Stability of Backward Euler

Multirate Methods and Convergence of

Waveform Relaxation ∗
†
Jørgen Sand and Stig Skelboe

Abstract
For a large class of traditional backward Euler multirate methods we show that
stability is preserved when the methods are applied to certain stable (but not nec-
essarily monotonic) non-linear systems. Methods which utilize waveform relaxation
sweeps are shown to be stable and converge for certain monotonic systems.

1 Relaxing the monotonicity condition

Consider the system of ODE’s (i.e. ordinary differential equations)

y 0 = f (t, y) for t ≥ t0 , where y(t) ∈ <s . (1.1)

In order to prove stability of numerical methods applied to (1.1), some type of mono-
tonicity condition is usually imposed on the system of ODE’s, i.e. a condition ensuring
the existence of a norm such that

k u(t2 ) − v(t2 ) k≤k u(t1 ) − v(t1 ) k for t2 ≥ t1 ≥ t0 , (1.2)

holds for any two solutions u and v of (1.1).
Most often it is assumed that the norm can be chosen as an inner-product norm, but
an example by Spijker ([1, p. 658]):
!
0 −1 (1+ | t |)−1
y = y, (1.3)
0 0
shows that some monotonic systems are excluded by that assumption. On the other hand,
it is easy to see that for certain monotonic systems the norm has to be an inner-product
norm:
!
0 0 −α
y =Q QT y, where Q is an orthogonal matrix. (1.4)
α−1 0
∗
Published in BIT 32 (1992), 350-366.
†
Department of Computer Science, University of Copenhagen, Universitetsparken 1, DK–2100 Copen-
hagen, Denmark

1
Since the solutions of (1.4) are periodic, k u(t) − v(t) k (cf. (1.2)) must be constant and
thus the unit sphere of the norm has to be proportional to the orbits (being ellipses).
Although (1.3) is not monotonic in any inner-product norm, it is, however, monotonic
in a differentiable norm:
!
y1 1 
k k := max {| y1 |, | y2 |} + | y2 |2 / max {| y1 |, | y2 |} .
y2 2

(A norm is said to be differentiable if the origin is the only point in which the norm is
not differentiable.) Unfortunately, even the demand for differentiability will exclude some
monotonic systems:

Proposition 1
For any t0 > 0, the system
!
0 −t 0
y = y , t ≥ t0 (1.5)
−1 0

is monotonic, but only in non-differentiable norms. For t0 = 0, the system is not mono-
tonic in any norm.

For proof: cf. the appendix.

However, for any two solutions u and v of (1.1) the left and the right derivatives
of k u(t) − v(t) k exist, and this fact has been used by some researchers to propose
relatively general conditions ensuring monotonicity of k u(t) − v(t) k as long as u(t) and
v(t) belong to a certain (maybe t-dependent) set Ωt . Letting Dλ− and Dλ+ denote the
operators producing the left and the right derivatives w.r.t. a variable λ, the following
three alternative monotonicity conditions can be found in the literature:

M1) For all t ≥ t0 and ξ ∈ Ωt (a convex region) the logarithmic norm of (∂f /∂y)(t, ξ) is
non-positive, i.e. (cf.[2]):
" " # #
∂f
∀t ≥ t0 , ξ ∈ Ωt : Dλ+ sup k I + λ (t, ξ) (u − v) k / k u − v k ≤ 0.
u6=v ∂y λ=0

M2) For all t ≥ t0 , Ωt is a path-connected set on which the Dahlquist constant of f (t, ·)
is non-positive, i.e. (cf.[3]):
 

∀t ≥ t0 : Dλ+  sup k u − v + λ [f (t, u) − f (t, v)] k / k u − v k ≤ 0.

 
u,v∈Ωt
u6=v λ=0

M3) For all t ≥ t0 , Ωt is a set on which −f (t, ·) is accretive, i.e. (cf.[4]):

h i
∀t ≥ t0 : sup Dλ− k u − v + λ [f (t, u) − f (t, v)] k / k u − v k ≤ 0.
u,v∈Ωt λ=0
u6=v

2
 Condition M3) is in fact most often stated in the following equivalent form:

k u − v + λ [f (t, u) − f (t, v)] k≥k u − v k for all t ≥ t0 , u, v ∈ Ωt , λ ≤ 0, (1.6)

but in order to compare the monotonicity conditions, the form used in M3) seems most
appropriate. For any function g(x, λ) being convex w.r.t. λ we have that

h i h i  
sup Dλ− g(x, λ) ≤ sup Dλ+ g(x, λ) ≤ sup Dλ+ sup g(x, λ) = Dλ+ sup g(x, λ)
x x x x x

and hence M3) is never more severe than M2), which in turn may be less severe than
M1) due to the fact that for yφ = φu + (1 − φ)v:

" #
1 d
Z
k u − v + λ [f (t, u) − f (t, v)] k = k u − v + λ f (t, yφ ) dφ k
0 dφ
" # " #
1 ∂f ∂f
Z
= k I + λ (t, yφ ) (u − v)dφ k≤ sup k I + λ (t, yφ ) (u − v) k .
0 ∂y 0≤φ≤1 ∂y

As an example of the difference between M3) and M2), consider the scalar equation

y 0 = −ln(y), where Ωt = (0, ∞).

