Applied Numerical Mathematics 37 (2001) 535549

Linearly implicit RungeKutta methods for

advectionreactiondiffusion equations
M.P. Calvo , J. de Frutos, J. Novo
Departamento de Matemtica Aplicada y Computacin, Universidad de Valladolid, Valladolid, Spain

Abstract
We construct two variable-step linearly implicit RungeKutta methods of orders 3 and 4 for the numerical
integration of the semidiscrete equations arising after the spatial discretization of advectionreactiondiffusion
equations. We study the stability properties of these methods giving the appropriate extension of the concept of
L-stability. Numerical results are reported when the methods presented are combined with spectral discretizations.
Our experiments show that the methods, being easily implementable, can be competitive with standard stiffly
accurate time integrators. 2001 IMACS. Published by Elsevier Science B.V. All rights reserved.

1. Introduction

In this paper we are concerned with linearly implicit RungeKutta methods for the numerical
integration of systems of ordinary differential equations that arise from the spatial discretization of
advectionreactiondiffusion partial differential equations. The main difficulty in dealing with these
systems is that the use of explicit time integrators is usually inefficient because the system becomes
stiffer as the spatial mesh is refined. On the other hand, if a stiffly accurate integrator is chosen, one has
to solve nonlinear equations implicitly that are difficult to handle, especially in connection with spectral
methods [5]. The typical approach to solve the nonlinear equations arising in implicit methods is to use a
modified Newton iteration with banded approximations to the Jacobian obtained using finite differences.
However, when dealing with spectral spatial discretizations of advectionreactiondiffusion equations
a high number of failures in the Newton iteration may occur [13]. This could be one of the reasons
why very few codes combining spectral discretizations together with implicit time integrators can be
found in the literature. An alternative approximation to the Jacobian is obtained by considering only the
matrix corresponding to the spatial discretization of the diffusion terms. See, for example, [9,10] where a
variable order, variable step BDF time integrator with the Jacobian approximated in this way was used to
integrate in time Burgers equation and one- and two-dimensional reactiondiffusion equations. In these

* Corresponding author.
E-mail address: maripaz@mac.cie.uva.es (M.P. Calvo).

0168-9274/01/$ see front matter 2001 IMACS. Published by Elsevier Science B.V. All rights reserved.
PII: S 0 1 6 8 - 9 2 7 4 ( 0 0 ) 0 0 0 6 1 - 1
536 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549

experiments the number of iterations in the modified Newton method was observed to be independent of
the number of degrees of freedom and never higher than five.
In order to avoid the difficulties that appear when trying to solve the nonlinear equations arising in an
implicit method, combined pairs of an implicit integrator for the linear part with an explicit scheme for
the nonlinear terms have been proposed by many authors [8,11,16,19]. Some recent work in this context
are the papers [2], where the so-called explicitimplicit multistep methods are studied, and [3], where
RungeKutta type methods are presented.
Let us consider a system of ODEs of the special form
dy
= Ly + N (t, y), y(t0 ) = y 0 , (1)
dt
where y = [y1 , y2 , . . . , yd ]T and L is a d d matrix. The matrix L stems from the spatial discretization
of the diffusive terms and N(t, y) arises from the discretization of advective, reactive and source terms.
For the linearly implicit RungeKutta method specified by the Butcher tableaux

0 0 0
c2 0 a
21 0
c3 0 a32 a
31 a
32 0
.. .. .. .. .. .. .. .. .. (2)
. . . . . . . . .
cs+1 0 as+1,2 ... as+1,s a
s+1,1 a
s+1,2 ... a
s+1,s 0
0 b2 ... bs b
1 b
2 ... b
s b
s+1
the equations that describe the step tn tn+1 = tn + h take the form
Y 1 = yn,
 

i 
i1
Y i = yn + h aij LY j + a
i,j N (tn + hcj , Y j ) , 2
i
s + 1,
j =2 j =1
 s+1 
 
s+1
y n+1 = y n + h bi LY i + b
i N (tn + hci , Y i ) ,
i=2 i=1

where Y i denote the internal stages. Throughout the paper we assume, as usual, that

