Rigorous defect control and the numerical solution of ordinary differential equations

Abstract

Modern numerical ordinary differential equation initial-value problem (ODE-IVP) solvers compute a piecewise polynomial approximate solution to the mathematical problem. Evaluating the mathematical problem at this approximate solution defines the defect. Corless and Corliss proposed rigorous defect control of numerical ODE-IVP.

This thesis automates rigorous defect control for explicit, first-order, nonlinear ODE-IVP. Defect control is residual-based backward error analysis for ODE, a special case of Wilkinson's backward error analysis. This thesis describes a complete software implementation of the Corless and Corliss algorithm and extensive numerical studies. Basic time-stepping software is adapted to defect control and implemented.

Advances in software developed for validated computing applications and advances in programming languages supporting operator overloading enable the computation of a tight rigorous enclosure of the defect evaluated at the approximate solution with Taylor models. Rigorously bounding a norm of the defect, the Corless and Corliss algorithm controls to mathematical certainty the norm of the defect to be less than a user specified tolerance over the integration interval. The validated computing software used in this thesis happens to compute a rigorous supremum norm.

The defect of an approximate solution to the mathematical problem is associated with a new problem, the perturbed reference problem. This approximate solution is often the product of a numerical procedure. Nonetheless, it solves exactly the new problem including all errors. Defect control accepts the approximate solution whenever the sup-norm of the defect is less than a user specified tolerance. A user must be satisfied that the new problem is an acceptable model.