An efficient and accurate numerical method is presented for the solution of highly oscillatory differential equations. While standard methods would require a very fine grid to resolve the oscillations, the presented approach uses first an analytic (second order) WKB-type transformation, which filters out the dominant oscillations. The resulting ODE is much smoother and can hence be discretized on a much coarser grid, with significantly reduced numerical costs. In many practically relevant examples, the method is even asymptotically correct w.r.t. the small parameter ε that identifies the oscillation wavelength. Indeed, in these cases, the error then vanishes for ε→0, even on a fixed spatial mesh. Applications to the stationary Schrödinger equation are presented.
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Arnold et al. (2011) studied this question.
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