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Stability analysis of two-step Runge-Kutta methods for delay differential equations


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Computers and Mathematics with Applications 44 (2002) 83 93 www.elsevier.com/locate/camwa

Stability Analysis of Two-Step Runge-Kutta Methods for Delay Differential Equations
Z. BARTOSZEWSKI Faculty of Applied Physics and M a t h e m a t i c s Gdafisk University of Technology Narutowicza 11/12, 80-952 Gdafisk, Poland zbart @mif. pg. gda. pl Z. JACKIEWICZ* D e p a r t m e n t of M a t h e m a t i c s Arizona State University Tempe, AZ 85287, U.S.A. j ackiewiOmath, la. asu. edu

(Received October 2000; revised and accepted September 2001)
Abstract--We investigate stability properties of two-step Runge-Kutta methods with respect to the linear test equation
y'(t) = ay(t) + by(t - T), t > O,

u(t) = 9(t),

t C [-~, 0],

where a and b are complex parameters. It is known that the solution y(t) to this equation tends to zero as t --~ oc if Ibl < - Re(a). We will show that under some conditions this property is inherited by any A-stable two-step Runge-Kutta method applied on a constrained mesh to delay differential equations, i.e., that the corresponding method is P-stable. @ 2002 Elsevier Science Ltd. All rights reserved. Keywords--Two-step P-stability. Runge-Kutta methods, Delay differential equations, Absolute stability,

1.

INTRODUCTION

C o n s i d e r t h e i n i t i a l - v a l u e p r o b l e m for d e l a y differential e q u a t i o n ( D D E )

~'(t) = / ( t , y(t) = g(t),

y(t), y(t - ~))~

t e [to, T], t e [to - 7, to],

(1.1)

T > 0~ w h e r e g is a specified initial f u n c t i o n a n d f satisfies c o n d i t i o n s w h i c h g u a r a n t e e t h e e x i s t e n c e o f t h e u n i q u e s o l u t i o n y t o (1.1). Such c o n d i t i o n s c a n b e f o u n d in, for e x a m p l e , [1-4]. The authors wish to express their gratitude to anonymous referees for their helpful remarks. *The work of this author was partially supported by the National Science Foundation under Grant NSF DMS9971164. 0898-1221/02/$ - see front matter (~) 2002 Elsevier Science Ltd. All rights reserved. PII: S0898-1221 (02)00131-1 Typeset by ~ 4 ~ - T E X

84

Z. BARTOSZEWSKI AND Z. JACKIEWICZ

Many numerical methods have been proposed for the numerical solution of problem (1.1); the recent surveys are given by Jackiewicz and Kwapisz [5] and Zennaro [6]. In this paper, we are concerned with two-step Runge-Kutta (TSRK) methods which can be defined by

If J+l = f (ti + cjh, UjYh(ti-1) + (1 -- u j ) Y h ( t i )
\

/2

y h ( t i ~- ( h ) = ~ ] ( ( ) y h ( t i _ l ) -t- (1 -- ?](~) )Yh@i) -[- h ~-~ ( V s ( ~ ) K s -1- W s ( ~ ) / ~ ' S + l ) , s=l i = 0,1,...,n1, ~ E (0,1], nh = T - t o , ti = to + i h . Here, ~ is the number of stages, yh(t) is a continuous approximation to y(t), [(~+~ are approximations (possibly of low order) to y'(ti + cjh), and r/(~), vi((), and wi(~), i = 1,2 . . . . , , , are polynomials such that r](0) = 0, vi(0) = 0, and wi(0) = 0. These methods form a subclass of general linear methods introduced by Butcher [7] and could be possibly also referred to as two-step hybrid methods. They generalize k-step collocation methods (with k = 2) for ordinary differential equations (ODEs) studied by Lie and Norsett [8] and Lie [9], and TSRK methods for ODEs investigated by Byrne and Lambert [10], Renaut [11,12], Caira et al. [13], Jackiewicz et al. [14], Jackiewicz and Zennaro [15], and Jackiewicz et al. [16]. The discrete version of these methods (in somewhat different so-called Y-notation) was introduced by Jackiewicz and Tracogna [17] in the context of ODEs. They were filrther investigated by Jackiewicz and Tracogna [18], Butcher and Tracogna [19], Tracogna [20], Tracogna and \Velfert [21], Jackiewicz and Vermiglio [22], Hairer and Wanner [23], and Bartoszewski and Jackiewicz [24]. The variable stepsize continuous TSRK methods for ODEs were investigated by Jackiewicz and Tracogna [25]; they result in the formulation (1.2) when applied with a constant stepsize h to the DDE (1.1). The A-stable TSRK methods have been constructed in [14,17,25]. Following [25], we will represent these methods by the following table of the coefficients:
Ul

