Absolute Stability PDF

Review
One Step Methods

Multistep Methods
Summary
A BSOLUTE S TABILITY
Dr. Johnson
School of Mathematics
Semester 1 2008
Dr. Johnson MATH65241

Review
One Step Methods
Multistep Methods
Summary
O UTLINE
1 R EVIEW
2 O NE S TEP M ETHODS
Stiff Problems
Absolute Stability
Examples
3 M ULTISTEP M ETHODS
Stiff Problems
Absolute Stability
4 S UMMARY

Review
One Step Methods
Multistep Methods
Summary
O UTLINE
1 R EVIEW
Stiff Problems
Absolute Stability
Examples
Stiff Problems
Absolute Stability
4 S UMMARY

Review
One Step Methods
Multistep Methods
Summary
O UTLINE
1 R EVIEW
Stiff Problems
Absolute Stability
Examples
Stiff Problems
Absolute Stability
4 S UMMARY

Review
One Step Methods
Multistep Methods
Summary
O UTLINE
1 R EVIEW
Stiff Problems
Absolute Stability
Examples
Stiff Problems
Absolute Stability
4 S UMMARY

Review
One Step Methods
Multistep Methods
Summary
S TABILITY
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
convergent if they are stable and 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.

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
O UTLINE
1 R EVIEW
Stiff Problems
Absolute Stability
Examples
Stiff Problems
Absolute Stability
4 S UMMARY

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
S TIFF P ROBLEMS
Consider the problem:
y′ = −50y, 0 ≤ x ≤ 1, y(0) = 1
approximated by
wi+1 = wi + hf (xi , wi ).
We have seen that if we choose h too large the solution is

unstable.

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
S TIFF P ROBLEMS
Consider the problem:
y′ = −50y, 0 ≤ x ≤ 1, y(0) = 1
approximated by
wi+1 = wi + hf (xi , wi ).
We have seen that if we choose h too large the solution is

unstable.

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
S TIFF P ROBLEMS
Consider the more general problem:
y′ = κy, a ≤ x ≤ b, y(a) = α, κ < 0.
with the exact solution y(x) = αeκx .

A general one-step method gives a solution of the form:
wi+1 = Q(hκ )wi

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
S TIFF P ROBLEMS
Consider the more general problem:
y′ = κy, a ≤ x ≤ b, y(a) = α, κ < 0.

A general one-step method gives a solution of the form:
wi+1 = Q(hκ )wi

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
S TIFF P ROBLEMS
The general one-step method:
wi+1 = Q(hκ )wi
Given w0 = α, then
wn = Q(hκ )wn−1 = Q(hκ )[Q(hκ )wn−2 ]

= Q(hκ )2 wn−2 = Q(hκ )n w0
= Q(hκ )n α
So to satisfy the condition wn → 0 as n → ∞ we have
lim Q(hκ )n = 0, or |Q(hκ )| < 1.

n→ ∞
Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
S TIFF P ROBLEMS
wi+1 = Q(hκ )wi
Given w0 = α, then

= Q(hκ )2 wn−2 = Q(hκ )n w0
= Q(hκ )n α
lim Q(hκ )n = 0, or |Q(hκ )| < 1.

n→ ∞
Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
S TIFF P ROBLEMS
wi+1 = Q(hκ )wi
Given w0 = α, then

= Q(hκ )2 wn−2 = Q(hκ )n w0
= Q(hκ )n α
lim Q(hκ )n = 0, or |Q(hκ )| < 1.

n→ ∞
Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
O UTLINE
1 R EVIEW
Stiff Problems
Absolute Stability
Examples
Stiff Problems
Absolute Stability
4 S UMMARY

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
R EGION OF S TABILITY
D EFINITION :
We define a region R of absolute stability for a one-step
method as the region in the complex plane satisfying:
R = {hκ ∈ C , |Q(hκ )| < 1} .
If R contains the entire left half plane, the method is said

to be A-stable.

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
O UTLINE
1 R EVIEW
Stiff Problems
Absolute Stability
Examples
Stiff Problems
Absolute Stability
4 S UMMARY

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
E ULER M ETHOD
Euler’s method is given by
wi+1 = (1 + hκ )wi , Q(hκ ) = 1 + hκ
so the region of stability is
2
|1 + hκ | < 1, or h<
κ

Review
Stiff Problems
One Step Methods
Absolute Stability
Multistep Methods
Examples
Summary
M ODIFIED E ULER M ETHOD
Euler’s method is given by
h 1 + hκ/2
wi+1 = wi + [f (xi , wi ) + f (xi+1 , wi+2 )], Q(hκ ) =
2 1 − hκ/2
so the region of stability is
|1 + hκ | < |1 − hκ |, or h>0
This method is A-stable.

Review
One Step Methods Stiff Problems
Multistep Methods Absolute Stability
Summary
O UTLINE
1 R EVIEW
Stiff Problems
Absolute Stability
Examples
Stiff Problems
Absolute Stability
4 S UMMARY

Review
Summary
S TIFF P ROBLEMS
Consider again the more general problem:
y′ = κy, a ≤ x ≤ b, y(a) = α, κ < 0.

A general multi-step method gives a solution of the form:
wi+1 =am−1 wi + am−2 wi−1 + · · · + a0 wi+1−m

+ h[bm κwi+1 + bm−1 κwi + · · · + b0 κwi+1−m ].
Seek a solution of the form wi = zi .

