Stability Handout PDF

Introduction
Multi-Step Methods
Summary
S TABILITY
Dr. Johnson
School of Mathematics
Semester 1 2008
Dr. Johnson MATH65241

Introduction
Multi-Step Methods
Summary
O UTLINE
1 I NTRODUCTION
What is stability?
Defining stability
2 M ULTI -S TEP M ETHODS

Characteristic Equation
Stability Root Condition
Examples

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
A N EXAMPLE PROBLEM :
Suppose the initial-value problem
y ′ = −50y , 0 ≤ x ≤ 1, y (0) = 1
is approximated by the Euler method so that
yi+1 = yi + hf (xi , yi ).
The exact solution to the problem is
y (x) = e−50x
This is a stiff problem.

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
T HE E XACT S OLUTION
1
y=e-50x
0.8
0.6
y(x)
0.4
0.2
0
0 0.2 0.4 0.6 0.8 1
x

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
U NSTABLE S OLUTION
Now we generate the numerical solution with h = 0.05, we

have that
y0 = 1
y1 = 1 + (0.05) · (−50 · 1) = −1.5
y2 = −1.5 + (0.05) · (−50 · −1.5) = 2.25
and so on. . .
Here errors are growing, the method is unstable.

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
U NSTABLE SOLUTION
Now we take h = 0.04, then

y0 = 1
y1 = 1 + (0.04) · (−50 · 1) = −1
y2 = −1 + (0.04) · (−50 · −1) = 1
and so on. . .
Here the solution oscilates, and errors grow slowly. The
method is unstable.

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
S TABLE SOLUTION
Next take h = 1/30, then

y0 = 1
y1 = 1 + (1/30) · (−50 · 1) = −2/3
y2 = −2/3 + (1/30) · (−50 · −2/3) = 4/9
and so on. . .
Here the solution oscilates, but errors reduce slowly. The
method is in some sense stable.

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
U NSTABLE S OLUTIONS
y=e-50x
4 n=20
n=25
n=30
2
y(x)
-2
-4
0 0.2 0.4 0.6 0.8 1

x

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
S TABLE S OLUTIONS
A stable solution is one in which errors or pertubations are

damped down.
Think of the first case with h = 0.05:
The error from calculating y1 is amplified at y2 .
Given the exact value for y1 , the error at y2 would be much
smaller.
If we set h small enough the errors are bounded and the
method gives satisfactory results.

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
S OME S TABLE S OLUTIONS
1
y=e-50x
n=50
n=100
0.8
0.6
y(x)
0.4
0.2
0
0 0.2 0.4 0.6 0.8 1
x

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
C ONSISTENCY
D EFINITION :
A one-step difference method with truncation error τi (h) at the
ith step is said to be consistent with the difference equation it
approximates if
lim max |τi (h)| = 0.
h→0 i
This is a local definition.

We compare the exact value to the difference
approximation given that we know the exact value at yi−1 .

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
C ONVERGENCE
D EFINITION :
A one-step difference method is said to be convergent with
respect to the difference equation it approximates if
lim max |wi − y (xi )| = 0,

h→0 i
where wi is the approximate value at xi to the exact value

yi = y (xi ).
This is a global definition.

Given that only y0 is exact, the errors at the ith position
tend to zero as we reduce the step size.

Introduction
What is stability?
Multi-Step Methods
Defining stability
Summary
S TABILITY
D EFINITION :
A stable method is one whose results depend continuously on
the initial data.
Consider a one step method in the form
wi+1 = wi + hφ(xi , yi , h),
such that φ is continuous and satisfies a Lipschitz

condition. Then the method is stable as defined above.
If the method is consistent, then it is convergent if and only
if it is stable.

Introduction Characteristic Equation
Multi-Step Methods Stability Root Condition
Summary Examples
G ENERAL MULTISTEP METHOD
The general m multistep method for approximating the solution

to the initial-value problem
y ′ = f (x, y ), a ≤ x ≤ b, y (a) = α
can be written as
w0 = α, w1 = α1 , . . . , wm−1 = αm−1 ,
wi+1 = am−1 wi + am−2 wi−1 + · · · + a0 wi+1−m
+hF (xi , h, wi , . . . , wi+1−m ),
This is very complicated to analyse, so we simplify things. . .

