Some Notes on Summation by Parts Time Integration Methods
Hendrik Ranocha

TL;DR
This paper investigates the stability and properties of summation by parts (SBP) time integration methods, revealing their connections to Runge-Kutta schemes and clarifying the conditions under which they possess desirable stability features.
Contribution
It provides new proofs and counterexamples to clarify the assumptions, relations, and stability properties of SBP schemes and their connection to Runge-Kutta methods.
Findings
A necessary technical assumption for SBP schemes is identified.
Not all Runge-Kutta schemes with SBP stability are derived from SBP schemes.
Classical collocation methods on Radau and Lobatto nodes are SBP schemes.
Abstract
Some properties of numerical time integration methods using summation by parts operators and simultaneous approximation terms are studied. These schemes can be interpreted as implicit Runge-Kutta methods with desirable stability properties such as -, -, -, and algebraic stability. Here, insights into the necessity of certain assumptions, relations to known Runge-Kutta methods, and stability properties are provided by new proofs and counterexamples. In particular, it is proved that a) a technical assumption is necessary since it is not fulfilled by every SBP scheme, b) not every Runge-Kutta scheme having the stability properties of SBP schemes is given in this way, c) the classical collocation methods on Radau and Lobatto nodes are SBP schemes, and d) nearly no SBP scheme is strong stability preserving.
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\titlehead
Some Notes on Summation by Parts Time Integration Methods
Hendrik Ranocha
(8th March 2019)
Abstract
Some properties of numerical time integration methods using summation by parts (SBP) operators and simultaneous approximation terms are studied. These schemes can be interpreted as implicit Runge-Kutta methods with desirable stability properties such as -, -, -, and algebraic stability [8, 7, 1, 9]. Here, insights into the necessity of certain assumptions, relations to known Runge-Kutta methods, and stability properties are provided by new proofs and counterexamples. In particular, it is proved that a) a technical assumption is necessary since it is not fulfilled by every SBP scheme, b) not every Runge-Kutta scheme having the stability properties of SBP schemes is given in this way, c) the classical collocation methods on Radau and Lobatto nodes are SBP schemes, and d) nearly no SBP scheme is strong stability preserving.
1 Known Results on SBP SAT Schemes
In order to solve an ordinary differential equation (ODE)
[TABLE]
a grid is introduced and the numerical solution is approximated pointwise as and . Summation by parts (SBP) operators can be defined as follows, cf. [10, 3, 2].
Definition 1.1**.**
An SBP operator of order on consists of
- •
a discrete operator approximating the derivative with order of accuracy ,
- •
a symmetric and positive definite discrete mass/norm matrix approximating the scalar product ,
- •
and interpolation vectors approximating the interpolation to the boundary as , with order of accuracy at least , such that
[TABLE]
SBP operators mimic integration by parts discretely via the summation by parts property (2). An SBP time discretisation using a simultaneous approximation term (SAT) of (1) with parameter is [8, 7, 1]
[TABLE]
Most stability results have been achieved for the choice , i.e.
[TABLE]
Hence, this discretisation will be considered in the following. The numerical solution at is given by , where solves (4). The interval can also be partitioned into multiple subintervals/blocks such that multiple steps of this procedure are used sequentially.
In order to guarantee that (4) can be solved for a dissipative linear scalar problem, the following assumption is introduced [8].
Assumption 1.2**.**
For , all eigenvalues of have strictly positive real part.
The following characterisation of (4) as Runge-Kutta method has been developed in [1].
Theorem 1.3**.**
If assumption 1.2 is satisfied, (4) is equivalent to an implicit Runge-Kutta method with the following Butcher coefficients, where denotes also the vector .
[TABLE]
The factor is needed since Runge-Kutta coefficients are normalised to the interval .
In order to make this article sufficiently self-contained, some classical stability properties of Runge-Kutta methods will be recalled briefly, cf. [5, sections IV.3 and IV.12]. The absolute value of solutions of the scalar linear ODE , , , cannot increase if . The numerical solution after one time step of a Runge-Kutta method with Butcher coefficients is , where
[TABLE]
is the stability function of the Runge-Kutta method. The stability property is mimicked discretely as if .
Definition 1.4**.**
A Runge-Kutta method with stability function is -stable, if for all with . The method is -stable, if it is -stable and .
Hence, -stable methods are stable for every time step and -stable methods damp out stiff components corresponding to with large sufficiently fast.
Another classical stability property is connected with possibly nonlinear problems (1) in Hilbert spaces satisfying a one-sided Lipschitz condition
[TABLE]
where is the one-sided Lipschitz constant of . This condition gives some bounds on the growth rate of the difference between two solutions. In particular, the distance between two solutions cannot increase if .
