Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 68 / 1

The characteristic polynomials of a linear multistep method areThe consistency of a numerical method conditions hold for every real $a$:Both roots of a polynomial of $\rho$, namely $1$ and $-1$, are simple and have modulus one. The root condition for a multistep method therefore gives zero-stability for every $a$. The Dahlquist equivalence theorem now gives convergence for every fixed $a\in \mathbb{R}$. As usual, this means convergence of a numerical method on each fixed finite interval for a sufficiently regular ordinary differential equation with a Lipschitz continuous vector field and starting values tending to the exact starting values. When $a\ne 0$, the implicit time-stepping method update is locally uniquely solvable for sufficiently small $h$, for example by a contraction mapping if $|ha|L<1$. Zero-stability does not assert that a large fixed step is suitable for a stiff differential equation.

Expand the exact solution about $t_{n+1}=t$. The unscaled local truncation error isOnly odd powers occur in this centered expansion. Unless $a=1/3$, the first nonzero coefficient is the $h^3$ coefficient, giving order of a numerical method two. For $a=1/3$, that term vanishes but the next coefficient is $-1/90$, giving order of a numerical method four. ThusThese are exact orders for general smooth ordinary differential equations, since the respective first surviving derivatives need not vanish. With starting errors $O(h^p)$, the zero-stability established in part (a) makes the global error $O(h^p)$.

Apply the Dahlquist test equation and put $z=h\lambda$. Every recurrence mode must satisfyThe amplification polynomial of a multistep method, rather than just its root near one, determines absolute stability. Put $B=2a-1$ and use the Cayley transform between the half-plane and diskFor $\zeta \ne -1$, the characteristic equation becomesIf $B>0$, the denominator cannot vanish at a root of the characteristic equation: $1+B{w}^2=0$ would force $w=0$, a contradiction. Hence $\mathrm{Re}z<0$ forces $\mathrm{Re}w<0$, so all amplification roots have modulus less than one. On the imaginary axis the roots have modulus one and are simple: the transformed quadratic has discriminant $4(1-B{z}^2)>0$ for imaginary $z$. At $z=0$ they are the two simple roots $\pm 1$. Also $\zeta =-1$ cannot be a root when $B>0$ and $z\ne 0$, and the leading coefficient $1-az$ cannot vanish in the closed left half-plane.

If $a<1/2$, the root near $-1$ isFor small negative real $z$ it lies below $-1$, violating absolute stability. The endpoint $a=1/2$ deserves separate treatment:One root is always $-1$; the other is the trapezoidal rule multiplier $(1+z/2)/(1-z/2)$. They are distinct for every finite $z$ in the left half-plane. Consequently, with absolute stability understood as the bounded root condition for a multistep method,There is a convention at this reducible endpoint: if A-stability is defined to require every unreduced recurrence mode to decay for $\mathrm{Re}z<0$, the answer is $a>1/2$, since the $(-1{)}^n$ mode persists at $a=1/2$. Canceling the common factor $\zeta +1$ gives the A-stable trapezoidal rule, but cancellation removes an actual starting-error mode of the original two-step recurrence. The fourth-order member $a=1/3$ is outside either A-stability range.