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.     

On the practical value of the notion ofBN-stability

The oldest concept of unconditional stability of numerical integration methods for ordinary differential systems is that ofA-stability. This concept is related to linear systems having constant coefficients and has been introduced by Dahlquist in 1963. More recently, since another contribution of Dahlquist in 1975, there has been much interest in unconditional stability properties of numerical integration methods when applied to non-linear dissipative systems (G-stability,BN-stability,A-contractivity). Various classes of implicit Runge-Kutta methods have already been shown to beBN-stable. However, contrary to the property ofA-stability, when implementing such a method for practical use this unconditional stability property may be lost. The present note clarifies this for a class of diagonally implicit methods and shows at the same time that Rosenbrock's method is notBN-stable.     

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.     

Stability Analysis of Runge-Kutta Methods for Non-Linear Delay Differential Equations

This paper is concerned with the numerical solution of delay differential equations(DDEs). We focus on the stability behaviour of Runge-Kutta methods for nonlinear DDEs. The new concepts of GR(l)-stability, GAR(l)-stability and weak GAR(l)-stability are further introduced. We investigate these stability properties for (k, l)-algebraically stable Runge-Kutta methods with a piecewise constant or linear interpolation procedure.     

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.     

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-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.     

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.     

Delay-dependent stability of high order Runge–Kutta methods

This paper is concerned with the study of the delay-dependent stability of Runge–Kutta methods for delay differential equations. First, a new sufficient and necessary condition is given for the asymptotic stability of analytical solution. Then, based on this condition, we establish a relationship between τ(0)-stability and the boundary locus of the stability region of numerical methods for ordinary differential equations. Consequently, a class of high order Runge–Kutta methods are proved to be τ(0)-stable. In particular, the τ(0)-stability of the Radau IIA methods is proved.     

Continuous two-step Runge–Kutta methods for ordinary differential equations

New classes of continuous two-step Runge-Kutta methods for the numerical solution of ordinary differential equations are derived. These methods are developed imposing some interpolation and collocation conditions, in order to obtain desirable stability properties such as A-stability and L-stability. Particular structures of the stability polynomial are also investigated.     

An algebraic characterization ofB-convergent Runge-Kutta methods

Summary In the analysis of discretization methods for stiff intial value problems, stability questions have received most part of the attention in the past.B-stability and the equivalent criterion algebraic stability are well known concepts for Runge-Kutta methods applied to dissipative problems. However, for the derivation ofB-convergence results — error bounds which are not affected by stiffness — it is not sufficient in many cases to requireB-stability alone. In this paper, necessary and sufficient conditions forB-convergence are determined.This paper was written while J. Schneid was visiting the Centre for Mathematics and Computer Science with an Erwin-Schrödinger stipend from the Fonds zur Förderung der wissenschaftlichen Forschung     

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 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     

High order a-stable methods for the numerical solution of systems of D.E.'s

The following note shows how one can obtain one step methods of arbitrarily high order which satisfy Dahlquist's requirements ofA-stability. Although most of these methods appear at the moment to be largely of theoretical interest the author is working on several practical applications.     

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.     

A Class of Multiderivative Hybrid One-step Methods

This paper presents a class of hybrid one-step methods that are obtained by using Cramer's rule and rational approximations to function exp(q). The algorithms fall into the catalogue of implicit formula, which involves sth order derivative and s 1 free parameters. The order of the algorithms satisfies s 1≤p≤2s 2. The stability of the methods is also studied, necessary and sufficient conditions for A-stability and L-stability are given. In addition, some examples are also given to demonstrate the method presented.     

On the necessary and sufficient condition for the extended Wedderburn–Guttman theorem

Let A be a u by v matrix, and let M and N be u by p and v by q matrices, where p may not be equal to q or rank(M^′AN)<min(p,q). Recently, Galantai [A. Galantai, A note on the generalized rank reduction, Acta Math. Hungarica 116 (2007) 239–246] presented what he claimed to be the necessary and sufficient condition for rank(A-AN(M^′AN)^-M^′A)=rank(A)-rank(AN(M^′AN)^-M^′A) to hold. This rank subtractivity formula along with the condition under which it holds is called the extended Wedderburn–Guttman theorem. In this paper, we show that some of Galantai’s assertions are incorrect.     

G-stability is equivalent toA-stability

In 1975 the author showed that a norm (Liapunov function) can be constructed for the stability and error analysis of a linear multistep method (and the related one-leg method) for the solution of stiff non-linear systems, provided that the system satisfies a monotonicity condition and the method possesses a property calledG-stability.In this paper it is shown thatG-stability is equivalent toA-stability. More generally, a Liapunov function exists if the stability region of the method contains a circle (half-plane), provided that the system satisfies a monotonicity condition related to this circle (half-plane). In the general case this condition depends on the stepsize.     

Error bounds for the solution to the algebraic equations in Runge-Kutta methods

In the implementation of implicit Runge-Kutta methods inaccuracies are introduced due to the solution of the implicit equations. It is shown that these errors can be bounded independently of the stiffness of the differential equation considered if a certain condition is satisfied. This condition is also sufficient for the existence and uniqueness of a solution to the algebraic equations. TheBSI-andBS-stability properties of several classes of implicit methods are established.