Art:10.1007/s10444 008 9067 6

Adv Comput Math (2009) 30:249280
DOI 10.1007/s10444-008-9067-6
LegendreGauss collocation methods for ordinary
differential equations
Ben-yu Guo Zhong-qing Wang
Received: 7 December 2006 / Accepted: 29 November 2007 /
Published online: 16 May 2008
Springer Science + Business Media, LLC 2008
Abstract In this paper, we propose two efcient numerical integration processes for
initial value problems of ordinary differential equations. The rst algorithm is the
LegendreGauss collocation method, which is easy to be implemented and possesses
the spectral accuracy. The second algorithm is a mixture of the collocation method
coupled with domain decomposition, which can be regarded as a specic implicit
LegendreGauss RungeKutta method, with the global convergence and the spectral
accuracy. Numerical results demonstrate the spectral accuracy of these approaches
and coincide well with theoretical analysis.
Keywords LegendreGauss collocation methods
Initial value problems of ordinary differential equations Spectral accuracy
Mathematics Subject Classications (2000) 65L60 65L06 41A10 41A29
1 Introduction
There have been fruitful results on numerical methods for initial value problems
of ordinary differential equations, see, e.g., Butcher [6, 8], Hairer, Norsett and
Wanner [22], Hairer and Wanner [23], Higham [24], Lambert [25] and Stuart and
Communicated by Zhongying Chen.
B.-y. Guo (B) Z.-q. Wang
Department of Mathematics, Shanghai Normal University,
200234 Shanghai, Peoples Republic of China
e-mail: byguo@shnu.edu.cn
B.-y. Guo Z.-q. Wang
Division of Computational Science of E-institute of Shanghai Universities,
B.-y. Guo Z.-q. Wang
Scientic Computing Key Laboratory of Shanghai Universities,
250 B.-y. Guo, Z.-q. Wang
Humphries [27]. For Hamiltonian systems, we refer to the efcient symplectic differ-
ence method, see Feng [11], Feng and Qin [12], Hairer, Lubich,and Wanner [21],
and Sanz-Serna and Calvo [26]. As examples, the implicit RungeKutta methods
usually provide the numerical results with high accuracy. We often designed this
kind of numerical schemes based on Taylors expansions or quadrature formulas,
see [7, 8, 22, 23, 25] and the references therein. Babu ska and Janik [2] also used such
trick for p version in time of parabolic equations.
As we know, spectral method has been widely used for numerical solutions of
various differential equations, see, e.g., Gottlieb and Orsag [14], Canuto, Hussaini,
Quarteroni and Zang [9], Funaro [13], Boyd [4], Bernardi and Maday [3], and Guo
[15]. Its main merit is the spectral accuracy. However, so far, there is very fewmethod
with such property, for solving initial value problems of ordinary differential equa-
tions. Indeed, it is not easy to design proper algorithms with the spectral accuracy.
Recently, Guo [16], and Guo and Wang [17, 18] developed the Jacobi orthogonal
approximation and the Jacobi interpolation, and obtained very sharp results. For the
symmetrical Jacobi approximation, we also refer to the work of Babu ska and Guo
[1]. This fact produces the possibility of designing proper collocation methods for
initial value problems of ordinary differential equations, and analyze their numerical
errors precisely.
This paper is devoted to two numerical integration processes. In the next section,
we propose the rst process by using the collocation with N +1 nodes of the
LegendreGauss interpolation. It was also described in Lambert [25]. But we derive
a new algorithm. Then we use the recent results on the Jacobi interpolation in [18],
to analyze the numerical errors in Section 3. This process has several advantages.
Firstly, it is easier to be implemented for nonlinear problems. Next, it possesses
the spectral accuracy. In other words, for any xed mode N, the smoother the
exact solution, the more accurate the numerical result. Moreover, even if the exact
solution has certain singularity, this algorithm still keeps high accuracy. However,
the usual implicit RungeKutta schemes do not have such merits. In Section 4,
we provide the second process by the LegendreGauss collocation coupled with
domain decomposition. It can be regarded as a specic implicit LegendreGauss
RungeKutta method. We also derive a new algorithm with which, we can use
moderate mode N to evaluate numerical solution on all subintervals, step by step.