Summary Examples
C HARACTERISTIC EQUATION
Consider the trivial initial-value problem
y ′ = 0, y (a) = α, where α 6= 0,
this has the solution y (x) = α.

In theory any multistep method will produce the result
wn = α.
The only errors will be due to roundoff.
This is the homogeneous equation, and is embedded in
the original problem.

Summary Examples
Since f (x, y ) = 0, then in the multi-step method F (x, y ) = 0, so

we can write
wi+1 = am−1 wi + am−2 wi−1 + · · · + a0 wi+1−m (1)
and the corresponding characteristic equation of the method is

given by
λm − am−1 λm−1 − am−2 λm−2 − · · · − a1 λ − a0 = 0. (2)

Summary Examples
Suppose λ is a root of the characteristic equation (2), then

wn = λn is a solution to (1).
wn+1 − am−1 wn − am−2 wn−1 − · · · + a0 wn+1−m = 0.

λn+1 − am−1 λn − am−2 λn−1 − · · · + a0 λn+1−m = 0.
λn+1−m [λm − am−1 λm−1 − am−2 λm−2 − · · · − a1 λ − a0 ] = 0
λn+1−m [0] = 0

Summary Examples
ROOTS OF THE EQUATION
If λ1 , λ2 , . . . , λm are the distinct roots of the characteristic

equation (2), then we can show:
Every solution wn can be written as
X
m
wn = ci λni ,
i=1
for some unique collection of constants c1 , c2 , . . . , cm .
This is just a linear combination of the solutions λni .

Remember that all solutions should be equal to the exact
solution wn = α.

Summary Examples
λ = 1 MUST BE A ROOT.
Since we have an exact solution y (x) = α, and therefore

wn = α, then subbing into (1) we get
α = am−1 α + am−2 α + · · · + a0 α
and after rearranging we obtain
α[1 − am−1 − am−2 − · · · − a1 − a0 ] = 0
which implies that λ = 1 is a root of (2).
Therfore set λ1 = 1 and c1 = α.

Summary Examples
S OLUTION TO THE INITIAL VALUE PROBLEM
Every solution wn can be written as
X
m
wn = α + ci λni ,
i=2
for some unique collection of constants c2 , . . . , cm .
If calculations are exact, c2 , . . . , cm = 0

In practice c2 , . . . , cm 6= 0
ROUNDOFF ERRORS
Errors will grow exponentially unless |λi | ≤ 1 ∀i.

Summary Examples
T HE ROOT CONDITION
Let λ1 , λ2 , . . . , λm be the distinct roots of the characteristic
equation
λm − am−1 λm−1 − am−2 λm−2 − · · · − a1 λ − a0 = 0
associated with the difference method
w0 = α, w1 = α1 , . . . , wm−1 = αm−1 ,
wi+1 = am−1 wi + am−2 wi−1 + · · · + a0 wi+1−m
+hF (xi , h, wi , . . . , wi+1−m ),
then
D EFINITION
If |λi | ≤ 1 for each i = 1, 2, . . . , m and all roots with value 1 are
simple root then the difference method is said to satisfy the root
condition.
Summary Examples
T HE ROOT CONDITION
D EFINITION
If the method satisfies the root condition and has λ1 = 1 as the
only root of magnitude 1 are called strongly stable.
D EFINITION
If the method satisfies the root condition with more than one
distinct root with magnitude one are called weakly stable.
D EFINITION
If the method does not satisfy the root condition then the
method is unstable.

Summary Examples
T HE A DAMS -BASHFORTH METHOD
wi+1 = wi + hF (xi , h, wi+1 , . . . , wi−3 )

where
1
F (xi , h, wi+1 , . . . , wi−3 ) = [55f (xi , wi ) − 59f (xi−1 , wi−1 )
24
+37f (xi−2 , wi−2 ) − 9f (xi−3 , yi−3 )]
so m = 4, a0 = a1 = a2 = 0, and a3 = 1.
The characteristic equation is:
λ4 − λ3 = λ3 (λ − 1) = 0
Roots are λ1 = 1 and λ2 = λ3 = λ4 = 0.

