Ordinary Differential Equations¶
This chapter describes functions for solving ordinary differential equation (ODE) initial value problems. The library provides a variety of lowlevel methods, such as RungeKutta and BulirschStoer routines, and higherlevel components for adaptive stepsize control. The components can be combined by the user to achieve the desired solution, with full access to any intermediate steps. A driver object can be used as a high level wrapper for easy use of low level functions.
These functions are declared in the header file gsl_odeiv2.h
.
This is a new interface in version 1.15 and uses the prefix
gsl_odeiv2
for all functions. It is recommended over the
previous gsl_odeiv
implementation defined in gsl_odeiv.h
The old interface has been retained under the original name for
backwards compatibility.
Defining the ODE System¶
The routines solve the general dimensional firstorder system,
for . The stepping functions rely on the vector of derivatives and the Jacobian matrix,
A system of equations is defined using the gsl_odeiv2_system
datatype.

gsl_odeiv2_system
¶ This data type defines a general ODE system with arbitrary parameters.
int (* function) (double t, const double y[], double dydt[], void * params)
This function should store the vector elements in the array
dydt
, for arguments (t
,y
) and parametersparams
.The function should return
GSL_SUCCESS
if the calculation was completed successfully. Any other return value indicates an error. A special return valueGSL_EBADFUNC
causesgsl_odeiv2
routines to immediately stop and return. Iffunction
is modified (for example contents ofparams
), the user must call an appropriate reset function (gsl_odeiv2_driver_reset()
,gsl_odeiv2_evolve_reset()
orgsl_odeiv2_step_reset()
) before continuing. Use return values distinct from standard GSL error codes to distinguish your function as the source of the error.int (* jacobian) (double t, const double y[], double * dfdy, double dfdt[], void * params)
This function should store the vector of derivative elements
in the array
dfdt
and the Jacobian matrix in the arraydfdy
, regarded as a rowordered matrixJ(i,j) = dfdy[i * dimension + j]
wheredimension
is the dimension of the system.Not all of the stepper algorithms of
gsl_odeiv2
make use of the Jacobian matrix, so it may not be necessary to provide this function (thejacobian
element of the struct can be replaced by a null pointer for those algorithms).The function should return
GSL_SUCCESS
if the calculation was completed successfully. Any other return value indicates an error. A special return valueGSL_EBADFUNC
causesgsl_odeiv2
routines to immediately stop and return. Ifjacobian
is modified (for example contents ofparams
), the user must call an appropriate reset function (gsl_odeiv2_driver_reset()
,gsl_odeiv2_evolve_reset()
orgsl_odeiv2_step_reset()
) before continuing. Use return values distinct from standard GSL error codes to distinguish your function as the source of the error.size_t dimension
This is the dimension of the system of equations.
void * params
This is a pointer to the arbitrary parameters of the system.
Stepping Functions¶
The lowest level components are the stepping functions which advance a solution from time to for a fixed stepsize and estimate the resulting local error.

gsl_odeiv2_step
¶ This contains internal parameters for a stepping function.

gsl_odeiv2_step *
gsl_odeiv2_step_alloc
(const gsl_odeiv2_step_type * T, size_t dim)¶ This function returns a pointer to a newly allocated instance of a stepping function of type
T
for a system ofdim
dimensions. Please note that if you use a stepper method that requires access to a driver object, it is advisable to use a driver allocation method, which automatically allocates a stepper, too.

int
gsl_odeiv2_step_reset
(gsl_odeiv2_step * s)¶ This function resets the stepping function
s
. It should be used whenever the next use ofs
will not be a continuation of a previous step.

void
gsl_odeiv2_step_free
(gsl_odeiv2_step * s)¶ This function frees all the memory associated with the stepping function
s
.

const char *
gsl_odeiv2_step_name
(const gsl_odeiv2_step * s)¶ This function returns a pointer to the name of the stepping function. For example:
printf ("step method is '%s'\n", gsl_odeiv2_step_name (s));
would print something like
step method is 'rkf45'
.

