## High Order Integration Schemes

Integration schemes based on interpolation with polynomials of degree
greater than 2 are seldom used in practice, but one area of application
is in the fields of dynamic simulation, controls, and digital filtering.
For example, if the variables x(t) and y(t) are related according to
the Nth order differential equation
N d^k x N d^k y
SUM a_k ----- = SUM b_k ----- a0, b0, aN <> 0 (1)
k=0 d t^k k=0 d t^k
then the exact root-matched recurrence relation for y(t) at discrete
time intervals T based on interpolating x(t) with a nth degree
polynomial is
S_A Y_n = S_A M A^(-1) B M^(-1) X_n
where X_n and Y_n are the column vectors containing the values of
x(kT) and y(kT) for k = n-N,..., n-1, n. Knowing all the values of the
input function x(kT) and all the PAST values of y(kT), this recurrence
formula allows us to compute the current output value y(nT).
S_A is the row vector whose components are the elementary
symmetric functions of the exponentials of the roots of the
characteristic polynomial of the left side of (1). A, B, and M
are square matrices such that the elements in the jth columns of
the kth rows (where j,k range from 0 to N) are given by
/ (j!/k!) a_(j-k) if j >= k
A_{k,j} = |
\ 0 if j < k
/ (j!/k!) b_(j-k) if j >= k
B_{k,j} = |
\ 0 if j < k
/ (kT)^j if (k+j) > 0
M_{k,j} = |
\ 1 if (k+j) = 0
It's interesting that this formulation results from treating x(t) as
the independent variable and y(t) as the dependent variable, whereas
equation (1) is actually symmetrical. If the two variables are treated
symmetrically the resulting discrete-ized recurrence yields a (slightly)
different response. The difference goes to zero as the discrete time
increment T goes to zero. This convergence at T->0 leads to some
very interesting relations involving the Bernoulli numbers, and is
suggestive of the observed/unobserved dichotomy in quantum mechanics.
Specifically, it suggests that the "collapse of the wave function" when
a measurement is taken is a result of a discretization of time, and if
time were truly continuous there would be no distinction between
"observed" and "unobserved" (or "isolated" and "not-isolated") physics.

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