Matrix-Free Methods for Stiff Systems of ODE’s

Abstract

We study here a matrix-free method for solving stiff systems of ordinary differential equations (ODE’s). In the numerical time integration of stiff ODE initial value problems by BDF methods, the resulting nonlinear algebraic system is usually solved by a modified Newton method and an appropriate linear system algorithm. In place of that, we substitute Newton’s method (unmodified) coupled with an iterative linear system method. The latter is a projection method called the Incomplete Orthogonalization Method (IOM), developed mainly by Y. Saad. A form of IOM, with scaling included to enhance robustness, is studied in the setting of Inexact Newton Methods. The implementation requires no Jacobian matrix storage whatever. Tests on several stiff problems, of sizes up to 16,000, show the method to be quite effective and much more economical, in both computational cost and storage, than standard solution methods, at least when the problem has a certain amount of clustering in its spectrum.