unsigned int
gsl_odeiv2_step_order
(const gsl_odeiv2_step * s)¶ This function returns the order of the stepping function on the previous step. The order can vary if the stepping function itself is adaptive.

int
gsl_odeiv2_step_set_driver
(gsl_odeiv2_step * s, const gsl_odeiv2_driver * d)¶ This function sets a pointer of the driver object
d
for steppers
, to allow the stepper to access control (and evolve) object through the driver object. This is a requirement for some steppers, to get the desired error level for internal iteration of stepper. Allocation of a driver object calls this function automatically.

int
gsl_odeiv2_step_apply
(gsl_odeiv2_step * s, double t, double h, double y[], double yerr[], const double dydt_in[], double dydt_out[], const gsl_odeiv2_system * sys)¶ This function applies the stepping function
s
to the system of equations defined bysys
, using the stepsizeh
to advance the system from timet
and statey
to timet
+h
. The new state of the system is stored iny
on output, with an estimate of the absolute error in each component stored inyerr
. If the argumentdydt_in
is not null it should point an array containing the derivatives for the system at timet
on input. This is optional as the derivatives will be computed internally if they are not provided, but allows the reuse of existing derivative information. On output the new derivatives of the system at timet
+h
will be stored indydt_out
if it is not null.The stepping function returns
GSL_FAILURE
if it is unable to compute the requested step. Also, if the usersupplied functions defined in the systemsys
return a status other thanGSL_SUCCESS
the step will be aborted. In that case, the elements ofy
will be restored to their prestep values and the error code from the usersupplied function will be returned. Failure may be due to a singularity in the system or too large stepsizeh
. In that case the step should be attempted again with a smaller stepsize, e.g.h
/ 2.If the driver object is not appropriately set via
gsl_odeiv2_step_set_driver()
for those steppers that need it, the stepping function returnsGSL_EFAULT
. If the usersupplied functions defined in the systemsys
returnsGSL_EBADFUNC
, the function returns immediately with the same return code. In this case the user must callgsl_odeiv2_step_reset()
before calling this function again.
The following algorithms are available,

gsl_odeiv2_step_type
¶ 
gsl_odeiv2_step_rk2
¶ Explicit embedded RungeKutta (2, 3) method.

gsl_odeiv2_step_rk4
¶ Explicit 4th order (classical) RungeKutta. Error estimation is carried out by the step doubling method. For more efficient estimate of the error, use the embedded methods described below.

gsl_odeiv2_step_rkf45
¶ Explicit embedded RungeKuttaFehlberg (4, 5) method. This method is a good generalpurpose integrator.

gsl_odeiv2_step_rkck
¶ Explicit embedded RungeKutta CashKarp (4, 5) method.

gsl_odeiv2_step_rk8pd
¶ Explicit embedded RungeKutta PrinceDormand (8, 9) method.

gsl_odeiv2_step_rk1imp
¶ Implicit Gaussian first order RungeKutta. Also known as implicit Euler or backward Euler method. Error estimation is carried out by the step doubling method. This algorithm requires the Jacobian and access to the driver object via
gsl_odeiv2_step_set_driver()
.

gsl_odeiv2_step_rk2imp
¶ Implicit Gaussian second order RungeKutta. Also known as implicit midpoint rule. Error estimation is carried out by the step doubling method. This stepper requires the Jacobian and access to the driver object via
gsl_odeiv2_step_set_driver()
.

gsl_odeiv2_step_rk4imp
¶ Implicit Gaussian 4th order RungeKutta. Error estimation is carried out by the step doubling method. This algorithm requires the Jacobian and access to the driver object via
gsl_odeiv2_step_set_driver()
.

gsl_odeiv2_step_bsimp
¶ Implicit BulirschStoer method of Bader and Deuflhard. The method is generally suitable for stiff problems. This stepper requires the Jacobian.