i 
i1
ci = aij = a
ij , 1
i
s + 1. (3)
j =1 j =1

If the simplifying assumptions (3) hold, only the order conditions for autonomous problems y =
Ly + N (y) have to be considered. In the sequel A and A
denote the matrices of the coefficients of the
implicit and the explicit tableaux of the RungeKutta method (2), respectively, bT = [0, b2 , . . . , bs , ],
T
b
= [b
1 , b
2 , . . . , b
s , b
s+1 ] and cT = [0, c2 , . . . , cs+1 ].
Linearly implicit RungeKutta methods are a particular instance of additive RungeKutta methods.
Additive RungeKutta methods were first studied in [7] where the order conditions up to order four are
 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549 537

given. More recently these methods have been considered in [1,15], for general partitioning. In [3] several
linearly implicit RungeKutta methods of second and third order are constructed.
In this paper, after a brief review of the order conditions, we study the stability properties of linearly
implicit RungeKutta methods giving the appropriate extension of the concept of L-stability when
applied to (1). This property is not satisfied for the methods presented in [3].
In Section 4 we construct two embedded pairs of linearly implicit RungeKutta methods of orders
three and four. In both cases the implicit scheme has been chosen as an L-stable singly diagonally implicit
RungeKutta method already existing in the literature. Section 5 contains some numerical illustrations
and our conclusions are given in Section 6.

2. Order conditions

The conditions that must be imposed for a linearly implicit RK method (2) for (1) to have order  r
can be easily derived with the help of the so-called bicolour rooted trees. The reader is referred to [14]
where they are called P -trees and are used in the case of coordinate partitioning. See also [1] where
N -trees have been recently considered to study additive RungeKutta methods with general partitioning.
A bicolour rooted tree is a rooted tree where each vertex has been assigned a colour, say black or white.
In our case, the colour white has been assigned to vertices associated with the linear term and the colour
black corresponds to vertices representing the nonlinear part. Using bicolour rooted trees the Taylor
expansion of the solution of (1) can be easily written in terms of the so-called elementary differentials. For
instance, the elementary differential associated with the bicolour rooted tree with only one white vertex is
F (t1 )(y) = Ly, while the elementary differential associated with the bicolour rooted tree with only one
black vertex is F (t4 )(y) = N(y). For a full description of the elementary differentials associated with N -

Fig. 1. Elementary differentials and order conditions up to order 3 if (3) holds.

538 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549

Fig. 2. Order conditions for order 4 if (3) and (4) hold.

trees we refer to [1] or [14]. As an illustration, we have depicted in Fig. 1 the 9 bicolour rooted trees with
r vertices, 1
r
3, and the corresponding elementary differentials and order conditions. The first three
conditions ensure that the left method in (2) has order three for linear problems. The conditions associated
with the trees t4 t7 imply order three for the method on the right of (2) and equations corresponding to
the trees t8 and t9 are necessary compatibility conditions.
Notice that as long as (3) is satisfied, the order conditions associated with two bicolour rooted trees
which only differ in the colour of the terminal vertices are the same. On the other hand, due to the
linearity of the first term of the right hand side of (1), bicolour rooted trees for which a white vertex
has more than one branch may be disregarded. In spite of these reductions, the number of compatibility
equations grows dramatically with the order of the method. There are 2 compatibility conditions for
order three, 10 for order four and so on. However, many of the order conditions become identical if the
following simplifying assumption is imposed:
bi = b
i , 1
i
s + 1. (4)
With this restriction, those trees that only differ in the colour of the root give the same order condition.
For instance, in Fig. 1 the order conditions for t4 and t7 are the same as the order conditions for t1 and
t8 respectively and may be disregarded. On the other hand t5 and t9 differ from t2 and t3 in the colour of
both the root and the terminal vertex so that from (3), (4) it follows that the order conditions for t5 and t9
may be ignored. This leaves only five order conditions to be imposed for a method to have order three.
 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549 539

In Fig. 2 we have depicted the bicolour rooted trees to be considered for a third order method satisfying
(3), (4) to have order four, together with the corresponding order equations.
In the sequel we assume that method (2) always satisfies (3) and (4).

