Runge-Kutta methods are the classic family of solvers for ordinary differential equations (ODEs), and the basis for the state of the art. Like most numerical methods, they return point estimates. We construct a family of probabilistic numerical methods that instead return a Gauss-Markov process defining a probability distribution over the ODE solution. In contrast to prior work, we construct th...

Standard Runge-Kutta methods are explicit, one-step, and generally constant step-size numerical integrators for the solution of initial value problems. Such integration schemes of orders 3, 4, and 5 require 3, 4, and 6 function evaluations per time step of integration, respectively. In this paper, we propose a set of simple, explicit, and constant step-size Accerelated-Runge-Kutta methods that ...

The optimum Runge-Kutta method of a particular order is the one whose truncation error is a minimum. Various measures of the size of the truncation error are considered. The optimum method is practically independent of the measure being used. Moreover, among methods of the same order which one might consider using the difference in size of the estimated error is not more than a factor of 2 or 3...

Abstract. Space discretization of some time-dependent partial differential equations gives rise to stiff systems of ordinary differential equations. In this case, implicit methods should be used and therefore, in general, nonlinear systems must be solved. The solutions to these systems are approximated by iterative schemes and, in order to obtain an efficient code, good initializers should be u...

The aim of this paper is to design a new family of numerical methods of arbitrarily high order for systems of rst-order diierential equations which are to be termed pseudo two-step Runge-Kutta methods. By using collocation techniques, we can obtain an arbitrarily high-order stable pseudo two-step Runge-Kutta method with any desired number of implicit stages in retaining the two-step nature. In ...

Implicit-explicit (IMEX) Runge-Kutta methods play a major rule in the numerical treatment of differential systems governed by stiff and non-stiff terms. This paper discusses order conditions and symplecticity properties of a class of IMEX Runge–Kutta methods in the context of optimal control problems. The analysis of the schemes is based on the continuous optimality system. Using suitable trans...

We apply a Runge-Kutta-based waveform relaxation method to initial-value problems for implicit differential equations. In the implementation of such methods, a sequence of nonlinear systems has to be solved iteratively in each step of the integration process. The size of these systems increases linearly with the number of stages of the underlying Runge-Kutta method, resulting in high linear alg...

We construct A-stable and L-stable diagonally implicit Runge-Kutta methods of which the diagonal vector in the Butcher matrix has a minimal maximum norm. If the implicit Runge-Kutta relations are iteratively solved by means of the approximately factorized Newton process, then such iterated Runge-Kutta methods are suitable methods for integrating shallow water problems in the sense that the stab...