gsl_odeiv2_step_msadams
¶ A variablecoefficient linear multistep Adams method in Nordsieck form. This stepper uses explicit AdamsBashforth (predictor) and implicit AdamsMoulton (corrector) methods in functional iteration mode. Method order varies dynamically between 1 and 12. This stepper requires the access to the driver object via
gsl_odeiv2_step_set_driver()
.

gsl_odeiv2_step_msbdf
¶ A variablecoefficient linear multistep backward differentiation formula (BDF) method in Nordsieck form. This stepper uses the explicit BDF formula as predictor and implicit BDF formula as corrector. A modified Newton iteration method is used to solve the system of nonlinear equations. Method order varies dynamically between 1 and 5. The method is generally suitable for stiff problems. This stepper requires the Jacobian and the access to the driver object via
gsl_odeiv2_step_set_driver()
.

Adaptive Stepsize Control¶
The control function examines the proposed change to the solution produced by a stepping function and attempts to determine the optimal stepsize for a userspecified level of error.

gsl_odeiv2_control
¶ This is a workspace for controlling step size.

gsl_odeiv2_control_type
¶ This specifies the control type.

gsl_odeiv2_control *
gsl_odeiv2_control_standard_new
(double eps_abs, double eps_rel, double a_y, double a_dydt)¶ The standard control object is a four parameter heuristic based on absolute and relative errors
eps_abs
andeps_rel
, and scaling factorsa_y
anda_dydt
for the system state and derivatives respectively.The stepsize adjustment procedure for this method begins by computing the desired error level for each component,
and comparing it with the observed error . If the observed error
E
exceeds the desired error levelD
by more than 10% for any component then the method reduces the stepsize by an appropriate factor,where is the consistency order of the method (e.g. for 4(5) embedded RK), and is a safety factor of 0.9. The ratio is taken to be the maximum of the ratios .
If the observed error is less than 50% of the desired error level
D
for the maximum ratio then the algorithm takes the opportunity to increase the stepsize to bring the error in line with the desired level,This encompasses all the standard error scaling methods. To avoid uncontrolled changes in the stepsize, the overall scaling factor is limited to the range to 5.

gsl_odeiv2_control *
gsl_odeiv2_control_y_new
(double eps_abs, double eps_rel)¶ This function creates a new control object which will keep the local error on each step within an absolute error of
eps_abs
and relative error ofeps_rel
with respect to the solution . This is equivalent to the standard control object witha_y
= 1 anda_dydt
= 0.

gsl_odeiv2_control *
gsl_odeiv2_control_yp_new
(double eps_abs, double eps_rel)¶ This function creates a new control object which will keep the local error on each step within an absolute error of
eps_abs
and relative error ofeps_rel
with respect to the derivatives of the solution . This is equivalent to the standard control object witha_y
= 0 anda_dydt
= 1.

gsl_odeiv2_control *
gsl_odeiv2_control_scaled_new
(double eps_abs, double eps_rel, double a_y, double a_dydt, const double scale_abs[], size_t dim)¶ This function creates a new control object which uses the same algorithm as
gsl_odeiv2_control_standard_new()
but with an absolute error which is scaled for each component by the arrayscale_abs
. The formula for for this control object is,where is the th component of the array
scale_abs
. The same error control heuristic is used by the Matlab ODE suite.

gsl_odeiv2_control *
gsl_odeiv2_control_alloc
(const gsl_odeiv2_control_type * T)¶ This function returns a pointer to a newly allocated instance of a control function of type
T
. This function is only needed for defining new types of control functions. For most purposes the standard control functions described above should be sufficient.

int
gsl_odeiv2_control_init
(gsl_odeiv2_control * c, double eps_abs, double eps_rel, double a_y, double a_dydt)¶ This function initializes the control function
c
with the parameterseps_abs
(absolute error),eps_rel
(relative error),a_y
(scaling factor for y) anda_dydt
(scaling factor for derivatives).

