The stability of numerical methods for second order ordinary differential equations

Abstract

An important characterization of a numerical method for first order ODE's is the region of absolute stability. If all eigenvalues of the linear problem dy/dt = Ay are inside this region, the numerical method is stable. If the second order system d/dt(dy/dt) = 2Ady/dt - By is solved as a first order system, the same result applies to the eigenvalues of the generalized eigenvalue problem (lambda-squared)I 2(lambda)A + B. No such region exists for general methods for second order equations, but in some cases a region of absolute stability can be defined for methods for the single second order equation d/dt(dy/dt) = 2ady/dt - by. The absence of a region of absolute stability can occur when different members of a system of first order equations are solved by different methods.