M3) (and M1)) will be satisfied, but not M2).

For non-autonomous systems, however, any monotonicity condition may be un-
necessarily severe (cf. the non-monotonic but very stable system in Proposition 1) and
Dahlquist ([2]) and Söderlind ([3]) therefore allowed the right hand sides in their condi-
tions to be any (piecewise) continuous function m(t) satisfying
Z ∞
m(τ )dτ < ∞. (1.7)
t0

It is interesting to note that the example (1.3) given by Spijker satisfies such a ”relaxed
monotonicity condition” in an inner-product norm, since for m(t) equal to the logarithmic
`2 -norm of the coefficient matrix in (1.3) one obtains
Z ∞ 1h √  √ i
m(τ )dτ = 1 − 2 + ln 1 + 2 ≈ 0.23.
0 2
However, some tedious - but elementary - calculations show that the system (1.5)
does not satisfy such a condition in any inner-product norm, since for m(t) equal to the
corresponding logarithmic norm we find that
Z t
m(τ )dτ ∼ c log t f or t → ∞ (c 6= 0)
0

at best!

3
 In the following we will thus assume the norms to be arbitrary and impose conditions
similar to M3) or (1.6) rather than M1) (f may be non-differentiable) or M2). The result
below is similar to results in [2] and [3], but is based on a relaxation of condition M3) or
(1.6):

Theorem 2
Let y(t) be a solution of (1.1) and assume that

a) k ỹ 0 (t) − f (t, ỹ(t)) k ≤ p(t) for all t ≥ t0

b) k u − v + λ [f (t, u) − f (t, v)] k ≥ (1 + λm(t)) k u − v k

for all t ≥ t0 , u, v ∈ Ωt , λ ≤ 0,

hold for some piecewise continuous functions p(t) and m(t) and some set Ωt ⊆ <s . Then
as long as y(t) and ỹ(t) belong to Ωt the following holds
 Z t 
k ỹ(t) − y(t) k≤ eM (t) k ỹ(t0 ) − y(t0 ) k + e−M (τ ) p(τ )dτ , (1.8)
t0

where Z t
M (t) = m(τ )dτ.
t0

For proof: cf. the appendix.

Conditions b) (in Theorem 2) and (1.7) can thus be viewed as a relaxation of the mono-
tonicity conditions. In order to prove stability of discretizations of (1.1), these ”relaxed”
conditions are, however, of little use, since (1.7) does not limit m(t) in the discretization
points! As an example, consider two backward Euler discretizations of (1.1):

un − hn f (tn , un ) = un−1
vn − hn f (tn , vn ) = vn−1

If (1.1) satisfies condition b) in Theorem 2 and un , vn ∈ Ωtn then

k un−1 − vn−1 k≥ (1 − hn m(tn )) k un − vn k .

If, furthermore,

hn m(tn ) = (tn − tn−1 )m(tn ) ≤ 1 − γ for some γ > 0

(i.e. hn is bounded in case of positive m-values or m(t) ≤ (1 − γ)/(t − t0 ) (say)) then as

long as un , vn ∈ Ωtn :

4
 " #
hn m(tn )
k un − v n k ≤ 1+ k un−1 − vn−1 k
1 − hn m(tn )
" #
hn m(tn )+
≤ 1+ k un−1 − vn−1 k
1 − hn m(tn )+
n
" #
1X
≤ exp hi m(ti )+ k u0 − v0 k, n = 0, 1, . . . ,
γ i=1

where m(t)+ = max {0, m(t)}.

In order to relate the argument of exp to a bounded quantity (e.g. an integral) we
thus need more than (1.7) and we introduce the following concept:

Definition 1
The system (1.1) is said to be monotonically stable if it satisfies the following one-sided
Lipschitz-condition (with variable ”Lipschitz-constant” m(t)):

k u − v + λ [f (t, u) − f (t, v)] k≥ (1 + λm(t)) k u − v k

for all t ≥ t0 , u, v ∈ Ωt , λ ≤ 0,

where Ωt ⊆ <s and

Z ∞
m(t)+ ≤ K(t), where Γ := K(τ )dτ < ∞
t0

holds for some monotonically decreasing function K(t).

Hence, we limit the left derivative of k u(t) − v(t) k by a non-negative monotonic function
times k u(t) − v(t) k, forcing (1.7) to hold, and we obtain stability of Backward Euler as
long as the solutions belong to Ωt and hn m(tn )+ ≤ (1 − γ):

k un − vn k≤ exp {Γ/γ} k u0 − v0 k, n = 0, 1, . . .

Let us try to extend this result to multirate discretizations based on the backward Euler
formula.

