One-sided Lipschitz condition 2026-10-05
A one-sided Lipschitz condition controls the growth of distances between solutions of an ordinary differential equation. Differentiating the squared difference and applying the Gronwall inequality gives . The case is a dissipative vector field. Ordinary Lipschitz continuity implies such a bound, but the converse fails: has one-sided constant zero on the real line without being globally Lipschitz continuous.
Past exam of the mathematics course of the University of Cambridge 2018 iii Paper 341 7 Solution Created 2026-10-03 Updated 2026-10-05
An -stage Runge-Kutta method for is defined byThe Butcher tableau records , and ; internal consistency usually sets , and first-order consistency requires . A strictly lower triangular gives an explicit method, while other stage dependencies generally require an implicit Runge-Kutta method. The stage solvability of an implicit Runge-Kutta method must be checked separately: if is globally Lipschitz continuous in with constant , the stage fixed-point map is a contraction in the maximum stage norm whenever . This is a sufficient small-step condition, not a restriction intrinsic to the definitions of A-stability or B-stability.
Linear stability begins with the Dahlquist test equation . Solving the stages givesThe linear stability domain consists of test values for which the stage system is well defined and . A-stability means this includes the closed left half-plane. For , this gives stability with no scalar decay-mode step restriction. For a normal matrix in , unitary diagonalization of a normal matrix reduces the norm estimate to these scalar factors. For a non-normal matrix, eigenvalues alone do not establish a uniform norm bound: eigenvector conditioning and transient amplification matter. Mesh-uniform estimates for discretized PDEs must control operator powers, not only their spectra.
Every consistent explicit Runge-Kutta method has a nonconstant polynomial stability function and therefore cannot be A-stable, since that polynomial is unbounded on the negative real axis. For example, Forward Euler method has , stability disk , and restriction for . For a pure imaginary mode , , so it is unstable for every positive step. The classical fourth-order Runge-Kutta method instead hasIt is stable on the imaginary axis exactly for , an illustrative conditional stability range for oscillatory evolution.
Backward Euler method has and is A-stable. L-stability adds as in the left half-plane; backward Euler satisfies this and strongly damps unresolved rapidly decaying modes in a stiff differential equation. The implicit midpoint rule and the trapezoidal rule both have , so they are A-stable but not L-stable. They preserve the modulus of a pure imaginary test mode, but their stiff-decay limit is , leaving oscillatory numerical remnants. The three-stage Lobatto IIIA method has the fourth-order rational function found in Question 2 and likewise lacks L-stability. Thus high order and A-stability do not themselves imply efficient stiff damping.
Nonlinear stability measures differences between solutions of the same equation. A one-sided Lipschitz condition isDifferentiating the squared difference and applying the Gronwall inequality gives . A dissipative vector field has and is contractive. A B-stable method preserves this property for every positive step size for which the stages are well defined:This includes time-dependent vector fields when dissipativity holds at each common time argument. Applying it to scalar linear dissipative fields shows that B-stability implies A-stability when the linear stages are well defined; the converse fails.
The standard sufficient theorem is algebraic stability implies B-stability, subject to stage solvability. Define and . Algebraic stability of a Runge-Kutta method means and is a positive semidefinite matrix. To prove the theorem, set , and . Expanding the output difference and using yields the Runge-Kutta contractivity identityDissipativity makes the first sum nonpositive, while positive semidefiniteness makes the last quadratic form nonnegative. The latter follows by factoring and writing it as a sum of squared norms of linear combinations of the . This proves the claimed contraction. It is a sufficient theorem; absence of algebraic stability is not, by itself, a proof of failure of B-stability for every representation.
Several examples make the distinctions concrete. For backward Euler, , , so : it is both L-stable and B-stable. For implicit midpoint, , , so : it is B-stable and preserves squared norms for a skew-Hermitian linear equation, but lacks stiff damping. For the two-stage Gauss--Legendre Runge-Kutta method,the matrix vanishes as well. The collocation theorem gives order four, and its stability function is exactly the same as the three-stage Lobatto IIIA function. Yet the Gauss method is algebraically stable, whereas that Lobatto method is not. Identical scalar linear stability functions need not imply identical nonlinear stability properties.
