LIBRARY OF THE UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN The person charging this material is re- sponsible for its return to the library from which it was withdrawn on or before the Latest Date stamped below. Theft, mutilation, and underlining of books are reasons for disciplinary action and may result in dismissal from the University. UNIVERSITY OF ILLINOIS LIBRARY AT URBANA-CHAMPAIGN oct ,; urn SEP 15 *tt ' L161 — O-1096 Digitized by the Internet Archive in 2013 http://archive.org/details/highorderstiffly394jain \ o£f ';» where E is the translation operator (Ey = y ) and p and a are polynomials defined by te\ r k r 1 ^ 1 r k " 2 p(C) = a C - a C - « 2 £ -...- a fc (3) a(c) = e c k + e 1 c 1 " 1 + 3 2 ? k " 2 +...+ e k Therefore, this formula can only be used if one knows the values of the solution at k successive points. These k values will he assumed to he given. Further, it can be assumed without loss of generality that the polynomials p(0 and a(£) have no common factors since in general case, (l) can be reduced to an equation of lower order. Definition 1.1. The formula (1) will be said to be of order p >_ if it fulfills the p + 1 conditions (U) k a = I a. ° 1=1 X k k a = Z (l-i) S a. + s Z (l-i) S 6. , s = 1, 2,... p i=l x i=0 X Thus the method is of order p if for any y e a ^ and for some nonzero o ,. p+1 ( 5 ) k k a y = I a. y ., . + h Z 3. y'.+c, h P+1 y P T^ n+1 . . i J n+l-i . _ i J n+l-i p+1 J (t) 1=1 1=0 ♦ o( h P +2 ) where y " is the (p+l)-st derivative of y evaluated for some t between t 7 , and t . The last two terms represent the truncation error. Multistep methods were first investigated by Dahlquist [h] who defined the following: Definition 1.2. A multistep method is called A-stable if all solutions of (1) tend to zero, as n -»■ °°, when it is applied to the differential equation of the form y ' = Xy and X is a (complex) constant with negative real parts. He then proved that the order p of an A-stable linear multistep method cannot exceed two. The order two method with the smallest error term is the trapezoidal rule. Widlund [5] has shown the existence of methods of orders three and four which are stable in the wedge |arg(hX) — tt J < a of the negative half plane for any a < p-. Norsett [6] has extended these results to the methods of orders five and six. Gear [7,8] has used the conditions which are necessary for stiff differential equations. The requirements are shown in Figure 1. STABLE hX = h - — plane 3y * Figure 1 Stability and Accuracy Region Thus the numerical methods suitable for stiff differential equations depend on the parameters D, 0, a and on the definition of accuracy. Gear has termed such methods as stiffly stable methods and has obtained methods of order as high as six for suitable parameters D, 0, and a. Dill [9] has used computer graphic techniques for finding methods of orders seven and eight. We shall show here that the methods of order as high as eleven can be obtained for suitable parameters. 