2 Stability of backward Euler multirate discretiza-

tions
Consider the operator describing the local truncation error pr. unit step of the backward
Euler formula:

L(y, t, h) = [y(t + h) − y(t)] /h − y 0 (t + h). (2.1)

5
Being the difference between difference quotients and derivatives, the elements of this
operator measure to a certain degree the non-linearity of the corresponding elements of
y in the interval [t, t + h] as well as a local contribution to the global error. For those
elements of y, where the corresponding elements of L are unnecessarily small, one would
of course wish to use a larger integration step than for the other elements of y, in the
hope of reducing the amount of work needed for solving the initial value problem. This,
however, gives rise to several questions, one of which is the stability of the numerical
method.
In order to examine this question, we consider a partition of the original system (1.1):
0
y1 f1 (t, y1 , . . . , yq )
   
0

y2  
f2 (t, y1 , . . . , yq )  q
, y r ∈ < sr ,
    X
 ..  =  ..  si = s. (2.2)
. .
   
    i=1
0
yq fq (t, y1 , . . . , yq )
and multirate formulas, where the r’th subsystem is discretized by the backward Euler
formula as follows:

yr,n = yr,n−1 + hr,n fr (tr,n , ỹ1,n , . . . , ỹr−1,n , yr,n , ỹr+1,n, . . . , ỹq,n ), (2.3)

Pn
where n = 1, 2, . . . , tr,n = t0 + k=1 hr,k and ỹi,n is a convex combination of values in
{yi,k | k ≥ 0} for i 6= r: X
ỹi,n = wi,n,k yi,k (2.4)
k∈Ji,n

for some index set Ji,n ⊂ {0, 1, . . .}. The convex combinations ỹi,n will in general depend
on subsystem index r since Ji,n depends on tr,n and wi,n,k depends on tr,n as well as Ji,n .
However, to simplify notation, the dependency on r will be omitted.

In the proofs of Theorems 4 and 5, different solution sequences {ur,n} and {vr,n } of
(2.3) are compared. The sequences are computed for the same mesh {tr,n }, and elements
of the corresponding sequences of convex combinations {ũi,n } and {ṽi,n } are computed
using the same coefficients:
X X
ũi,n = wi,n,k ui,k and ṽi,n = wi,n,k vi,k
k∈Ji,n k∈Ji,n

for all i, n.
All convex combination coefficients might in general be different, but the convex com-
binations would typically be either a zero-order extra- or interpolation:

ỹi,n = yi,k or yi,k+1 , where tr,n ∈ (ti,k , ti,k+1 ]

or a first-order interpolation:
ti,k+1 − tr,n tr,n − ti,k
ỹi,n = yi,k + yi,k+1
ti,k+1 − ti,k ti,k+1 − ti,k

6
where tr,n ∈ [ti,k , ti,k+1 ].
Two substantially different versions of the multirate formulas will be considered [6]:

Semi-implicit multirate formulas

— The traditional multirate formulas, where the discretization is implicit at the level of
a subsystem but explicit with respect to the rest of the system. One subsystem at a
time is advanced a time step using (2.3), and each ỹi,n , representing the interaction
with the rest of the system, is restricted to be a convex combination of previously
computed values of yi,k ’s. Some of the ỹi,n -values then have to be 0’th order extrap-
olated values and unless the coupling from the i’th to the r’th subsystem is weak at
t = tr,n or yi (t) is slowly varying in the interval [tr,n−1 , tr,n ], yr,n will, in general, be
inaccurate. Hence, it is not enough to have a small local truncation error (2.1) in
order to use this version.
Implicit multirate formulas
— Implicit multirate formulas are defined by a compound step over a time window
[tN −1 , tN ] such that there exist discretization points of each subsystem coinciding
with tN −1 and tN . A compound step defines a block discretization of each subsystem
over a time window, and the multirate integration formula is called implicit because
the discretizations of all subsystems (2.3) must be computed simultaneously over
a number of steps corresponding to the time window by solving one large system
of (in general non-linear) equations. The crucial difference from the semi-implicit
multirate formulas is that all the ỹi,k -values are computed by interpolation of solution
values within the window.
In practical applications, an implicit multirate method is therefore expected to give
a more accurate numerical discretization than a semi-implicit multirate method.
This should not be confused with the order of convergence which is one for both
semi-implicit and implicit multirate methods.

Example
Consider the application of an implicit multirate formula for q = 2. Marking the gridpoints
tr,n , r = 1, 2 on two separate axes, we encounter the dependencies shown in Fig. 1 between
the corresponding values of yr,n when all the ỹi,n values are 1’st order interpolated values.

t -t - t- t - t-t - t - t -t -t -


AK

KA7
 CO

 OC 6 
A
K  I
@

]J 6

AA

A CC

C
AA 
@ J

AA

 A CC

C
AA 
@J

AA

 A CC

C
AA 
@J


t - U t
A
 -ACWt

-C t
?

-UAt

@Jt
- ? -
- t
t0 t1 t2
Figure 1.

7
Hence the discretizations belonging to each of the half-open windows (t0 , t1 ] and (t1 , t2 ]
have to be found simultaneously and correspond to two consecutive compound steps.

