Variable-step deferred correction BDF methods for differential equations
We present a sequence of variable time step deferred correction (DC) methods
constructed recursively from the second-order backward differentiation formula (BDF2) applied to the numerical solution of initial value problems for stiff first-order ordinary differential equations, such as those resulting from the spatial dicretization of partial differential equations. The sequence of
corrections starts with BDF2 then considered as DC2. In our talk, we will explain how
critical is the ratio of consecutive time steps $\omega_n := \frac{k_n}{k_{n-1}}$,
not only to guarantee stability but also to obtain a maximal improvement of order
of accuracy in DC methods. In general, the improvement from a $p$-order solution (DCp)
results in a $p+1$-order accurate solution (DCp+1). This one-order increment in
accuracy holds for the least stringent BDF2 0-stability conditions, i.e., $\omega_n
\le \omega < 1+\sqrt{2}$. If we introduce additional requirements for the
ratio of consecutive variable time step sizes, i.e., $|\omega_n-\omega_{n-1}|\le\mathcal{C}k$, then the order increment is 2, allowing a direct transition from DCp to DCp+2. These requirements include the
constant time step DCp methods. Interestingly, all these DCp methods are A-stable. We
briefly discuss two other DC variants to illustrate how a proper transition from
DCp to DCp+1 is critical to maintain A-stability at all orders. Numerical results
for ODEs and PDEs will be presented. For instance, numerical experiments based on
manufactured (closed-form) solutions confirmed the accuracy orders of the DCp – for DCp, $p=2,3,4,5$ -- both with constant or alternating time step sizes. We showed that the theoretical conditions required to obtain an increment of orders 1 and 2 are satisfied in practice. Finally, a test case shows that we can very accurately estimate the error on the DCp solution with the DCp+1 solution. Beyond more standard error estimators based on the local truncation error, this approach combining DCp-DCp+1 solutions could lead to efficient and reliable adaptive A-stable time-stepping DC methods of arbitrary orders.