2. HIGH ORDER STIFFLY STABLE METHODS The discretization error of the multistep method is defined as the difference between the value y calculated from (l) and the exact solution y(t ). n Define e - y - y(t ) n J n n Then the error e obeys the difference equation (6) (a. - hAgJe = Z (a. + hAB. )e ., . - T n+1 . , i l n+l-i n 1=1 for the equation y' = Ay. Assuming that we get from (6) the well known characteristic equation for £, ( 7) k (a - hX6 n )C n+1 - £ (a. + hAB.)C n+1-1 + T (y, t , h) = . , i i n n i=l where T is the truncation error for the exact solution. For convergence, n it is necessary to bound the solution of the imhomogeneous difference equation (7) (see, Henrici [10]). It depends on the stability of the corresponding homogeneous equation obtained from (7) with T set to zero. This difference equation is stable if and only if all the roots of the polynomial equation k (a - hAB )£ n+1 - S (a. + hA6.)C X ■ . , i i 1=1 or symbolically (8) p(£) - hA o(5) = lie in or on the unit circle and those lying on the unit circle have multiplicity of one. It should he noted that it is an asymptotic condition only and is concerned with the convergence of y to y(t) with h = (t - t )/n as n •*■ °° or hA -*■ 0. If stiff equations are to he integrated with large values of h, then large values of hX must not make (8) unstable. Letting hX ■> °°, the roots of (8) approach those of o(C) = 0. This implies that the polynomial o(^) must not have roots outside the unit circle and those roots £. for which |£.| =1 are simple. Further, a(C) is of degree k and has no common root with p(C). The stiff stability can he investigated as follows. We want hX values such that (8) has roots inside the unit circle or on the unit circle and simple. The region is hounded hy the locus of p(£)/a(£) in the hX-plane for £ = e , e[0 s 2TT]„ This locus can be plotted in hX plane and is of the type as shown in Figure 2. At hX = infinity, the method is stable if a(0 is stable, so that any region connected to that point will be stable by continuity argument. If we prescribe k, then for stiffly stable methods the polynomial cU) should be such that its roots lie within the unit circle or on the unit circle and simple. Another restriction on aU) is that it has no common factor with pU). Since p(c) will always have a root at +1, a(0 must not have a root at +1. The locus of p ( £) /o( O for C = e , £[0,2tt] should be as shown in Figure 2. Selecting Coefficients of o(E,) We shall consider the stiffly stable methods for which k = p. A k-step stiffly stable method of order p (=k) requires the solution of p + 1 equations in 2k + 1 unknowns (B can be taken as l) . The k + 1 unknowns a., the coefficients of the polynomial p(?) can be l ' determined in terms of k unknowns B. , the coefficients of the polynomial c(c)- The expressions for a. in terms of B. as obtained on solving the equations (k) are given in Appendix 1. Besides the above metnioned restrictions on a(^), these arbitrary coefficients 8. can be chosen to 1 1. control numerical stability, 2. minimize computational efforts, and 3. minimize the truncation error. Gear has chosen 6. = 0, i = 1, 2,... k, i.e. o(£) = £ and obtained stiffly stable methods for k <_ 6. k >_ 7 does not give a stable method. These methods satisfy (l) and (2). Dill has prescribed 6=1 and k— 1 8 = -.99, i.e. a (0 = 5 (£ - 0.99) and obtained a seventh order formula. For eighth order formula he has selected _k 2 2 a(S) = £T~ U - 1.8C + .81). These formulas also satisfy the criterion (2) . We have investigated a class of methods which will satisfy the essential property (l). Some of our formulas will also satisfy (2) and (3). Class I Choose (9) c(0 = £ k " r U - c) r , r = 0, 1, 2,... k where We find -1 < c < 1, order of stable formula k<6 k<7 k<8 k<9 k<10 k 6 does not indicate the existence of stiffly stable methods. Appendix 3 shows the coefficients for various order formulas of P and Q type. The values of the parameters c, D, max|c| and c are also tabulated. The section of the locus of p(£)/o(£) for fifth order method is shown in Figure 8. 