Weighted least squares collocation methods

Abstract

We consider overdetermined collocation methods and propose a weighted least squares approach to derive a numerical solution. The discrete problem requires the evaluation of the Jacobian of the vector field which, however, appears in a O(h) term, h being the stepsize. We show that, by neglecting this infinitesimal term, the resulting scheme becomes a low-rank Runge–Kutta method. Among the possible choices of the weights distribution, we analyze the one based on the quadrature formula underlying the collocation conditions. A few numerical illustrations are included to better elucidate the potential of the method.