An example combining stiff damping and nonlinear contraction is the two-stage Radau IIA method, withIts positive weights and positive semidefinite prove B-stability; its rational function has denominator roots and, for , satisfiesThus it is A-stable; the limit then proves L-stability. The standard Radau IIA collocation theorem gives order , here three. These properties explain its usefulness for stiff nonlinear equations.
Finally, A-stability alone does not imply B-stability. The trapezoidal rule fails B-stability even for the scalar dissipative equation . With , its step map is uniquely defined byAt , . Implicit differentiation givesThus nearby starting values are separated by approximately twice their original distance after one step, although the exact flow is contractive. This example and the contractivity theorem show why scalar linear analysis, stiff damping and genuinely nonlinear norm estimates answer different stability questions.
Past exam of the mathematics course of the University of Cambridge 2019 iii Paper 341 6 Solution Created 2026-10-03 Updated 2026-10-05
A Runge-Kutta method with stage matrix , weights and step size isIts order measures accuracy as , while stability concerns how errors or stiff components propagate. Linear A-stability, strong stiff damping through L-stability, and nonlinear B-stability address different questions.
For the Dahlquist test equation , elimination of the stages gives the stability functionThe linear stability domain is . The method is A-stable when it contains the closed left half-plane, and L-stable when it is also true that as there. These conditions describe, respectively, stability for every non-growing scalar linear mode and damping of very rapidly decaying modes.
The Forward Euler method has , so it fails A-stability, for example at . In fact no nontrivial explicit Runge-Kutta method is A-stable: its stability function is a nonconstant polynomial, which is unbounded along the negative real axis. The Backward Euler method has . For , , and the function tends to zero at infinity, proving both A-stability and L-stability. The implicit midpoint rule has . The identity proves A-stability, but its limit rules out L-stability.
For nonlinear equations, a dissipative vector field satisfies . The corresponding exact solutions contract because the time derivative of their squared distance is twice that inner product. A B-stable method preserves this contraction for every , whenever its stages are well defined.
Let , , and . Expanding the update's squared norm, substituting , and symmetrizing the double sum proves the Runge-Kutta contractivity identityIf and the matrix is a positive semidefinite matrix, the first sum is nonpositive by dissipativity. The second double sum is nonnegative: sum the quadratic form of over each coordinate of the . Thus algebraic stability implies B-stability. Applied to complex scalar linear equations with the real part of the Hermitian inner product, the same argument also implies A-stability, where the stages are defined.
The Backward Euler method has , hence , and is algebraically stable. One can prove its nonlinear contraction directly: gives . The implicit midpoint rule has , and , so it is B-stable even though it is not L-stable.
Linear A-stability does not by itself imply nonlinear B-stability. The ODE trapezoidal rule has the same stability function as the implicit midpoint rule, but take the dissipative scalar field and . For any positive starting value, its trapezoidal update is . Thus two positive starting values have their distance doubled, violating B-stability. Its algebraic stability matrix also has a negative first diagonal entry. The field is globally Lipschitz continuous, so this is a well-defined nonlinear counterexample.
These examples distinguish accuracy, scalar stiff-mode stability, nonlinear contraction, and rapid stiff-mode damping. For implicit methods, solvability of the stage equations remains an additional requirement; a formal stability function alone does not establish it for arbitrary nonlinear problems.
Runge-Kutta contractivity identity Created 2026-09-28 Updated 2026-10-05
For differences between corresponding stages and differences between their vector fields, a Runge--Kutta step satisfiesTo derive the identity, expand the squared norm of and substitute in the linear term. Symmetrizing the double sum gives the displayed coefficients . For a dissipative vector field, the first sum is nonpositive when , and the second sum is nonnegative when the matrix is a positive semidefinite matrix. Thus algebraic stability implies B-stability.
For a vector field uniformly Lipschitz continuous in the state with constant , the stage fixed-point map of an implicit Runge-Kutta method is a contraction in the maximum stage norm if . The contraction mapping theorem then gives unique stages. This is a sufficient small-step condition; a dissipative vector field may permit solvability for larger steps. An algebraic stability or B-stability estimate compares existing stage solutions and should not be mistaken for an unqualified stage-existence theorem.
Trapezoidal rule fails B-stability 2026-10-05
The trapezoidal rule is A-stable but is not B-stable. For the dissipative vector field at step size one, its uniquely defined step map obeys . At , and implicit differentiation gives , so nearby states expand rather than contract. This is a concrete nonlinear obstruction, rather than merely failure of the sufficient algebraic stability criterion.