3. CONCLUSIONS The stiffly stable methods of order as high as eight are already known. The aim of the present investigation has been to develop methods of order higher than eight. We have investigated the following classes of methods: (1) oU) = K k " r (5 - c) r (2) aU) = ? k " r U r - c r ) (3) k-r r r i i 0(5) = r r S ? c 1 i=0 where r= 0, 1, 2,... k and -1 _f_c < 1. We find that the choice (l) leads to the methods of order as high as eleven. The methods are stiffly stable for k <_ 9 if r = 3, for k <_ 10 if r = U, and for k <_ 11 if r = 6. Further, we found no twelfth order and higher methods. The stiffly stable methods of the types (2) and (3) do not exist for k _> 8. A comparitive study of the methods developed in this report is under investigation. REFERENCES [l] Lawson, J. D. "Generalized Runge-Kutta Processes for Stable Systems with Large Lips chit z Constants," SIAM k_ t 3 (1967), pp. 372-380. [2] Richard, P. I., Lanning, W. D. , and Torrey, M. D. "Numerical Integration of Large, Highly-Damped, Nonlinear Systems," SIAM Review 7, 3 (1965), pp. 376-380. [3] Liniger, W. and Willoughby, R. A. "Efficient Numerical Integration of Stiff Systems of Ordinary Differential Equations," IBM Research Report RC 1970, December 1967. [h] Dahlquist , G. "A Special Stability Criterion for Linear Multistep Methods," BIT 3 (1963) , pp. 22-^3. Widlund, 0. B. "A Note on Unconditionally Stable Linear Multistep Methods," BIT 7 (1967), pp. 65-70. [6] Norsett, S. P. "A Criterion for A(a )-Stability of Linear Multistep Methods," BIT 9 (1969), PP 259-263. [7] Gear, C. W. "Numerical Integration of Stiff Ordinary Differential Equations," University of Illinois, Department of Computer Science Report No. 221, January 1967. [8] Gear, C. W. "The Automatic Integration of Stiff Ordinary Differential Equations," Proceedings IFIP Congress, Edinburgh, August 1968. [9] Dill, C. "A Computer Graphic Technique for Finding Numerical Methods for Ordinary Differential Equations," University of Illinois, Department of Computer Science Report No. 295, January 1969. [10] Henrici, P. "Discrete Variable Methods in Ordinary Differential Equations," John Wiley and Sons, Inc., New York, 1962 . 10 APPENDIX I A. Third Order Formula: a v = Z a v + h £ B v ' y n+l . . i+1 °n-i . \ i y n+l-i i=0 i=0 (1.1) — — a o a 1 = a 2 a 3 11 2 -1 18 -3 -6 -9 6 3 -18 2-1 2 11 and \ - -(3S -B 1+ 6 2 -3B 3 )^ y<*> B. Fourth Order Formula: n+l . n l+l n-i . n i n+l-i i=0 i=0 (1.2) 12 a o a l a 2 = a 3 a u 25 3-1 1-3 U8 -10 -8 6 -16 = -36 18 -18 36 16 -6 8 10 -U8 -3 1-1 3 2! and h 5 (5) T n = -(12B - 3B 1+ 2B 2 - 3B 3 t 12 B,,) gj-^ C. Fifth Order Formula: ''n+l . A l+l rf n-i . ~ l n+l-i i=0 i=0 (1.3) 6o — — a o a l a2 = a 3 % a 5 i 1 137 12 -3 -3 12 300 -65 -30 15 -20 75 -300 120 -20 -60 60 -200 200 -60 60 20 -120 300 -75 20 -15 30 65 -300 12 2 -3 12 137 — — B o h 8 2 6 3 h 6 5 _ _ and T n = -(10B - 2 gl + S 2 * 2t k- m S ) hri 6] D. Sixth Order Formula: n+l . „ i+l n-1 . - i "n+l-i i=0 i=0 (l.iO 6o *~ " a o a l a 2 a 3 = % a 5 a 6 lUT 10 -2 1-1 2 -10 360 -77 -2h 9 -8 15 -72 -U50 150 -35 -U5 30 -50 225 1+00 -100 80 -80 100 -Uoo -225 50 -30 U5 35 -150 U50 72 -15 _9 2U 77 -360 -10 2-1 1-2 10 1U7 and T n = -(60B - 103 i + U3 2 - 3g 3 + ht h - 103 5 + 606 6 ) |2b-y^ T) E. Seventh Order Formula: 7 n+l . n l+l "'n-i . _ l n+l-i i=0 i=0 (1.5) 1+20 a o a l a 2 a 3 = a u a 5 a 6 a 7 _ 1089 60 -10 -10 60 29I4O -609 -lUo 42 -28 35 -84 490 -4410 