all a~l

..-

al~, a~

bll b~l
Wl(~)

??" . ??
''"

bl~ b,~,
Wlz(~ )

1](~)

vT(~ ")

wT(~)

=

It u

v(~)

vl(~)

v.(~)

We would like to stress that the methods (1.2) given by the above table of coefficients are more general than the methods studied in [8,9] (with k = 2) and in [10-16] since for all these methods the coefficient matrix A is identically equal to zero? As illustrated in [17], the presence of extra parameters aij in (1?2) makes it possible to construct high-order methods with relatively few stages, and we refer to [17,24,25J for specific examples. Assuming that h = r / m for some positive integer m we can approximate the delayed arguments yh(ti + cjh - T) = yh(ti-m + cjh) by 12 Yh(ti-m + cjh) = rl(cj)Yh(ti ..... l) + (1 -- ~?(Cj))yh(ti-m) -b h ~ (Vs(Cj)li]S_rn -k ws(cj)Ki - r e + l ) , s ,
s=l

j = 1 , 2 , . . . , u. Substituting this relation into (1.2) with ~ = 1, we obtain

K~+I = f

t~ + cjh, u~y~_l + (1 - ~j)y~ + h ~
8=1

( a . K : + bSq%~) ,

~jy~-r~-~ + (1 - v~)y~-m + h ~

"

(~jq~_.~ + 5 . K ; _ m + i

)) ,

(1.3)

s=l

8~1

Delay Differential Equations i = 1,2 . . . . . n - i, j = 1 , 2 , . . . , u , a . = ~,~(~).

85

where Yi = yh(ti), r] = r~(1), rb = V(cj), 7is = % ( c j ) , and

It is t h e purpose of this paper to investigate stability properties of (1.3) with respect to the linear test equation J ( t ) : ay(t) + by(t - 7), t >_ O, (1.4) y(t) = g(t), t e l-T, o1, where a and b are complex parameters. Stability properties of R u n g e - K u t t a m e t h o d s with respect to this test equation have been investigated by Koto [26,27], Zennaro [28], in 't Hout and Spijker [29], in 't Hout [301, Gugliehni [31], and Guglielmi and Hairer [32]. Stability properties of linear multistep m e t h o d s for DDEs with respect to (1.4) have been investigated by Cryer [33], Bickart [34,351, W i e d e r h o l t [36], and W a t a n a b e and Roth [37]. It was proved by Barwell [38] t h a t the solution y(t) to (1.4) tends to zero as t -~ oc if

Ibl < - Re(a),

(i.a)

and it was proved by Zennaro [28] t h a t if y(t) ~ 0 as t --* ec, then Ibl _< - R e ( a ) . Hence, inequality (1.5) defines the interior of the region of asymptotic stability of equation (1.4). In this paper, we investigate under w h a t conditions the ~ y m p t o t i c stability properties of this test equation are inherited by the numerical a p p r o x i m a t i o n to (1.4) by the T S R K m e t h o d (1.3). T h e a p p r o a c h of this paper is based mainly on the technique proposed by Zennaro [281 in the context of R K m e t h o d s for DDEs. However, in spite of some similarities to the R K case there are also m a n y i m p o r t a n t differences, and the extension of the approach of [28] to T S R K m e t h o d s for D D E s is far from trivial. T h e m a i n result of the p a p e r is T h e o r e m 3.3 in Section 3, which states t h a t under sonic technical conditions the T S R K m e t h o d (1.2) for DDEs is P - s t a b l e if the underlying T S R K m e t h o d for O D E s is A-stable. 2. PRELIMINARY RESULTS AND DEFINITIONS

A p p l y i n g (I.3) to the test equation (1.4) with h = 7-/m, we obtain

t(~+i = a

(

u j y ~ - i + (1 - u j ) y i + h E
8=1

a j s K ~ + bj~KJ+i

))
,

+ b r b y i _ m _ t + (1 - rJj)yi-,~ + h
s=l

(Tj~K;?_ m + 5j~Ki ~ +~ ....

