A criterion forP-stability properties of Runge-Kutta methods

P-stability is an analogous stability property toA-stability with respect to delay differential equations. It is defined by using a scalar test equation similar to the usual test equation ofA-stability. EveryP-stable method isA-stable, but anA-stable method is not necessarilyP-stable. We considerP-stability of Runge-Kutta (RK) methods and its variation which was originally introduced for multistep methods by Bickart, and derive a sufficient condition for an RK method to have the stability properties on the basis of an algebraic characterization ofA-stable RK methods recently obtained by Schere and Müller. By making use of the condition we clarify stability properties of some SIRK and SDIRK methods, which are easier to implement than fully implicit methods, applied to delay differential equations.     

A-stable block implicit one-step methods

A class of methods for solving the initial value problem for ordinary differential equations is studied. We developr-block implicit one-step methods which compute a block ofr new values simultaneously with each step of application. These methods are examined for the property ofA-stability. A sub-class of formulas is derived which is related to Newton-Cotes quadrature and it is shown that for block sizesr=1,2,..., 8 these methods areA-stable while those forr=9,10 are not. We constructA-stable formulas having arbitrarily high orders of accuracy, even stiffly (strongly)A-stable formulas.     

Stability of the Radau IA and Lobatto IIIC methods for delay differential equations

Recently, we have proved that the Radau IA and Lobatto IIIC methods are P-stable, i.e., they have an analogous stability property to A-stability with respect to scalar delay differential equations (DDEs). In this paper, we study stability of those methods applied to multidimensional DDEs. We show that they have a similar property to P-stability with respect to multidimensional equations which satisfy certain conditions for asymptotic stability of the zero solutions. The conditions are closely related to stability criteria for DDEs considered in systems theory. Received October 8, 1996 / Revised version received February 21, 1997     

A note on a class of stronglyA-stable methods

Formulae for a class ofA-stable quadrature methods, or equivalently a certain implicit Runge-Kutta scheme, are given. A short proof of the strongA-stability is presented.On leave of absence from Chalmers University of Technology, Göteborg, Sweden.     

A stability property of implicit Runge-Kutta methods

A class of implicit Runge-Kutta methods is shown to possess a stability property which is a natural extension of the notion ofA-stability for non-linear systems.     

The equivalence ofB-stability andA-stability

It is a well-known result of Dahlquist that the linear (A-stability) and non-linear (G-stability) stability concepts are equivalent for multistep methods in their one-leg formulation. We show to what extent this result also holds for Runge-Kutta methods. Dedicated to Germund Dahlquist on the occasion of his 60th birthday.     

A-stable Runge-Kutta processes

The concept of strongA-stability is defined. A class of stronglyA-stable Runge-Kutta processes is introduced. It is also noted that several classes of implicit Runge-Kutta processes defined by Ehle [6] areA-stable.     

A-stability of Runge-Kutta methods for systems with additive noise

Numerical stability of both explicit and implicit Runge-Kutta methods for solving ordinary differential equations with an additive noise term is studied. The concept of numerical stability of deterministic schemes is extended to the stochastic case, and a stochastic analogue of Dahlquist'sA-stability is proposed. It is shown that the discretization of the drift term alone controls theA-stability of the whole scheme. The quantitative effect of implicitness uponA-stability is also investigated, and stability regions are given for a family of implicit Runge-Kutta methods with optimal order of convergence.This author was partially supported by the Italian Consiglio Nazionale delle Ricerche.     

High orderP-stable formulae for the numerical integration of periodic initial value problems

Summary Recently there has been considerable interest in the approximate numerical integration of the special initial value problemy=f(x, y) for cases where it is known in advance that the required solution is periodic. The well known class of Störmer-Cowell methods with stepnumber greater than 2 exhibit orbital instability and so are often unsuitable for the integration of such problems. An appropriate stability requirement for the numerical integration of periodic problems is that ofP-stability. However Lambert and Watson have shown that aP-stable linear multistep method cannot have an order of accuracy greater than 2. In the present paper a class of 2-step methods of Runge-Kutta type is discussed for the numerical solution of periodic initial value problems.P-stable formulae with orders up to 6 are derived and these are shown to compare favourably with existing methods.     

A note onB-stability of Runge-Kutta methods

Summary Burrage and Butcher [1, 2] and Crouzeix [4] introduced for Runge-Kutta methods the concepts ofB-stability,BN-stability and algebraic stability. In this paper we prove that for any irreducible Runge-Kutta method these three stability concepts are equivalent.Chapters 1–3 of this article have been written by the second author, whereas chapter 4 has been written by the first author     

Stability of ZakianI MN recursions for linear delay differential equations

Long sequences of linear delay differential equations (DDEs) frequently occur in the design of control systems with delays using iterative-numerical methods, such as the method of inequalities. ZakianI _MN recursions for DDEs are suitable for solving this class of problems, since they are reliable and provide results to the desired accuracy, economically even if the systems are stiff. This paper investigates the numerical stability property of theI _MN recursions with respect to Barwell's concept ofP-stability. The result shows that the recursions using full gradeI _MN approximants areP-stable if, and only if,N−2≤M≤N−1.     

