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