3. Linear stability

Let us consider as a model the linear advectiondiffusion equation

ut = uxx + aux , , a > 0, (5)
with periodic boundary conditions in [0, 2 ]. After Fourier spatial discretization of (5), the system of
ordinary differential equations to be solved consists of a set of N + 1 decoupled ordinary differential
equations like
y = y + iy, (6)
where equals (/a 2 )2 , with N/2
/a
N/2.
The linearly implicit method (2) applied to the test equation (6) with step size h becomes
y1 = R(z + iw)y0 ,
where z = h, w = h and
det (I d zA iw A
+ (z + iw)1b T )
R(z + iw) = .


det (I d zA iw A)
The matrices A, A
and bT are defined in Section 1 and 1 = [1, . . . , 1]T Rs+1 .
In the following we analyze the desirable stability requirements for the linearly implicit method (2).
Firstly we remark that (2) cannot be A-stable since an explicit method is used to integrate the nonlinear
terms. On the other hand, let us suppose that for some 0 > 0 a parabola z = 0 2 is contained in the
stability region of (2). Then, since the eigenvalues of (6) lie on the parabola z = (/a 2 )2 , the step-size
restriction h < /(a 2 0 ) ensures stability for all values of N . Notice that a linearly implicit Runge
Kutta method has better stability properties for (6) as smaller 0 is. A necessary condition (although not
sufficient) for the previous parabola property is that
lim R(z + iw) = 0, R, (7)
z

a property similar to the L-stability of the implicit scheme.

Due to the structure of the matrices A and A,
the denominator of R(z + iw) is (1 z)s , a polynomial
of degree s in z. On the other hand, due to the null first column of the matrix A, the numerator is a
polynomial of degree s in z and degree s + 1 in w. In order to get (7) the coefficient accompanying zs
in the numerator must be zero. The first column of the matrix I d zA iw A
+ (z + iw)1bT does not
contain terms in z and for methods satisfying as+1,j = bj , 1
j
s + 1, nor does the last row of this
matrix. Then, the condition a
s+1,1 = 0 ensures the desired property for the linearly implicit integrator,
since a
s+1,1 appears as a factor in the coefficient of the leading term zs .
Notice that methods proposed in [3] do not satisfy this condition. In that paper, the stability properties
of the full scheme are considered as a consequence of the stability properties of the implicit and the
explicit methods separately. More precisely, several methods in [3] are chosen in such a way that the
540 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549

Fig. 3. Stability regions of linearly implicit RK methods.

implicit method is L-stable and the explicit integrator is selected to have the largest possible stability
region. However, this is not enough to ensure good stability properties for the linearly implicit method.
In order to illustrate this fact we have plotted in Fig. 3 the stability regions of two third order linearly
implicit methods based on the L-stable, three-stage, third order SDIRK method [14]. We consider two
different explicit schemes combined with it. The first one is proposed in [3] and has the same stability
region as all fourth-order explicit RungeKutta methods. The contour of its stability region has been
plotted using a dashed line. The second explicit scheme has been constructed satisfying a
41 = 0 and its
stability region contains the curve z = 14 2 (see Section 4.1). Its stability region has been delimited in
Fig. 3 using a solid line and we also show the curve z = 14 2 with a dotted line. The figure on the right
exhibits a more detailed view of the stability region near the origin.
The different stability properties of both methods have important practical implications. For instance,
let us consider the system of ordinary differential equations obtained after Fourier spatial discretization
with N degrees of freedom of the model equation (5). For the explicit method proposed in the present
paper the restriction h < 4/a 2 ensures stability for all N .
On the contrary, for the method presented in [3] all the curves = 2 leave the stability region of
the method and thus, the step-size must be reduced when N increases.

Remark. Notice that adding a reaction term such as bu, b < 0, to Eq. (5) merely produces a translation
of the spectrum. More precisely, in Eq. (6) behaves as (/a 2 )2 + b. If the curves z = 2 ,  0 ,
lie on the stability region of the method so do the curves z = 2 + b,  0 , b < 0.