void
gsl_odeiv2_control_free
(gsl_odeiv2_control * c)¶ This function frees all the memory associated with the control function
c
.

int
gsl_odeiv2_control_hadjust
(gsl_odeiv2_control * c, gsl_odeiv2_step * s, const double y[], const double yerr[], const double dydt[], double * h)¶ This function adjusts the stepsize
h
using the control functionc
, and the current values ofy
,yerr
anddydt
. The stepping functionstep
is also needed to determine the order of the method. If the error in the yvaluesyerr
is found to be too large then the stepsizeh
is reduced and the function returnsGSL_ODEIV_HADJ_DEC
. If the error is sufficiently small thenh
may be increased andGSL_ODEIV_HADJ_INC
is returned. The function returnsGSL_ODEIV_HADJ_NIL
if the stepsize is unchanged. The goal of the function is to estimate the largest stepsize which satisfies the userspecified accuracy requirements for the current point.

const char *
gsl_odeiv2_control_name
(const gsl_odeiv2_control * c)¶ This function returns a pointer to the name of the control function. For example:
printf ("control method is '%s'\n", gsl_odeiv2_control_name (c));
would print something like
control method is 'standard'

int
gsl_odeiv2_control_errlevel
(gsl_odeiv2_control * c, const double y, const double dydt, const double h, const size_t ind, double * errlev)¶ This function calculates the desired error level of the
ind
th component toerrlev
. It requires the value (y
) and value of the derivative (dydt
) of the component, and the current step sizeh
.

int
gsl_odeiv2_control_set_driver
(gsl_odeiv2_control * c, const gsl_odeiv2_driver * d)¶ This function sets a pointer of the driver object
d
for control objectc
.
Evolution¶
The evolution function combines the results of a stepping function and control function to reliably advance the solution forward one step using an acceptable stepsize.

gsl_odeiv2_evolve
¶ This workspace contains parameters for controlling the evolution function

gsl_odeiv2_evolve *
gsl_odeiv2_evolve_alloc
(size_t dim)¶ This function returns a pointer to a newly allocated instance of an evolution function for a system of
dim
dimensions.

int
gsl_odeiv2_evolve_apply
(gsl_odeiv2_evolve * e, gsl_odeiv2_control * con, gsl_odeiv2_step * step, const gsl_odeiv2_system * sys, double * t, double t1, double * h, double y[])¶ This function advances the system (
e
,sys
) from timet
and positiony
using the stepping functionstep
. The new time and position are stored int
andy
on output.The initial stepsize is taken as
h
. The control functioncon
is applied to check whether the local error estimated by the stepping functionstep
using stepsizeh
exceeds the required error tolerance. If the error is too high, the step is retried by callingstep
with a decreased stepsize. This process is continued until an acceptable stepsize is found. An estimate of the local error for the step can be obtained from the components of the arraye>yerr[]
.If the usersupplied functions defined in the system
sys
returnsGSL_EBADFUNC
, the function returns immediately with the same return code. In this case the user must callgsl_odeiv2_step_reset()
andgsl_odeiv2_evolve_reset()
before calling this function again.Otherwise, if the usersupplied functions defined in the system
sys
or the stepping functionstep
return a status other thanGSL_SUCCESS
, the step is retried with a decreased stepsize. If the stepsize decreases below machine precision, a status ofGSL_FAILURE
is returned if the user functions returnedGSL_SUCCESS
. Otherwise the value returned by user function is returned. If no acceptable step can be made,t
andy
will be restored to their prestep values andh
contains the final attempted stepsize.If the step is successful the function returns a suggested stepsize for the next step in
h
. The maximum timet1
is guaranteed not to be exceeded by the timestep. On the final timestep the value oft
will be set tot1
exactly.

