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Outline
Small Timestep issues for Multistep Methods
Local truncation error
Selecting coefficients.
Nonconverging methods.
Stability + Consistency implies convergence
Next Time Investigate Large Timestep Issues
Absolute Stability for two time-scale examples.
Oscillators.
Basic Equations
Multistep Methods
General Notation
x
x
l k
l 2
x l 1 x l
d
x(t ) = f ( x(t ), u (t ))
dt
j =0
j =0
l j
l j
x
=
f
x
, u ( tl j )
j
j
Multistep coefficients
tl k
tl 3 tl 2 tl 1 tl
Time discretization
Basic Equations
Multistep Methods
Common Algorithms
Multistep Equation:
Multistep Coefficients:
BE Discrete Equation:
Multistep Coefficients:
Trap Discrete Equation:
Multistep Coefficients:
j =0
j =0
l j
l j
x
=
f
x
, u ( tl j )
j
j
Forward-Euler Approximation:
FE Discrete Equation:
x ( tl ) x ( tl 1 ) + t f ( x ( tl 1 ) , u ( tl 1 ) )
xl x l 1 = t f ( x l 1 , u ( tl 1 ) )
k = 1, 0 = 1, 1 = 1, 0 = 0, 1 = 1
x l x l 1 = t f ( x l , u ( tl ) )
k = 1, 0 = 1, 1 = 1, 0 = 1, 1 = 0
t
f ( x l , u ( tl ) ) + f ( x l 1 , u ( tl 1 ) )
2
1
1
k = 1, 0 = 1, 1 = 1, 0 = , 1 =
2
2
x l x l 1 =
Multistep Methods
Basic Equations
Definitions and Observations
Multistep Equation:
j =0
j =0
l j
l j
x
=
f
x
, u ( tl j )
j
j
Multistep Methods
d
Scalar ODE:
v ( t ) = v(t ), v ( 0 ) = v0
dt
Why such a simple Test Problem?
Decoupled
Equations
l j
l j
x
=
Ax
j
j
k
j =0
l j
l j
1
y
=
E
AEy
j
j
j =0
j =0
l j
1
= t j
j =0
j =0
j =0
y l j
Multistep Methods
Scalar ODE:
d
v ( t ) = v(t ), v ( 0 ) = v0
dt
k
k
l j
l j
v
=
v
j
j
j =0
j =0
Decaying
Solutions
O
s
c
i
l
l
a
t
i
o
n
s
Growing
Solutions
Re ( )
Multistep Methods
Convergence Analysis
Convergence Definition
max
T
l0,
t
vl v ( l t ) 0 as t 0
v l computed with t
t
l
v computed with
2
vexact
Multistep Methods
Convergence Analysis
Order-p convergence
max
v v ( l t ) C ( t )
l
T
l0,
t
Multi-step Methods
10
M
a
x
E
r
r
o
r
10
-2
10
-4
10
10
10
Convergence Analysis
Backward-Euler
Trap rule
Forward-Euler
-6
-8
10
-3
10
-2
Timestep
10
-1
10
Multistep Methods
Convergence Analysis
Two Conditions for
Convergence
Convergence Analysis
Multistep Methods
Multistep formula:
Exact solution Almost
satisfies Multistep Formula:
j v
l j
j =0
k
t j vl j = 0
j =0
d
l
=
v
t
t
v
t
e
(
j ( l j )
j
l j )
dt
j =0
j =0
Global Error: E l v ( tl ) v l
E
+
E
+
+
E
=
e
( 0
( 1
( k
0)
1)
k)
Convergence Analysis
Forward-Euler
Forward-Euler definition
l +1
v t v = 0
l
l t , ( l + 1) t
d
v = v
dt
dt
dt
el
Convergence Analysis
Forward-Euler
Forward-Euler definition
l +1
l
l
v = v + t v
Using the LTE definition
v ( ( l + 1) t ) = v ( l t ) + t v ( l t ) + e
l +1
I + t E + e (1 + t ) E + C ( t )
l
Convergence Analysis
Forward-Euler
If
Then
l +1
(1 + ) u + b, u = 0, > 0
l
e
l
u
b
l
l
u (1 + )
l
j =0
1 (1 + )
b=
b
1 (1 + )
l
One-step Methods
Convergence Analysis
A helpful bound on difference
equations cont.
