Paper 2, Section II, D

Numerical Analysis
Part IB, 2015

Define the linear stability domain for a numerical method to solve y=f(t,y)y^{\prime}=f(t, y). What is meant by an AA-stable method? Briefly explain the relevance of these concepts in the numerical solution of ordinary differential equations.

Consider

yn+1=yn+h[θf(tn,yn)+(1θ)f(tn+1,yn+1)]y_{n+1}=y_{n}+h\left[\theta f\left(t_{n}, y_{n}\right)+(1-\theta) f\left(t_{n+1}, y_{n+1}\right)\right]

where θ[0,1]\theta \in[0,1]. What is the order of this method?

Find the linear stability domain of this method. For what values of θ\theta is the method A-stable?