Randomized Runge-Kutta method – stability and convergence under inexact information

06/22/2020

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by   Tomasz Bochacik, et al.

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We deal with optimal approximation of solutions of ODEs under local Lipschitz condition and inexact discrete information about the right-hand side functions. We show that the randomized two-stage Runge-Kutta scheme is the optimal method among all randomized algorithms based on standard noisy information. We perform numerical experiments that confirm our theoretical findings. Moreover, for the optimal algorithm we rigorously investigate properties of regions of absolute stability.