int
gsl_odeiv2_evolve_apply_fixed_step
(gsl_odeiv2_evolve * e, gsl_odeiv2_control * con, gsl_odeiv2_step * step, const gsl_odeiv2_system * sys, double * t, const double h, double y[])¶ This function advances the ODEsystem (
e
,sys
,con
) from timet
and positiony
using the stepping functionstep
by a specified step sizeh
. If the local error estimated by the stepping function exceeds the desired error level, the step is not taken and the function returnsGSL_FAILURE
. Otherwise the value returned by user function is returned.

int
gsl_odeiv2_evolve_reset
(gsl_odeiv2_evolve * e)¶ This function resets the evolution function
e
. It should be used whenever the next use ofe
will not be a continuation of a previous step.

void
gsl_odeiv2_evolve_free
(gsl_odeiv2_evolve * e)¶ This function frees all the memory associated with the evolution function
e
.

int
gsl_odeiv2_evolve_set_driver
(gsl_odeiv2_evolve * e, const gsl_odeiv2_driver * d)¶ This function sets a pointer of the driver object
d
for evolve objecte
.
If a system has discontinuous changes in the derivatives at known points, it is advisable to evolve the system between each discontinuity in sequence. For example, if a stepchange in an external driving force occurs at times and then evolution should be carried out over the ranges , , , and separately and not directly over the range .
Driver¶
The driver object is a high level wrapper that combines the evolution, control and stepper objects for easy use.

gsl_odeiv2_driver *
gsl_odeiv2_driver_alloc_y_new
(const gsl_odeiv2_system * sys, const gsl_odeiv2_step_type * T, const double hstart, const double epsabs, const double epsrel)¶ 
gsl_odeiv2_driver *
gsl_odeiv2_driver_alloc_yp_new
(const gsl_odeiv2_system * sys, const gsl_odeiv2_step_type * T, const double hstart, const double epsabs, const double epsrel)¶ 
gsl_odeiv2_driver *
gsl_odeiv2_driver_alloc_standard_new
(const gsl_odeiv2_system * sys, const gsl_odeiv2_step_type * T, const double hstart, const double epsabs, const double epsrel, const double a_y, const double a_dydt)¶ 
gsl_odeiv2_driver *
gsl_odeiv2_driver_alloc_scaled_new
(const gsl_odeiv2_system * sys, const gsl_odeiv2_step_type * T, const double hstart, const double epsabs, const double epsrel, const double a_y, const double a_dydt, const double scale_abs[])¶ These functions return a pointer to a newly allocated instance of a driver object. The functions automatically allocate and initialise the evolve, control and stepper objects for ODE system
sys
using stepper typeT
. The initial step size is given inhstart
. The rest of the arguments follow the syntax and semantics of the control functions with same name (gsl_odeiv2_control_*_new
).

int
gsl_odeiv2_driver_set_hmin
(gsl_odeiv2_driver * d, const double hmin)¶ The function sets a minimum for allowed step size
hmin
for driverd
. Default value is 0.

int
gsl_odeiv2_driver_set_hmax
(gsl_odeiv2_driver * d, const double hmax)¶ The function sets a maximum for allowed step size
hmax
for driverd
. Default value isGSL_DBL_MAX
.

int
gsl_odeiv2_driver_set_nmax
(gsl_odeiv2_driver * d, const unsigned long int nmax)¶ The function sets a maximum for allowed number of steps
nmax
for driverd
. Default value of 0 sets no limit for steps.

int
gsl_odeiv2_driver_apply
(gsl_odeiv2_driver * d, double * t, const double t1, double y[])¶ This function evolves the driver system
d
fromt
tot1
. Initially vectory
should contain the values of dependent variables at pointt
. If the function is unable to complete the calculation, an error code fromgsl_odeiv2_evolve_apply()
is returned, andt
andy
contain the values from last successful step.If maximum number of steps is reached, a value of
GSL_EMAXITER
is returned. If the step size drops below minimum value, the function returns withGSL_ENOPROG
. If the usersupplied functions defined in the systemsys
returnsGSL_EBADFUNC
, the function returns immediately with the same return code. In this case the user must callgsl_odeiv2_driver_reset()
before calling this function again.