1260 -329 -252 126 l4o 315 1764 4900 -1050 700 -105 -420 350 -700 36T5 -3675 700 -350 420 105 -700 1050 -1+900 176U -315 i4o -126 252 329 -1260 41+10 -1+90 81+ -35 28 -1+2 ll+O 609 -29I+O 60 -10 1+ -3 1+ -10 60 1089 2 and o T n - -(105B - 15B 1 + 5B 2 - 3B 3 + 3B,, - 5B ? * 15B 6 - 105B 7 ) gjg- yf> •H I H + - a CO w + + •H o O -p -a •H o t-w || + 1 o 1 * H CQ CM CQ oo CQ CQ CQ vo CQ CQ CO ' * 1 1 LTN O H 1 O VO On 1 o CM On oo O0 o ON 1 O o c— H O 0O VO LTN H 1 o vo c— H H o CM t— VO 1 1 oo CO CM CM LTN H O H CO oo LTN 1 o t— H O LTN CM O _=|- on CM o ON CM 1 oo oo oo H LA o H 1 OO i o H CM O VO LTN 1 O LTN O H O 00 VO H CO ON o CM LTN H 1 no o o H 1 o CM O LTN o H O0 oo o CM O vo i LTN I CM oo 00 VO H CM t- VO 1 o CM vo oo vo H 1 CM OO OO 1 LT\ o VO o CM CO OO 1 o o H o CM 1 O -3- H O OO 1 00 LTN H O I OO On t- 1 o oo vo H o LTN o H 1 O VO LTN O H CM 0O LfN 1 ltn O H OO 00 oo H 1 O ON CM o -3- ON CM 1 O LTN CM o H CO OO LTN o H 1 LTN H oo co CM CM 1 o CM t- vo O VO t— H H 1 O CO VO LTN H O O t— H 1 oo o _=!■ ON o CM ON OO 1 O VO ON LTN O H -J II 1 o 1 s H CM a 00 a a LP* a vo a a 1 CO a o o -3- oo On On O CM U"N CM CO CQ O CO CM QQ LTN 00 VO CQ O LTN CQ LTN CQ oo CQ LTN CM CQ o CQ LTN OO I O CQ O CO CM I VO Ti fo •H I H + ON W S O O X! ■P CJ •H a o o CO W || + 1 o H OJ OO -=f ir\ VO t- CO 1 1 ~ CQ QQ 00. CQ CQ QQ CQ CQ CQ 1 f o LTN O o -=T o O o o ON 1 00 CO VO CO O CO VO VO CO OJ OJ CO ON OJ LTN OO LPv OO VO H OJ OJ LA OO ON o LA OJ t- H 1 OO vo 1 t- 1 -=r OJ LA o O J- o o o o On O OO vo CO o OJ VO VO 00 OJ CO I CO VO t- CO t- D— o OO OJ 1 1 — 1 -d- 1 CO H H 1 H H o H -3- o LTN -J- o o o O -=r o LTN H O o t- -3- H CO LA 00 OO H LA -3- ON -St- CO t— VO | 1 r-\ OJ 1 -3- LA OJ LTN J- o o o o -=r o LTN o | LA t— J- ON 0O LTN CO OO H 1 OJ CO 1 CO H OO 1 LA o H H -=t LA o o O _=f O o o LA -3- -=!• ^t OJ o CO VO vo | OJ 1 CO LA OJ LA VO H OO I LTN O o o -=r o O o UA -=f 1 VO vo CO o OJ _=f -=f -3- 1 OO vo H la 1 LT\ OJ OO 1 OJ 1 o LA o J- o O o o -ct LA H OO CO LTN CO ON -=t t- LA | H o H 1 LTN rH 1 00 CO CO OJ 1 LA O _=r o o o o -3- LA O 00 OO la CO H -=fr D— o O H 1 vo c— CO _=T ON -3" LA H 1 OJ LTN 1 OJ H 1 o ON o O o o -4- o O LPv CO OJ CO VO vo OJ o CO VO OO OJ OO o t— D— CO t— VO OO 1 1 o H H H 1 H rH 0O J- H 1 ON o o O O -3- o o LA o CM CO vo VO CO o OO vo 00 CO H VO OO LTN OO LTN OJ ON CO OJ C— OJ LA O On OO LA OJ OJ OJ -3- 1 t— 1 VO OO 1 H 1 1 o H OJ oo ~=t II LA VO t~- CO 1 On 3 a 3 a a a a a a S 1 o OJ LA OJ o OJ LA OJ ON CQ OJ LA OJ I CO CQ 0O OJ CQ vo CQ 00 CQ OJ CQ OJ 00 CQ 0O OJ QQ 0O OJ I o CQ OJ LA OJ I -d + o o H W || + 1 O Sh 5-4 O x: -p el 0) + •rH O On w II •H + 1 1 o o H CM CO -sf LTN vo t- CO ON H 1 " CQ CQ ca CQ CQ ca CQ CQ CQ " 1 1 CVi O U~\ o O CO o o o O "1 H IA O t- o o O o o o o CO OJ CO H CM CM O on CO t— CM on | CM -st CO CO t— CM o vo if\ c— 1 H -St 1 CO CM H on H o H LTN CM 1 CO LTN o o -sr VO o o O On CM CM H CM -St co t- -st CM -sr O ir\ m vo o i/\ CO vo H on VO CM H 1 LTN o H LTN H H 1 LTN H H rH 1 -sf t- o o •st O -Sf o O ON o CO 1 CO CM -* -=t O CO CM vo VO CM 1 J- CO ON t— CO t— o UA 1 H CM -=t LTN vo i on on LTN On o O vo O -sr U\ U~\ t— on CO on t— _sf H H -a O H 1 VO H vo CM ~sf 1 On rH On H 1 OJ _sr LTN o O -=f -Sf O O O cn 1 CM on • CO VO CM CM -3" t— -St l i H -St 1 CM H O m I ON H CM 1 CM LP\ O o O o O O o l/A CM CM itn o O O O UA CM H 1 vo H CM 1 H CM VO H 1 m O O o -3- -=f O o LT\ -sf CM i J" c— -St CM CM VO CO on CM 1 1 CM -=t H 1 ON 1 O en CM H 1 -sf H i t— LTN L/A -sf o vo o o On LTN on O J- H H -sr