This simplies actual calculation and saves work. This process not only has the
same advantages as the rst process, but also the global convergence. Thereby, it
is more appropriate for long time calculation of dynamical systems. In particular,
for any smooth solution and xed (mesh size in time), the numerical error decays
exponentially as N increases, while for any xed mode N = s 1, the numerical
error decays at least as rapid as the usual s-stage implicit LegendreGauss Runge
Kutta method. In fact, the numerical error of this method is of the order
2s
s
2s+1
.
Thus, for raising the numerical accuracy, increasing the mode N suitably is much
more effective than decreasing the mesh size . Section 5 is for the LegendreGauss
collocation methods of systems of ordinary differential equations. As an example, we
consider a model Hamilton system. The suggested scheme keeps the symplecticity
and the spectral accuracy. We present numerical results in Section 6, which indicate
the spectral accuracy of our algorithms and coincide well with theoretical analysis. In
particular, our new approaches provide much more accurate numerical results and
LegendreGauss collocation methods 251
cost much less computational time than the usual implicit LegendreGauss Runge
Kutta schemes. The nal section is for some concluding discussions.
2 LegendreGauss collocation method
In this section, we derive the numerical integration process by using the Legendre
Gauss interpolation and describe its implementation.
Let L
l
(t) be the standard Legendre polynomial of degree l. The shifted Legendre
polynomials to [0, T], L
T,l
(t) are dened by
L
T,l
(t) = L
l
_
2t
T
1
_
=
(1)
l
l!
d
l
dt
l
_
t
l
_
1
t
T
_
l
_
, l = 0, 1, 2, .
In particular,
L
T,0
(t) = 1, L
T,1
(t) =
2t
T
1, L
T,2
(t) =
6t
2
T
2

6t
T
+1.
According to the properties of the standard Legendre polynomials, we have
(l +1)L
T,l+1
(t) (2l +1)
_
2t
T
1
_
L
T,l
(t) +l L
T,l1
(t) = 0, l 1, (2.1)
d
dt
L
T,l+1
(t)
d
dt
L
T,l1
(t) =
2
T
(2l +1)L
T,l
(t), l 1. (2.2)
The set of L
T,l
(t) is a complete L
2
(0, T)orthogonal system, namely,
_
T
0
L
T,l
(t)L
T,m
(t)dt =
T
2l +1
l,m
(2.3)
where
l,m
is the Kronecker symbol. Thus for any v L
2
(0, T),
v(t) =
l=0
v
T,l
L
T,l
(t), v
T,l
=
2l +1
T
_
T
0
v(t)L
T,l
(t)dt. (2.4)
We now turn to the LegendreGauss interpolation. We denote by t
N
j
, 0 j N,
the nodes of the standard LegendreGauss interpolation on the interval (1, 1).
The corresponding Christoffel numbers are
N
j
, 0 j N. The nodes of the shifted
LegendreGauss interpolation on the interval (0, T) are the zeros of L
T,N+1
(t), de-
noted by t
N
T, j
, 0 j N. Clearly, t
N
T, j
=
T
2
_
t
N
j
+1
_
. The corresponding Christoffel
numbers are
N
T, j
=
T
2

N
j
, 0 j N.
Let P
N
(0, T) be the set of polynomials of degree at most N. Due to the property
of the standard LegendreGauss quadrature, it follows that for any P
2N+1
(0, T),
_
T
0
(t)dt =
T
2
_
1
1
_
T
2
(t +1)
_
dt =
T
2
N
j=0
N
j

_
T
2
_
t
N
j
+1
_
_
=
N
j=0
N
T, j
_
t
N
T, j
_
.
(2.5)
Let (u, v)
T
and v
T
be the inner product and the norm of space L
2
(0, T), respec-
tively. We also introduce the following discrete inner product and norm,
(u, v)
T,N
=
N
j=0
u
_
t
N
T, j
_
v
_
t
N
T, j
_
N
T, j
, v
T,N
= (v, v)
1
2
T,N
.