The use of multirate integration is motivated by the potential gain in adapting the
stepsize to each individual subsystem. However, implicit multirate methods may turn this
gain into a loss unless the large non-linear system of the compound step can be solved
efficiently.
This is possible for a certain important class of problems using the waveform relaxation
method [7]. It can be outlined as follows:

Waveform relaxation method

1) Initial guess. Apply e.g. a backward Euler semi-implicit multirate formula in

(0)
order to find estimates yr,n of all the yr,n ’s in the window.

2) Iterative computation of a compound step. For j = 1, 2, . . . until convergence

(j)
do a relaxation sweep, i.e. find a new estimate yr,n of each yr,n by solving (2.3), where
(j) (j−`)
yr,n−1 = yr,n−1 for n>1 and previously computed estimates yi,k , ` = `(r, n, i, k) ∈
{0, 1} are used in the convex combinations (2.4). The coefficients in these convex
combinations are assumed to be the same in each sweep. If the relaxation process
converges, a compound step of the implicit multirate formula has been computed.

Note that we allow Gauss-Seidel as well as Jacobi types of iterations in order to make the
method easy to parallelize, and that the gridpoints tr,n and the coefficients of the convex
combinations are the same in each sweep. Keeping the gridpoints constant during the
iteration may not correspond to practice, but since the initial estimates in 1) may be the
result of a finite number of grid-refining sweeps, our theoretical results will cover this
probably more common situation as well.
At least for the semi-implicit methods, one subsystem may in principle be integrated
over a large interval using 0’th order extrapolations of the components described by the
other subsystem. Since the corresponding differential system:
0
yr = fr (t, y1 , . . . , yq )
0
yi = 0 f or i 6= r,

may be unstable, even if the original system was stable, we have to tighten our stability
assumption:

Definition 2
The partitioned system (2.2) is said to be monotonically max-norm stable, if there exist
norms k · kr , such that

q
X
k ur − vr + λ [fr (t, u) − fr (t, v)] kr ≥k ur − vr kr +λ arj (t, u, v) k uj − vj kj (2.5)
j=1

8
for all t ≥ t0 , u, v ∈ Ωt , λ ≤ 0, where Ωt ⊆ <s and the following condition for the
logarithmic max-norm of the q × q matrix (arj )
Z ∞
µ∞ [(arj (t, u, v))]+ ≤ K(t), where Γ := K(τ )dτ < ∞ (2.6)
t0

holds for some monotonically decreasing function K(t), when u, v ∈ Ωt

For any two solutions u(t), v(t) of (2.2), we thus limit the left derivative of each
k ur (t) − vr (t) kr by qj=1 arj (t, u, v) k uj (t) − vj (t) kj , where µ∞ [(arj (t, u, v))] is bounded
P

by a non-negative monotonic function K(t) satisfying (1.7).

The following theorem gives sufficient conditions for monotonic max-norm stability of
a partitioned system.

Theorem 3
If fr (t, y), r = 1, 2, . . . , q are continuously differentiable in y belonging to a convex region
Ωt and the norms k · kr fulfil the relation

dr k yr kr ≤k yr k≤ d˜r k yr kr , r = 1, 2 . . . , q

then (2.5) is satisfied with

arr (t, u, v) = µr (Brr (t, u, v))

d˜j
arj (t, u, v) = k Brj (t, u, v) k, r 6= j
dr
where µr denotes the logarithmic norm w.r.t. k · kr , k Br,j k= supy6=0 k Br,j y k / k y k
and

(Br1 (t, u, v), Br2(t, u, v), . . . , Brq (t, u, v))

Z 1
= ∂fr (t, φu + (1 − φ)v)/∂ydφ
0

The matrices Brj are of dimension sr × sj and ∂fr /∂y is of dimension sr × s (cf.(2.2))
For proof: cf. the appendix.

Remarks
R1) If dr = d˜r for r = 1, 2, . . . , q, the logarithmic norms are independent of r.
R2) If k · kr are chosen as the scaled norms k yr kr =k Tr yr k where Tr are non-singular
matrices, the a-functions in the theorem become

arr (t, u, v) = µ(Tr Brr (t, u, v)Tr−1 )

arj (t, u, v) = k Tr kk Tj−1 kk Brj (t, u, v) k

and this may be a useful approach in practice.

9
 R3) From the relation
X d˜j
µr (Brr (t, u, v)) + k Brj (t, u, v) k ≤
j6=r dr
 
Z 1
µr (∂fr (t, φu + (1 − φ)v)/∂yr ) +
d˜j
X
k ∂fr (t, φu + (1 − φ)v)/∂yj k dφ =
0 j6=r d r

X d˜j
µr (∂fr (t, φr u + (1 − φr )v/∂yr ) + k ∂fr (t, φr u + (1 − φr )v)/∂yj k , φr ∈ [0, 1]
j6=r dr

and the definition of µ∞ , it follows that

 
d˜j
X
µ∞ [(arj (t, u, v))] ≤ max µr (∂fr (t, y)/∂yr ) + k ∂fr (t, y)/∂yj k
r,y∈Ωt
j6=r d r

This inequality will be used in section 3 to demonstrate that a certain modelling sys-
tem is monotonically max-norm stable.
The stability result of Section 1 can now be generalized as follows.

