Long-term stability of multi-value methods for ordinary differential equations
backward error analysisgeneral linear methodsHamiltonian systemsinitial value problemslong-term integrationlong-term stabilitymulti-value methodsnumerical experimentparasitic components
Nonlinear ordinary differential equations and systems (34A34) Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)
The authors consider initial value problems for systems of differential equations \[ \dot y=f(y),\quad y(0)=y_0. \] The long-time behavior of multi-value methods, i.e., general linear methods consisting of a forward step procedure \[ Y_{n+1}=V\,Y_n + h \Phi(h, Y_n), \] a starting procedure \[ Y_0=S_h(y_0), \] and a finishing procedure \[ y_n=F_h(Y_n), \] is studied. First, a backward error analysis of multi-value methods is performed by deriving modified equations for the components associated with the expansions of approximations to \(Y_n\). In this context, the role of growth parameters and the effect of symmetry on the modified equations are also discussed. It is known that for irreducible linear multistep methods the growth parameters cannot be zero. However, general linear methods can be constructed for which the growth parameters corresponding to parasitic roots are all zero. This interesting property greatly affects the long-term energy conservation in the numerical solution of Hamiltonian differential systems. Next, as the main results, sharp estimates for the parasitic solution components are obtained and the long-time behavior of multi-value methods applied to Hamiltonian systems is analysed. Finally, numerical experiments for the Hamiltonian system of the mathematical pendulum are given which confirm the sharpness of the theoretically obtained estimates.
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