Embedded symmetric nested implicit Runge-Kutta methods of Gauss and Lobatto types for solving stiff ordinary differential equations and Hamiltonian systems

A technique for constructing nested implicit Runge–Kutta methods in the class of mono-implicit formulas of this type is studied. These formulas are highly efficient in practice, since the dimension of the original system of differential equations is preserved, which is not possible in the case of implicit multistage Runge–Kutta formulas of the general from. On the other hand, nested implicit Runge-Kutta methods inherit all major properties of general formulas of this form, such as A-stability, symmetry, and symplecticity in a certain sense. Moreover, they can have sufficiently high stage and classical orders and, without requiring high extra costs, can ensure dense output of integration results of the same accuracy as the order of the underlying method. Thus, nested methods are efficient when applied to the numerical integration of differential equations of various sorts, including stiff and nonstiff problems, Hamiltonian systems, and invertible equations. In this paper, previously proposed nested methods based on the Gauss quadrature formulas are generalized to Lobatto-type methods. Additionally, a unified technique for constructing all such methods is proposed. Its performance is demonstrated as applied to embedded examples of nested implicit formulas of various orders. All the methods constructed are supplied with tools for local error estimation and automatic variable-stepsize mesh generation based on an optimal stepsize selection. These numerical methods are verified by solving test problems with known solutions. Additionally, a comparative analysis of these methods with Matlab built-in solvers is presented.

CEMAT - Center for Computational and Stochastic Mathematics