Theorem 4
Assume that the partitioned system (2.2) is monotonically max-norm stable and con-
sider any two solution sequences {ur,n } , {vr,n } computed from the semi-implicit multirate
formula (2.3) using the same grid points {tr,n } and the same coefficients in the convex
combinations in (2.4). If there exists a γ > 0 such that

hr,n arr (tr,n−1 + hr,n , u, v) ≤ 1 − γ for all r, n, and u, v ∈ Ωtr,n (2.7)

then

sup k ur,n − vr,n kr ≤ exp (qΓ/γ) · max

r
k ur,0 − vr,0 kr ,
r,n

provided that (ũ1,n , . . . , ur,n , . . . , ũq,n)T and (ṽ1,n , . . . , vr,n , . . . , ṽq,n )T belong to Ωtr,n for all
r, n.

Proof:
For the sake of simplicity we omit the two last arguments in the functions arj . From (2.3)
and (2.5) we then find that since (ũ1,n . . . , ur,n , . . . , ũq,n )T and (ṽ1,n , . . . , vr,n , . . . , ṽq,n )T
stay within Ωtr,n
X
k ur,n−1 − vr,n−1 kr ≥ (1 − hr,n arr (tr,n )) k ur,n − vr,n kr −hr,n arj (tr,n ) k ũj,n − ṽj,n kj .
j6=r

Let maxr,n denote the maximum of k uj,k − vj,k kj over all previously computed uj,k , vj,k .
Since the coefficients in the convex combinations used for computing ũj,n and ṽj,n are the
same, (2.6) and (2.7) imply that

10
 h i
k ur,n − vr,n kr ≤ (1 − hr,n arr (tr,n ))−1 1 + hr,n | arj (tr,n ) | maxr,n
P
j6=r

≤ (1 − hr,n arr (tr,n ))−1 [1 − hr,n arr (tr,n ) + hr,n K(tr,n )] maxr,n

≤ [1 + hr,n K(tr,n )/γ] maxr,n

≤ exp[hr,n K(tr,n )/γ] · maxr,n .

Multiplying the exponential ’growth factor’ for all r,n and utilizing the monotonicity
of K(t) we find that
" #
q ∞
Z
sup k ur,n − vr,n kr ≤ exp K(τ )dτ · max k ur,0 − vr,0 kr .
r,n γ t0 r

Notice that Theorem 4 applies to both slowest-first and fastest-first semi-implicit multirate
formulas [8].
In the waveform relaxation method we iterate over a fixed window, where the bound in
(2.6) may be very large, and the iteration mapping could thus be far from contractive and
fail to converge. If the step-sizes were allowed to be refined during the sweeps, we might
have used the theory of Picard-Lindelöf iterations (cf.[9]) in order to ensure convergence,
but we shall leave this for further research, and show the following result:

Theorem 5
Assume that the partitioned system (2.2) satisfies (2.5) for all t ≥ t0 , u, v ∈ Ωt , λ ≤ 0,
where Ωt ⊆ <s are closed sets and

µ∞ [(arj (t, u, v))] ≤ 0, t ≥ t0 , u, v ∈ Ωt , (2.8)

holds with the arr (t, u, v) functions bounded from below.
If the arguments of fr in (2.3) belong to [t0 , ∞) × Ωtr,n for all r,n, the waveform
relaxation method described previously will converge on each time window [tN −1 , tN ] to
the solution of the underlying implicit multirate formula (2.3),(2.4), and the solution is
uniquely determined by the values at t = tN −1 .
Furthermore, consider two different sets of initial values {ur,0 } and {vr,0 } and the
corresponding implicit multirate discretizations {ur,n } and {vr,n }, where the same grid
points {tr,n } and the same coefficients in the convex combinations in (2.4) have been used
in each window. Then

max k ur,n − vr,n kr ≤ max k ur,0 − vr,0 kr , (2.9)

r,n r

provided that (ũ1,n , . . . , ur,n , . . . , ũq,n)T and (ṽ1,n , . . . , vr,n , . . . , ṽq,n )T belong to Ωtr,n for all
r, n.

11
 Thus, the implicit multirate formula is contractive, and the waveform relaxation
method can safely be used to advance the formula a compound step.

Proof:
Let us first show (2.9). Similar to the proof of Theorem 4, we omit the two last arguments
of the functions arj . Since the coefficients in the convex combinations (2.4) are the same
when ur,n and vr,n are computed in (2.3), (2.5) implies that for any r and n ≥ 1 (as we
stay within Ωtr,n ):

k ur,n − vr,n kr ≤ θr,n k ur,n−1 − vr,n−1 kr

+ (1 − θr,n ) max {k uj,k − vj,k kj | j 6= r, k ≥ 0} ,

where

θr,n = (1 − hr,n arr (tr,n ))−1 ∈ (, 1] for some  > 0.