Thanks to (2.5), for any P
2N+1
(0, T) and P
N
(0, T),
(, )
T
= (, )
T,N
,
T
=
T,N
. (2.6)
The shifted LegendreGauss interpolation I
T,N
v(t) P
N
(0, T) is determined by
I
T,N
v
_
t
N
T, j
_
= v
_
t
N
T, j
_
, 0 j N.
Because of (2.6), for any P
N+1
(0, T),
(I
T,N
v, )
T
= (I
T,N
v, )
T,N
= (v, )
T,N
. (2.7)
We can expand I
T,N
v(t) as
I
T,N
v(t) =
N
l=0
v
N
T,l
L
T,l
(t). (2.8)
Using (2.4) and (2.7) yields
v
N
T,l
=
2l +1
T
(I
T,N
v, L
T,l
)
T
=
2l +1
T
(v, L
T,l
)
T,N
, 0 l N. (2.9)
Furthermore, we have that for any P
N+1
(0, T),
(t) =
N+1
l=0
N
T,l
L
T,l
(t), I
T,N
(t) =
N
l=0
N
T,l
L
T,l
(t).
With the aid of (2.9), (2.6) and (2.4), we deduce that
N
T,l
=
2l +1
T
(, L
T,l
)
T,N
=
2l +1
T
(, L
T,l
)
T
=

N
T,l
, 0 l N.
The above result, along with (2.3) and (2.6), gives that for any P
N+1
(0, T),
2
T,N
= I
T,N
2
T,N
= I
T,N
2
T
= T
N
l=0
1
2l +1
_
N
T,l
_
2
= T
N
l=0
1
2l +1
_
N
T,l
_
2
T
N+1
l=0
1
2l +1
_
N
T,l
_
2
=
2
T
. (2.10)
We now consider the model problem
d
dt
U(t) = f (U(t), t), 0 < t T,
U(0) = U
0
.
(2.11)
The collocation method for solving (2.11) is to seek u
N
(t) P
N+1
(0, T), such that
d
dt
u
N
_
t
N
T,k
_
= f
_
u
N
_
t
N
T,k
_
, t
N
T,k
_
, 0 k N,
u
N
(0) = U
0
.
(2.12)
This is an implicit scheme. If f (z, t) satises certain conditions, then (2.12) has a
unique solution, see Appendix of this paper.
Lambert [25] designed an algorithm to resolve the discrete system (2.12). The key
point is to solve a system with the unknown
d
dt
u
N
_
t
N
T,k
_
, and then calculate u
N
_
t
N
T,k
_
.
To this end, one expanded the unknown
d
dt
u
N
(t) by the Lagrange interpolation
and derived the coefcients in the algorithm. But, as is well-known, the Lagrange
interpolation is not stable for large N. We now derive a new implementation, in
which one calculates the unknown u
N
_
t
N
T,k
_
directly. In particular, we expand u
N
(t)
by the shifted Legendre orthogonal polynomials, which leads to a stable algorithm
even for large N. The numerical results presented in Section 6 of this paper conrm
this assertion. For this purpose, let
u
N
(t) =
N+1
l=0
u
N
T,l
L
T,l
(t), 0 < t T. (2.13)
Clearly, u
N
(t)L
T,l
(t) P
2N+1
(0, T) for 0 l N. Therefore, multiplying (2.13) by
L
T,l
(t), integrating the result over the interval (0, T), and using (2.3) and (2.6), we
verify that
u
N
T,l
=
2l +1
T
_
u
N
, L
T,l
_
T
=
2l +1
T
_
u
N
, L
T,l
_
T,N
=
2l +1
T
N
j=0
u
N
_
t
N
T, j
_
L
T,l
_
t
N
T, j
_
N
T, j
, 0 l N. (2.14)
On the other hand, L
T,l
(0) = (1)
l
. Thereby, we obtain from (2.12)(2.14) that
u
N
T,N+1
=(1)
N+1
U
0
+
N
l=0
(1)
N+l
u
N
T,l
=(1)
N+1
U
0
+
1
T
N
l=0
N
j=0
(1)
N+l
(2l +1)u
N
_
t
N
T, j
_
L
T,l
_
t
N
T, j
_
N
T, j
. (2.15)
Furthermore, let [l] be the integer part of l. By virtue of (2.2),
d
dt
L
T,l
(t) =
d
dt
L
T,l2
(t) +
2
T
(2l 1)L
T,l1
(t).
