Numerical methods for

extremely stiff systems of

ordinary differential
equations
T. D. Bui
Department o f Computer Science, Sir George Willianzs Campus, Coneordia University,
Montrdal, Qudbec, Canada
T. R. Bui
Depart ment o f Applied Sciences, Universitd du Quebec, Chicoutimi, Quebec, Canada
(Received October 19 78; revised April 19 79)
Comput er si mul ati on of dynami c systems very of t en leads t o the sol ut i on
of a set of st i f f or di nar y di f f er ent i al equations. The sol ut i on of this set
of equati ons involves t he eigenvalues of its Jacobian mat r i x. The greater
the spread in eigenvalues, t he more t i me consumi ng t he sol uti ons become
when existing numeri cal methods are empl oyed. Ext r emel y st i f f di f f er -
ential equations can become a very serious problem f or some systems,
rendering accurate numerical sol uti ons compl etel y uneconomic. In this
paper, we propose new techniques f or solving ext r emel y st i f f systems of
di f f er ent i al equat i ons. These al gori thms are based on a class of i mpl i ci t
Runge- Kut t a procedure wi t h compl et e error esti mate. The new techniques
are appl i ed t o solving mat hemat i cal models of t he rel axat i on pr obl em
behi nd blast waves.
I n t r o d u c t i o n
St i f f differential equat i ons arise in physi cal equat i ons due
t o t he existence o f great l y di fferi ng t i me const ant s. Time
const ant is a t er m used b y engioeers and physi ci st s t o refer
t o t he rat e o f decay. For exampl e, t he equat i on dy/ dt = Xy
has t he sol ut i on y = c ext. I f X is negative, t h e n y decays by
a f act or o f l i e in t i me T = I]X. Ti s called t he time const ant
f or a syst em descri bed by t he above differential equat i on.
The larger t he value o f ?,, tile smaller t he t i me const ant .
I n a syst em o f differential equat i ons, di fferent state
variables decay at di fferent rates. For t he syst em:
d Y
= F( Y) ( l )
dt
wher e:
Y =( Y l , Y 2 . . . . . y, , ) T
F= ( f l , f 2 . . . . . L, ) T
t he decay rates may be related l ocal l y t o t he eigenvalues o f
t he Jacobi an mat r i x o f t he syst em (i.e. OF/3 Y). I f some o f
t he decay rates are slow and ot her s are fast, t he fast ones
will cont r ol t he st abi l i t y o f t he numeri cal met hod used t o
solve t he syst em o f equat i ons (1).
Consider, for exampl e, t he mot i on o f a damped har moni c
oscillator whi ch is descri bed by t he pair o f equat i ons:
dy
- v y = di spl acement
dt
do ( 2 )
- --TV -- w2y V = vel oci t y
dt
Assuming t hat : 7 = I 000. I ; w = 1 ; y ( 0 ) = 0; v( 0) = 999. 9.
To a good appr oxi mat i on, t he sol ut i ons are:
y = _ e - 1 0 0 0 t + e -O-It
v = 1000e -1000t - 0.1 e -OAt (3)
0307-904X/79/050355-04/$02.00
1979 IPC Business Press Ltd Appl. Math. Modelling, 1979, Vol 3, Oct ober 355
Numeri cal methods f or di fferenti al equations: T. D. Bui and T. R. Bui
In tiffs syst em, t he eigenvalues of the Jacobi an mat ri x are
X1 = - 1000, k2 = - 0 . I . Bot hy and v have a rapidly
decaying component corresponding t o Xt, which very
quickly becomes insignificant. However, for a stable
numerical solution, most explicit met hods require t hat
lit kl] and Ih X2I be bounded by a small region. This region
is called the region of absolute stability.
Tile stability of the numerical integration o f tile system
of equations (2) is governed by 1- 1000h I. I f the well-
known Runge-Kutta fourth-order met hod is empl oyed,
t hen we must have 1- 1000hl < 2.8 giving the maxi mum
stable step-size h = 0.0028. Thus, nearly 100 000 integration
steps would be required to reach the point where the slowly
varying t erm is one-tenth of the maxi mum value.
