Recent advances in methods for numerical solution of O.D.E. initial value problems

Abstract

In the mathematical modeling of physical systems, it is often necessary to solve an initial value problem (IVP), consisting of a system of ordinary differential equations (ODE). A typical program produces approximate solutions at certain mesh points. Almost all existing codes try to control the local truncation error, while the user is really interested in controlling the true or global error. The present investigation provides a review of recent advances regarding the solution of the IVP, giving particular attention to stiff systems. Stiff phenomena are customarily defined in terms of the eigenvalues of the Jacobian. There are, however, some difficulties connected with this approach. It is pointed out that an estimate of the Lipschitz constant proves to be a very practical way to determine the stiffness of a problem.