Derivation of third order Runge–Kutta methods (ELDIRK) by embedding of lower order implicit time integration schemes for local and global error estimation

<jats:title>Abstract</jats:title><jats:p>Three prominent low order implicit time integration schemes are the first order implicit Euler-method, the second order trapezoidal rule and the second order Ellsiepen method. Its advantages are stability and comparatively low computational cost, however, they require the solution of a nonlinear system of equations. This paper presents a general approach for the construction of third order Runge–Kutta methods by embedding the above mentioned implicit schemes into the class of ELDIRK-methods. These will be defined to have an <jats:italic>Explicit Last</jats:italic> stage in the general Butcher array of <jats:italic>Diagonal Implicit Runge–Kutta</jats:italic> (DIRK) methods, with the consequence, that no additional system of equations must be solved. The main results—valid also for non-linear ordinary differential equations—are as follows: Two extra function calculations are required in order to embed the implicit Euler-method and one extra function calculation is required for the trapezoidal-rule and the Ellsiepen method, in order to obtain the third order properties, respectively. Two numerical examples are concerned with a parachute with viscous damping and a two-dimensional laser beam simulation. Here, we verify the higher order convergence behaviours of the proposed new ELDIRK-methods, and its successful performances for asymptotically exact global error estimation of so-called reversed embedded RK-method are shown. </jats:p>