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Published July 15, 2010 | Published
Journal Article Open

Nonintrusive and Structure Preserving Multiscale Integration of Stiff ODEs, SDEs, and Hamiltonian Systems with Hidden Slow Dynamics via Flow Averaging


We introduce a new class of integrators for stiff ODEs as well as SDEs. Examples of subclasses of systems that we treat are ODEs and SDEs that are sums of two terms, one of which has large coefficients. These integrators are as follows: (i) Multiscale: They are based on flow averaging and thus do not fully resolve the fast variables and have a computational cost determined by slow variables. (ii) Versatile: The method is based on averaging the flows of the given dynamical system (which may have hidden slow and fast processes) instead of averaging the instantaneous drift of assumed separated slow and fast processes. This bypasses the need for identifying explicitly (or numerically) the slow or fast variables. (iii) Nonintrusive: A pre-existing numerical scheme resolving the microscopic time scale can be used as a black box and easily turned into one of the integrators in this paper by turning the large coefficients on over a microscopic time scale and off during a mesoscopic time scale. (iv) Convergent over two scales: They converge strongly over slow processes and in the sense of measures over fast ones. We introduce the related notion of two-scale flow convergence and analyze the convergence of these integrators under the induced topology. (v) Structure preserving: They inherit the structure preserving properties of the legacy integrators from which they are derived. Therefore, for stiff Hamiltonian systems (possibly on manifolds), they can be made to be symplectic, time-reversible, and symmetry preserving (symmetries are group actions that leave the system invariant) in all variables. They are explicit and applicable to arbitrary stiff potentials (that need not be quadratic). Their application to the Fermi–Pasta–Ulam problems shows accuracy and stability over four orders of magnitude of time scales. For stiff Langevin equations, they are symmetry preserving, time-reversible, Boltzmann–Gibbs-reversible, quasi-symplectic on all variables, and conformally symplectic with isotropic friction.

Additional Information

© 2010 Society for Industrial and Applied Mathematics. Received September 18, 2009; accepted May 10, 2010; published July 15, 2010. Part of this work has been supported by NSF grant CMMI-092600. We are grateful to S. Flach, C. Lebris, J. M. Sanz-Serna, E. S. Titi, R. Tsai, and E. Vanden-Eijnden for useful comments and providing references. We would also like to thank two anonymous referees for precise and detailed comments and suggestions.

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