A stochastic approach to global error estimation in ODE multistep numerical integration

Abstract

In order to assess the quality of approximate solutions obtained in the numerical integration of ordinary differential equations related to initial-value problems, there are available procedures which lead to deterministic estimates of global errors. The aim of this paper is to propose a stochastic approach to estimate the global errors, especially in the situations of integration which are often met in flight mechanics and control problems. Treating the global errors in terms of their orders of magnitude, the proposed procedure models the errors through the distribution of zero-mean random variables belonging to stochastic sequences, which take into account the influence of both local truncation and round-off errors. The dispersions of these random variables, in terms of their variances, are assumed to give an estimation of the errors. The error estimation procedure is developed for Adams-Bashforth-Moulton type of multistep methods. The computational effort in integrating the variational equations to propagate the error covariance matrix associated with error magnitudes and correlations is minimized by employing a low-order (first or second) Euler method. The diagonal variances of the covariance matrix, derived using the stochastic approach developed in this paper, are found to furnish reasonably precise measures of the orders of magnitude of accumulated global errors in short-term as well as long-term orbit propagations.