(2.i)

i = 0, 1 , . . . , j = 1 , 2 , . . . , u. P u t t i n g (~ = ha, /3 = hb, 35 = [7~1,... ,7],j]T, F = [~js]j,s=l, A = r5J s l j ,1,,l ~ K~ = [KJ,. " ' ~ K~] r , and e = [1, " ' " 1] T E R ' , equation (2.1) can be w r i t t e n as t s= hK~+l = o~(y~-iu + y~(e - u) + h A K i + hBK,s,+i) + ~ (Yi .... - l u + y i - m (e - ~) + h F I ( i _ , , + h A K i . . . . 1), Yi+l = 7]yi-1 + (1 - ~q)Yi + v T hI(i + w T h K i + l , i = 0, 1 , . . . . Denote by {y.~.(m;ch~)}~=0 the solution to (2.2) with h = r / m . naro [28], we introduce the following definition. Following Zen-

11

(2.2)

86

Z. BARTOSZEWSKI AND Z. JACKIEWICZ

DEFINITION. M e t h o d (1.3) is said to be stable for given (a,/3) i f the sequence { y i ( m ; a,/3)}i°°__0 tends to zero as t -4 oc for a n y integer m >_ 1. T h e region S p o f s t a b i l i t y o f (1.3) is the set o f all vaIues (a,/3) for which this m e t h o d is stable. M e t h o d (1.3) is said to be P - s t a b l e K i t s region of s t a b i l i t y S p includes the set {(a,/3) :1/31 < - R e ( a ) } . Observe t h a t it follows from (1.5) t h a t if the m e t h o d (1.3) is P - s t a b l e , then the numerical solution {y~(m; a , 3)}~--0 defined by (2.2) tends to zero as i --+ oo whenever the analytical solution y(t) to (1.4) tends to zero as t --+ oo. Observe also t h a t a a n d / 3 d e p e n d on the stepsize h. A s s u m i n g t h a t the m a t r i x I - a B is nonsingular we can compute h K i + l from the first relation of (2.2), and s u b s t i t u t i n g the resulting expression into the second relation of (2.2) leads to the following vector recurrence equation: Y,+I = L Y / + MY/-1 + N Y i - , ~ + I + RY/-m q- SY/ . . . . 1, i = 0, 1 , . . . , where Y / = [yi, h K T ] r and the matrices L, M , N , R, and S are defined by L= [1--~+awT(I--c~B)-l(e-u) o~(I - oeB)- l(e - u) L 00] v T +awq-(I-ozB)-lA] a(I - olB)-lA (2.3)

] '

[ rl+OewT(I-aB)-lu M = L a(I - ctB)-lu
N = /3(Z - a B ) - I A

J '

[/3wT(I - a B ) - l ( e - ~)
t~ = S = L /3(I - o~B)-l(e - (,)

3wr(I

- aB)-~r]
J '

/3(I - aB)-lr "

I/3,.r(_z. ~ B ) - I ~
L /3(1-aB)-i(,

0]
0

T h e characteristic equation of

(2.3)

is (2.4)

det (A'~+2I - Am+lL - M~M - A2N - AR - S) = 0.