int
gsl_odeiv2_driver_apply_fixed_step
(gsl_odeiv2_driver * d, double * t, const double h, const unsigned long int n, double y[])¶ This function evolves the driver system
d
fromt
withn
steps of sizeh
. If the function is unable to complete the calculation, an error code fromgsl_odeiv2_evolve_apply_fixed_step()
is returned, andt
andy
contain the values from last successful step.

int
gsl_odeiv2_driver_reset
(gsl_odeiv2_driver * d)¶ This function resets the evolution and stepper objects.

int
gsl_odeiv2_driver_reset_hstart
(gsl_odeiv2_driver * d, const double hstart)¶ The routine resets the evolution and stepper objects and sets new initial step size to
hstart
. This function can be used e.g. to change the direction of integration.

int
gsl_odeiv2_driver_free
(gsl_odeiv2_driver * d)¶ This function frees the driver object, and the related evolution, stepper and control objects.
Examples¶
The following program solves the secondorder nonlinear Van der Pol oscillator equation,
This can be converted into a first order system suitable for use with the routines described in this chapter by introducing a separate variable for the velocity, ,
The program begins by defining functions for these derivatives and their Jacobian. The main function uses driver level functions to solve the problem. The program evolves the solution from at to . The stepsize is automatically adjusted by the controller to maintain an absolute accuracy of in the function values . The loop in the example prints the solution at the points .
#include <stdio.h>
#include <gsl/gsl_errno.h>
#include <gsl/gsl_matrix.h>
#include <gsl/gsl_odeiv2.h>
int
func (double t, const double y[], double f[],
void *params)
{
(void)(t); /* avoid unused parameter warning */
double mu = *(double *)params;
f[0] = y[1];
f[1] = y[0]  mu*y[1]*(y[0]*y[0]  1);
return GSL_SUCCESS;
}
int
jac (double t, const double y[], double *dfdy,
double dfdt[], void *params)
{
(void)(t); /* avoid unused parameter warning */
double mu = *(double *)params;
gsl_matrix_view dfdy_mat
= gsl_matrix_view_array (dfdy, 2, 2);
gsl_matrix * m = &dfdy_mat.matrix;
gsl_matrix_set (m, 0, 0, 0.0);
gsl_matrix_set (m, 0, 1, 1.0);
gsl_matrix_set (m, 1, 0, 2.0*mu*y[0]*y[1]  1.0);
gsl_matrix_set (m, 1, 1, mu*(y[0]*y[0]  1.0));
dfdt[0] = 0.0;
dfdt[1] = 0.0;
return GSL_SUCCESS;
}
int
main (void)
{
double mu = 10;
gsl_odeiv2_system sys = {func, jac, 2, &mu};
gsl_odeiv2_driver * d =
gsl_odeiv2_driver_alloc_y_new (&sys, gsl_odeiv2_step_rk8pd,
1e6, 1e6, 0.0);
int i;
double t = 0.0, t1 = 100.0;
double y[2] = { 1.0, 0.0 };
for (i = 1; i <= 100; i++)
{
double ti = i * t1 / 100.0;
int status = gsl_odeiv2_driver_apply (d, &t, ti, y);
if (status != GSL_SUCCESS)
{
printf ("error, return value=%d\n", status);
break;
}
printf ("%.5e %.5e %.5e\n", t, y[0], y[1]);
}
gsl_odeiv2_driver_free (d);
return 0;
}
The user can work with the lower level functions directly, as in the following example. In this case an intermediate result is printed after each successful step instead of equidistant time points.
int
main (void)
