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Stability of Odes Numerical Methods For Pdes: Spring 2007

This document discusses stability concepts for numerical solutions of ordinary differential equations (ODEs). It defines: - Stability of an ODE - the solutions remain bounded when small perturbations are made to the initial conditions or right-hand side. - Stability of numerical methods - small changes in the input data or discretization don't lead to large changes in the numerical solution. - Forward and backward Euler methods are analyzed for stability. Forward Euler is conditionally stable while backward Euler is unconditionally stable. Examples show backward Euler remaining bounded while forward Euler blows up for an unstable problem. Numerical stability is important to control errors over long time intervals.

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Justin Lansa Boyle
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33 views34 pages

Stability of Odes Numerical Methods For Pdes: Spring 2007

This document discusses stability concepts for numerical solutions of ordinary differential equations (ODEs). It defines: - Stability of an ODE - the solutions remain bounded when small perturbations are made to the initial conditions or right-hand side. - Stability of numerical methods - small changes in the input data or discretization don't lead to large changes in the numerical solution. - Forward and backward Euler methods are analyzed for stability. Forward Euler is conditionally stable while backward Euler is unconditionally stable. Examples show backward Euler remaining bounded while forward Euler blows up for an unstable problem. Numerical stability is important to control errors over long time intervals.

Uploaded by

Justin Lansa Boyle
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Stability of ODEs

Numerical Methods for PDEs


Spring 2007

Jim E. Jones

References:
Numerical Analysis, Burden & Faires
Scientific Computing: An Introductory Survey, Heath

Stability of the ODE


The Continuous Problem

Ordinary Differential Equation: Initial Value


Problem (IVP)

Last lecture we saw that f satisfying a Lipschitz


condition was enough to guarantee that the IVP
is well-posed.

Lipschitz condition definition


A function f(t,y) satisfies a Lipschitz condition in the
variable y on a set D in R2 if a constant L > 0 exists with

whenever (t,y0) and (t,y1) are in D. The constant L is


called a Lipschitz constant for f.

Well posed IVP definition


The IVP

is a well-posed problem if:


A unique solution y(t) exists, and
There exists constants 0 >0 and k > 0 such that for any in
(0,0), whenever (t) is continuous with |(t)| < for all t in
[a,b], and when |0| < , the IVP

has a unique solution z(t) satisfying

Difference between solutions may still be


large
The IVP

The perturbed IVP

One can show that the difference in solutions is bounded

Difference between solutions may still be


large
The IVP

The perturbed IVP

One can show that the difference in solutions is bounded

The k, and thus the difference between


solutions, may be large if L is and/or b >> a

Example
The IVP

The perturbed IVP

Is the IVP well-posed?


Whats the difference between solutions, z(t)-

y(t)?

Example
The IVP

The perturbed IVP

Is the IVP well-posed?


Whats the difference between solutions, z(t)-

y(t)?
To characterize the time growth (or decay) of
initial perturbations, we need the concept of

Stability definition
The IVP

is stable if:

A unique solution y(t) exists, and


For every >0 there exists a > 0 such that whenever 0 < 0
< , the IVP

has a unique solution z(t) satisfying

Stability definition
The IVP

is stable if:

A unique solution y(t) exists, and


For every >0 there exists a > 0 such that whenever < 0
< , the IVP

has a unique solution z(t) satisfying

For a stable ODE the difference between


the solutions is bounded for all time.

Absolute Stability definition


The IVP

is absolutely stable if:

A unique solution y(t) exists, and


For every 0 the IVP

has a unique solution z(t) satisfying

For an absolutely stable ODE the difference


between the solutions goes to zero as t

Example
The IVP

If is real, what can we say about the stability,

absolute stability?

If is complex, what can we say about the

stability, absolute stability?

Example
If is real, what can we say about the stability,

absolute stability?
>0 unstable
<0 absolutely stable
If is complex, what can we say about the

stability, absolute stability?


