A generalization of the Runge-Kutta Method for solution of Ordinary Differential Equations, also called Rosenbrock Methods.
See also Runge-Kutta Method
Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T.
Numerical Recipes in FORTRAN: The Art of Scientific Computing, 2nd ed. Cambridge, England: Cambridge
University Press, pp. 730-735, 1992.