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Stability PDF

This document discusses stability in numerical methods for solving initial value problems (IVPs). It states that a stable numerical method ensures small changes in the initial values result in only small changes in the approximate solution. The document presents a theorem showing that if a method is consistent and stable, it will be convergent. Specifically, it proves that a method of the form wi+1 = wi + h(t, wi) will be stable if h(t, w, h) is continuous and satisfies a Lipschitz condition in w.

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51 views6 pages

Stability PDF

This document discusses stability in numerical methods for solving initial value problems (IVPs). It states that a stable numerical method ensures small changes in the initial values result in only small changes in the approximate solution. The document presents a theorem showing that if a method is consistent and stable, it will be convergent. Specifically, it proves that a method of the form wi+1 = wi + h(t, wi) will be stable if h(t, w, h) is continuous and satisfies a Lipschitz condition in w.

Uploaded by

baba
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Numerical Methods 151B

Summer 2020

UCLA

August 10, 2020


Stability

I A numerical method to solve IVP is called stable if there is a


constant K and a step size h0 such that the di↵erence
between two solutions wi and w̃i to the IVP with initial values
y0 and ỹ0 , respectively, satisfies

|wi w̃i |  K |yi ỹi | i = 0, 1, ...N (1)

whenever h  h0 and Nh < |b a|


Stability

I Stability means that small error in the initial data produces a


small changes in the approximation of the solution, or
equivalently that the final results depends continuously on the
starting point.
Theorem

Suppose that the IVP


⇢ 0
y (t) = f (t, y (t)) atb
(2)
y (a) = ↵ initial condition

is approximated by a method of the form


⇢
wi+1 = wi + h (t, wi )) atb
(3)
w0 = ↵ initial condition

and that h0 > 0 and that (t, w , h) is continuous and satisfies a


Lipschitz condition in w with a constant L on the set

D = {(t, w , h)|a  t  b, w 2 R, 0  h  h0 } (4)

Then the method is stable.


There is a maximum step size above which the method is not
guaranteed to be stable.
Stability requirement is like well-posedness but applies to the
numerical method instead of the problem
Lax equivalence theorem

I Lax equivalence theorem states that consistent, stable method will


be convergent

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