Solving ordinary differential equations on the Infinity Computer by working with infinitesimals numerically

Abstract: There exists a huge number of numerical methods that iteratively construct approximations to the solution $y(x)$ of an ordinary differential equation (ODE) $y'(x)=f(x,y)$ starting from an initial value $y_0=y(x_0)$ and using a finite approximation step $h$ that influences the accuracy of the obtained approximation. In this paper, a new framework for solving ODEs is presented for a new kind of a computer -- the Infinity Computer (it has been patented and its working prototype exists). The new computer is able to work numerically with finite, infinite, and infinitesimal numbers giving so the possibility to use different infinitesimals numerically and, in particular, to take advantage of infinitesimal values of $h$. To show the potential of the new framework a number of results is established. It is proved that the Infinity Computer is able to calculate derivatives of the solution $y(x)$ and to reconstruct its Taylor expansion of a desired order numerically without finding the respective derivatives analytically (or symbolically) by the successive derivation of the ODE as it is usually done when the Taylor method is applied. Methods using approximations of derivatives obtained thanks to infinitesimals are discussed and a technique for an automatic control of rounding errors is introduced. Numerical examples are given.