=
d
dt
L
T,l4
(t) +
2
T
(2l 1)L
T,l1
(t) +
2
T
(2l 5)L
T,l3
(t)
= =
2
T
_
l1
2
_
m=0
(2l 4m1)L
T,l2m1
(t).
Hence, we use (2.13)(2.15) to obtain
d
dt
u
N
(t) =
N+1
l=1
u
N
T,l
d
dt
L
T,l
(t) =
2
T
N+1
l=1
u
N
T,l
_
l1
2
_
m=0
(2l 4m1)L
T,l2m1
(t)
=
2
T
2
N
l=1
(2l +1)
j=0
u
N
_
t
N
T, j
_
L
T,l
_
t
N
T, j
_
N
T, j
_
l1
2
_
m=0
(2l 4m1)L
T,l2m1
(t)
+
2
T
2
N
l=0
(1)
N+l
(2l +1)
j=0
u
N
_
t
N
T, j
_
L
T,l
_
t
N
T, j
_
N
T, j
_
N
2
_
m=0
(2N 4m+1)L
T,N2m
(t)
+(1)
N+1
2U
0
T
_
N
2
_
m=0
(2N 4m+1)L
T,N2m
(t). (2.16)
For simplicity of statements, we shall use the following notations,
a
N
T,k, j
= 2
N
T, j
N
l=1
(2l +1)L
T,l
_
t
N
T, j
_
_
l1
2
_
m=0
(2l 4m1)L
T,l2m1
_
t
N
T,k
_
+2
N
T, j
N
l=0
(1)
N+l
(2l +1)L
T,l
_
t
N
T, j
_
_
N
2
_
m=0
(2N 4m+1)L
T,N2m
_
t
N
T,k
_
,
b
N
T,k
= (1)
N+1
2
_
N
2
_
m=0
(2N 4m+1)L
T,N2m
_
t
N
T,k
_
, 0 j N.
Then (2.16) reads
d
dt
u
N
_
t
N
T,k
_
=
1
T
2
N
j=0
a
N
T,k, j
u
N
_
t
N
T, j
_
+
U
0
T
b
N
T,k
, 0 k N. (2.17)
Further, let
u
N
=
_
u
N
_
t
N
T,0
_
, u
N
_
t
N
T,1
_
, , u
N
_
t
N
T,N
__
T
, b
N
T
=
_
b
N
T,0
, b
N
T,1
, , b
N
T,N
_
T
,
F
N
T
_
u
N
_
=
_
f
_
u
N
_
t
N
T,0
_
, t
N
T,0
_
, f
_
u
N
_
t
N
T,1
_
, t
N
T,1
_
, , f
_
u
N
_
t
N
T,N
_
, t
N
T,N
__
T
,
and A
N
T
be the matrix with the entries a
N
T,k, j
, 0 j, k N. Then we can rewrite
(2.17) as the following matrix form,
A
N
T
u
N
= T
2
F
N
T
_
u
N
_
TU
0
b
N
T
. (2.18)
In actual computation, we rst use (2.18) to evaluate u
N
_
t
N
T,k
_
, 0 k N, and then
use (2.13)(2.15) to obtain
u
N
(T) =
N+1
l=0
u
N
T,l
=
1
T
N
j=0
_
N
l=0
_
1 +(1)
N+l
_
(2l +1)L
T,l
_
t
N
T, j
_
_
u
N
_
t
N
T, j
_
N
T, j
+(1)
N+1
U
0
. (2.19)
Remark 2.1 Lambert [25] also derived a collocation method based on (2.12). Wright
[28] explored the relationship between that method and the implicit RungeKutta
method. In [25], one approximates the derivative
d
dt
U(t) by w
N
(t) P
N+1
(0, T),
which is expanded by the Lagrange interpolation, namely,
w
N
(t) =
N
k=0
w
N
_
t
N
T,k
_
L
k
(t), L
k
(t) =
0jN, j=k
t t
N
T, j
t
N
T,k
t
N
T, j
. (2.20)
Then one evaluates w
N
_
t
N
T,k
_
by
w
N
_
t
N
T,k
_
= f
_
_
t
N
T,k
0
w
N
(t)dt +U
0
, t
N
T,k
_
. (2.21)
Finally, the numerical solution is determined by
u
N
_
t
N
T,k
_
=
_
t
N
T,k
0
w
N
(t)dt +U
0
. (2.22)
By (2.20), we could replace the integral involved in (2.21) and (2.22) by a linear
combination of w
N
_
t
N
T,k
_
, see pages 194195 of [25].