Ne w d e v e l o p me n t s
We are concerned here with the numerical solutions of the
system of differential equations:
dy
- - = f ( y ) , t > t o
dt
y ( t o ) =Yo (4)
where t E R, y @ R' , Y0 E R n and f : R" ~ R" is assumed
analytic in the nei ghbomhood ofYo. Tim system of
differential equations (4) is called stiff in an interval I,
i f for Vt C I the eigenvalues ~ i ( t ) of the Jacobian mat ri x
a l l a y satisfy the following conditions: l
Real Xi ( t ) "( 0, i = 1, 2 . . . . . n ( i )
max [ Real ;~ i ( t ) [ >> rain [ Real k i ( t ) [ (ii)
t t
New developments for st i ff differential equations are
based upon one o f the following two approaches. The first
approach is tO build into the comput er program logic that
notes the fact t hat some t erms in the solution are no longer
i mport ant and then modifies or eliminates certain equations
from the system. An example of this first approach is a
program called NEST developed by Emanuel 2 for large
systems of equations arising in chemical kinetics. The
second approach aims at developing met hods having a large
region of stability on the compl ex hX-plane (where h is the
t i me step-length and X is the largest eigenvalue of the
Jacobi an mat ri x of the system). Examples of this latter
category include work done by others. 3-7 The region of
stability for a met hod is defined as the domain on the
;kh-complex plane, in which we obt ai n lyre + l [Yml = c < 1,
when the met hod is applied to the test equation:
dy
- - = Xy, Y ( to) = X o ( S )
dt
where X is a compl ex constant with negative real part.
Def i ni t i on 1
A met hod is stiffly-stable if its region of stability
contains a region R = R I tO R2 where:
R l = {Real(~,h) < D < 0}
R2 = {D < Real(Xh) < t~, I hn(;~h)l < 0}
Def i ni t i on 2
A met hod is called A-stable in the sense of Dahlquist i f
the region of stability associated with that met hod contains
the open left half-plane.
De f i ni t i on 3
A met hod is called L-stable if it is A-stable and c --+ 0 as
Xh -+ _oo.
The concept of L-stability is a very i mport ant one, since
in general A-stable met hods which are not damped maxi-
mally as Xh -+ _co are unsatisfactory. This undesirable
asympt ot i c behaviour oft en results in oscillatory solutions
for very st i ff systems. These oscillatory solutions may be
meaningless but are considered suitable as long as the
oscillations gradually die out. Oscillatory solutions are
associated with, for exampl e, the A-stable implicit
trapezoidal rule since the asympt ot i c behaviour for
this met hod is:
l Y ' " ~------2~ I - ~ I a s ~ h ~ _ o o
I
)' -~ I
i
For ext remel y stiff systems, it is desirable t o develop
L-stable met hods rather than non-maxiinally damped
A-stable met hods or stiffly stable met hods. The develop-
ment of L-stable met hods has not received adequate
at t ent i on in lhe past. Most available packages for st i ff
differential equations are based on met hods which are
not A-stable or met hods which are A-stable but not
damped maximally as Xh ~ - , ~. The aim of this work
is to develop met hods with variable orders which are
L-stable and to implement these met hods into a package
for handling ext remel y stiff systems.
De v e l o p me n t a nd i mp l e me n t a t i o n o f L- s t a bl e
me t h o d s
We will derive and i mpl ement some L-stable met hods
based on a class of Runge-Kutta met hods known as the
Rosenbrock procedure. The conditions of L-stability
require that the met hods must be implicit in nature. Fully
implicit Runge-Kutta as well as semi-implicit Runge-Kutta
met hods are known t o satisfy the condition of strong
stability. 6,s However, these met hods require to solve
a system of nonlinear equations at each step. The Rosen-
brock procedure requires onl y the solution of a system
of linear equations at each step, a much simpler task
compared to fully implicit or semi-implicit approaches. 9
The Rosenbrock procedure for solving the system of
equations (4) is defined by:
$
Ym+l =Ym +h ~. w i k i
i =I
i - - 1
k i = f ( Y m +h E a ijk j)
] =1
+ dh m + Z bi l k i
j =l
where wi , aij, bi i and d are constants to be defined so that
the condition of L-stability is satisfied.
