Round-Off Error and Exceptional Behavior Analysis of Explicit Runge-Kutta Methods

摘要

Numerical integration schemes are mandatory to understand complex behaviors of dynamical systems described by ordinary differential equations. Implementation of these numerical methods involve floating-point computations and propagation of round-off errors. This paper presents a new fine-grained analysis of round-off errors in explicit Runge-Kutta integration methods, taking into account exceptional behaviors, such as underflow and overflow. Linear stability properties play a central role in the proposed approach. For a large class of Runge-Kutta methods applied on linear problems, a tight bound of the round-off errors is provided. A simple test is defined and ensures the absence of underflow and a tighter round-off error bound. The absence of overflow is guaranteed as linear stability properties imply that (computed) solutions are non-increasing.