Abstract
We present an algorithm for the numerical solution of ordinary differential equations by random enumeration of the Butcher trees used in the implementation of the Runge–Kutta method. Our Monte Carlo scheme allows for the direct numerical evaluation of an ODE solution at any given time within a certain interval, without iteration through multiple time steps. In particular, this approach does not involve a discretization step size, and it does not require the truncation of Taylor series.
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Acknowledgements
This research is supported by the Ministry of Education, Singapore, under its Tier 2 Grant MOE-T2EP20120-0005. We thank Jiang Yu Nguwi for producing the Python code dealing with systems of ODEs, and two anonymous referees for useful suggestions and comments.
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Communicated by Charles-Edouard Bréhier.
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Penent, G., Privault, N. Numerical evaluation of ODE solutions by Monte Carlo enumeration of Butcher series. Bit Numer Math 62, 1921–1944 (2022). https://doi.org/10.1007/s10543-022-00936-w
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DOI: https://doi.org/10.1007/s10543-022-00936-w