Past exam of the mathematics course of the University of Cambridge / 2017 / ib / Paper 1 / 18C (Numerical Analysis)

Assume $f$ is sufficiently smooth, for example $C^3$ near the exact trajectory. Write $f,f^{\prime },f^{\prime \prime }$ at the current value, with $f^{\prime }$ a linear map and $f^{\prime \prime }$ a bilinear map when the ordinary differential equation is vector valued. Taylor expansion of the stages givesThe exact flow has Taylor expansionMatching the terms through $h^3$ in the Runge-Kutta method gives the sufficient third-order conditions for an explicit Runge-Kutta methodFor scalar $f$, replace $f^{\prime \prime }[f,f]$ by $f^{\prime \prime }{f}^2$ and $(f^{\prime }{)}^{2}f$ by $(f^{\prime }{)}^{2}f$ in the scalar sense. The resulting local error is $O(h^4)$; under a local Lipschitz continuity assumption and bounded derivatives on a finite time interval, the standard one-step error recurrence gives global error $O(h^3)$, hence third order.

On the linear test equation $y^{\prime }=\lambda y$, putting $z=h\lambda$ gives the stability functionThus $\boxed{|R(-5/2)|=47/48<1}$, so $-5/2$ lies inside the linear stability domain. The four order conditions are compatible, for example $a_1=1/2,a_2=-1,a_3=2$ and $(b_1,b_2,b_3)=(1/6,2/3,1/6)$.