4. Embedded pairs of linearly implicit RungeKutta methods

As mentioned in the introduction, we restrict our attention to linearly implicit methods for which the
implicit scheme is an L-stable singly diagonally implicit RungeKutta (SDIRK) method combined with
an explicit RungeKutta scheme satisfying (3) and (4). In this way, the number of order conditions is
reduced as pointed out in Section 2.
 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549 541

4.1. An embedded pair of order three

To construct a variable-step linearly implicit code we decided to begin with a third order formula based
on the L-stable, three-stage, third order SDIRK method with Butcher tableau

0 0
0
1+ 1
0 , (8)
2 2
1 0 b2 b3
0 b2 b3

where is the middle root of 6x 3 18x 2 + 9x 1 = 0, b2 = 32 2 + 4 14 and b3 = 32 2 5 + 54 .

As long as (3) and (4) hold, for the explicit method to have order three, two order conditions must be
imposed, associated with trees t6 and t8 in Fig. 1. However, the order condition corresponding to t6 is
automatically satisfied because the implicit method has order three not only for linear problems but also
for general ODEs. The only order condition to be considered is
 
1+ 1
b3 a
32 + (1 a
41 a
43 ) + a
43 = . (9)
2 6
We are left with the task of choosing the values of a
32 and a
41 that still remain as free parameters.
Here we choose a
41 = 0 to ensure (7) for the linearly implicit method (see Section 3). After this
assumption the Butcher tableau of the explicit method is

0 0
0
1+ 1+
a
32 a
32 0 , (10)
2 2
1 0 1 a
43 a
43 0
0 b2 b3

where
1
2 2 2b3 a
32
a
43 = 3
, (11)
(1 )
and there is still a free parameter a
32 that will be selected to adapt the stability region of the linearly
implicit method to the problem we are dealing with. More precisely, as pointed out at the end of Section 3,
the stability region of the linearly implicit method should contain the curves z = 0 w 2 with 0 > 0 as
small as possible.
542 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549

The stability function R(z + iw) of the linearly implicit method (8), (10) is
1     

1 + z(1 3 ) + z2 3 2 3 + 12 + iw 1 + z(1 3 ) + z2 2 3 3 2 + 16
(1 z) 3
w2  
iw 3

1 + z 2 3 6 2 + 23 2z2 2 ( a
43 a
32 ) 1 6z 2 ( 2a
43 a
32 )

2 
6
+ w 4 2a
43 a
32 .
A necessary condition (but not sufficient) to ensure that the curve z = w 2 , > 0 lies on the stability
region of the linearly implicit method is
   |a
32 |

43 a
lim R w 2 + iw  = < 1. (12)
w+
For a given method (8), (10) its stability region will contain at most the curves z = w 2 with
|a
43 a
32 |
> 0 = .

Now we minimize 0 as a function of the free parameter a
32 . The minima are obtained when a
43 a
32 =
(a
32 = 0.3972686938096126 and a
32 = 0.4802753954575924). Both values correspond to 0 = 0. This
means that for these two values of the free parameter the condition (12) is satisfied for every . However,
the condition |R(w 2 + iw)| < 1 is only satisfied at the limit. On the other hand, the analysis of the
stability function along the imaginary axis shows that the condition a
43 a
32 2
241
is necessary if an
interval of the imaginary axis containing the origin should lie on the stability region of the linearly
implicit method. This implies that
0.2711138729598376
a
32
0.3541205746078174, (13)
which is not satisfied by the two values of the free parameter mentioned above. However, it is possible to
relax the condition (13) without losing the good stability properties of the linearly implicit method. Let
us consider F (z, w) = |R(z + iw)|2 1 = 0, the function defining the contour of the stability region. It
is not difficult to check that at z = 0, w = 0,
F 2F 3F 4F
= = = 0, = 2 + 48 2 a
43 a
32 .
w w 2 w 3 w 4
Then, near the origin, every curve z = w 2 , > 0 is contained in the stability region of the method
even if 2 a
43 a
32 > 24
1
.
Under these considerations we studied in a systematic way the stability regions of the linearly implicit
methods obtained for different values of the free parameter a
32 between 0.3972686938096126 and
0.2711138729598376. Finally, we chose an intermediate value a
32 = 0.35 for which 0 is small
enough for our purposes and there is only a small interval of the imaginary axis near the origin not
contained in the stability region of the method.
In order to estimate the local errors we have considered the second order formula


y
n+1 = y n + h b2 LY 2 + N(tn + c2 h, Y 2 )