In our algorithm (2.18), we calculate U
_
t
N
T,k
_
directly. In particular, for strongly
nonlinear function f (z, t), it is easier to resolve (2.18) than (2.21). Next, as we know,
the Lagrange interpolation (2.20) is not stable for large N. However, we used the
shifted Legendre interpolation in this work, which is stable for large N. Furthermore,
in the estimates of numerical errors of our method, there exist certain additional
factors like N
r
, see Sections 35 of this paper. Therefore, our method might be
more stable and more accurate for large mode N. The numerical results presented in
Section 6 of this paper conrm the above assertion.
3 Error analysis of LegendreGauss collocation method
In this section, we analyze the convergence of scheme (2.12). In particular, we shall
prove the spectral accuracy of numerical solution u
N
(t). As usual, we shall rst
compare u
N
(t) with the interpolation I
T,N
U(t). For this purpose, let
G
N
T,1
(t) = I
T,N
d
dt
U(t)
d
dt
I
T,N
U(t).
Then we have from (2.11) that
d
dt
I
T,N
U
_
t
N
T,k
_
= f
_
U
_
t
N
T,k
_
, t
N
T,k
_
G
N
T,1
_
t
N
T,k
_
, 0 k N. (3.1)
Further, let E
N
(t) = u
N
(t) I
T,N
U(t). Subtracting (3.1) from (2.12) yields
d
dt
E
N
_
t
N
T,k
_
= G
N
T,1
_
t
N
T,k
_
+ G
N
T,2
_
t
N
T,k
_
, 0 k N,
E
N
(0) = U
0
I
T,N
U(0)
(3.2)
where
G
N
T,2
_
t
N
T,k
_
= f
_
u
N
_
t
N
T,k
_
, t
N
T,k
_
f
_
I
T,N
U
_
t
N
T,k
_
, t
N
T,k
_
.
We now multiply the rst formula of (3.2) by 2E
N
_
t
N
T,k
_
N
T,k
, and sum the resulting
equation for 0 k N. Then it follows that
2
_
E
N
,
d
dt
E
N
_
T,N
= A
N
T,1
+ A
N
T,2
(3.3)
where
A
N
T,1
= 2
_
G
N
T,1
, E
N
_
T,N
, A
N
T,2
= 2
_
G
N
T,2
, E
N
_
T,N
.
Obviously,
d
dt
E
N
(t) P
N
(0, T). Thus by (2.6),
2
_
E
N
,
d
dt
E
N
_
T,N
= 2
_
E
N
,
d
dt
E
N
_
T
=
_
E
N
(T)
_
2
(E
N
(0))
2
. (3.4)
Since G
N
T,1
(t) P
N
(0, T), we use (2.6) to obtain that for any > 0,
| A
N
T,1
| E
N
2
T,N
+
1
G
N
T,1
2
T,N
= E
N
2
T,N
+
1
G
N
T,1
2
T
.
Inserting the above and (3.4) into (3.3) gives that
(E
N
(T))
2
A
N
T,2
+E
N
2
T,N
+
1
G
N
T,1
2
T
+(E
N
(0))
2
. (3.5)
We next estimate G
N
T,1
T
. Let I
N
be the standard LegendreGauss interpolation
on the interval (1, 1). Denote by c a generic positive constant independent of T, N
and any function. According to (4.27) of [18] with = = = = 0, for any v
H
r
(1t
2
)
r
(1, 1) and integer r 0,
I
N
v v
2
L
2
(1,1)
cN
2r
_
1
1
_
1 t
2
_
r
_
d
r
dt
r
v(t)
_
2
dt.
