Integrating ODEs in the complex plane—pole vaulting

Abstract:

Most existing algorithms for solving initial value problems in ordinary differential equations implicitly assume that all variables are real. If the real-valued assumption is removed, the solution can be extended by analytic continuation along a path of integration in the complex plane of the independent variable. This path is chosen to avoid singularities which can make the solution difficult or impossible for standard methods. We restrict our attention to Taylor series methods, although other methods can be suitably modified. Numerical examples are given for (a) singularities on the real axis, (b) singularities in derivatives higher than those involved in the differential equation, and (c) singularities near the real axis. These examples show that the pole vaulting method merits further study for some special problems for which it is competitive with standard methods.