t— en CO on r-\ ON 1 On H 1 -sr vo CM 1 H vo I H i CO O VO o O -sf O -sr O o t— CM vo ON CM CO O -sf _=t CM CO I 1 UA O D— CO c— ON on _sf 1 on i VO 1 -=r CM 1 H 1 CM 0\ o O o vo -sf O O LTN CO LT\ o -sf 3 -ST t— CO _sf CM H CM CM VO CO VO CO LTN o vo on -sl- 1 H H rH 1 H H 1 O H 1 H i rH o O o o CO O O LTN o CM CO o o o o O O o D— o IT\ oo CM D— CO on o CM CM H CO CM t- lf\ VO o CM D— CO on -st CM 1 L_ CM LTN 1 o H on rH 1 CM H CO 1 -s* H 1 II 1 1 O o rH CM on _=t UA VO t— CO On r-\ 1 3 a a a a a a a a a 1 H O CM LTN CM O CM CM O r-{ CQ O CM ITS CM On cq CM ir\ CM CO CQ VO CQ H CM VO CQ CM H CQ O 0Q CM H CM CM CQ VO LTN H CQ CM LTN CM I CQ O CM ir\ CM CO -d w + - c H O H W || 42 + a3 3 O En U o -p c 0) H W o o H W II + 1 O 1 H o H OJ on -d- LTN NO t— CO ON H r-\ 1 " ca QQ QQ ca CO. CQ CQ CQ CQ CQ * 1 1 o OJ o LfN o o CO O o o O 1 rH en H O H LT\ OJ CO V£> c— H CO 00 • • • * o O 1 O o 1 \o V£) VD CO CM _3" t~ t— t- H 00 H • • • • o O o o I \r\ r-\ LP> LT\ H H o CM t- on CO H • • • • o o i o o -=r LA H o\ on vo CO ON c— C— [— o • • * • o o 1 o o 1 oo UA H CO vo CO H t~ c~- t— t- o • • • • o H 1 o o 1 CM ON CM o\ OJ u~\ J- H \o \D H CO o • • • • o -3- 1 o o 1 H ^o LTN CO -=»■ LT\ _=r H U~\ ^D t— o\ o i • * • O 1 o o 1 Sh o P H IK H + ft o I oo C0 VO -P 03 O Eh O u~\ cq o ft ■H VO oo o c— -=f oo o C— _3" On H o -=r in -=r ON CO LTN VO -=t VO D— vo OJ t- ON VO H VO oo CO i/n -d- ON l/N _3" VO VO o o rH c— OJ O -=f H O H OJ LTN t- vo .Si" o H 00 1 Lf> LTN 1 00 H 1 1 J- t— l/N OO O l/N D— 00 H J- On oo 00 CO 00 oo t— j- O CO oo -d- CO OO L/N -=J- oo VO o OJ CO o -=f c— On VO 00 vo o o vo CO o 00 00 H H OJ H H 00 -=f CO o H oo l/n LJA 1 oo H 1 1 OJ OJ OJ H CO OJ -=f CO t— CO o H H tf\ o -=t LTN OJ >H l/N VO 00 -=t- o -=t 00 l/N O ON t- vo H l/N H OJ 0J ON CO vo l/N OJ CO 00 H oo H H OJ H H OJ 00 00 o H 00 1 i/n l/N 1 oo H 1 1 H OJ CO H -=r o OO OJ c— vn J- t- -J/ o vo _=r l/N o J - tr— l/N CO t— t- 00 ON OJ VO CO l/N vo L/N H On LTN vo o o O ON H i/n -=f -^ OJ OJ OJ H LTN 00 vo o OJ o H oo 1 -=f -3- 1 OJ H 1 1 H H oo CO oo vo H OJ c— t- t— CO CO vo On OJ L/N o OJ -=f o VO vo -=f O vo oo CO -5f oo LTN CO H i/> l/N J- o • • • • • « « • l/N 1 OJ H vo H 1 H C— 1 OJ o 1 o ON VO H H ON t- CO OJ OJ vo vo vo OJ L/N 00 o ON OJ OJ LTN oo 00 vo VO -=}■ LTN o CO vo o • • • • • • • -=f ON o r-\ 1 c— OJ 1 o o 1 VO l/N t- OJ l/N vo ON o _=r 00 o OJ -3- CO OJ ON oo t— OJ o vo CO H OJ vo OJ • • • • • • i CO ON OJ LTN CO -3" H 1 CO vo D— OJ o -3- H O 00 • • • • 1 VO L/N 1 OJ o 1 J- t~ CO OJ CO o OJ CO OJ OO OO -d- oo OJ o o o ON o o oo o On oo o O o o J- oo o LTN -3- CO oo l/N H vo 00 OJ 0J H OJ OJ fl ^ fl H X o L/N t~— H VO OJ UN t— L/N ^1- r-\ l/N CO vo OJ H H OJ LTN o ON OO 00 O H OJ vo H LTN OJ H vo -Si- nn o OJ H 1 o H _=f H 1 L/N H 1 o OJ t- o H 1 00 l/N o O -sj- o o o O On -=r OO OJ. o OO OJ VO H L/N VO OJ H oo o o o OJ OO t— oo CO CO ON 00 -St vo L/\ CO LTN _sj- LTN ■d 3 ■d On VO 00 ON OJ o -=t OJ CO H J- OJ vo vo OJ CO LTN CO -sj- On o vo LTN OJ t— 00 LfA H l/N VO l/N vo o c— t— H H vo H vo J- H t— vo H 1 H OJ ON H 1 H H -sl- 1 H 1 H 1 L/N -3- 1 OJ L/N o CO o o o o oo L/N oo OJ o CO o oo 0O LTN vo LTN oo O o o -=J- H CO 00 CO ON OJ oo o vo o CO St O l/N VO 00 ■a 3 o CO o ON vo oo ON LTN H OJ H -H/ CvJ VO OJ CO r— H 1 OJ OJ ON H I 0J H l/N t H 1 CO H LPv H 1 u o H OJ oo -st L/N vo r— CO o H OJ OO -d- UA VO t— CO 3 3 a a a a a a 3 CQ ca CQ ca CQ CQ CQ CQ CQ a o •8 O £1 -P •a •H Pn C\J H ■s Eh w Sh CO t- VO OJ ON CVJ CO CO VO OJ o OJ * • • • O o 1 o o c— VO OO CvJ CO On VD oo H O o 1 o o VO on LA CM VO 00 ON CO VO OJ • • • • o o 1 o o 1 ITN OO oj LT\ o ON CO CO ON ON o • ■ • • o o 1 o o -3- CO ON CO LTN H CO CO o • • • • o H 1 o o 1 on ITN CO OJ OO -3" LTN CO H OO VO o • • * • o OO 1 o o 1 OJ o\ OO H On CO o On OJ VO ITN o • • * • o VO 1 o o 1 u o Q H H UP UP 1 o + Pa 01 ■P G CD •H l-\ O ■H CD vo o o I S O o -p ci •H 3 CO ON O O CO LTN on Q o ON H CM LT\ ir\ o o I u + ft o o\ *- fi 11 •H — u •H (1) r ~ H H u -3- oo o t— NO CO CvJ t— On CM no ON OO J- t- H NO -3" J- H NO ltn OJ NO O O NO ON CvJ oo ON CO CO CO ON On oo 00 no H oo O CM CVJ CM O O CVJ ON NO On H 00 ON 00 NO ON NO rH ro j- t- ON r-l -3" 00 I CO CVJ ON I OO 00 OJ IT\ CM CO ON -=t ON t- lTN CM O H LTN o H -if rH 1 -3- rH On 1 -3- H rH U-N H NO NO CO CM ON OJ On LTN NO -3" LTN LTN ON no LTN LTN NO _3- CM NO On t— CO H ON J- 00 H 00 NO CM OJ t— J LPs CO -* -^ OJ _d- H CO rH ON OO H O OO NO CO CM o I NO OJ OJ trv H r-\ -d- LTN J" On OJ OJ o H LTN o H OO CM CO OO H 1 OO t— t— OO NO OO rH O NO 00 ON ON CM On t— CO o o t- CO o NO J- ON rH OJ rH o 00 t— NO CM ON ON NO LTN ON 00 00 CO 00 _cj- CO OO LTN rH O CO On OO CO LTN o H CM lTN t— CO CM 00 ON CM O CM O rH -4" 1 CO H O H NO 1 00 rH 1 1 NO J" CO NO o -3" o rH On CO NO CO -* CO O ON On o CO -=J- CM CO 00 t— H ON NO LTN o CO LTN H ir\ CM rH -3" LTN On •~i CM CO 00 ON CM CO ON co H O ON rH r-\ OJ LTN ON CM 00 CO CM _=* O CM o H -3r 1 ON r-{ 1 O H C— oo ^ J- NO LTN OJ ON NO o o H LTN o On UA PO H r-i CM -3- OO 00 r-\ OJ o _* LTN t— H O o -3- NO CO o -zr -3" 00 O t— CO LT\ o t— o c— -d- NO H t— CO 00 LTN OO t— ON r-\ OJ LT\ NO 00 -=r LTN OO o On rH o rH 1 CO o 1 ON NO 00 1 _d- H NO 00 LTN •-t CM t— O r-\ c— o ON ON t- O CO ON -3- •-t -3" CM LTN O ON CO 00 00 LTN NO Os CM ON ON VQ ON t— CM On lTN CM O CO LTN -3- -3" On LTN CO rH LTN H ^-\ t- H 3 H H t— 00 CM LT\ 00 t— ON ON CM LTN NO OJ OJ NO H NO H CO H CM NO On CM NO CO CO 00 On ON CM LTN r-\ H 1 rH 1 1 o 00 NO c— 00 LTN o NO -J- o CM O O NO C~- -a- ON c— NO -d- CM ON ON H 00 t~- CO NO CO t— CM J- OJ J- rH o 00 •4- 1 NO LTN 1 LTN CM ON o 1 -* c— 00 OO _=)■ NO CO t— r-t rH NO o r-\ f- OO 1 LTN OO 1 O t- o o r— CO rH o H o LTN ,-t <-\ o O o 1 t— -=f -=r H 00 CM 00 ^t OO ^f t- 00 NO 00 o O r-i NO NO -d- -=t 00 ON CO ON t— 00 00 r-\ LTN CM 1 O rH OO r-{ o rH LTN 1 H O 00 CO H CM o NO ON On ON LTN on NO CM NO r^ NO NO 00 00 CM CVI M LTN LT\ LT\ NO 00 o J" C— 1 -=f rH 1 O o i On ON CO CM CO -=t -3- o CO On I s — C— NO OO t~- 00 00 -3- CM t— ■N -3- ^t- c— -d- r-i o -p ai 1 o o -p QJ Eh CM CD H ■3 Eh U ai 0) X! -P o VD H O LTN LTN On On LT\ CM CO o • • • • O H o o 1 o\ H LP -3- CO VO CO CO o O H 1 o o 1 0O CO vo t— CM CO t— VO CO CO o • • • • O H 1 o o 1 t- t- CM -d- on t- CO VO vo LTN CO o • • • • o CO 1 o o 1 vo H CO UA t— Lf\ -=r o\ vo t- On CO o « • • * o CM 1 o o 1 l/N -3- H H On CO O VO UA • CO o o l/\ 1 o o 1 -3- o CM -H/ LPv CM -=f CO LTA o\ -H/ On o • « • • o t- o o 1 ^H o Q H H + ft o 1>J> K « ■P C : •H - LI 0' rH ~ u ." .1 r- u r-H t- t- H o vo NO O t— rH vo H rH l/N CM on CM _3- ,3- ON i-l t— -=r o on ON t- -3 r-\ ON r-l H on LTN t— H L/N r— ,3- VO t— l/N l/N O t— VO O L/N CM on l/N l/N UN t— 00 CO -3- t^ o o 8 on -=t i/n on &! CM t— CO CO CM o l/N CM CM on r-i L^ -3- o r-t o ^— t— -3 CM CO O l/N OJ CM l/N CM l/N t— VO VD _3 CM L/N VO H O o CVJ t— on H vo co -3- l/N ON -3- CM O H L/N on O O -3- t— CM o o o o i-H i -3- rH H CM 1 on CM ON r-{ rH rH 1 rH 1 1 •-i CM CM rH 1 1 .1 o l/N vo VO t— . on -3- VO CM on t— -3" o CO CM VO on rH VD ^J- t-l •H O oo -3- on on ON on on l/N UN t— -3- VO -3" On ON I— on o rH o vo on i/n l/N t— CO on CO VO L/N t- CM l/N VD O VO VO l/N o\ CM i/n i/n l/N t— t— CO rH on l/N on CM Os CM ON l/N r— o o CM on ■ o on CO -=t vo CO -3 ON l/N -3" c- -3- rH ^f H CO CO l/N CM VO on o O CM t- on ON rH CM t— r-\ t— on CM o rH ITN on CO t— H l/N H o o o r-l VO 1 on H rH CM 1 on CM CO r-t 1 rH H -3" 1 rH 1 1 H H H rH 1 1 i on i/n -a- l/N CO l/N co on -3- ON ON -3" ON H co t- t- vo on rH CM VO ON on -3" CO OO CO CM vo VO -3 J- t— H t- CO CM -3" vo CM l/N -a- -3- t— ON CM -3- t— o VO O ON co O c— -3- L/N t— 00 t- 00 VO 0\ CM ON O L/N L/N ON CO CM rH CO l/N t- On ON H o on 00 l/N co VO l/N ON on t- ON CM rH CM H on CM CM H t- H o CM t— CM l/N on H t— L/N J- CM CM O rH l/N rH vo -3" CO on O O o rH NO on o CM D- O -3- H 1 1 H r-i 1 1 1 .H CM 1 CM rH 1 H 1 00 o i/n on -3- on VO t— O ON ON -3- VO -3- on on CO VO on o\ i/n CM vo O -3" CO O -3- on t— -3" vo t— rH CO i/n H CO 00 CM l/N l/N CO ON CM CO CM ON l^v t— rH CM rH o\ VO rH t— t— r-< C— LTN ro -3- on CO on t— ON ON H ON on on ON t— on L/N co H t- VO VO CM H CM CO on ^3- -3- rH on o C\J t— rH CM VO 1 l/N on H o CM 1 t— H CM -3- t— rH 1 CM O rH on i CM CM 1 O H l/N 1 rH H l/N rH 1 CM rH VO 1 CM o i o t- t— -3- on rH l/N L/N O on o CO -3- co ON CO L/N c— o t- CO CO -3- -3- VO CO o ON vo H co o OO t— ON r— vo H H VO vo CO rH H CO ON CM vo vo -3 CO VO O on CM CM c— CO co O t— -3- t— O C— r— CO CM ON CO ON ON j- ON on CO -3" CO -3- CO CO co H r-l ON L/N l/N CO t— co O CM VO 1 ON CM rH o ON H 1 on o CM CM VO ■-{ 1 L/N ON O -3" 1 rH rH CM 1 o <-{ -3" 1 o rH CM rH 1 CO on I o O VO i/n on on CM CM l/N ON on -3- O- CO rH -3" VO CM o\ on c— CM CO rH CO CM VO ON CM o CM m CM c— CM vo o r-t vo VO C3N l/N CM CO CM vo H CM CM l/N CO H CM vo t— rH rH vo L/N r-\ t— VO CO CM ON l/N on CM -3 CO on c— rH CM ON CO o H ON H vo H ,3- l/N t- CM CM f-\ o\ l/N 1 OJ CM rH t— rH 1 CO CO l-\ ON 1 CO CO on rH ^-1 1 O H -3- ON ON 1 L/N rH I O O rH o H O r-l CM on -3- L/N VO r— CO ON ■-i H o rH CM on -3" LTN VO C— CO ON H H V, 3 o a 8 3 3 3 8 8 3 3 3 en CO. CO. CO. CQ CQ CQ CQ CQ CQ CQ CQ to u 0) -p cm cu ON OO ir\ rH CO CO ON LTN ON vo H D— o • • * • o C\J 1 o o 1 LTN OO On t— OO On ON OO VO o • • • • o CM 1 o o 1 CO LTN ON OO CM CM On H VO o • • • • o OO 1 o o 1 LTN 'NO O -3" VO CO CO o VO o OO I o I CO cci u O Sh U o rH CO t— -=y vo CO o CM VO I VO CO CO CM H On o H O VO o o I On LT\ o O I -p d H O It- hj> O + ft 35 APPENDIX III A. Third Order Formulas Polynomial Table 1 a - 8 Coefficients 1 P 2 Q 2 P 3 S 185 16? 1321 1126 1 3^2 29U 2007 1962 2 -171 -165 -639 -95^ 3 lli 38 -hi 118 96 96 750 750 1 -2k -U50 2 -5U 6 270 3 -162 -162 Table 2 Values of the Parameters Polynomial P 2 Q H 2 P 3 Q 3 C -0.75 -0.25 0.6 -0.6 D -0.012 -0.06 -O.05U -o.oi+o max| £ | , £#1 0.7^7 0.1+77 0.6128 0.5529 C P + 1 -0.105U -0.1587 -O.1726 -0.2558 B. Fourth Order Formulas a - Table 1 (3 Coefficients Polynomial P 2 ^2 P 3 Q ^3 % a o 101 93 1063 185 13897 a l 200 204 212.8 402 29844 °2 -144 -180 -188U -342 -23904 a 3 56 84 880 158 8812 % -11 -15 -61 -33 -855 B 48 48 500 96 7500 6 1 -24 -48 -4500 8 2 -12 12 2k 2700 B 3 256 -12 -1620 "l, 972 Table 2 Values of the Parameters Polynomial P 2 Q ^2 P 3 Q 3 Q 4 C -0.5 -0.5 -0.8 -0.5 -0.6 D -0.557 -0.4l4 -0.462 -0.472 -0.363 max] C| , C^l 0.527 0.662 0.833 0.578 0.6545 Vi -0.0911 -0.1204 -0.0820 -0.1243 -0.1504 Fifth Order Formulas Table 1 a - 3 Coefficients Polynomial P 2 ^2 P 3 S p u % s a o 551 3137 138U58 208 U39 2077 U1U2 a i 1230 8320 310935 