Definition 1.5**.**
A Runge-Kutta method is -stable, if the contractivity condition (7) with implies for all .
The following stability properties have been obtained in [7, 1].
Theorem 1.6**.**
Suppose that assumption 1.2 holds. Then, the SBP SAT scheme (4) is - and -stable. If the mass matrix is diagonal, the scheme is also -stable.
2 Assumptions and Algebraic Stability
In this section, the new results of this short note concerning the necessity of assumption 1.2 and the necessity of an SBP SAT form for stability properties guaranteed by Theorem 1.6 are presented.
2.1 Assumption on Eigenvalues of
Assumption 1.2 has been proved for classical second order SBP operators in [8] and for SBP operators on Gauss, Radau, and Lobatto quadrature nodes in [9]. It has been examined numerically for other classical finite difference SBP operators in [8]. Since assumption 1.2 holds for all known SBP SAT schemes investigated in [8, 7, 1, 9], it is interesting to know whether it follows from properties of SBP operators.
Theorem 2.1**.**
There are SBP operators that do not satisfy assumption 1.2.
Proof.
Consider the operators
[TABLE]
on the uniform grid with four nodes in . The SBP property (2) is satisfied, and are exact, and is a first order accurate SBP derivative operator. However, for . Thus, zero is an eigenvalue of for all . ∎
2.2 Algebraic Stability
Many stability properties such as - and -stability are satisfied if the following algebraic criterion is fulfilled by the coefficients of a Runge-Kutta method [5, Theorem 12.4].
Definition 2.2**.**
A Runge-Kutta method with Butcher coefficients is algebraically stable, if and the matrix is positive semidefinite.
It has been noted in [1] that an SBP SAT scheme (4) with diagonal is algebraically stable, since the nodes are pairwise distinct, i.e. the corresponding Runge-Kutta method is nonconfluent. In that case, - and algebraic stability are equivalent [5, Corollary 12.14]. This can also be proved directly, cf. [1, Theorem 5.8].
It is interesting to know whether all Runge-Kutta methods with stability properties guaranteed by Theorem 1.6 can be constructed as SBP SAT schemes. Since those schemes are -stable, the classical Gauss collocation schemes (which are not -stable) cannot be constructed in this way, cf. [1]. However, there is
Theorem 2.3**.**
Consider a Runge-Kutta method and the statements
- i)
The Runge-Kutta method is -, -, -, and algebraically stable with pairwise distinct nodes , only positive quadrature weights , and invertible matrix . 2. ii)
The Runge-Kutta method is given via Theorem 1.3 by SBP SAT schemes (4) with at least first order accurate operators satisfying assumption 1.2.
Theorem 1.6 and the preceeding discussion show that ii) and “ is diagonal” imply i). However, i) does not imply ii).
Proof.
The following example has been constructed using the -transformation [5, Sections IV.5, IV.13, and IV.14]. Consider the Runge-Kutta method with coefficients
[TABLE]
Then, the algebraic stability matrix has the eigenvalues , , and zero (twofold). Hence, the Runge-Kutta method is algebraically stable (because is satisfied additionally) and therefore also - and -stable. Its stability functions
[TABLE]
fulfils . Thus, the scheme is also -stable.
It suffices to consider . If the scheme is given by an SBP SAT method (4) via Theorem 1.3, and . The SBP property (2) yields . Because of consistency, and . Hence, . Inserting results in
[TABLE]
Similarly, consistency of and implies
[TABLE]
defined by (11) is first order accurate, i.e. and . The same accuracy of requires
[TABLE]
Because of (12), can be written as
[TABLE]
Since should be symmetric, it is determined by ten real parameters, e.g. , , , , , , , , , . is given explicitly by (11), depends linearly on via (12), and is given via an affine-linear function of in (14).
The accuracy conditions (13) are linear in and hence linear in . They can be used to eliminate two parameters, e.g. and . Then, the SBP property (2) is a system of 16 equations that are quadratic in the parameters . This system can be solved uniquely, which has been verified using the function Reduce of Mathematica [11]. For this unique solution, one eigenvalue of is zero. Thus, is not positive definite, in contradiction to the assumptions. ∎
3 Classical Collocation Methods
In [1], it has been shown that the SBP SAT scheme with Lobatto quadrature on four nodes corresponds to the classical Lobatto IIIC method with . It has been mentioned that this is similar for the Radau IA and Radau IIA schemes. However, to the authors knowledge, no general proof of this result has been given up to now. To prove it, the classical conditions
[TABLE]
will be used.
Theorem 3.1**.**
The SBP SAT scheme (4) using left Radau, right Radau, or Lobatto quadrature correspond to the classical Radau IA, Radau IIA, or Lobatto IIIC Runge-Kutta methods for all orders of accuracy.
Proof.
It suffices to consider the case , i.e. the time interval .
The weights and nodes of the left Radau quadrature (left endpoint [math] included) are the weights and nodes of the Radau IA method. The matrix of the Radau IA method is determined uniquely by the condition , i.e. with in (16) [5, section IV.5]. Hence, it suffices to prove that the SBP SAT method satisfies , which can be written using as
[TABLE]
where the exponentiation is performed pointwise. Inserting from (5) yields
[TABLE]
This is equivalent to
[TABLE]
where is any polynomial of degree , evaluated at the nodes . Since the left endpoint [math] is included,
[TABLE]
The Radau quadrature is exact for polynomials of degree . Hence, for every ,
[TABLE]
and (using integration by parts)
[TABLE]
proving .
The weights and nodes of the right Radau quadrature (right endpoint included) are the weights and nodes of the Radau IIA method. The matrix of the Radau IIA method is determined uniquely by the condition , i.e. with in (15) [5, section IV.5]. Hence, it suffices to prove that the SBP SAT method satisfies , which can be written using as
[TABLE]
where the exponentiation is again performed pointwise. Inserting from (5), this is equivalent to
[TABLE]
where is any polynomial of degree , evaluated at the nodes . Using the SBP property (2), this can be rewritten as
[TABLE]
Since the right endpoint is included,
[TABLE]
Using the exactness of the Radau quadrature for polynomials of degree , for every ,
[TABLE]
and (using integration by parts)
[TABLE]
proving .
Finally, the weights and nodes of the Lobatto quadrature (left and right endpoints included) are the weights and nodes of the Lobatto IIIC method. The matrix of the Lobatto IIIC method is determined uniquely by the condition and [5, section IV.5]. Since the order of accuracy of the SBP operator is , is satisfied [1, Lemma 5.3]. This can also be proved using similar manipulations as above. Hence, it remains to show . Since is exact for constants, , and ,
[TABLE]
Therefore, proving . ∎
4 Strong Stability Preservation
Another desirable stability property of time integration methods is that they are strong stability preserving (SSP), i.e. that they preserve convex stability properties of the explicit Euler method [4].
Definition 4.1**.**
A numerical time integration method is called strongly stable for a given convex functional if , possibly using some time step restriction of the form .
A numerical time integration method is called strong stability preserving with SSP coefficient , if for all time steps whenever the explicit Euler method is strongly stable for the convex functional and time steps .
Typical convex functionals considered for SSP methods are the norm in a Hilbert space for dissipative operators or the total variation seminorm for semidiscretisations of scalar conservation laws.
Theorem 4.2**.**
No SBP SAT scheme (4) whose SBP operator has a diagonal norm matrix, satisfies assumption 1.2, and
- a)
is either at least second order accurate 2. b)
or is at least first order accurate and contains at least one of the end points in the nodes
can be strong stability preserving.
Proof.
An SSP scheme must satisfy [4, Observation 5.2].
If the SBP operator is at least second order accurate, the corresponding Runge-Kutta method satisfies [1, Lemma 5.3], i.e. and for . Subtracting the second equation from the first one multiplied by yields
[TABLE]
If were non-negative, the left hand side would be non-positive for (since ) and thus zero. Hence, the first row of would be zero, which is impossible, because is invertible.
If the SBP operator is at least first order accurate, the corresponding Runge-Kutta method satisfies and [1, Lemma 5.3 and Lemma 5.4], i.e.
[TABLE]
If the left endpoint is contained in the nodes, non-negativity of all and imply . Similarly, if the right endpoint is contained in the nodes, non-negativity of all and imply . But cannot have a zero row or column because it is invertible. ∎
Remark 4.3**.**
Classical finite difference SBP operators and those based on Radau or Lobatto quadrature include at least one endpoint and can thus not result in SSP schemes. The SBP SAT scheme (4) on two Gauss nodes does not contain an endpoint and has a first order accurate derivative operator. Nevertheless, the scheme is not SSP, since the corresponding matrix has a negative entry.
Example 4.4**.**
There is a first order accurate SBP operator with diagonal norm matrix not including any boundary node such that the resulting Runge-Kutta method given by Theorem 1.3 is SSP. Indeed, choose and
[TABLE]
The operators are exact for polynomials of degree one, assumption 1.2 has been verified numerically for , and have only non-negative entries, and the scheme is strong stability preserving with SSP coefficient , computed using NodePy [6].
Acknowledgements
This work was supported by the German Research Foundation (DFG, Deutsche Forschungsgemeinschaft) under Grant SO 363/14-1. We acknowledge support by the German Research Foundation and the Open Access Publication Funds of the Technische Universität Braunschweig. The author would like to thank the anonymous reviewers for their helpful comments and valuable suggestions to improve this article.
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