(6)
Two-st age second-order me t h o d
Rosenbrock l has proved that tile following two-stage,
second-order scheme is L-stable: wl = 0, w2 = 1,
a21 = ( x / ' 2 - 1)]2,~b21 = 0, and d = 1 - X/~/2. The met hod
is defined as follows:
Ym l =Ym +hk 2
k l = A ( y , , , ) - l f ( y , , , ) (7)
k2 = A ( Y m ) - If(y, , , + ha21k l )
356 Appl . Math. Model l i ng, 1979, Vol 3, October
where:
Three-stage t hi rd- order me t h o d
For s = 3, we have proved tllat t he fol l owi ng scheme is
= 1
L-stable: wt = O, Iv2 = w3 7, a2t = - 0 . 5 0 9 643 6824,
a31 = 0. 327 025 8661, a32 = 0. 310 884 7731,
d = 0. 435 866 5216. The met hod is defi ned by:
Y, n+l =Ym + {h( k2 + k3)
k l = A ( y , , , ) - ' f ( y , , , )
k2 = A ( Y m ) - I f ( Y , , , + ha21 k i t
k 3 = A ( y m ) - I f ( y m + h a 3 1 k l + h a 3 2 k 2 )
where b q = 0 for all i and L
Four-st age f o u r t h - o r d e r me t h o d
A four-stage, f our t h- or der L-stable met hod based on
procedure (6) was devel oped in one o f our previ ous
papers.H, 12 Tile paramet ers are defi ned by:
wl = 0. 945 156 478 6 w2 = 0. 341 323 172
w 3 =0 . 5 6 5 513 957 5 w4 = - 0 . 8 5 1 993 608 1
a21 =--0. 5 a31 = --0. 101 223 611 5
a32 = 0. 976 223 611 5 a41 = - - 0. 392 209 676 3
a42 =0 . 7 1 5 114025 1 a43= 0. 143 037 1 6 2 5
d =0 . 5 7 2 816 062 5
4
Ym+l = y m + h ~. w i k i
i=1
k l = A ( ) ' m ) - I f ( Y , , , )
k2 = A ( y m ) - I f ( Y m + ha21 k l )
k3 = A ( Y m ) - I f ( Y , , , + h ( a 3 1 k l + a32k 2) )
k4 = A ( y m ) - I f ( y m + h(a41 k l + a42k2 + a43k3))
The LSTI FF program wor ks wi t h a fixed formul a
selected by t he user at t he start o f t he i nt egrat i on f r om
among tile above tllree formul ae, designated by number
o f stages and or der :
LSTWF (2, 2)
LSTI FF (3, 3)
LSTI FF (4, 4)
Equat i on ( 7)
Equat i on (8)
Equat i on (9)
Tiffs program was i mpl ement ed on tile CDC Cyber 172 at
t he Comput i ng Cent er o f Co]lcordia University. The step-
size is cont rol l ed by est i mat i ng local error using Ri chard-
son' s ext r apol at i on scheme. First a step-size h is t aken
f r om Ym t o comput e Y m +l. Next , t he value ofy*~ +l is
r ecomput ed using twice t he step-size h i 2 . The est i mat e o f
tile local t r uncat i on error is t aken t o be:
I l y * , + 1 - - Yt H +dl
Em+l = 2 s - 1
where s is the or der o f t he filethod, [l " II is t he wei ght ed
RMS nor m:
[ l yl l =[1 ~ ( y i / y i a x ) 2 ] 1/2
L I I i = I
Numeri cal methods f or di f f erent i M equations: T. D. Bui and "1-. R. Bui
and yi~ax is the maxi mum i nodul us o f tile ith component
so far in tile i nt egrat i on. This is mot i vat ed by t he idea that,
if tile user specifies a local error t ol erance c, . t hen errors o f
order e'.1'~nax are allowed wl l e ny i is neary~nax, and it is
not in general useful t o require later errors t o be smaller
t han t hat . Tile following st rat egy is empl oyed: 13
(it I f E m + 1 > e, tile st ep is rejected and h is reduced t o
make tile expect ed error -~ e l 5 .