Observe t h a t A is a root of this equation if and only if there exists x* E C "+1, x* ? 0, such t h a t Am+2X* -- Am+ILx* - A " ~ M x * - A 2 N x * - ARx* - Sx* = 0. (2.5)

P u t x* = [p, xT] q-, where p E C and x c C ~, and assume t h a t p ? 0. This seems to h a p p e n for most T S R K methods. Then (2.5) is equivalent to Ara+2 -- Am+l ((1 -- r] + c ~ w r ( I -- c t B ) - i ( e - u)) + (v T + a w T ( I
-

oLB)-IA) x)

-

-

A m (rI + a w T ( I

-

-

aB)-lu)
(2.6)

A2/3~,~-(.r - a B ) - ~ A x - .X (/3~r (Z - ,~B) -~ (e - ~)
+ / 3 w T ( I -- c t B ) - I F x ) -- / 3 w T ( I -- OeB)-I~ = O,

and Am+2x - A"~+' ( a ( I - a B ) - l ( e - u) + a ( I - a S ) - l A x ) - Ama(I - aB)-lu _ A2/3(I -- o ~ B ) - l A x
(2.7)

- ~ ( Z ( I - a B ) - 1 (e - ~) + Z ( I - a B ) - l r x ) -/3(I - aB)-l~ = 0.

Consider also the following relation: A 2 w r x - A 2 + A (1 - ~ + v r x ) +7] = O,
(2.8)

Delay Differential Equations

87

and the q u a d r a t i c function

(2.9)
where the rational functions
R l (oz, z) = 1 - rl + v T x + wq-(I -- ctB - zA) -1 (o~(e - u) + z (e - *2) + oeAx + z F x )

and
R2(OZ, Z ) ~- $1 -~- w T ( / - -- (_~B -- Z A ) - 1 (6t% -~ Z*2)

are well defined if the m a t r i x I - a B - z A is nonsingular. We have the following theorem. THEOREM 2.1. A s s u m e t h a t the m a t r i x I - a B - z A is singular if and only i f z is a pole o f R1 (a, z) or R 2 ( a , z ) . Then A ? 0 such that 3 / A m is not a pole o f R l ( a , z ) , and R 2 ( a , z ) satisfies (2.6) and (2.7) if and only i r a is a root o f (2.8) and (2.9). P R o o e OF NECESSITY. Assume t h a t A ? 0 such t h a t / 3 / A m is not a pole of R l ( a , z), and R 2 ( a , z) satisfies (2.6) and (2.7). Then it follows from the assumptions of the theorem t h a t the maZrix I - c~B - (/3/Am)A is nonsingular. Consider the relation
Am+2(I -- eeB)x - A m + l ( a ( e - u) + ceAx) - AmCtU -- A2/3AX - A (3 (e - *2) + ~ r x ) - 3*2 = 0,

which is equivalent to (2.7). Dividing this relation by A~ and then multiplying it by w T ( I -a B - (/3/Am)A) -1 we o b t a i n

A2wTx-.XwT (I-o:B - AI3--T x (oz(e- u) + A/3--T2,~ *2)+ oeAx+ A/3--~ A)-' (ePx)
(2.10)

To c o m p u t e A 2 w T x , we multiply (2.7) by W T and then compare the resulting relation with equation (2.6). This leads to
A2wmz = A2 -- k (1 -- r] + v T x ) -- r],

which is equivalent to (2.8). Substituting this equation into (2.10), we o b t a i n (2.9). This completes the proof of necessity. | PROOF OF SUFFICIENCY. From (2.9), it follows t h a t
,,,2 _ ,,, (1 - ~ + vrx) - ~-j

= ..,,S (,, - ~B - ~-#-dA)-' (o4e - u) + ~-~,~(~ - .2) + o~Ax + Xf~- r.~ )

Using relation (2.8) it can be verified t h a t (2.7) is satisfied. Multiplying (2.8) by Am and (2.7) by w T and comparing the resulting relations, we then obtain (2.6). This completes the proof of sufficiency. | REMARK. A s s u m p t i o n s of the Theorem 2.1 are not very restrictive and seem to be satisfied for most T S R K m e t h o d s of practical interest. For example, t h e y are satisfied for the T S R K m e t h o d s constructed in Section 4.