NP-stability of Runge-Kutta methods based on classical quadrature

Recently Bellen, Jackiewicz and Zennaro have studied stability properties of Runge-Kutta (RK) methods for neutral delay differential equations using a scalar test equation. In particular, they have shown that everyA-stable collocation method isNP-stable, i.e., the method has an analogous stability property toA-stability with respect to the test equation. Consequently, the Gauss, Radau IIA and Lobatto IIIA methods areNP-stable. In this paper, we examine the stability of RK methods based on classical quadrature by a slightly different approach from theirs. As a result, we prove that the Radau IA and Lobatto IIIC methods equipped with suitable continuous extensions are alsoNP-stable by virtue of fundamental notions related to those methods such as simplifying conditions, algebraic stability, and theW-transformation.     

An extension ofA-stability to alternating direction implicit methods

Completely implicit, noniterative, finite-difference schemes have recently been developed by several authors for nonlinear, multidimensional systems of hyperbolic and mixed hyperbolic-parabolic partial differential equations. The method of Douglas and Gunn or the method of approximate factorization can be used to reduce the computational problem to a sequence of one-dimensional or alternating direction implicit (ADI) steps. Since the eigenvalues of partial differential equations (for example, the equations of compressible fluid dynamics) are often widely distributed with large imaginary parts,A-stable integration formulas provide ideal time-differencing approximations. In this paper it is shown that if anA-stable linear multistep method is used to integrate a model two-dimensional hyperbolic-parabolic partial differential equation, then one can always construct an ADI scheme by the method of approximate factorization which is alsoA-stable, i.e., unconditionally stable. A more restrictive result is given for three spatial dimensions. Since necessary and sufficient conditions forA-stability can easily be determined by using the theory of positive real functions, the stability analysis of the factored partial difference equations is reduced to a simple algebraic test.The main results of this paper were presented at the SIAM National Meeting, Madison, Wis., May 24 to 26, 1978, and section 9 was part of a presentation at the 751st Meeting of the American Mathematical Society, San Luis Obispo, California, Nov. 11 to 12, 1977.     

A- andB-stability for Runge-Kutta methods-characterizations and equivalence

Summary Using a special representation of Runge-Kutta methods (W-transformation), simple characterizations ofA-stability andB-stability have been obtained in [9, 8, 7]. In this article we will make this representation and their conclusions more transparent by considering the exact Runge-Kutta method. Finally we demonstrate by a numerical example that for difficult problemsB-stable methods are superior to methods which are onlyA-stable.Talk, presented at the conference on the occasion of the 25th anniversary of the founding ofNumerische Mathematik, TU Munich, March 19–21, 1984     

Integrators for stiff systems with undamped oscillatory solutions

In this paper, we discuss various A-stable integration methods for stiff ordinary differential equations, suitable for general purpose circuit simulations and device simulation. We point out that some of the popular methods either introduce excessive amounts of numerical damping when applied to a loss-less resonance circuit or fail to sufficiently damp rapidly delaying stiff modes. Furthermore, some of these methods can become unstable when applied with variable steps to stable problems with variable coefficients. Some recently discovered integrators, on the other hand, simultaneously combine the advantages and avoid the disadvantages of the former methods. Furthermore, if implemented properly, these latter methods retain their A-stability when applied with variable steps to the stable variable coefficient test equation.     

Stability analysis of methods employing reducible rules for Volterra integral equations

The concept of (A ₀,S)-stability, for numerical methods approximating solutions of Volterra integral equations, is formally defined. New stability polynomials for the recent multi-lag type methods are obtained. (A ₀, 1)-stability of these and other methods employing reducible quadrature rules are also investigated.     

A 0-Stability and stiff stability of Brown's multistep multiderivative methods

Summary Brown [1] introducedk-step methods usingl derivatives. Necessary and sufficient conditions forA ₀-stability and stiff stability of these methods are given. These conditions are used to investigate for whichk andl the methods areA ₀-stable. It is seen that for allk andl withk1.5 (l+1) the methods areA ₀-stable and stiffly stable. This result is conservative and can be improved forl sufficiently large. For smallk andl A ₀-stability has been determined numerically by implementing the necessary and sufficient condition.     

OnA-stable implicit Runge-Kutta methods

An elementary proof is given of theA-stability of implicit Runge-Kutta methods for which the corresponding rational function is on the diagonal or one of the first two subdiagonals of the Padé table for the exponential function. The result is extended to give necessary and sufficient conditions for theA-stability ofn-stage methods of order greater than or equal to 2n–2.     

Linear and non-linear stability for general linear methods

We explore the interrelation between a number of linear and non-linear stability properties. The weakest of these,A-stability, is shown by counterexample not to imply any of the various versions ofAN-stability introduced in the paper and two of these properties, weak and strongAN-stability, are also shown not to be equivalent. Finally, another linear stability property defined here, EuclideanAN-stability, is shown to be equivalent to algebraic stability.