Abstract: Embodiments of the present invention are directed to reducing the computational cost of propagating the uncertainty in the state of an object, which requires the numerical solution of an initial value problem (IVP) ensemble, by means of a computer. The present invention uses an implicit-Runge-Kutta-based (IRK) method that exploits the proximity of the initial conditions within the IVP ensemble. More specifically, one of the IVPs can be solved over a given time span consisting of one or more time steps with an IRK method, and the resulting trajectory can be recorded. The system of equations that arises on each time step of the IRK method can be solved using various iterative methods. The remaining IVPs can be solved over the same timespan using the same IRK method and time steps, together with the recorded trajectory from the first propagation.

Abstract: Embodiments of the present invention are directed to reducing the computational cost of propagating the uncertainty in the state of an object, which requires the numerical solution of an initial value problem (IVP) ensemble, by means of a computer. The present invention uses an implicit-Runge-Kutta-based (IRK) method that exploits the proximity of the initial conditions within the IVP ensemble. More specifically, one of the IVPs can be solved over a given time span consisting of one or more time steps with an IRK method, and the resulting trajectory can be recorded. The system of equations that arises on each time step of the IRK method can be solved using various iterative methods. The remaining IVPs can be solved over the same timespan using the same IRK method and time steps, together with the recorded trajectory from the first propagation.