Past exam of the mathematics course of the University of Cambridge 2013 iii Paper 63 7 Solution Created 2026-10-03 Updated 2026-10-07
A stability analysis asks whether perturbations in an evolution remain bounded on a fixed physical time interval by a constant independent of the mesh. For a linear update , the basic requirement isThis permits physical growth bounded by ; it need not require every step to be a contraction. Consistency of a numerical method measures how well its stencil reproduces the differential equation, whereas stability of a numerical method controls the accumulated defects. For a well-posed linear problem, the Lax equivalence theorem connects stability and convergence for a consistent approximation in the specified norm.
On the whole line or a periodic grid, constant-coefficient stencils commute with translations. The Fourier modes diagonalize such spatial operators, turning a scalar one-step scheme intoThe Fourier symbol is found simply by replacing a shift by . The Parseval identity makes this modal calculation a norm estimate: if at every resolvable frequency, then the discrete norm cannot increase. More generally, a uniform gives and a fixed-time stability bound. All frequencies matter, including those near the grid scale; a small-wavenumber expansion establishes consistency but cannot test the entire stability range.
For the heat equation, put and . The Forward Euler diffusion scheme hasThe condition for every is exactly . This illustrates a parabolic time-step restriction . The Backward Euler diffusion scheme instead haswhich is contractive for every . The Crank-Nicolson diffusion scheme hasand is likewise unconditionally stable. However, its high-frequency amplification approaches for large , so it need not damp rapidly decaying modes effectively and may produce alternating transients from nonsmooth data. An A-stable time integrator can stabilize a diffusion semidiscretization with left-half-plane spectrum, but damping and accuracy remain separate questions.
For transport , define the hyperbolic Courant number . Forward Euler with a centered spatial difference gives and . It is unstable under a fixed nonzero CFL ratio. For , the upwind finite difference scheme hasThus is the stable range. Upwinding for negative reverses the spatial difference and gives . The Lax-Wendroff advection scheme gives a second-order example:It is stable for , but that result does not imply monotonicity or exclude oscillations at shocks. The Courant–Friedrichs–Lewy condition has a domain-of-dependence interpretation for explicit hyperbolic schemes; the Fourier calculation supplies the sharper algebraic stability criterion for the particular stencil.
For multilevel methods, each frequency gives an amplification polynomial and a companion matrix. Every amplification root must lie in the closed unit disk, with unit-modulus roots simple. Uniformity across frequencies and meshes is essential: one also needs control of the associated matrix powers, for example through a uniformly bounded diagonalization or the uniform power bound from separated amplification roots. A repeated unit root generates a Jordan block and polynomial growth in the number of steps. The same issue occurs for systems: checking only eigenvalue moduli of a nonnormal Fourier amplification matrix is insufficient. For instancehas unit eigenvalues but no fixed-time mesh-uniform bound as . For a hyperbolic system with a constant coefficient matrix admitting a uniformly bounded characteristic diagonalization, scalar modal estimates for each characteristic speed do give a system estimate. A positive energy symmetrizer provides another route. Frozen-coefficient Fourier tests for variable coefficients are useful local diagnostics, but a global estimate must also account for coefficient variation and boundary terms.
Boundary conditions change the allowable modes and can change the conclusion. A periodic calculation is exact only for a periodic closure. On a finite interval with zero Dirichlet boundary conditions, the centered diffusion matrix is diagonalized instead by the discrete sine transform. On interior points its eigenvalues are before scaling by . Thus the exact fixed-grid Forward Euler restriction iswhich tends to the whole-line threshold as the grid is refined. Backward Euler and Crank-Nicolson remain stable for all nonnegative . An appropriate Neumann boundary condition uses cosine-type modes and includes a constant mode with eigenvalue zero. The constant mode must be preserved, rather than forced to decay; depending on the boundary stencil, the natural discrete inner product may have endpoint weights.
For hyperbolic transport, the continuous and discrete boundary closures must respect the direction of propagation. If on , prescribe the left inflow value; prescribing an independent outflow value can overdetermine the problem. The energy method exposes this directly:Homogeneous inflow is dissipative, while forced inflow contributes data to the estimate. A compatible upwind boundary update has the same one-sided information flow. For diffusion,The last term vanishes for homogeneous Dirichlet or Neumann conditions. With Robin boundary conditions of dissipative sign it contributes a further nonpositive term. A non-dissipative boundary can produce genuine PDE growth, which a valid stability estimate should represent rather than incorrectly suppress.
Even a perfectly stable interior symbol cannot detect every defective boundary closure of a difference scheme. As a concrete counterexample, leave a stable explicit heat stencil on all grid points away from the left endpoint, but replace its first interior row by , still keeping . The interior Fourier symbol is unchanged, yet makes the finite-interval update unstable. The faulty boundary-adjacent row creates a mode absent from the periodic interior calculation. Thus the entire finite update matrix, or an energy estimate including its boundary rows, must be examined.
A more systematic boundary stability of a finite-difference method analysis transforms time and any tangential spatial variables, then looks for modes with and on a half-line. The interior dispersion relation selects decaying spatial modes; the boundary equations must determine their coefficients without admitting a nonzero growing homogeneous mode. A uniform inverse estimate for the boundary system, expressed by the Uniform Kreiss--Lopatinskii condition, also rules out arbitrarily weak boundary control near limiting frequencies. Merely excluding one obvious unstable mode is weaker than proving a mesh-uniform estimate. Discrete summation by parts and suitable boundary penalties offer an energy-based alternative.
Finally, nonlinear scalar conservation laws can develop discontinuities, so linearized Fourier stability is only one part of the analysis. A monotone conservative scheme, such as the Engquist-Osher method under its CFL restriction, has an invariant state range and L1 contraction of a monotone conservative scheme, with a discrete entropy inequality selecting admissible shocks. These complement the Fourier and boundary estimates. For an evolution problem, the meaningful outcome is a stability bound in a specified norm, uniform over the chosen mesh family and compatible with the actual boundary and initial data.