Hence, if k ur,n − vr,n kr is maximal so is k ur,n−1 − vr,n−1 kr , and (2.9) follows.

In order to prove convergence of the waveform relaxation method on a window, assume
(without loss of generality) that the window is [t0 , t1 ]. By assumption, the arguments of
fr in (2.3) belong to [t0 , ∞) × Ωtr,n for all r,n. Therefore we may use (2.5),(2.8) and the
fact that the coefficients in the convex combinations are fixed during the sweeps to derive
the following relation for the j’th relaxation sweep (j ≥ 2):

(j) (j−1) (j) (j−1)

k yr,n − yr,n kr ≤ θr,n k yr,n−1 − yr,n−1 kr

(j−`) (j−1−`) (j−`)

n o
+(1 − θr,n ) max k yi,k − yi,k ki | k ≥ 1, ` = 0, 1, yi,k already computed .
i

(j) (j−1)
Since k yr,0 − yr,0 kr = 0, it is easily seen, first, by induction (corresponding to the order
(j)
in which the estimates yr,n are computed in the j’th sweep) that

(j) (j−1) (j−1) (j−2)

max k yr,n − yr,n kr ≤ maxj−1,j−2 := max k yi,k − yi,k ki
r,n i,k

and second, by repeated applications of

(j) (j−1) (j) (j−1)

k yr,k − yr,k kr ≤ θr,k k yr,k−1 − yr,k−1 kr +(1 − θr,k )maxj−1,j−2

that

(j) (j−1)
k yr,n − yr,n kr ≤ (1 − ΠN Nr
k=1 θr,k )maxj−1,j−2 ≤ (1 −  )maxj−1,j−2 ,
r

12
 n o
(j)
where Nr is defined by tr,Nr = t1 . Hence, the ’super-vectors’ xj := yr,n form a
Pq
Cauchy sequence in < , where S = r=1 Nr sr , and thus converge to a vector x in <S
S ∗

(assuming that each xj exists). Since Ωt are closed sets, the corresponding limit value of
(ỹ1,n , . . . , yr,n , . . . , ỹq,n )T will belong to Ωtr,n for all r, n, and due to the continuity of f , x∗
must be a solution of (2.3). Finally, (2.9) shows that the solution is uniquely determined by
the initial values {yr,0 }.

Corollary 6
The conjecture in [10] is true, i.e. for a partitioned linear system with constant Jacobian:
q
0 X
yr = Arj yj , r = 1(1)q,
j=1

where (for some norm) all the eigenvalues of the matrix

 
µ(A11 ) k Aij k
B=
 .. 
, µ(Aii ) = the logarithmic norm of Aii ,
 . 

k Aij k µ(Aqq )

have negative real parts, any backward Euler implicit multirate method (including those,
where all the ỹi,n ’s are 0’th order interpolations) is stable.

Proof:
Choosing the vector norms as k yr kr =k yr k /dr , the a-functions as defined in Theorem
3 can be expressed by (arj (t, u, v)) = D −1 BD where D = diag(d1 , d2 , . . . , dm ).
Since −B is a nonsingular M-matrix (cf.[11]), D can be chosen such that −D −1 BD
is strictly diagonally dominant, i.e. µ∞ [D −1 BD] ≤ 0 and (2.8) is fulfilled. Hence, the
corollary is a consequence of Theorem 5.

3 Example
Theorem 4 and Theorem 5 can be applied to the simple electronic circuit shown in Fig.
2, a chain of inverters.

13
 VDD

T4 T5 T6

V1 V2 V3 V4

T1 T2 T3
6
i0  CS
 G

Figure 2

The transistors T1 − T3 are modelled as shown in Fig. 3, and T4 − T6 are modelled as

simple conductances with value G. Notice that the current model

ir = 2β(Vr − Vth − Vr+1 /2)Vr+1 ,

Tr Vr+1 Vr ≥ Vth , Vr+1 < Vr − Vth

 ir = β(Vr − Vth )2 ,
∼ CD  i
Vr ?r
 Vr ≥ Vth , Vr+1 ≥ Vr − Vth
CS
ir = 0, Vr < Vth

CS = 10CD and β = G/ [2(VDD − Vth )]

Figure 3

ir (Vr , Vr+1 ) defined in Fig. 3 is continuously differentiable in both Vr and Vr+1 . The circuit
in Fig. 2 is fully defined by the positive parameters CD , G, Vth and VDD . The response of
the input function i0 is described by the system of equations,

C V 0 = g(V ) + i(t) (3.1)

where
CD + C S −CD 0 0 V1
   
 −CD 2CD + CS −CD 0   V2 
C= , V =
   
0 −CD 2CD + CS −CD V3

   
0 0 −CD CD + C S V4

14
 −V1 G i0 (t)
   