Re()>0 unstable
Re()<0 absolutely stable
Re()=0 oscillating solution, stable

Systems of Ordinary Differential Equation:


Initial Value Problem (IVP)

Let y=(u,w)t

and in this case the rhs can be described by a


matrix,

Stability of Systems of Ordinary Differential


Equation
If we assume A is diagonalizable, so that its
eigenvectors are independent, then the IVP

has solution components corresponding to


each eigenvalue i

Stability of Systems of Ordinary Differential


Equation
If we assume A is diagonalizable, so that its
eigenvectors are independent, then the IVP

has solution components corresponding to


each eigenvalue i
Re(i) > 0 components grow
exponentially
Re(i) < 0 components decay
exponentially
Re( )=0 oscillatory components

Stability of Systems of Ordinary Differential


Equation
If we assume A is diagonalizable, so that its
eigenvectors are independent, then the IVP

has solution components corresponding to


each eigenvalue i
Unstable if Re(i) > 0 for any eigenvalue
Asymptotically stable if Re(i) < 0 for all
eigenvalues
Stable if Re(i) 0 for all eigenvalues

Stability of the numerical method


The Discrete Problem

Ordinary Differential Equation: Initial Value


Problem (IVP)

Numerical Solution: rather than finding an

analytic solution for y(t), we look for an


approximate discrete solution wi (i=0,1,,n) with
wi approximating y(a+ih)
t=
a

t=
b

Local truncation error definition


The difference method

has local truncation error

for each i=0,1,,n-1

The local truncation error is a measure of the


degree to which the true IVP solution fails to
satisfy the difference equation.

Local truncation error definition


The difference method

has local truncation error

for each i=0,1,,n-1

The local truncation error is error in single step,


assuming the previous step is exact, scaled by
the mesh size h.

Definition of consistency and


convergence
A difference method is consistent with the differential
equation if

A difference method is convergent (or accurate) with respect


to the differential equation if

Definition of consistency and


convergence
A difference method is consistent with the differential
equation if

This is the error in a


single step: the local
A difference method is convergent (or accurate) with respect
error
to the differential equation if

This is the total error :


the global error
See:

Numerical Stability definition


Apply the numerical method to

to generate discrete solution w and apply the same method to the


perturbed
Problem to generate solution u

The method is stable if for every there exists a K such that

whenever < .

Stability of Eulers method


Forward Euler

Apply each method to the IVP

Backward Euler

Solutions generated by Eulers method


Forward Euler

Backward Euler

The quantity inside the parens is called the growth


factor . For the difference between the solution
and the perturbed solution, we have
and the requirement for stability is that || 1

Stability analysis of forward Eulers method


Forward Euler

For complex, stability requires that h must lie


inside the circle with radius 1 in the complex plane
centered at -1.
If we consider real for which the ODE is stable,
< 0, the stability requirement is

Stability analysis of backward Eulers


method

Backward Euler

If we consider for which the ODE is stable, Re( <


0, the stability of backward Euler is assured: the
growth factor is less than 1 in magnitude. Backward
Euler is unconditionally stable.

Examples from last time


The example (2.a and 2.b) from last time

illustrate the difference in stability of forward and


backward Euler.

Ordinary Differential Equation: Example 2.a

Forward Euler with


h=0.1
Backward Euler with
h=0.1
Both computed solutions go to zero as t
increases like the true ODE solution

Ordinary Differential Equation: Example 2.b

Forward Euler with


h=1.1
Backward Euler with
h=1.1
Backward Euler go to zero as t increases.
Forward Euler blows up.

Examples from last time


The example (2.a and 2.b) from last time

illustrate the difference in stability of forward and


backward Euler.
Another example at

http://www.cse.uiuc.edu/iem/ode/stiff/
o Here the step size for stability (h=0.02) is tighter

than one needs to control truncation error if one is


not interested in resolving the fast decaying initial
transient component of the solution.

Numerical Stability definition


A numerical method may be unstable, using the previous definition,
because
the underlying ODE itself is unstable. To focus specifically on the
numerical
method, we can alternatively define stability as:
A method is stable if the numerical solution at any arbitrary but fixed
time t
remains bounded as h goes to zero.

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