+ b3 LY 3 + N(tn + c3 h, Y 3 ) + Ly
n+1 + N(tn + h, Y 4 ) ,
where Y 2 , Y 3 and Y 4 are the internal stages of the third order scheme. The error estimation requires the
solution of an extra linear system per step but with the same matrix used when calculating the internal
 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549 543

stages. The second order approximation y
n+1 can be interpreted as the solution generated with a linearly
implicit RungeKutta method with an additional internal stage Y 5 = y
n+1 defined by the coefficients
a5,i = a
5,i = bi , 1
i
3, a5,4 = a
5,5 = 0, a5,5 = a
5,4 = .

4.2. An embedded pair of order four

In this subsection we look for a fourth order linearly implicit RungeKutta method. As implicit
integrator we have considered the L-stable, five-stage, fourth order method whose coefficients are
displayed in Table 6.5 of [14]. This method is endowed with an embedded third order scheme to
estimate the local errors. In order to construct the explicit RungeKutta method we have followed similar
considerations to those detailed in Section 4.1. After imposing the condition a
6,1 = 0 to ensure L-stability
for the linearly implicit method (see Section 3), there are nine free parameters that will be chosen to
satisfy the seven order conditions (six for order four, associated with the trees t8 , t12 t14 , t16 and t17 , and
one more for the embedded method to have order three). However, only the six order conditions for the
fourth order method are independent. This leads to three free parameters that we have chosen as a
5,3 ,
a
6,3 and a
6,4 . Finally, the free coefficients have been determined in order to enlarge the stability region of
the linearly implicit method following the ideas pointed out in Section 4.1. More precisely, if R(z + iw)
denotes the stability function of the linearly implicit method we first ask for
  
lim R w 2 + iw  = 0,
w+

for all > 0. The other two conditions are obtained from the expression of the stability function along
the imaginary axis
w 2 iw 3 w 4
R(iw) = 1 + iw + + R5 iw 5 R6 w 6 ,
2 6 24
where R5 and R6 depend on the free parameters a
5,3 , a
6,3 and a
6,4 . Choosing R5 = 1
48
and R6 = 1
192
the
Butcher tableau of the explicit method is

0 0
1 1
4 4
0

3
4
14 1 0

11
20
100
13 43
75
8
75
0 , (14)

1
2
85
6 42
85
179
1360
272
15
0

1 0 79
24
58 25
2
85
6
0

0 25
24
49
48
125
16
85
12
1
4

and the stability region of the linearly implicit method also contains a family of parabolas z = w 2 ,
> 0 with 0 larger than the one corresponding to the third order method.
544 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549

The embedded third order method to estimate the local errors is the linearly implicit method with the
same matrices A and A
and weights given in Table 6.5 of [14]. As the third order implicit method is not
longer L-stable, in order to improve the step size selection of the linearly implicit scheme we propose to
use
err = (I h L)1(y n+1 y
n+1 ),
following the idea of L.F. Shampine, cited in [14]. There is an additional linear system to solve, but with
the same matrix used to compute the internal stages.