 (VDD − V2 )G − i1 (V1 , V2 )   0 
g(V ) =  , i(t) = 
   
(VDD − V3 )G − i2 (V2 , V3 ) 0

   
(VDD − V4 )G − i3 (V3 , V4 ) 0

Theorem 7
The system (3.1) partitioned into 4 equations satisfies the conditions of Theorems 4 and
5 with

Ω = [0, VDD ] × . . . × [0, VDD ]

Proof:
For the system (3.1), f is defined as f (t, V ) = C −1 (g(V ) + i(t)) and

∂f /∂V = C −1 ∂g/∂V

Since ∂f /∂V is continuous and Ω is compact, the functions arr (t, u, v) defined in Theorem
3 are bounded from below, and we only have to show (2.8).
Define
 
dj X
Sr := max ∂fr (t, V )/∂Vr + | ∂fr (t, V )/∂Vj |
V ∈Ω d
j6=r r

According to Remark R3 of Theorem 3, system (3.1) is monotonically max-norm stable

if maxr Sr ≤ 0 for some positive constants d1 , . . . , d4 .

The Jacobian is
 
−G 0 0 0
∂i1 ∂i1
∂f − ∂V − − G 0 0
 
= C −1  ∂V2
 
1
∂i2 ∂i2

∂V 
 0 − ∂V2 − ∂V3 − G 0 

∂i3 ∂i3
0 0 − ∂V3 − ∂V4 − G

where all the elements of C −1 are positive and all the elements of ∂g/∂V are nonpositive,
leading to a Jacobian with negative elements.
From the model definition in Fig. 3 it follows that for V ∈ Ω,
∂ir ∂ir
cr + cr+1 ≤ max {cr , cr+1 , 0} G
∂Vr ∂Vr+1

for any real numbers, cr and cr+1 . Utilizing this relation and denoting the (positive)
elements of C −1 by c̃ij , we find that

15
 ( " ! #
∂i1 d2 ∂i1 ∂i2
S1 = max −c̃11 G − c̃12 + c̃12 + G + c̃13
V ∈Ω ∂V1 d1 ∂V2 ∂V2
" ! # !)
d3 ∂i2 ∂i3 d4 ∂i3
+ c̃13 + G + c̃14 + c̃14 +G
d1 ∂V3 ∂V3 d1 ∂V4
!
d2 d3 d4
≤ −c̃11 + 2c̃12 + 2c̃13 + 2c̃14 G
d1 d1 d1
for 0 < d1 ≤ d2 ≤ d3 ≤ d4 . Bounds for S2 , S3 and S4 can be derived in a similar way and
we then obtain

max Sr ≤ µ∞ (D −1 ĈD)G
r

where D = diag(d1 , d2 , d3 , d4 ) and

−c̃11 2c̃12 2c̃13 2c̃14

 
 c̃21 + c̃22 −c̃22 2c̃23 2c̃24 
Ĉ = 
 
c̃31 2c̃32 + c̃33 −c̃33 2c̃34

 
c̃41 2c̃42 2c̃43 + c̃44 −c̃44

Direct computation shows that for D = diag(2, 5, 9, 12):

347
µ∞ (D −1 ĈD) = − <0
1704CD
and thus the conditions of Theorems 4 and 5 are satisfied.

Appendix

Proof of Proposition 1: !
−t 0
Let A(t) denote the coefficient matrix and assume that t ≥ t0 > 0. Define
−1 0
!
1/t0 0
D(t0 ) =
0 1

The logarithmic norm of D(t0 )A(t)D(t0 )−1 w.r.t. the `1 -norm is

" !#
−t 0
µ1 = max {−t+ | t0 |, 0}
−t0 0

which is 0 for all t ≥ t0 . The linear system is therefore monotonic (cf. e.g.[1]) in the
scaled `1 -norm:

16
 !
y1
k k= (| y1 | /t0 )+ | y2 | .
y2

Now, let k · k be an arbitrary norm in which the system is monotonic for all t ≥ t0 > 0,
and choose an arbitrary point (a b)T ∈ <2 with ab 6= 0. For any t ≥ t0 > 0, there exists a
solution with y(t) = (a b)T , and if the norm is differentiable, the monotonicity implies,

! !T !
a t
k y(t) k≥k y(t + h) k = k y(t) k −ha 5 k k + o(h)
b 1
! !T !
0 t
= k y(t) k −ha 5 k k + o(a) + o(h).
b 1
!
0
Since t(≥ t0 ) and the sign of a are arbitrary, 5 k k must be 0, but that is not
b
possible, since any differentiable norm satisfies
! ! !T !
0 0 0
k k= 5 k k .
b b b
!
0
The norm is therefore not differentiable in the points , b ∈ <. Finally, note that for
b
any norm there exists a value b > 0 such that
! !
−1 −1
k k= 2· k k.
b 0
!
−1
Due to convexity, we then find that for y(0) = :
b
! ! ! !
−1 h −1 h −1
k y(h) k = k k +o(h) =k 1 + − k +o(h)
b+h b b b 0

! ! ! !
h −1 h −1 h −1
≥ 1+ k k− k k +o(h) =k y(0) k + k k +o(h)
b b b 0 b 0

and hence the system is not monotonic for all t ≥ 0.

