Error and stability analysis of DE

U. Saravanan
 Error
 Local or Truncation error
 Global error

In one step methods if the truncation error is

O(hk+1) global error is O(hk)
 Ill conditioned ODE
 If the errors at one step of the computation
gets magnified irrespective of the method
used, such ODEs are called ill-conditioned

 Eg: If y’ = 3y – t2 and y(0) = 2/27 + d

then y = de3t + t2/3 + 2t/9 + 2/27
Exponential term is called the parasitic
solution
 Stability of the numerical
procedure
 A numerical method is stable if the errors incurred at
one stage of the process do not tend to be magnified
at later stages for ODE that are not ill-conditioned

 This usually involves investigation of the error for the

problem y’ = ay

 If the method is unstable for the model equation, the

method is considered to be unstable in general
 Stability of the numerical
procedure
 A-Stable: A method is A-stable if any solution
produced when the method is applied to the
problem y’ = ay (with a < 0) tends to zero as x
tends to infinity

 Weakly stable: A method is called weakly stable

if it yields unstable solutions when a < 0
 Stability

 Consider the explicit method to solve the ODE:

y’ = -4y with IC: y(0) = 1
 Stability – Euler method
Let y1 = y0 + hf0

Y Y

x x
h = 0.5 h = 0.05
 Stability – Euler method
Let y1 = y0 + hf0 and y’ = 4y

Y Y

x
x
h = 0.01 h = 0.1
 Stability

A strongly stable method is stable for y’ = ay

regardless of the sign of ‘a’

 Euler’s method requires: -2 < ah < 0

 Implicit 2 step method: -Inf < ah < 0
 Stability – Euler method

 Consider Euler method:

yi+1 = yi+hf(xi,yi)
and the ODE: y’ = -4y with IC: y(0) = 1
Then h < 0.5 for stability
 Stability – Euler method

Y Y

x x
h = 0.5 h = 0.05
 Stiff ODE
 An ODE in which there is a rapidly decaying
transient solution causing difficulties for numerical
solution, requiring an extremely small step size in
order to obtain an accurate solution is called a stiff
ODE.

 Eg: If u’ = 98u + 198v, v’ = -(99u + 199v) and u(0)

= 1, v(0) = 0, then u = 2e-t – e-100t, v = -e-t + e-100t
 Criteria for choosing a scheme

 Faster convergence – Less error in the

solution for the same number of function
evaluations
 Convergence for a broad class of ODE
 No restriction on the step size, h
 Simpler the better – Explicit vs. implicit
schemes