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Adaptive methods

With \tilde{h}=h\left(\frac{\xi}{\epsilon}\right)^{1+1/M}. we can design the following algorithm:

  • If the two answers are close, keep the approximation to h .
  • If \epsilon > \xi we need to decrease the step size in the next time step.
  • If \epsilon < \xi we need to increase the step size in the next time step.