Proof of Theorem 2 (based on the techniques used in Thm.10.3 in [5]):

Let x(t) denote the piecewise differentiable function on the right hand side of (1.8), i.e.
the solution of

x0 (t) = g(t, x(t)) := m(t)x(t) + p(t) , x(t0 ) =k ỹ(t0 ) − y(t0 ) k .

17
Assume that (1.8) is not valid, i.e.
k ỹ(t1 ) − y(t1 ) k= x(t1 ) +  for some t1 > t0 ,  > 0,
where ỹ(t) and y(t) stay within Ωt for t0 ≤ t ≤ t1 . Then define for all δ > 0 the functions
wδ by
0
wδ (t) = g(t, wδ (t)) + δ , wδ (t1 ) =k ỹ(t1 ) − y(t1 ) k .
Since g(t, x) satisfies a Lipschitz-condition w.r.t. x and wδ (t1 ) > x(t1 ) it follows (cf. e.g.
Theorem 10.2 in [5]) that
lim wδ (t0 ) > x(t0 ) =k ỹ(t0 ) − y(t0 ) k .
δ→0

Hence, for all sufficiently small δ > 0 there must exist values of t such that
k ỹ(t) − y(t) k < wδ (t) f or t0 ≤ t < tδ ≤ t1
and
k ỹ(tδ ) − y(tδ ) k = wδ (tδ ).
But this implies that
g(tδ , wδ (tδ )) + δ = D − wδ (tδ ) ≤ D − k ỹ(t) − y(t) kt=tδ ,
whereas it follows from assumptions a) and b) in the theorem that
D − k ỹ(t) − y(t) kt=tδ =
lim (1/λ) [k ỹ(tδ ) − y(tδ ) + λ(ỹ 0 (tδ ) − f (tδ , y(tδ )) k − k ỹ(tδ ) − y(tδ ) k]
λ→0−

≤ m(tδ ) k ỹ(tδ ) − y(tδ ) k +p(tδ ) = g(tδ , wδ (tδ ))

and a contradiction has thus been established. Hence (1.8) must be valid.

Proof of Theorem 3:
For given u and v (and thus uj , vj , j = 1, 2, . . . , q) we have for all λ < 0:

k ur − vr + λ [fr (t, u) − fr (t, v)] kr ≥

X
k ur − vr + λBrr (t, u, v)(ur − vr ) kr +λ k Brj (t, u, v)(uj − vj ) kr ≥
j6=r

λ {[k ur − vr + λBrr (t, u, v)(ur − vr ) kr − k ur − vr kr ] /λ}

X
+ k ur − vr kr +λ k Brj (t, u, v)(uj − vj ) k /dr ≥
j6=r

X d˜j
λµr (Brr (t, u, v)) k ur − vr kr + k ur − vr kr +λ k Brj (t, u, v) kk uj − vj kj
j6=r dr

Comparing with (2.5), the expressions for the a-functions follow immediately.

References

18
 [1 ] Spijker, M.N., On the Relation between Stability and Contractivity, BIT 24 (1984),
pp.656-666.

[2 ] Dahlquist, G., Stability and Error Bounds in the Numerical Integration of Ordinary
Differential Equations, Trans. Roy. Inst. Technol. No. 130, Stockholm (1959).

[3 ] Söderlind, G., On Nonlinear Difference and Differential Equations, BIT 24 (1984),

pp.667-680.

[4 ] Nevanlinna, O. and Liniger, W., Contractive Methods for Stiff Differential Equa-
tions. Part II, BIT 19 (1979), pp.53-72.

[5 ] Hairer, E., Nørsett, S.P. and Wanner, G., Solving Ordinary Differential Equations
I, Springer-Verlag, Berlin (1987).

[6 ] Skelboe, S., Stability Properties of Backward Differentiation Multirate Formulas,

Applied Numerical Mathematics, 5(1989), pp. 151-160.

[7 ] Lelarasmee E., Ruehli A.E., and Sangiovanni-Vincentelli A.L., The Waveform

Relaxation Method for Time-Domain Analysis of Large Scale Integrated Circuits,
IEEE Trans. Computer-Aided Design of Integrated Circuits and Systems, 1(1982),
pp. 131-145.

[8 ] Gear, C.W. and Wells, D.R., Multirate Linear Multistep Methods, BIT 24 (1984),
pp. 484-502.

[9 ] Nevanlinna, O., Remarks on Picard-Lindelöf iteration; Part I, BIT 29:2 (1989),

pp.328-346, and Part II, BIT 29:3 (1989), pp.535-562.

[10 ] Skelboe, S. and Andersen, P.U., Stability Properties of Backward Euler Multirate
Formulas, SIAM J. Sci. Stat. Comp., 10 (1989), pp.1000-1009.

[11 ] Plemmons, R.J., M-Matrix Characterizations. I-Nonsingular M-Matrices, Linear

Algebra and its Appl. 18 (1977), pp.175-188.

19