The method is strongly stable.
Summary Examples
M ILNE ’ S METHOD
4h
wi+1 = wi−3 + [2f (xi , wi ) − f (xi−1 , wi−1 ) + 2f (xi−2 , wi−2 )]
3
The characteristic equation is:
λ4 − 1 = 0
Roots are λ1 = 1, λ2 = −1, λ3 = i, and λ4 = −i.

The method is weakly stable.

Introduction
Multi-Step Methods
Summary
S UMMARY
We investigate stability in the limit as h → 0, and show it is

contained in the characteristic equation for the difference
method.
In this sense, we can show all one-step methods are stable
and convergent if they are consistent.
For multistep methods, we define two states of stability,
strong and weak. Strongly stable schemes are the
preferred methods.
Even though the euler method is stable, we saw in the
introduction that for sufficiently large stepsize the method
becomes unstable. This leads to another definition of
stability in the next lecture. . .

Stability Handout PDF

Încărcat de

Informații document

Titlu original

Drepturi de autor

Formate disponibile

Partajați acest document

Partajați sau inserați document

Opțiuni de partajare

Vi se pare util acest document?

Este necorespunzător acest conținut?

Drepturi de autor:

Formate disponibile

Stability Handout PDF

Încărcat de

Drepturi de autor:

Formate disponibile

Introduction

Dr. Johnson MATH65241

2 M ULTI -S TEP M ETHODS

Dr. Johnson MATH65241

Suppose the initial-value problem

is approximated by the Euler method so that

The exact solution to the problem is

This is a stiff problem.

Dr. Johnson MATH65241

Dr. Johnson MATH65241

Now we generate the numerical solution with h = 0.05, we

Dr. Johnson MATH65241

Now we take h = 0.04, then

Dr. Johnson MATH65241

Next take h = 1/30, then

Dr. Johnson MATH65241

0 0.2 0.4 0.6 0.8 1

Dr. Johnson MATH65241

A stable solution is one in which errors or pertubations are

Dr. Johnson MATH65241

S OME S TABLE S OLUTIONS

Dr. Johnson MATH65241

This is a local definition.

Dr. Johnson MATH65241

lim max |wi − y (xi )| = 0,

where wi is the approximate value at xi to the exact value

This is a global definition.

Dr. Johnson MATH65241

Consider a one step method in the form

wi+1 = wi + hφ(xi , yi , h),

such that φ is continuous and satisfies a Lipschitz

Dr. Johnson MATH65241

G ENERAL MULTISTEP METHOD

The general m multistep method for approximating the solution

This is very complicated to analyse, so we simplify things. . .

Dr. Johnson MATH65241

Consider the trivial initial-value problem

this has the solution y (x) = α.

Dr. Johnson MATH65241

Since f (x, y ) = 0, then in the multi-step method F (x, y ) = 0, so

wi+1 = am−1 wi + am−2 wi−1 + · · · + a0 wi+1−m (1)

and the corresponding characteristic equation of the method is

λm − am−1 λm−1 − am−2 λm−2 − · · · − a1 λ − a0 = 0. (2)

Dr. Johnson MATH65241

Suppose λ is a root of the characteristic equation (2), then

wn+1 − am−1 wn − am−2 wn−1 − · · · + a0 wn+1−m = 0.

Dr. Johnson MATH65241

ROOTS OF THE EQUATION

If λ1 , λ2 , . . . , λm are the distinct roots of the characteristic

Every solution wn can be written as

for some unique collection of constants c1 , c2 , . . . , cm .

This is just a linear combination of the solutions λni .

Dr. Johnson MATH65241

Since we have an exact solution y (x) = α, and therefore

and after rearranging we obtain

α[1 − am−1 − am−2 − · · · − a1 − a0 ] = 0

which implies that λ = 1 is a root of (2).

Therfore set λ1 = 1 and c1 = α.

Dr. Johnson MATH65241

S OLUTION TO THE INITIAL VALUE PROBLEM

Every solution wn can be written as

for some unique collection of constants c2 , . . . , cm .

If calculations are exact, c2 , . . . , cm = 0