Where is the flaw in my stability analysis of this ODE?

54 Views Asked by At

The ODE $${d^2x\over dt^2}=-kx$$ can be converted in the system of linear equations as $$\begin{align} {dx\over dt} & =v\\ {dv\over dt} &= -kx\\ \end{align}$$

Using Euler’s method, given $x_n$ and $y_n$ and for the time step $\Delta t$, the next values can be determined as $$\left[ \begin{matrix} x_{n+1}\\ v_{n+1}\\ \end{matrix}\right] = \left[\begin{matrix} 1&\Delta t\\ -k\Delta t&1 \end{matrix}\right] \left[\begin{matrix} x_n\\ v_n\\ \end{matrix}\right].$$

Now the absolute value of the (possibly complex) eigenvalues should be less than $1$ for this algorithm to be stable. But the eigenvalues turn out to be $1\pm i\sqrt{k}\Delta t$ whose absolute values are strictly greater than $1$ for any nonzero time-step $\Delta t$.

So the algorithm should not work for any value of $\Delta t$, however small. But clearly, this is not the case as my programs do come up with (an approximate) solution though.

So where is the flaw in my reasoning?

1

There are 1 best solutions below

1
On BEST ANSWER

The Euler method is indeed not stable for this problem, as the stability analysis states. To see this in the case $k=1$, note that the matrix $$ A = \left[\begin{matrix} 1&\Delta t\\ -\Delta t&1 \end{matrix}\right] $$ satisfies $A^TA = (1 + (\Delta t)^2) I$. That is, $\|(x_{n+1}, v_{n+1})\|^2 = (1 + (\Delta t)^2) \|(x_n,v_n)\|^2$.

Run your approximation long enough and watch the solution spiral out to infinity. Specifically, run it to time $T = (\Delta t)^{-1}$.