Review
Summary
S TIFF P ROBLEMS
Consider again the more general problem:
y′ = κy, a ≤ x ≤ b, y(a) = α, κ < 0.

A general multi-step method gives a solution of the form:
wi+1 =am−1 wi + am−2 wi−1 + · · · + a0 wi+1−m

+ h[bm κwi+1 + bm−1 κwi + · · · + b0 κwi+1−m ].
Seek a solution of the form wi = zi .

Review
Summary
M ULTISTEP S OLUTIONS
If we let wi = zi , then we can derive the characteristic

equation
Sub zi into the equation for wi+1 :
zn =am−1 zn−1 + am−2 zn−2 + · · · + a0 zn−m

+ bm hκzn + bm−1 hκzn−1 + · · · + b0 hκzn−m .
Then we have
(1 − bm hκ )zn = (am−1 + bm−1 hκ )zn−1 + . . .

+ (a0 + b0 hκ )zn−m

Review
Summary
C HARACTERISTIC E QUATION
After cancelling a factor of zn−m we have the characteristic

equation for z
Qm (z, hκ ) = 0
with
Qm (z, hκ ) = (1 − bm hκ )zm − (am−1 + bm−1 hκ )zm−1 − . . .

− (a0 + b0 hκ )

Review
Summary
O UTLINE
1 R EVIEW
Stiff Problems
Absolute Stability
Examples
Stiff Problems
Absolute Stability
4 S UMMARY

Review
Summary
L INEAR C OMBINATIONS
If the roots of the characteristic equation are β i , then we

may write
m
wn = ∑ ci βni
i=1

Review
Summary
A BSOLUTE S TABILITY
D EFINITION :
If the roots of the characteristic equation Q(z, hκ ) are β i , then
the region of absolute stability R is defined as
R = {hκ ∈ C , | β i | < 1}

Review
One Step Methods
Multistep Methods
Summary
Some method can be unstable for large h - Euler method.

Some methods are stable even for large h - Modified Euler
method.
Implicit methods tend to be more stable.
Things are far more complicated for multistep methods.
Be thorough, don’t believe your results unless you can
prove convergence!!!

Review
One Step Methods
Multistep Methods
Summary
Some method can be unstable for large h - Euler method.

Some methods are stable even for large h - Modified Euler
method.
Implicit methods tend to be more stable.
Things are far more complicated for multistep methods.
Be thorough, don’t believe your results unless you can
prove convergence!!!

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Review

One Step Methods

Dr. Johnson MATH65241

Dr. Johnson MATH65241

Dr. Johnson MATH65241

Dr. Johnson MATH65241

Dr. Johnson MATH65241

We investigate stability in the limit as h → 0, and show it is

Dr. Johnson MATH65241

Dr. Johnson MATH65241

Consider the problem:

We have seen that if we choose h too large the solution is

Dr. Johnson MATH65241

Consider the problem:

We have seen that if we choose h too large the solution is

Dr. Johnson MATH65241

Consider the more general problem:

y′ = κy, a ≤ x ≤ b, y(a) = α, κ < 0.

with the exact solution y(x) = αeκx .

wi+1 = Q(hκ )wi

Dr. Johnson MATH65241

Consider the more general problem:

y′ = κy, a ≤ x ≤ b, y(a) = α, κ < 0.

with the exact solution y(x) = αeκx .

wi+1 = Q(hκ )wi

Dr. Johnson MATH65241

wi+1 = Q(hκ )wi

wn = Q(hκ )wn−1 = Q(hκ )[Q(hκ )wn−2 ]

So to satisfy the condition wn → 0 as n → ∞ we have

lim Q(hκ )n = 0, or |Q(hκ )| < 1.

wi+1 = Q(hκ )wi

wn = Q(hκ )wn−1 = Q(hκ )[Q(hκ )wn−2 ]

So to satisfy the condition wn → 0 as n → ∞ we have

lim Q(hκ )n = 0, or |Q(hκ )| < 1.

wi+1 = Q(hκ )wi

wn = Q(hκ )wn−1 = Q(hκ )[Q(hκ )wn−2 ]

So to satisfy the condition wn → 0 as n → ∞ we have

lim Q(hκ )n = 0, or |Q(hκ )| < 1.

Dr. Johnson MATH65241

R = {hκ ∈ C , |Q(hκ )| < 1} .

If R contains the entire left half plane, the method is said

Dr. Johnson MATH65241

Dr. Johnson MATH65241

Euler’s method is given by

wi+1 = (1 + hκ )wi , Q(hκ ) = 1 + hκ

so the region of stability is

Dr. Johnson MATH65241

M ODIFIED E ULER M ETHOD

Euler’s method is given by

so the region of stability is

This method is A-stable.

Dr. Johnson MATH65241

Dr. Johnson MATH65241

Consider again the more general problem:

y′ = κy, a ≤ x ≤ b, y(a) = α, κ < 0.

with the exact solution y(x) = αeκx .

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

Seek a solution of the form wi = zi .

Dr. Johnson MATH65241

Consider again the more general problem:

y′ = κy, a ≤ x ≤ b, y(a) = α, κ < 0.

with the exact solution y(x) = αeκx .

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