On the iterative solution of the algebraic equations in fully implicit Runge-Kutta methods

Abstract

This paper deals with the iterative solution of stage equations which arise when some fully implicit Runge-Kutta methods, in particular those based on Gauss, Radau and Lobatto points, are applied to stiff ordinary differential equations. The error behaviour in the iterates generated by Newton-type and, particularly, by single-Newton schemes which are proposed for the solution of stage equations is studied. We consider stiff systems y'(t) = f(t,y(t)) which are dissipative with respect to a scalar product and satisfy a condition on the relative variation of the Jacobian of f(t,y) with respect to y, similar to the condition considered by van Dorsselaer and Spijker in [7] and [17]. We prove new convergence results for the single-Newton iteration and derive estimates of the iteration error that are independent of the stiffness. Finally, some numerical experiments which confirm the theoretical results are presented.