5. Numerical experiments

In order to test the efficiency of the methods described above, we have first considered the forced
Burgers equation (see [5, p. 76])
ut = uxx + uux + f (t, x), 1
x
1, t > 0, (15)
subject to homogeneous Dirichlet boundary conditions. The case of time dependent boundary conditions
could be handle using the ideas in [4,17] in order to avoid the possible order reduction phenomenon.
This will be subject of further research. The initial condition was set to u(0, x) = sin((x + 1)). We have
chosen as a forcing term the product of a nonsymmetric hat function in space with a periodic function in
time. More precisely f (t, x) = g(x) sin t, with


0, 1
x
13 ,

3(x + 13 ), 13
x
0,
g(x) = (16)

2 ( 3 x), 0
x
23 ,
3 2


0, 2
3

x
1.
With this forcing term the solution of (15) becomes nearly periodic in time after a transient state, so
that, the use of variable step-sizes becomes necessary for an efficient method.
For the spatial discretization we have considered a Chebyshev spectral Galerkin method [5]. After the
spatial discretization the differential system to be solved is
By = Ay + f (t, y), (17)
where B, A denote mass and stiffness matrices, respectively. The time integrators have been adapted to
these kind of ordinary differential systems. The choice of the basis becomes crucial in order to achieve an
efficient spectral Galerkin approximation. We took the basis functions proposed in [18]. With this choice
B becomes pentadiagonal whereas A has a special triangular structure that allows us to solve the linear
systems involved in the time integration in O(N) arithmetic operations (N being the number of degrees
of freedom), see [18]. The nonlinear terms were evaluated using collocation and Fast Fourier Transform
techniques.
In our numerical experiments the time integration of (17) has been performed using three different
methods.
(i) The first one is the third order linearly implicit RungeKutta method constructed in Section 4.1
and implemented with variable step-sizes. It requires 4 evaluations of the nonlinear term per step,
3 matrixvector multiplications per step, 4 linear systems with the same matrix B h A to be
 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549 545

Fig. 4. Efficiency diagram for Burgers equation, = 0.3.

solved at each step (one of them for the error estimation) and one more linear system with matrix
B. We will refer to this method as LIRK3 and in the figures we will represent the data generated
with it using triangles joined by a dasheddotted line.
(ii) The second scheme, LIRK4, is the fourth order, six-stage, linearly implicit RungeKutta method
proposed in Section 4.2, also implemented with variable step-sizes. This algorithm needs 6
evaluations of the nonlinear part, 5 matrixvector multiplications and the solution of 6 linear
systems with the same matrix per step. Again a linear system with matrix B must be solved at
each time step. In the figures we use circles joined by a dashed line to represent the data obtained
with this method.
(iii) As a reference method we have considered the backward differentiation formulae, BDF,
implemented with variable step size and variable order up to 5 (see, e.g., [14]). This method
is widely used in the numerical integration of stiff ODEs. The superior efficiency of this code for
the time integration of dissipative equations with respect to other frequently used time integrators
was experimentally checked in [12,13] (see also [9,10]). In [9,10], as we pointed out in the
introduction, the BDF code is implemented using a modified Newton iteration in which the exact
Jacobian is replaced by the Jacobian of the linear terms of the equations, i.e., by the matrix
corresponding to the spatial discretization of the diffusion terms. Here, we use the same kind
of implementation for the BDF algorithm. As in [9,10] the number of iterations in the modified
Newton iteration to achieve convergence was found to be below five and hardly dependent on
the number of degrees of freedom N . However, it is well known that for advection-dominated
problems the average order selected by BDF codes drops near 2. As we will next see, this fact
makes linearly implicit RungeKutta methods proposed in Section 4 a good option when dealing
with this kind of problems. The data corresponding to the BDF method have been plotted in the
figures using diamonds joined by a solid line.
We have integrated the test problem in the time interval [0, 5]. In order to check the stability properties
of the time integrators, and to study the applicability of the methods to a wide range of problems, from
546 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549

Fig. 5. Efficiency diagram for Burgers equation, = 0.0003.

