Error Estimation of Numerical Solvers for Linear Ordinary Differential Equations

Abstract

Solving Linear Ordinary Differential Equations (ODEs) plays an important role in many applications. There are various numerical methods and solvers to obtain approximate solutions. However, few work about global error estimation can be found in the literature. In this paper, we first give a definition of the residual, based on the piecewise Hermit interpolation, which is a kind of the backward-error of ODE solvers. It indicates the reliability and quality of numerical solution. Secondly, the global error between the exact solution and an approximate solution is the forward error and a bound of it can be given by using the backward-error. The examples in the paper show that our estimate works well for a large class of ODE models.