A quantitative probabilistic investigation into the accumulation of rounding errors in numerical ODE solution

@article{Mosbach2009AQP,
  title={A quantitative probabilistic investigation into the accumulation of rounding errors in numerical ODE solution},
  author={Sebastian Mosbach and Amanda G. Turner},
  journal={Comput. Math. Appl.},
  year={2009},
  volume={57},
  pages={1157-1167}
}
  • Sebastian Mosbach, Amanda G. Turner
  • Published 2009
  • Mathematics, Computer Science
  • Comput. Math. Appl.
  • We examine numerical rounding errors of some deterministic solvers for systems of ordinary differential equations (ODEs) from a probabilistic viewpoint. We show that the accumulation of rounding errors results in a solution which is inherently random and we obtain the theoretical distribution of the trajectory as a function of time, the step size and the numerical precision of the computer. We consider, in particular, systems which amplify the effect of the rounding errors so that over long… CONTINUE READING
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