{
const gsl_odeiv2_step_type * T
= gsl_odeiv2_step_rk8pd;
gsl_odeiv2_step * s
= gsl_odeiv2_step_alloc (T, 2);
gsl_odeiv2_control * c
= gsl_odeiv2_control_y_new (1e6, 0.0);
gsl_odeiv2_evolve * e
= gsl_odeiv2_evolve_alloc (2);
double mu = 10;
gsl_odeiv2_system sys = {func, jac, 2, &mu};
double t = 0.0, t1 = 100.0;
double h = 1e6;
double y[2] = { 1.0, 0.0 };
while (t < t1)
{
int status = gsl_odeiv2_evolve_apply (e, c, s,
&sys,
&t, t1,
&h, y);
if (status != GSL_SUCCESS)
break;
printf ("%.5e %.5e %.5e\n", t, y[0], y[1]);
}
gsl_odeiv2_evolve_free (e);
gsl_odeiv2_control_free (c);
gsl_odeiv2_step_free (s);
return 0;
}
For functions with multiple parameters, the appropriate information
can be passed in through the params
argument in
gsl_odeiv2_system
definition (mu
in this example) by using
a pointer to a struct.
It is also possible to work with a nonadaptive integrator, using only
the stepping function itself,
gsl_odeiv2_driver_apply_fixed_step()
or
gsl_odeiv2_evolve_apply_fixed_step()
. The following program uses
the driver level function, with fourthorder
RungeKutta stepping function with a fixed stepsize of
0.001.
int
main (void)
{
double mu = 10;
gsl_odeiv2_system sys = { func, jac, 2, &mu };
gsl_odeiv2_driver *d =
gsl_odeiv2_driver_alloc_y_new (&sys, gsl_odeiv2_step_rk4,
1e3, 1e8, 1e8);
double t = 0.0;
double y[2] = { 1.0, 0.0 };
int i, s;
for (i = 0; i < 100; i++)
{
s = gsl_odeiv2_driver_apply_fixed_step (d, &t, 1e3, 1000, y);
if (s != GSL_SUCCESS)
{
printf ("error: driver returned %d\n", s);
break;
}
printf ("%.5e %.5e %.5e\n", t, y[0], y[1]);
}
gsl_odeiv2_driver_free (d);
return s;
}
References and Further Reading¶
Ascher, U.M., Petzold, L.R., Computer Methods for Ordinary Differential and DifferentialAlgebraic Equations, SIAM, Philadelphia, 1998.
Hairer, E., Norsett, S. P., Wanner, G., Solving Ordinary Differential Equations I: Nonstiff Problems, Springer, Berlin, 1993.
Hairer, E., Wanner, G., Solving Ordinary Differential Equations II: Stiff and DifferentialAlgebraic Problems, Springer, Berlin, 1996.
Many of the basic RungeKutta formulas can be found in the Handbook of Mathematical Functions,
Abramowitz & Stegun (eds.), Handbook of Mathematical Functions, Section 25.5.
The implicit BulirschStoer algorithm bsimp
is described in the
following paper,
G. Bader and P. Deuflhard, “A SemiImplicit MidPoint Rule for Stiff Systems of Ordinary Differential Equations.”, Numer.: Math.: 41, 373–398, 1983.
The Adams and BDF multistep methods msadams
and msbdf
are based on the following articles,
G. D. Byrne and A. C. Hindmarsh, “A Polyalgorithm for the Numerical Solution of Ordinary Differential Equations.”, ACM Trans. Math. Software, 1, 71–96, 1975.
P. N. Brown, G. D. Byrne and A. C. Hindmarsh, “VODE: A Variablecoefficient ODE Solver.”, SIAM J. Sci. Stat. Comput. 10, 1038–1051, 1989.
A. C. Hindmarsh, P. N. Brown, K. E. Grant, S. L. Lee, R. Serban, D. E. Shumaker and C. S. Woodward, “SUNDIALS: Suite of Nonlinear and Differential/Algebraic Equation Solvers.”, ACM Trans. Math. Software 31, 363–396, 2005.