GRKLib: a Guaranteed Runge Kutta Library

  • Authors:
  • Olivier Bouissou;Matthieu Martel

  • Affiliations:
  • -;-

  • Venue:
  • SCAN '06 Proceedings of the 12th GAMM - IMACS International Symposium on Scientific Computing, Computer Arithmetic and Validated Numerics
  • Year:
  • 2006

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Abstract

In this article, we describe a new library for computing guaranteed bounds of the solutions of Initial Value Prob- lems (IVP). Given an initial value problem and an end point, our library computes a sequence of approximation points together with a sequence of approximation errors such that the distance to the true solution of the IVP is below these er- ror terms at each approximation point. These sequences are computed using a classical Runge-Kutta method for which truncation and roundoff errors may be over-approximated. We also compute the propagation of local errors to obtain an enclosure of the global error at each computation step. These techniques are implemented in a C++ library which provides an easy-to-use framework for the rigorous approx- imation of IVP. This library implements an error control technique based on step size reduction in order to reach a certain tolerance on local errors.