88

Z, BARTOSZEWSKI AND Z. JACKIEWICZ

3. P - S T A B I L I T Y

PROPERTIES

OF TSRK

METHODS

I n t r o d u c i n g the n o t a t i o n by z = / ~ / A m, relation (2.9) can be rewritten in the form .~2 _ )~Rl(o~, z) - R2(c~, z) = 0. Now define the set P~ = {z : one of the roots of A2 - ARI(OZ, z) - R2(ct, z) = 0 is on t h e unit circle and the other is inside or on the unit circle} and the q u a n t i t y era = min Izl.
z6F,~

W e have the following theorem. THEOREM
roots of

3. i. A s s u m e that z ---0 is not a pole o/Rl(a, z) and R2(a, z). A s s u m e also that both
,~2 _ )~RI(OL,0) __ i~2(OL, 0 ) ? 0 (3.1)

are inside of the unit circle and that IZl < a s . Then ai1 roots of

are inside o f the unit circle for 311 integers m >_ 1. PROOF. Since the functions R,(c~,0) and R 2 ( a , 0 ) are well defined and the roots of inside of the unit circle, it follows t h a t the roots of
/~2 __/~R1 (o~, z) - Rl(O!, z) : 0

(3.1)

are

(3.3)

are also inside of the unit circle for all [z I < a a (see Figure 1 for a geometrical explanation). Im(z)

\F~
~,\

\

~

~

Re(z)

Figure 1. Geometrical interpretation of ac,,

Delay Differential Equations

89

A s s u m e now to the c o n t r a r y t h a t equation (3.2) has a root ,~ such t h a t IA[ >_ 1. T h e n
<

for all integers m >_ 1. This means t h a t for z = ~/Am we have Izl < ~ and one root of equation (3.3) has modulus greater t h a n or equal to one. This contradiction concludes the proof of t h e theorem. | T h e next t h e o r e m gives a characterization of ~r~ for some T S R K methods. THEOREM 3.2. A s s u m e that ~ = u, P = A, and A = B. Then a s = dist (c~, OSA) , for every c~ E SA, where SA is the stability region o f the T S R K m e t h o d for ODEs. PROOF. We have
Rl(Ct, z) = 1 - ' / + v T z + w T ( I -- (ct + z ) B ) -1 x ((ct + z ) ( e - u) + (ct + z ) A x ) = Rl(o~ + z, 0),

and

R2(c~, z) = ~ + (c~ + z ) w r ( I - (c~ + z ) B ) - l u By the definition of SA, it follows t h a t one of the roots of

= R2(c~ + z, 0).

A2 -- ARI(OZ, Z) - R 2 ( ~ , z ) = )~2 _ ARI(O~ + z,0) - R2(o~ + z,0) = 0 has modulus equal to one and the second has modulus less t h a n or equal to one if and only if c~ + z E OSA. It follows from the definition of F~ t h a t z E F a if and only if c~ + z E OSA (see F i g u r e 2). Hence, o',~ = zinrf Izl = inf I(ct + z ) - o ~ I =dist(c~,OSA),
,, c~+zEOSA

which completes the proof of the theorem. We are now ready to formulate and prove the main result of this paper. I m ( z ) ]

I

(
\

Re(z)
c~+z

//
/

/

Figure 2. Region S A and OSA.

90

Z. BARTOSZEWSKI AND Z..JACKIEWICZ

THEOREM 3.3. A s s u m e that the T S R K method for ODEs such that "~ = u, P = A, and A = B is A-stable. Then the corresponding T S R K method (1.2) for DDEs is P-stable. PROOF. We have

Sp = {(c~,/3) : all roots of A2 - AR1 (ct, ~-~) - JR'2 (c~, k~--7) = 0
are inside of the unit circle for m > 1 } It follows from T h e o r e m 3.1 t h a t S ) given by S~ = {(c~,/3) : b o t h roots of A2 -/~/E~l(OZ, 0)
-- /~2(O', 0) =
l

0

are inside of the unit circle and 1/31 < ~ } satisfies

S'p C Sp.
We have to show t h a t { ( a , / 3 ) : R e ( a ) < 0 and 191 < - R e ( s ) } c Sp

(3.4)

(this is tile definition of P - s t a b i l i t y ) . Take (c~,/3) such t h a t R e ( a ) < 0 and 1/31 < - Re(o,). Since the T S R K m e t h o d for O D E s is A-stable we have

{a : Re(a) < 0} c Sa.
This means t h a t both roots of equation (3.1) are inside of the unit circle. It follows fl'om Theorem 3.2 and A - s t a b i l i t y t h a t ~ = dist (a, OSA) > -- Re(or). Hence,

191 < -Re(c~) < a s .
This means t h a t (c~,/3) ~ S},, and as a consequence of completes the proof.

