Integrating Lipschitzian Dynamical Systems using Piecewise Algorithmic Differentiation

In this article we analyze a generalized trapezoidal rule for initial value problems with piecewise smooth right hand side $F:\R^n\to\R^n$. When applied to such a problem the classical trapezoidal rule suffers from a loss of accuracy if the solution trajectory intersects a nondifferentiability of $F$. The advantage of the proposed generalized trapezoidal rule is threefold: Firstly we can achieve a higher convergence order than with the classical method. Moreover, the method is energy preserving for piecewise linear Hamiltonian systems. Finally, in analogy to the classical case we derive a third order interpolation polynomial for the numerical trajectory. In the smooth case the generalized rule reduces to the classical one. Hence, it is a proper extension of the classical theory. An error estimator is given and numerical results are presented.

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