Curvature-based grid step selection for stiff Cauchy problems

Abstract

A new method of automatic step selection is proposed for the numerical integration of the Cauchy problem for ordinary differential equations. The method is based on using the geometrical characteristics (cuvature and slope) of the integral curve. Formulas have been constructed for the curvature of the integral curve for different choices of multidimensional space. In the two-dimensional case, they turn into well-known formulas, but their general multidimensional form is nontrivial. These formulas have a simple form, are convenient for practical use, and are of independent interest for the differential geometry of multidimensional spaces. For the grids constructed by our method, a procedure of step splitting is proposed that allows one to apply Richardson’s method and to calculate posterior asymptotically precise error estimation for the obtained solution (no such estimates have been found for traditional algorithms of automatic step selection). Therefore, the proposed methods demonstrate significantly superior reliability and validity of the results as compared to calculations by conventional algorithms. In the existing automatic procedures for step selection, steps can be unexpectedly reduced by 2–4 orders of magnitude for no apparent reason. This undermines the reliability of the algorithms. The cause of this phenomenon is explained. The proposed methods are especially effective for highly stiff problems, which is illustrated by examples of calculations.