Past exam of the mathematics course of the University of Cambridge 2009 iii Paper 72 7 Solution Created 2026-10-03 Updated 2026-10-14
A fixed-step linear multistep method for uses several previous solution and derivative values:The coefficients are fixed independently of the step size. It is explicit when and implicit otherwise. Its characteristic polynomials of a linear multistep method are and . The contraction mapping theorem gives a uniquely solvable implicit step under a Lipschitz continuity bound whenever , by contraction of the new-value equation on the appropriate solution region. A suitable starting procedure must supply the first values; the method alone does not determine them.
Order is defined by inserting a smooth exact solution into the recurrence. If the residual is and its first nonzero coefficient occurs at that degree, the method has order ; dividing the residual by gives an local truncation error. Taylor expansion gives the exact order conditions for a linear multistep methodwith the right side interpreted as zero at , and failure at for exact order. Equivalently,The basic consistency of a numerical method conditions are , ; for the ordinary nondegenerate consistent formulation this common value is nonzero. Exactness on constants and linear functions does not control propagation of numerical perturbations.
That propagation is the role of zero-stability. On the homogeneous recurrence is . Its modes are , with powers of determined by root multiplicities. The theorem on the root condition for a multistep method states that zero-stability is equivalent to every root of having modulus at most one, with every unit-modulus root simple. Interior repeated roots are permitted, since geometric decay dominates their polynomial factors. An exterior root amplifies perturbations geometrically; a repeated unit root amplifies them polynomially and violates a step-independent perturbation bound.
The Dahlquist equivalence theorem states that a fixed-step consistent linear multistep method is convergent exactly when it is zero-stable. This concerns ordinary differential equations with a uniformly Lipschitz continuous right-hand side on the solution region over a fixed finite interval, convergent starting values, and the well-defined nearby branch of each small-step implicit solve. For order convergence of a numerical method, the solution must have the required smoothness and the starting errors must be .
The mechanism can be sketched explicitly. The root condition for a multistep method bounds the recurrence's discrete Green function. For an order- exact-solution defect , the Lipschitz continuity error equation then gives an estimate of the formThe current-step term can be absorbed for small . The discrete Gronwall inequality says that a bound implies . There are defects on a fixed interval, so their sum is and this yields the claimed global order. Conversely, testing with vanishing starting perturbations in exterior-root or repeated-unit-root modes proves that convergence of a numerical method fails without the root condition for a multistep method.
For example, the two-step Adams-Bashforth method hasIt is explicit, order two and zero-stable, hence convergent with order-two starting values. By contrast, a recurrence with has solutions on the zero differential equation. Starting differences tend to zero yet become unbounded at a fixed positive time, since is of order . A small local defect or formal high order cannot rescue this mode. Canceling a common factor may remove it only by changing the allowed starting relations, as the parameter endpoint in Question 2 illustrates.
Absolute stability addresses a different limit: apply the method to the Dahlquist test equation and put . The amplification roots satisfyAll roots must satisfy the disk condition, with unit roots simple; one cannot inspect only the root that tends to one as . The degree and solvability of the recurrence must also be preserved. The resulting set of is the domain of absolute stability. A-stability means that it includes the whole closed left half-plane, so the numerical solutions of every Dahlquist test equation with are stable for every positive step size. It is a linear test-equation property, not a proof of arbitrary nonlinear contractivity or high accuracy at large steps.
Forward Euler method has order one and factor , so its stability region is the disk . Backward Euler method has factor and is A-stable. The trapezoidal rule is order two with factor ; its modulus is at most one throughout the left half-plane. These one-step methods are included as the simplest multistep examples. For the two-step Adams-Bashforth method, the negative-real stability interval is : its polynomial is , and the root reaches at . It therefore imposes a step restriction when applied to strongly decaying modes.
The genuinely two-step BDF2 method isIt has order two, roots at zero step and is A-stable. For its normalized polynomials , , the unit-circle boundary locus hasThe leading coefficient has no zero in the left half-plane, and the roots at a small negative are both inside the disk. Root continuity then proves open-half-plane stability; on the imaginary boundary the only possible unit root is the simple root one at . This gives a direct proof of the stated A-stability rather than relying on a boundary plot.
Two sharp order barriers explain the tradeoff. The first Dahlquist barrier states that a consistent zero-stable real linear -step method using only first derivatives has order at most for odd and for even ; an explicit method has order at most . The Second Dahlquist barrier states that an irreducible A-stable real linear multistep method has order at most two. These statements concern fixed constant coefficients and the ordinary first-derivative multistep class, not multiderivative methods or arbitrary variable-step formulations. Thus higher order alone is not a route to unconditional stiff stability. Question 2 provides a concrete illustration: its third-order member is zero-stable but not A-stable.
No nontrivial consistent explicit multistep method is A-stable. Its amplification polynomial of a multistep method has a fixed highest coefficient, while at least one lower coefficient grows without bound as real . Were all roots uniformly in the unit disk, their elementary symmetric polynomials would keep all the monic coefficients bounded, a contradiction. This is the coefficient argument behind explicit multistep methods cannot be A-stable.
In practice, selecting a method therefore involves accuracy, startup, the presence of a stiff differential equation, implicit-solve cost and step-size control. Zero-stability handles propagation as the step tends to zero; consistency of a numerical method supplies a vanishing defect; A-stability handles the numerical solutions of all decaying Dahlquist test equations at finite steps. None substitutes for the others, and variable steps or PDE discretizations require additional uniform stability arguments appropriate to their setting.