diffusion-to-convection-dominated, we took several values of the diffusion parameter ranging from 0.3
to 0.0003.
We only report here the results corresponding to the values which we have considered to be the most
significant. The smaller the parameter is, the larger should be N in order to resolve the steeper gradients
appearing in the solution.
For each value N every experiment was carried out using different values of the tolerance. The
CPU time represented in the figures was the smallest among those yielding a given error but using
different values of the time integration tolerance. This means that the point plotted corresponds to a
value of the tolerance such that a further reduction hardly reduces the error but considerably increases
the computational cost.
Fig. 4 gives, for = 0.3, errors at t = 5 against computational cost measured by the CPU time in
logarithmic scale. The number of degrees of freedom we have considered starts with N = 10 and it is
doubled up to N = 80. We observe that for errors larger than 105 the fourth order method LIRK4 is
the most efficient of the methods being compared. When smaller errors are required, the BDF code takes
advantage of its higher order and needs less CPU time than RungeKutta methods to achieve a given
error. Notice that this example is diffusion-dominated and thus is well suited for BDF codes. Even so,
both linearly implicit methods give better results than BDF for moderate size errors.
In Fig. 5 we show error against CPU time for the smallest value of the diffusion parameter = 0.0003
and N = 160, 320, 640, 960 and 1280. The first aspect to emphasize is that a comparison between the
linearly implicit methods shows a better performance of the third order scheme. The main reason for this
better behaviour is the larger stability region of the third order method, which becomes crucial for large
values of N and small values of . This last test is not diffusion-dominated and then the performance
of the BDF formulae deteriorates. Clearly, the most efficient method becomes LIRK3, that takes full
advantage of its well suited stability region.
As a second test problem we have considered the reactiondiffusion equation
ut = *u + u u3 + f (t, x, y), t > 0, (18)
 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549 547

Fig. 6. Efficiency diagram for a two dimensional reactiondiffusion equation.

in a rectangular domain = [1, 3] [1, 1]. For the spatial discretization we used a spectral
element method [5,16], based on a fixed decomposition = 1 2 with 1 = [1, 1] [1, 1] and
2 = [1, 3] [1, 1]. We determined the forcing term such that the exact solution was u(t, x, y) =
(2 + cos( t))u1 (x)(y 2 1). Here, u1 was taken to be the function u1 (x) = 30 1
(x + 1)(2x 21 4
), if
1
x
2, u1 (x) = 30 (3 x)(x 4 ), if 2
x
3. We refer the reader to [10] for details.
1 23

In Fig. 6 we have plotted errors at t = 1.5 against CPU time for = 0.005. The total number of degrees
of freedom in the spatial discretization ranges from 171 to 1275. We observe that, for this example, the
linearly implicit LIRK3 method is quite competitive with the BDF code. In fact, the corresponding points
lie virtually on the same line. However, the fourth order integrator is, in this example, the most efficient
of the methods being compared.

6. Conclusions

We have presented two variable step linearly implicit RungeKutta methods for the numerical
integration of the semidiscrete equations arising after the spatial discretization of advectionreaction
diffusion equations. Although this class of methods is well known, to our knowledge there were no
variable step implementations in the literature. On the other hand, the proposed methods have stability
properties more appropriate to the problem we are dealing with than the already existing schemes.
The numerical experiments show that our codes can be competitive when compared with a variable
step, variable order BDF code of previously proved efficiency. Furthermore, there are examples where
the new methods outperform BDF. One can doubt whether the approximation to the Jacobian used in
the experiments affects the efficiency of BDF. Anyway, when using an implicit integrator, the user must
supply such an approximation. This is actually the main drawback of general purpose codes especially
when combined with spectral discretizations. What is not in doubt is that linearly implicit RungeKutta
methods only require the user to supply a linear solver together with a routine for the evaluation of
the nonlinear part. We remark that the explicit treatment of the nonlinear part could be not suitable in
548 M.P. Calvo et al. / Applied Numerical Mathematics 37 (2001) 535549

the case of highly stiff reaction terms. However, an implicit treatment of these terms would require the
approximation to the Jacobian which still remains as an open problem.
The methods proposed in this paper, while suited to the time integration of advectionreaction
diffusion equations, have the advantage of its simplicity and perform well enough to become a possible
alternative to other stiffly accurate time integrators.

Acknowledgements

This research has been partly supported by DGICYT under project PB95-705 and by Junta de Castilla
y Len under project VA36/98.

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