8.

19: Multistep Methods

Multistep methods are methods, which require starting values from several
previous steps.

There are two important families of multistep methods

Adams methods (explicit: AdamsBashforth as predictor, implicit:

AdamsMoulton as corrector), used together with fixed point iteration
for nonstiff problems,

BDF methods (implicit), together with Newton iteration used for stiff
problems

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uhrer: FMN081-2005
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8.20: Adams Methods

For deriving ADAMS methods we transform the ODE

y = f (t, y) with y(t0) = y0

into its integral form

Z t
y(t) = y0 + f (, y( )) d
t0

and partition the interval into

t0 < t1 < < ti < ti+1 = ti + hi < < te

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uhrer: FMN081-2005
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8.21: Adams Methods (Cont.)

Thus Z tn+1
yn+1 = y(tn+1) = yn + f (, y( )) d
tn
Let un+1i, i = 1, . . . , k be previously computed values and kp the unique
polynomial which interpolates

f (tn+1i, un+1i), i = 1, . . . , k

The we define a method by

Z tn+1
un+1 = un + kp( ) d
tn

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uhrer: FMN081-2005
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8.22: Adams Methods (Cont.)

Example (2-step method, k = 2):

Using the concept of Lagrange polynomials give

kp(t) = f (tn, un)L0(t) + f (tn1, un1)L1(t)

t tn1 t tn
= f (tn, un) + f (tn1, un1)
tn tn1 tn1 tn

Integration gives:

3 1
un+1 = un + h f (tn, un) f (tn1, un1)
2 2

This is the AdamsBashforth-2 method.

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uhrer: FMN081-2005
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8.23: Adams Methods (Cont.)

AdamsBashforth methods are explicit, their general form is

k
X
un+1 = un + h kif (tn+1i, un+1i)
i=1

AdamsMoulton methods are constructed in a similar way.

Here the unknown value f (tn+1, un+1) is taken as an additional interpolation

point.

This makes the method implicit.

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uhrer: FMN081-2005
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8.24: Adams Methods (Cont.)

Examples (AdamsMoulton):

k = 0 : un+1 = un + hf (tn+1, un+1) implicit Euler method

1 1


k = 1 : un+1 = un + h 2 f (tn+1 , un+1 ) + 2 f (tn , un ) Trapezoidal rule

5 8 1


k = 2 : un+1 = un + h 12 f (tn+1 , un+1 ) + 12 f (tn , un ) 12 f (tn1 , un1 )
The general form is

k
X
un+1 = un + h kif (tn+1i, un+1i)
i=0

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uhrer: FMN081-2005
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8.25: Starting a multistep method

To start a multistep method one applies

the initial value

then a one-step method, to get two values

then a two-step method, to get three values

and so on ...

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uhrer: FMN081-2005
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8.26: Adams Method - Stability

The region of stability shrinks when k increases:

1.5 4
AM-1 AM-0
1 AB-1 AB-2 AM-2
2
0.5 AM-3
AB-3
0 0

-0.5
-2
-1

-1.5 -4
-2 -1 0 -6 -4 -2 0 2

20
5
BDF-3 BDF-6
10
BDF-5
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uhrer: FMN081-2005 BDF-2
BDF-4
86o BDF-1
0 0 198

-10
8.27: BDF methods

BDF methods BDF=backward differentiation fomula are constructed directly from the
differential equation. We seek for a polynomial, which statisfies the ODE
in one point, tn+1 and interpolates k previous ones:

Define the k th degree polynomial k+1 by

k+1(tn+1i) = un+1i, i = 0, . . . , k
k+1(tn+1) = f (tn+1, un+1).

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uhrer: FMN081-2005
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8.28: BDF methods (Cont.)

Working out these conditions and using again the Lagrange polynomial
approach gives formulas of the following type:
k
X
kiun+1i = hf (tn+1, un+1)
i=0

Examples:

k = 1 : un+1 = un + hf (tn+1, un+1) implicit Euler method

k = 2 : un+1 = 34 un 13 un1 + h 23 f (tn+1, un+1) BDF-2

18 9 2 6
k = 3 : un+1 = 11 un 11 un1 + 11 un2 + h 11 f (tn+1, un+1)
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uhrer: FMN081-2005
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 1.5 4
AM-1 AM-0
1 AB-1 AB-2 AM-2
2
0.5 AM-3
AB-3
8.29: BDF0 - Stability 0

-0.5
-2
The region of-1 stability shrinks when k increases,
-1.5 -4but remains unbounded for k 6:
-2 -1 0 -6 -4 -2 0 2

20
5
BDF-3 BDF-6
10
BDF-5
BDF-2
BDF-4
86o BDF-1
0 0

-10

-5
-20
-2 0 2 4 6 8 -10 0 10 20 30

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uhrer: FMN081-2005
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