.
The parametric instability arising when ordinary differential equations (ODEs) are numerically integrated with Runge-Kutta-Nyström (RKN) methods with varying step sizes is investigated. It is shown that when linear constant coefficient ODEs are integrated with RKN methods that are based on A-stable Runge-Kutta methods, the solution is nonincreasing in some norm for all positive step sizes, constant or varying. Perturbation methods are used to quantify the critical step sizes associated with parametric instability.
Runge-Kutta methods are a popular class of numerical methods for solving ordinary differential equations. Every Runge-Kutta method is characterized by two basic parameters: its order, which measures the accuracy of the solution it produces, and its number of stages, which measures the amount of computational work it requires. The primary goal in constructing Runge-Kutta methods is to maximize order using a minimum number of stages. However, high-order Runge-Kutta methods are difficult to construct because their parameters must satisfy an exponentially large system of polynomial equations. This…
In this work we consider a mixed precision approach to accelerate the implemetation of multi-stage methods. We show that Runge-Kutta methods can be designed so that certain costly intermediate computations can be performed as a lower-precision computation without adversely impacting the accuracy of the overall solution. In particular, a properly designed Runge-Kutta method will damp out the errors committed in the initial stages. This is of particular interest when we consider implicit Runge-Kutta methods. In such cases, the implicit computation of the stage values can be considerably faster i…
We introduce a new class of Runge-Kutta type methods suitable for time stepping to propagate hyperbolic solutions within tent-shaped spacetime regions. Unlike standard Runge-Kutta methods, the new methods yield expected convergence properties when standard high order spatial (discontinuous Galerkin) discretizations are used. After presenting a derivation of nonstandard order conditions for these methods, we show numerical examples of nonlinear hyperbolic systems to demonstrate the optimal convergence rates. We also report on the discrete stability properties of these methods applied to linear …
In this paper, a family of arbitrarily high-order structure-preserving exponential Runge-Kutta methods are developed for the nonlinear Schrödinger equation by combining the scalar auxiliary variable approach with the exponential Runge-Kutta method. By introducing an auxiliary variable, we first transform the original model into an equivalent system which admits both mass and modified energy conservation laws. Then applying the Lawson method and the symplectic Runge-Kutta method in time, we derive a class of mass- and energy-preserving time-discrete schemes which are arbitrarily high-order in t…
The recently-introduced relaxation approach for Runge-Kutta methods can be used to enforce conservation of energy in the integration of Hamiltonian systems. We study the behavior of implicit and explicit relaxation Runge-Kutta methods in this context. We find that, in addition to their useful conservation property, the relaxation methods yield other improvements. Experiments show that their solutions bear stronger qualitative similarity to the true solution and that the error grows more slowly in time. We also prove that these methods are superconvergent for a certain class of Hamiltonian syst…
In recent years, the class of energy-conserving methods named Hamiltonian Boundary Value Methods (HBVMs) has been devised for numerically solving Hamiltonian problems. In this short note, we study their natural formulation as continuous-stage Runge-Kutta(-Nyström) methods, which allows a deeper insight in the methods.
We show that the probability of the exceptional set decays exponentially for a broad class of randomized algorithms approximating solutions of ODEs, admitting a certain error decomposition. This class includes randomized explicit and implicit Euler schemes, and the randomized two-stage Runge-Kutta scheme (under inexact information). We design a confidence interval for the exact solution of an IVP and perform numerical experiments to illustrate the theoretical results.
While implicit Runge--Kutta methods possess high order accuracy and important stability properties, implementation difficulties and the high expense of solving the coupled algebraic system at each time step are frequently cited as impediments. We present IIrksome, a high-level library for manipulating UFL (Unified Form Language) expressions of semidiscrete variational forms to obtain UFL expressions for the coupled Runge--Kutta stage equations at each time step. Irksome works with the Firedrake package to enable the efficient solution of the resulting coupled algebraic systems. Numerical examp…
We consider the periodic initial-value problem for the Korteweg-de Vries equation that we discretize in space by a spectral Fourier-Galerkin method and in time by an implicit, high order, Runge-Kutta scheme of composition type based on the implicit midpoint rule. We prove $L^{2}$ error estimates for the resulting semidiscrete and the fully discrete approximations.
We deal with optimal approximation of solutions of ODEs under local Lipschitz condition and inexact discrete information about the right-hand side functions. We show that the randomized two-stage Runge-Kutta scheme is the optimal method among all randomized algorithms based on standard noisy information. We perform numerical experiments that confirm our theoretical findings. Moreover, for the optimal algorithm we rigorously investigate properties of regions of absolute stability.
Stabilized methods (also called Chebyshev methods) are explicit methods with extended stability domains along the negative real axis. These methods are intended for large mildly stiff problems, originating mainly from parabolic PDEs. In this paper we present explicit two-step Runge-Kutta methods, which have an increased stability interval in comparison with one-step methods (up to 2.5 times). Also, we perform some numerical experiments to confirm the accuracy and stability of this methods.
Positive and elementary stable explicit nonstandard Runge-Kutta methods for a class of autonomous dynamical systems
Center for Informatics and Computing, Vietnam Academy of Science and Technology (VAST)（越南科学技术院信息计算中心）；Institute of Information Technology, Vietnam Academy of Science and Technology (VAST)（越南科学技术院信息技术研究所）
We generalize the idea of relaxation time stepping methods in order to preserve multiple nonlinear conserved quantities of a dynamical system by projecting along directions defined by multiple time stepping algorithms. Similar to the directional projection method of Calvo et. al., we use embedded Runge-Kutta methods to facilitate this in a computationally efficient manner. Proof of the accuracy of the modified RK methods and the existence of valid relaxation parameters are given, under some restrictions. Among other examples, we apply this technique to Implicit-Explicit Runge-Kutta time integr…
Li, Chen, Tai & E. (J. Machine Learning Research, 2018) have proposed a regularization of the forward-backward sweep iteration for solving the Pontryagin maximum principle in optimal control problems. The authors prove the global convergence of the iteration in the continuous time case. In this article we show that their proof can be extended to the case of numerical discretization by symplectic Runge-Kutta pairs. We demonstrate the convergence with a simple numerical experiment.
An 11-dimensional family of embedded (4, 5) pairs of explicit 9-stage Runge-Kutta methods with an interpolant of order 5 is derived. Two optimized for efficiency pairs are presented.
In this paper, we develop bound-preserving discontinuous Galerkin (DG) methods for chemical reactive flows. There are several difficulties in constructing suitable numerical schemes. First of all, the density and internal energy are positive, and the mass fraction of each species is between 0 and 1. Secondly, due to the rapid reaction rate, the system may contain stiff sources, and the strong-stability-preserving explicit Runge-Kutta method may result in limited time step sizes. To obtain physically relevant numerical approximations, we apply the bound-preserving technique to the DG methods. F…
