Stiffness and Multistep Methods
Chapter 26
• Two areas are covered:
– Stiff ODEs will be described - ODEs that have
both fast and slow components to their solution.
– Implicit solution technique and multistep methods
will be described.
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Stiffness
• A stiff system is the one involving rapidly changing
components together with slowly changing ones.
• Both individual and systems of ODEs can be stiff:
dy t
1000 y 3000 2000e
dt
• If y(0)=0, the analytical solution is developed as:
y 3 0.998e1000t 2.002et
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Figure 26.1
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• Insight into the step size required for stability of such a
solution can be gained by examining the homogeneous
part of the ODE:
dy
ay
dt
at
y y0 e is the solution.
• The solution starts at y(0)=y0 and asymptotically
approaches zero.
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• If Euler’s method is used to solve the problem
numerically:
dyi
yi 1 yi h
dt
yi 1 yi ayi h or yi 1 yi (1 ah)
The stability of this formula depends on the step size
h:
1 ah 1
h 2/a yi as i
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• Thus, for transient part of the equation, the step size
must be <2/1000=0.002 to maintain stability.
• While this criterion maintains stability, an even
smaller step size would be required to obtain an
accurate solution.
• Rather than using explicit approaches, implicit
methods offer an alternative remedy.
• An implicit form of Euler’s method can be developed
by evaluating the derivative at a future time.
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dy
ay
dt
• Backward or implicit Euler’s method
dyi 1
yi 1 yi h
dt
yi 1 yi ayi 1h
yi
yi 1
1 ah
The approach is called unconditionally stable.
Regardless of the step size:
yi 0 as i
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dy
1000 y 3000 2000e t
dt
yi 1 yi (1000 yi 3000 2000e ti )h
yi 1 yi (1000 yi 1 3000 2000e ti )h
yi (3000 2000e ti )h
yi 1
1 1000h
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Multistep Methods
The Non-Self-Starting Heun Method/
• Huen method uses Euler’s method as a predictor and
trapezoidal rule as a corrector.
• Predictor is the weak link in the method because it
has the greatest error, O(h2).
• One way to improve Heun’s method is to develop a
predictor that has a local error of O(h3).
yi01 yi 1 f ( xi , yi )2h
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Multistep Methods
Corrector formula
y j
y
f (x , y ) f (x i i i 1 , y j 1
i 1 ) h
i 1 i
2
and you iterate until a maximum number of iteratios
is reached.
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