We study Runge-Kutta methods for rough differential equations which can be used to calculate solutions to stochastic differential equations driven by processes that are rougher than a Brownian motion. We use a Taylor series representation (B-series) for both the numerical scheme and the solution of the rough differential equation in order to determine conditions that guarantee the desired order of the local error for the underlying Runge-Kutta method. Subsequently, we prove the order of the global error given the local rate. In addition, we simplify the numerical approximation by introducing a Runge-Kutta scheme that is based on the increments of the driver of the rough differential equation. This simplified method can be easily implemented and is computational cheap since it is derivative-free. We provide a full characterization of this implementable Runge-Kutta method meaning that we provide necessary and sufficient algebraic conditions for an optimal order of convergence in case that the driver, e.g., is a fractional Brownian motion with Hurst index $\frac{1}{4} < H \leq \frac{1}{2}$. We conclude this paper by conducting numerical experiments verifying the theoretical rate of convergence.
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.
Relaxation Runge-Kutta methods reproduce a fully discrete dissipation (or conservation) of entropy for entropy stable semi-discretizations of nonlinear conservation laws. In this paper, we derive the discrete adjoint of relaxation Runge-Kutta schemes, which are applicable to discretize-then-optimize approaches for optimal control problems. Furthermore, we prove that the derived discrete relaxation Runge-Kutta adjoint preserves time-symmetry when applied to linear skew-symmetric systems of ODEs. Numerical experiments verify these theoretical results while demonstrating the importance of appropr…
Explicit Runge-Kutta methods are classical and widespread techniques in the numerical solution of ordinary differential equations (ODEs). Considering partial differential equations, spatial semidiscretisations can be used to obtain systems of ODEs that are solved subsequently, resulting in fully discrete schemes. However, certain stability investigations of high-order methods for hyperbolic conservation laws are often conducted only for the semidiscrete versions. Here, strong stability (also known as monotonicity) of explicit Runge-Kutta methods for ODEs with nonlinear and semibounded (also kn…
Different families of Runge-Kutta-Nyström (RKN) symplectic splitting methods of order 8 are presented for second-order systems of ordinary differential equations and are tested on numerical examples. They show a better efficiency than state-of-the-art symmetric compositions of 2nd-order symmetric schemes and RKN splitting methods of orders 4 and 6 for medium to high accuracy. For some particular examples, they are even more efficient than extrapolation methods for high accuracies and integrations over relatively short time intervals.
This paper investigates, a new class of fractional order Runge-Kutta (FORK) methods for numerical approximation to the solution of fractional differential equations (FDEs). By using the Caputo generalizedTaylor formula and the total differential for Caputo fractional derivative, we construct explicit and implicit FORK methods, as the well-known Runge-Kutta schemes for ordinary differential equations. In the proposed method, due to the dependence of fractional derivatives to a fixed base point $t_0,$ we had to modify the right-hand side of the given equation in all steps of the FORK methods. So…