517 96U 5150 10225 a 2 -1180 -10220 -3U3740 -572 -972 -5660 -11120 a 3 7^0 7160 21)4580 388 66U 3760 7220 \ -285 -2515 -53130 -1U8 -253 -1U15 -2530 a 5 U6 392 9813 23 36 2 1+2 3^7 e o 2H0 1500 60000 96 192 960 1920 6 1 -1200 -1+8 -U80 -960 3 2 -6o 960 2h 2 1+0 1+80 3 3 ^37^0 -12 -120 -2U0 \ -12 60 120 S -60 Polynomial C D max|^| , &1 Table 2 Values of the Parameters Q, Q, -0.5 -0.8 -0.9 -0.5 -2.325 -1.077 -1.101 -1.571 0.637 0.892 0.9^9 0.728 -0.0708 -0.0975 -0.0670 -0.0875 -0.5 -0.5 -0.5 -2.250 -1.553 _l.i4.U9 0.7U1 0.6875 0.722 -0.0720 -0.0886 -0.0913 Sixth Order Formulas a - B Table 1 Coefficients Polynomial Q 2 P 3 s ? u Q ^5 a o 3UU3 18439 5655 1^721+01 4520 °i 10156 45576 15655 3619208 12493 a 2 -1U810 -59130 -21125 -4572030 -16790 a 3 13280 50000 3760 4192080 14780 a 4 -7105 -252U5 -10525 -2334035 -8200 a 5 22208 8424 3306 662376 2615 a 6 -306 -1186 -455 -95198 -378 e o 1500 7500 2400 6xl0 5 1920 *1 -1200 -1200 -960 3 2 960 600 480 3 3 3840 -300 -240 3 4 -i44o6o 120 3 5 -60 Table 2 Values of the Parameters Polynomial Q 2 P 3 Q 3 P 4 Q ^5 C -0.8 -0.8 -0.5 -0.7 -0.5 D -2.069 -4.452 -3.808 -4.694 -3.944 max| E,\ , £^1 0.934 0.868 O.861 0.933 0.839 Vi -0.0732 -O.0566 -0.0671 -0.0573 -0.0677 E. Seventh Order Formulas Table 1 a - 3 Coefficients Polynomial Q ^2 P 3 a 412310 136U0068U a 1 13^2600 370394682 a 2 -2287481 -568618092 a 3 2519300 605263295 a k -1809150 -430428180 a 5 853160 211815954 a 6 -234675 -59320212 a T 28556 7293237 e o 168000 525xl0 5 B l -1U2800 e 2 121380 3 3 28946820 Table 2 Values of the Parameters Polynomial Q 2 P 3 C -0.85 -0.82 D -4.530 -12.022 max|c| , £7^1 0.992 0.927 Vi -0.0589 -0.0474 UO LIST OF FIGURES Ul 15.00 o Figure 2 i0 Locus of p(?)/a(C) C = e ,0 e[0, 2tt ] U2 r=T r .y 3 , 50 5.50 Figure 3 Seventh Order Formulas U3 o : — I -0750 1.50 3.50 5 50 Figure k Eighth Order Formul as 7 . 50 hk r= r=9- Figure 5 Ninth Order Formulas h5 r=9 1 . SO 3.50 5.5G Figure 6 Tenth Order Formulas k6 r=10 -0750 Fi gure 7 Eleventh Order Formulas hi Fi gure 8 Fifth Order Formula of Class II Form AEC-427 (6/68) AECM 3201 U.S. ATOMIC ENERGY COMMISSION UNIVERSITY-TYPE CONTRACTOR'S RECOMMENDATION FOR DISPOSITION OF SCIENTIFIC AND TECHNICAL DOCUMENT ( S»# Instructions on Riwrm Sid* ) 1. AEC REPORT NO. COO-1U69-0162 2. TITLE HIGH ORDER STIFFLY STABLE METHODS FOR ORDINARY DIFFERENTIAL EQUATIONS 3. TYPE OF DOCUMENT (Check one): PCI a. Scientific and technical report I I b. Conference paper not to be published in a journal: Title of conference Date of conference Exact location of conference Sponsoring organization □ c. Other (Specify) 4. RECOMMENDED ANNOUNCEMENT AND DISTRIBUTION (Check one): EJ a- AEC's normal announcement and distribution procedures may be followed. ~2 b. Make available only within AEC and to AEC contractors and other U.S. Government agencies and their contractors. I | c. Make no announcement or distrubution. 5. REASON FOR RECOMMENDED RESTRICTIONS: 6. SUBMITTED BY: NAME AND POSITION (Please print or type) C. W. Gear, Professor and Principle Investigator Organization Department of Computer Science University of Illinois Urbana, Illinois 6l801 Signature JKm^Y" Date April 1970 FOR AEC USE ONLY 7. AEC CONTRACT ADMINISTRATOR'S COMMENTS, IF ANY. ON ABOVE ANNOUNCEMENT AND DISTRIBUTION RECOMMENDATION: 8. PATENT CLEARANCE: Q a. AEC patent clearance has been granted by responsible AEC patent group. LJ b. Report has been sent to responsible AEC patent group for clearance. I I c. Patent clearance not required. JUN 12 1978 *f y / *»= m