Moreover, by (4.25) of [18] with = = 0, for any v H
r
(1t
2
)
r1
(1, 1) and integer
r 2,
_
_
_
_
d
dt
(I
N
v v)
_
_
_
_
2
L
2
(1,1)
cN
42r
_
1
1
_
1 t
2
_
r1
_
d
r
dt
r
v(t)
_
2
dt.
Accordingly,
I
T,N
v v
2
T
cN
2r
_
T
0
t
r
(T t)
r
_
d
r
dt
r
v(t)
_
2
dt, (3.6)
_
_
_
_
d
dt
(I
T,N
v v)
_
_
_
_
2
T
cN
42r
_
T
0
t
r1
(T t)
r1
_
d
r
dt
r
v(t)
_
2
dt. (3.7)
For simplicity of statements, we shall use the following notation
R
r
T,
(v) =
_
_
_
_
t
r+
2
(T t)
r+
2
d
r+2
v
dt
r+2
_
_
_
_
2
T
, = 1, 2.
Then, by (3.6) with U and r +1, instead of v and r, we have
_
_
_
_
I
T,N
d
dt
U
d
dt
U
_
_
_
_
2
T
cN
2r2
R
r
T,1
(U).
Moreover, by (3.7) with U and r +2, instead of v and r, we have
_
_
_
_
d
dt
(I
T,N
U U)
_
_
_
_
2
T
cN
2r
R
r
T,1
(U).
Therefore
_
_
G
N
T,1
_
_
2
T
2
_
_
_
_
d
dt
(I
T,N
U U)
_
_
_
_
2
T
+2
_
_
_
_
I
T,N
d
dt
U
d
dt
U
_
_
_
_
2
T
c
_
N
2r
+ N
2r2
_
R
r
T,1
(U) cN
2r
R
r
T,1
(U). (3.8)
On the other hand, for any v H
1
(0, T) (see Appendix of this paper),
max
t[0,T]
|v(t)|
2
2
T
v
2
T
+2T
_
_
_
_
dv
dt
_
_
_
_
2
T
. (3.9)
For simplicity, let
r
T,
(U) =
_
1
+ T
_
R
r
T,1
(U) + T
1
N
4
R
r
T,2
(U).
Then a combination of (3.6), (3.7) and (3.9), leads to
_
E
N
(0)
_
2
=|I
T,N
U(0)U
0
|
2
=|I
T,N
U(0)U(0)|
2
2
T
I
T,N
UU
2
T
+2T
_
_
_
_
d
dt
(I
T,N
UU)
_
_
_
_
2
T
cN
2r
r
T,
(U). (3.10)
Substituting (3.8) and (3.10) into (3.5), we observe that
_
E
N
(T)
_
2
A
N
T,2
+E
N
2
T,N
+cN
2r
r
T,
(U). (3.11)
So far, it remains to deal with A
N
T,2
. In the sequel, we shall deal with it for two
different cases.
Case I In this case, f (z, t) fullls the following condition that for any z
1
and z
2
,
| f (z
1
, t) f (z
2
, t)| |z
1
z
2
|, > 0. (3.12)
Consequently, we use (2.10) to deduce that
A
N
T,2
2G
N
T,2
T,N
E
N
T,N
2 E
N
2
T,N
2 E
N
2
T
. (3.13)
A combination of (2.10), (3.11) and (3.13) implies that for any > 0,
(E
N
(T))
2
(2 +)E
N
2
T
+cN
2r
r
T,
(U). (3.14)
Furthermore, for any t [0, T],
_
E
N
(t)
_
2
=
_
E
N
(T)
_
2
_
T
t
d
dy
(E
N
(y))
2
dy
_
E
N
(T)
_
2
+2E
N
T
_
_
_
_
d
dt
E
N
_
_
_
_
T
.
