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  0.998e1000t  2.002et
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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).

yi01  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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