In this paper, we study the relative error in the numerical solution of a linear ordinary differential equation y′(t) = Ay(t), t ≥ 0, where A is a normal matrix. The numerical solution is obtained by using at any step an approximation of the matrix exponential, e.g. a polynomial or a rational approximation. The error of the numerical solution with respect to the exact solution is due to this approximation as well as to a possible perturbation in the initial value. For an unperturbed initial value, we find: 1) unlike the absolute error, the relative error always grows linearly in time; 2) in the long-time, the contributions to the relative error relevant to non-rightmost eigenvalues of A disappear.
Relative error analysis of matrix exponential approximations for numerical integration
Stefano Maset
2021-01-01
Abstract
In this paper, we study the relative error in the numerical solution of a linear ordinary differential equation y′(t) = Ay(t), t ≥ 0, where A is a normal matrix. The numerical solution is obtained by using at any step an approximation of the matrix exponential, e.g. a polynomial or a rational approximation. The error of the numerical solution with respect to the exact solution is due to this approximation as well as to a possible perturbation in the initial value. For an unperturbed initial value, we find: 1) unlike the absolute error, the relative error always grows linearly in time; 2) in the long-time, the contributions to the relative error relevant to non-rightmost eigenvalues of A disappear.File | Dimensione | Formato | |
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