High order second derivative multistep collocation methods for ordinary differential equations

Abstract

In this paper, we introduce second derivative multistep collocation meth-ods for the numerical integration of ordinary differential equations (ODEs). These methods combine the concepts of both multistep methods and col-location methods, using second derivative of the solution in the collocation points, to achieve an accurate and efficient solution with strong stability properties, that is, A-stability for ODEs. Using the second-order deriva-tives leads to high order of convergency in the proposed methods. These methods approximate the ODE solution by using the numerical solution in some points in the r previous steps and by matching the function values and its derivatives at a set of collocation methods. Also, these methods utilize information from the second derivative of the solution in the colloca-tion methods. We present the construction of the technique and discuss the analysis of the order of accuracy and linear stability properties. Finally, some numerical results are provided to confirm the theoretical expecta-tions. A stiff system of ODEs, the Robertson chemical kinetics problem, and the two-body Pleiades problem are the case studies for comparing the efficiency of the proposed methods with existing methods.

Keywords

• collocation
• linear stability
• ordinary differential equation
• second derivative methods