Jim Lambers

MAT 461/561
Spring Semester 2009-10
Lecture 9 Notes

These notes correspond to Section 5.11 in the text.

Sti Dierential Equations

To this point, we have evaluated the accuracy of numerical methods for initial-value problems
in terms of the rate at which the error approaches zero, when the step size approaches zero.
However, this characterization of accuracy is not always informative, because it neglects the fact
that the local truncation error of any one-step or multistep method also depends on higher-order
derivatives of the solution. In some cases, these derivatives can be quite large in magnitude, even
when the solution itself is relatively small, which requires that be chosen particularly small in
order to achieve even reasonable accuracy.
This leads to the concept of a sti dierential equation. A dierential equation of the form

= (, ) is said to be sti if its exact solution () includes a term that decays exponentially to
zero as increases, but whose derivatives are much greater in magnitude than the term itself. An
example of such a term is , where is a large, positive constant, because its th derivative is
. Because of the factor of , this derivative decays to zero much more slowly than as
increases. Because the error includes a term of this form, evaluated at a time less than , the error
can be quite large if is not chosen suciently small to oset this large derivative. Furthermore,
the larger is, the smaller must be to maintain accuracy.
Example Consider the initial value problem

= 100, > 0, (0) = 1.

The exact solution is () = 100 , which rapidly decays to zero as increases. If we solve this
problem using Eulers method, with step size = 0.1, then we have

+1 = 100 = 9 ,

which yields the exponentially growing solution = (9) . On the other hand, if we choose
= 103 , we obtain the computed solution = (0.9) , which is much more accurate, and
correctly captures the qualitative behavior of the exact solution, in that it rapidly decays to zero.

The ODE in the preceding example is a special case of the test equation

= , (0) = 1, Re < 0.

1
The exact solution to this problem is () = . However, as increases in magnitude, the problem
becomes increasingly sti. By applying a numerical method to this problem, we can determine how
small must be, for a given value of , in order to obtain a qualitatively accurate solution.
When applying a one-step method to the test equation, the computed solution has the form

+1 = () ,

where () is a polynomial in . This polynomial is meant to approximate , since the exact

solution satises (+1 ) = ( ). However, to obtain a qualitatively correct solution, that
decays to zero as increases, we must choose so that () < 1.
Example Consider the modied Euler method

+1 = + [ ( , ) + ( + , + ( , ))].
2
Setting (, ) = yields the computed solution
( )
1 2 2
+1 = + [ + ( + )] = 1 + + ,
2 2

so () = 1 + + 21 ()2 . If we assume is real, then in order to satisfy () < 1, we must

have 2 < < 0. It follows that the larger is, the smaller must be.
The test equation can also be used to determine how to choose for a multistep method. The
process is similar to the one used to determine whether a multistep method is stable, except that
we use (, ) = , rather than (, ) 0.
Given a general multistep method of the form



+1 = +1 ,
=0 =0

we substitute = and obtain the recurrence relation

( )+1 = 0.
=0

It follows that the computed solution has the form

= ,
=1

where each is a root of the characteristic polynomial

(, ) = (0 0 ) + (1 1 )1 + + (1 1 ) + ( ).

2
 The exponents range from 0 to the multiplicity of minus one, so if the roots are all
distinct, all are equal to zero. In order to ensure that the numerical solution decays to zero as
increases, we must have < 1 for = 1, 2, . . . , . Otherwise, the solution will either converge
to a nonzero value, or grow in magnitude.
Example Consider the 3-step Adams-Bashforth method

+1 = + [23 161 + 52 ].
12
Applying this method to the test equation yields the characteristic polynomial
( )
23 4 5
(, ) = + 1 2 + .
3
12 3 12

Let = 100. If we choose = 0.1, so that = 10, then (, ) has a root approximately
equal to 18.884, so is too large for this method. On the other hand, if we choose = 0.005,
so that = 1/2, then the largest root of (, ) is approximately 0.924, so is suciently
small to produce a qualitatively correct solution.
Next, we consider the 2-step Adams-Moulton method

+1 = + [5+1 + 8 1 ].
12
In this case, we have
( ) ( )
5 2 2 1
(, ) = 1 + 1 + .
12 3 12

Setting = 0.05, so that = 5, the largest root of (, ) turns out to be approximately

0.906, so a larger step size can safely be chosen for this method.
In general, larger step sizes can be chosen for implicit methods than for explicit methods.
However, the savings achieved from having to take fewer time steps can be oset by the expense
of having to solve a nonlinear equation during every time step.
The region of absolute stability of a one-step method or a multistep method is the region of
the complex plane such that if , then a solution computed using and will decay to zero,
as desired. That is, for a one-step method, () < 1 for , and for a multistep method,
the roots 1 , 2 , . . . , of (, ) satisfy < 1.
Because a larger region of absolute stability allows a larger step size to be chosen for a given
value of , it is preferable to use a method that has as large a region of absolute stability as possible.
The ideal situation is when a method is A-stable, which means that its region of absolute stability
contains the entire left half-plane, because then, the solution will decay to zero regardless of the
choice of .

3
 An example of an A-stable one-step method is the Backward Euler method

+1 = + (+1 , +1 ),

an implicit method. For this method,

1
() = ,
1
and since Re < 0, it follows that () < 1 regardless of the value of . The only A-stable
multistep method is the implicit trapezoidal method

+1 = + [+1 + ],
2
because ( ) ( )

(, ) = 1 + 1 ,
2 2
which has the root

1+ 2
=
.
1 2
The numerator and denominator have imaginary parts of the same magnitude, but because Re >
0, the real part of the denominator has a larger magnitude than that of the numerator, so < 1,
regardless of .
Implicit multistep methods, such as the implicit trapezoidal method, are often used for sti
dierential equations because of their larger regions of absolute stability. Because +1 appears on
both sides of the dierence equation for such methods, it is necessary to use an iterative method
such as Newtons method to compute +1 . For a general implicit multistep method, for which
0 = 0, Newtons method is applied to the function



() = 0 + +1 0 (+1 , ) +1 .
=1 =1

The resulting iteration is

()
(+1) () (+1 )
+1 = +1 ()
(+1 )
() ()
() 0 +1 + =1 +1 0 (+1 , +1 ) =1 +1
= +1 ()
,
0 0 (+1 , +1 )
(0)
with +1 = .