To finish, note (1 + ) e (1 + ) e
l
1
1
+
1
+
1
(
)
(
)
e
l
u
b=
b
b
1 (1 + )
Convergence Analysis
One-step Methods
l t
2
l +1
l
2
E 1 + t E + C ( t ) e
C ( t )
b
Finally noting that l t T ,
max l[0, L] E e
l
Convergence Analysis
Forward-Euler
max l[0, L] E e
l
Convergence Analysis
Forward-Euler
12
10
RFE
Rexact
6
4
TempExact
TFE
2
0
0
0.5
1.5
2.5
Convergence Analysis
Forward-Euler
1.2
1
E
0.8
r
r 0.6
o0.4
r
Rexact-RFE
0.2
Texact - TFE
0
-0.2
0.5
Time
1.5
2.5
Convergence Analysis
Forward-Euler
v1exact
0.8
v1FE
0.6
0.4
v2FE
0.2
0
0
v2exact
0.5
1.5
2.5
3.5
Convergence Analysis
Forward-Euler
0.03
v1exact - v1FE
E 0.02
r
r 0.01
o
0
r
-0.01
v2exact-v2FE
-0.02
-0.03
0.5
1.5
Time2
2.5
3.5
Multistep Methods
Exactness Constraints
k
d
l
=
v
t
t
v
t
e
(
d
v (t ) = v (t )
dt
LTE
d
p 1
If v ( t ) = t v ( t ) = pt
dt
p
( ( k j ) t )
v (t )
j =0
k j
t j p ( ( k j ) t )
j =0
d
v ( tk j )
dt
p 1
=e
Multistep Methods
( ( k j ) t )
j =0
( t )
If
t j p ( ( k j ) t )
p 1
j =0
k
k
p
p 1
k
j (l j ) j p (l j ) = e
j =0
j =0
k
k
p
p 1
j (( k j )) j p ( k j ) = 0
j =0
j =0
if
k
k
p
p 1
j ( k j ) j p ( k j ) = 0 for all p p0
j =0
j =0
k
k
l
d
p0 +1
Then j v ( tl j ) j v ( tl j ) = e = C ( t )
dt
j =0
j =0
Multistep Methods
k
k
p
p 1
Exactness Constraints: j ( k j ) j p ( k j ) = 0
j =0
j =0
1
2
8
16
1
1
1
1
1
1 0
0 1
0 4
0 12
0 32
0
1
2
3
4
0
0 0
1
1
0
2
0 = 0
0
0
0
1
0 0
2
Note
i = 0
Always
Multistep Methods
Exactness
Constraints for k=2
1
2
8
16
0
1
Forward-Euler 0 = 1, 1 = 1, 2 = 0, 0 = 0, 1 = 1, 2 = 0,
2
FE satisfies p = 0 and p = 1 but not p = 2 LTE = C ( t )
Backward-Euler 0 = 1, 1 = 1, 2 = 0, 0 = 1, 1 = 0, 2 = 0,
2
BE satisfies p = 0 and p = 1 but not p = 2 LTE = C ( t )
Trap Rule 0 = 1, 1 = 1, 2 = 0, 0 = 0.5, 1 = 0.5, 2 = 0,
3
Trap satisfies p = 0,1, or 2 but not p = 3 LTE = C ( t )
Multistep Methods
1
1
0 0 1 1
1 1 2 2
0 4 2 0 0 = 4
0 12 3 0 1 8
0 32 4 0 2 16
1
0
0
1
0 = 1, 1 = 0, 2 = 1, 0 = 1/ 3, 1 = 4 / 3, 2 = 1/ 3
Multistep Methods
10
d
v (t ) = v (t )
d
FE
-5
L 10
T
E
Trap
-10
10
Beste
-15
10
-4
10
-3
10
Timestep
-2
10
-1
10
10
Multistep Methods
10
M
d
a -2 d v (t ) = v (t )
10
x
E -4
r 10
r
-6
10
o
r
t [0,1]
FE
Wheres BESTE?
Trap
-8
10 -4
10
-3
10
-2
10
Timestep
-1
10
10
Multistep Methods
worrysome
200
M 10
a
x 100
E 10
r
r 0
10
o
r
10
d
v (t ) = v (t )
d
Beste
FE
Trap
-100
10
-4
10
-3
10
Timestep
-2
10
-1
10
Multistep Methods
E
+
E
+
( 0
( 1
0)
1)
v ( l t ) v
+ ( k t k ) E l k = el
LTE
Global Error
We made the LTE so small, how come the Global
error is so large?
a0 x + a1 x
l
l 1
+ ak x
l k
=u
x = x0 , x = x1 ,
0
,x
= xk
1
0
x = ( a1 x +
a0
1
+ ak x
k +1
x can be related to u by x = h u
l
j =0
l j
If a0 z + a1 z
k
k 1
Then x = h u where h = j ( j )
l
l j
j =0
j =1
Suppose x = x + u and x = 0
1
0
1
1
2
1
2
1
2
x = x + u = u , x = x + u = u + u
l 1
x =
l
j =0
l j
then x Cl max j u
l
Multistep Methods
E
+
E
+
( 0
( 1
0)
1)
+ ( k t k ) E l k = el
T
E C max T el
l0,
t
t
l
T
l0,
t
for any el
Multistep Methods
E
+
E
+
( 0
( 1
0)
1)
+ ( k t k ) E l k = el
If the roots of
k j
z
j =0
j =0
are either
Multistep Methods
roots of
j =0
k j
=0
-1
roots of
Im
As t 0, roots
move inward to
match polynomial
Re
k j
z
= 0 for a nonzero t
( j
j)
j =0
Multistep Methods
0 = 1, 1 = 4, 2 = 5, 0 = 0, 1 = 4, 2 = 2
Im
roots of z + 4 z 5 = 0
2
-5
-1
Re
Multistep Methods
Convergence Analysis
Multistep Methods
max
T
l0,
t
C1 ( t )
p0 +1
for t < t0
roots of
k j
z
j = 0 inside or simple on unit circle
j =0
max
T
E C2 max T el
l0,
t
t
l
T
l0,
t
Convergence Result:
max
E CT ( t )
l
T
l 0,
t
p0
Summary
Small Timestep issues for Multistep Methods
Local truncation error and Exactness.
Difference equation stability.
Stability + Consistency implies convergence.
Next time
Absolute Stability for two time-scale examples.
Oscillators.
Maybe Runge-Kutta schemes