(3.4)

it follows t h a t (ct,/3) C Sp.

This |

4. E X A M P L E S

OF

P-STABLE

TSRK

METHODS

FOR

DDES

In this section, we will illustrate by two examples how to construct T S R K methods for DDEs which are P - s t a b l e . We s t a r t with the T S R K method for ODEs given by 0.164905 -0.210337 0.128015 -0.198522 -1.07121 -0.284316 0.75 2.70983 1.12692 0 0.75 0.0293846

7]

vT

wX

=

0 0

which, as d e m o n s t r a t e d in [17], is A-stable and has order p = 4 and stage order q = 4. We c o m p u t e next the continuous weights

such t h a t vi(1) = vi and F = A, and the continuous weights

~{(() : ( (~{,1 + w~,~(+ ~,{,~ ~ ) ,

i = 1,2,

Delay Differential Equations

91

such t h a t wi(1) = wi and A = B, where F and A are the matrices defined in Section 1. This leads to the linear systems of equations
vdcj) = aj~,
v i ( 1 ) = vi,

and
w i ( c j ) = bji,

w~(1) = wi,

i , j = 1, 2, for the coefficients vkt and wkl, k = 1, 2, l = 1, 2, 3. The solutions to the above systems correspond to the continuous weights vi(~) and wi(~) given by

Vl(~) = ~ (0.57142 - 0.559464 4 + 0.116058~2), v2(~) = ~ ( - 0 . 3 3 2 7 7 . + 0 . 1 5 1 5 2 5 4 - 0.10307~2), and

Wl(sc) = ~ (0.755371 + 0.49649s c - 0.124943~2), 'w2(~) = ~ (0.00598078 - 0 . 0 8 8 5 5 t 3 ? + 0.111955,12).
It can be verified using T h e o r e m 3 in [25] t h a t the resulting T S R K m e t h o d for DDEs is convergent with uniform order p = 4; i.e., there is no superconvergence at the gridpoints. We t h i n k this is a very desirable p r o p e r t y of the m e t h o d since we can generate dense o u t p u t without any ~dditionat cost. T h e m e t h o d constructed above is also P - s t a b l e as can be easily verified using T h e o r e m 3.3. T h e o r e m 3.3 can also be used to construct T S R K methods of the t y p e considered in [8,9,14], i.e., with A - 0. For example, s t a r t i n g with the A-stable m e t h o d of order p = 4 for O D E s ul A B 0
= 0

/~/

vT

wT

0.462626

0 0 0.592719

0 0 0.457494

0.527766 -0.0679367 0.0203561

1.06598 0.47028 0.392057

constructed in [14] and proceeding similarly as in the previous example, we o b t a i n the P - s t a b l e m e t h o d of uniform order p = 4 for DDEs. The coefficients rj(~), v~(4), and w~({) of this m e t h o d are given by r/(~ = ~ (-0.835974 + 2.602294 - 1.3036942), c) vl(~) = ~ (-1.07105 + 3.33407sc - 1.6703~2) , v2(s = 4 ( - 0 . 8 2 6 7 + 2.57343 4 - 1.28923~2), c) and w l ( s = ~ (-0.226373 + 0.073107~ + 0.173622sc2), c) w2(s = 4 (2.28815 - 3.378314 + 1.482214~). c) It can be verified by direct computations t h a t both methods constructed in this section satisfy assumptions of T h e o r e m 2.1. For example, the m a t r i x I - (c~ + z ) B corresponding to the l a t t e r m e t h o d is singular at z = 1.55644-c~:t:0.834543 i which are also the poles of the function R1 (c~, z). A s y s t e m a t i c approach to the construction and implementation of highly stable T S R K m e t h o d s for DDEs will be the subject of future work.

92

Z. BARTOSZEWSKI AND Z. JACKIEWICZ

REFERENCES
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