(ii) I f 3e[4 < E m + i ~< e, t he st ep is accept ed, but h is
reduced t o make the expect ed error on tile next
st ep ~ e / 5 .
(iii) I f e [ l O < E m + l <. 3 d 4 , the step is accept ed and t he
(8) same h is used for t he next step.
(iv) I f E m +1 ~< e/ 10, t he step is accept ed and h is in-
creased t o make an expect ed error on tile next
st ep ~e / 2 .
The mat ri ces [A(Ym) ] are eval uat ed f r om t he Jacobi an
supplied by t he user. Equat i on ( 9) o f this package was
tested on t he system of t wo st i ff or di nar y differential
equat i ons:
d x
- I 0 0 0 0 4 x + 1 0 0 0 0 y 4
dt
d y
- - = X - - . 1 ' - - . t , 4
dt
wi t h initial condi t i ons x( 0) = y( 0) = 1.0. The stiffness ratio
for this pr obl em is 104 . Some compar i sons wi t h ot her
A-stable met hods were publ i shed elsewhere. 12 It was
concl uded t hat L-stable met hods are very i mpor t ant for
ext r emel y st i ff systems.
(9) Ap p l i c a t i o n s
The package described in tills paper was empl oyed t o solve
t he rel axat i on equat i ons for t he t wo modes o f vibrational
coupl i ng Of t he CO2 mol ecul es in a CO2 - N2 - He mi xt ure
behi nd blast waves.14 The mat hemat i cal model l i ng o f tllis
pllysical syst em produces t wo rel axat i on equat i ons f or t he
vibrational energies e v t and ev2:
d e v i ( T v l ) 1
= - - { e v l ( T ) - e v l ( Tv t ) }
d t T 1 ( 1 0 )
dev2(Tv2 ) 1
- - = - - {ev2( T) - ev2(Tv2)}
d t r2
where Tvl and Tv2 are t he vibrational t emperat ures for t he
t he t wo modes:
evt -Xc~_l _Vc2 ~ [ ~ ( e h v , l k T v l - - 1 ) - '
IV /~C2
2hv2 I]
+ "--'if- (e hv21kTvl - - 1 ) -
Xco~l eco~ ~ hv3 (ehvdkTv2 _ 1) - I
ev 2 - it--- 7 KCO~ ~
"~ X N IItN, h v
ll t RN "--~. (e hv/krv2 -- 1 ) - 1
wltere Xi , Wi and R i are t he mol e fract i on; mol ecul ar weight
and tile gas const ant o f species i respectively, I = Xi Xi l Vi ;
Vl, v2, v3 denot e t he vibrational frequenci es o f tile sym-
met ri c, bendi ng and asymmet r i c modes for CO 2 respec-
tively, v denot es tile vibrational f r equency o f N2, h and k
are t he Planck and Bol t zmann const ant s respectively.
Appl. Math. Modelling, 1979, Vol 3, October 357
Numeri cal methods f or di fferenti al equations: 7-. D. Bui and 7". R. Bui
T denot es t he t ransl at i onal t emper at ur e, and t he relaxation
times r l and r2 are as given as:
7"1 =Tc
I"2 = ( Xc o 2 + XN 2) ( Xc o ' i. a I -t- XN21" b 1) - 1
where ra, r b and ~'c refer t o t he rel axat i on times whi ch are
averages o f t he detailed COz - CO2 , CO2 - N2 , CO2- He ,
N2 - N 2 and Nz - He collisions, i.e.:
- 1 Sc 0 2 XN2 Xtte
= - t - - I -
1"a (Ta) CO2- CO2 (l"a) CO2 - N 2 (Ta) CO2- He
. SHe
T~ 1 = XCO~ "l- XN2 +
(l' b) N2 - C0 2 (7b) N2 - N2 ( r b) N2 - He
--1 _ XCO2 XN2 XHe
re - + +
(' tc) CO2- CO2 ('/'c) CO2- N2 ('/'c) CO2- He
The values (' r)i _j are t aken f r om t he compi l at i on by Tayl or
and Bi t t erman. is The pr ogr am LSTI FF was used t o solve
t he syst em o f equat i ons (10) f or Tvl and Tv2. These vibra-
t i onal t emper at ur es can be used t o calculate t he particle
popul at i ons o f t he upper and l ower laser levels behi nd t he
shock f r ont . Due t o t he very fast quenchi ng rat e o f t he
t ransl at i onal t emper at ur e (i.e. T) behi nd t he blast f r ont , t he
syst em o f equat i ons (10) becomes very stiff. The well-
known Runge- Kut t a met hod o f or der f our requires a t i me
step-size in t he or der o f 10 -22 t o obt ai n stable solutions.
Our package allows t he use o f large i nt egrat i on step-sizes
t hus reduci ng comput i ng t i me by a significant f act or while
mai nt ai ni ng small t r uncat i on errors.
The coupl i ng bet ween the gas dynami cs o f t he blast wave
and t he chemi cal syst em is an ext r emel y nonl i near pr obl em.
Due t o t he di fferences bet ween t he react i on rates, t he
stiffness ratio f or this pr obl em can be as high as 1012.
Ther ef or e, packages based on met hods whi ch are onl y
st i ffl y stable such as Gear' s DI FSUB will not be able t o
solve probl ems o f this ki nd.
Co n c l u s i o n s
While most ot her t echni ques f or integrating st i f f differ-
ential equat i ons are not A-st abl e, or are A-stable but not
damped as kh -+ _0% t he met hods devel oped in tiffs paper
are all L-stable. The package LSTI FF combi nes t he desir-
able condi t i on o f st rong st abi l i t y (L-stable) wi t h a reason-
able or der o f accur acy while still mai nt ai ni ng comput at i onal
effi ci ency by preserving the one-st ep nat ure o f t he met hod.
Ac k n o wl e d g e me n t
This wor k was suppor t ed in part by t he Nat i onal Research
Counci l o f Canada t hr ough its grant A-9265.
Re f e r e n c e s
1 Lambert, J. D. 'Computational methods in ordinary differ-
ential equations', Wiley, New York, 1973
2 Emanuel, G. Rep. TDR-269(4230-20)-3, The Aerospace
Corporation, E1 Segundo, California, 1964
3 Liniger, W. and Willoughby, R. A. SIAMJ. Nunzer. AnaL,
1970, 7, 47
4 Treanor, C. E. Math. Comp., 1966, 20, 39
5 Gear, C. W. 'Numerical initial value problems in ordinary
differential equations', Prentice-flail, Englewood Cliffs, New
Jersey, 1971
6 Butcher, J. C. Math. Comp., 1964, 18, 50
7 Butcher, J. C. BIT, 1976, 16, 237
8 N6rsett, S. P. Math. and Computation Rep. 6/74. Dept of
Math., Univ. of Trondheim, Norway, 1974
9 Bui , T. D. Math. Comp., 1979, 33, No. 147
10 Rosenbrock, It. II. Comptlt. J., 1963, 5, 329
I1 Bui, T. D. blf. Process. Lett., 1977, 6, 158
12 Bui , T. D. J. A. C. 3L, 1979, 27(3), 483
13 Alexander, R. SIAMJ. Numer. AnaL, 1977, 14, 1006
14 Bui , T. D. etal. ActaAstron. , 1974, 1, 1085
15 Taylor, R. L. and Bitterman, S. ,Rev. Mod. Phys., 1969, 41, 26
358 AppI. Math. Modelling, 1979, Vol 3, October