Integrating the above with respect to t, yields that
E
N
2
T
T
_
E
N
(T)
_
2
+2TE
N
T
_
_
_
_
d
dt
E
N
_
_
_
_
T
. (3.15)
Moreover, by (2.6), (3.2), (2.10) and (3.12),
_
_
_
_
d
dt
E
N
_
_
_
_
T
=
_
_
_
_
d
dt
E
N
_
_
_
_
T,N
G
N
T,1
T,N
+G
N
T,2
T,N
G
N
T,1
T
+ E
N
T,N
G
N
T,1
T
+ E
N
T
.
This with (3.15) implies that
_
E
N
(T)
_
2
1
T
(1 2 T T)E
N
2
T

1
G
N
T,1
2
T
. (3.16)
Let be sufciently small. Substituting (3.16) into (3.14) and using (3.8), we deduce
that if (3.12) holds with 4 T < 1, then
E
N
2
T

cT
1 4 T 2T
N
2r
r
T,
2
(U). (3.17)
The above with (3.14) leads to
_
E
N
(T)
_
2
c(1 2 T T)
1 4 T 2T
N
2r
r
T,
2
(U). (3.18)
As pointed out before, |U(T) I
T,N
U(T)| has the same upper-bound as (3.10). This
with (3.18) implies that for certain constant c
> 0,
|U(T) u
N
(T)|
2
c
N
2r
r
T,
(U). (3.19)
Similarly, a combination of (3.6) and (3.17) leads to
U u
N
2
T
c
TN
2r
r
T,
(U). (3.20)
Remark 3.1 We see from (3.19) and (3.20) that the errors |U(T) u
N
(T)| and U
u
N
T,N
decay rapidly as N and r increase. The convergence rate is O(N
r
). Thus, the
smoother the exact solution, the smaller the numerical errors. In other words, the
scheme (2.12) possesses the spectral accuracy.
Remark 3.2 In the norms involved in R
r
T,
(U), there exist the weights t
r+
(T
t)
r+
, = 1, 2. We nd from(3.19) and (3.20) that such weights weaken the condition
on the regularity of exact solution. More precisely, for any xed T, even if
d
r+2
U
dt
r+2
=
o
_
t
r+2
2
_
as t 0 and
d
r+2
U
dt
r+2
= o
_
(T t)
r+2
2
_
as t T, we still have the convergence
rate as
|U(T) u
N
(T)| = O(N
r
), U u
N
T,N
= O(N
r
). (3.21)
Accordingly, the scheme (2.12) is convergent for some weakly discontinuous function
U(t). It, in turn, means that f (z, t) could have certain singularity.
Remark 3.3 If
d
r+2
U
dt
r+2
L
(0, T), then we have

|U(T) u
N
(T)| c
1
2
T
r+
3
2
N
r
_
1
+ T + TN
4
_1
2
_
_
_
_
d
r+2
U
dt
r+2
_
_
_
_
L
(0,T)
(3.22)
and
U u
N
T
c
1
2
T
r+2
N
r
_
1
+ T + TN
4
_1
2
_
_
_
_
d
r+2
U
dt
r+2
_
_
_
_
L
(0,T)
. (3.23)
In particular, if
d
2s+1
U
dt
2s+1
L
(0, T) and T < 1, then we can take r = 2s 1 and N =

s 1 in (3.22) and (3.23), to reach that
|U(T) u
N
(T)| = O
_
T
2s+
1
2
s
2s+1
_
, U u
N
T,N
= O
_
T
2s+1
s
2s+1
_
. (3.24)
Case II In this case, f (z, t) satises the condition that for any z
1
and z
2
,
( f (z
1
, t) f (z
2
, t))(z
1
z
2
) (z
1
z
2
)
2
, > 0. (3.25)
As we know, the ordinary differential equations with such one-sided Lipschitz
condition appear frequently in the control theory, which express a strong set-valued
dissipativity, cf. [10]. On the other hand, after spectral approximation to some partial
differential equations, such as parabolic equations, we oftentimes obtain certain
systems with the unknown time-dependent coefcients, which possess the property
like (3.25).
By (3.25), we have A
N
T,2
2 E
N
2
T,N
. Inserting this result into (3.11) and
taking = , we obtain
_
E
N
(T)
_
2
+ E
N
2
T,N
cN
2r
r
T,
(U). (3.26)
Moreover, |U(T) I
T,N
U(T)| has the same upper-bound as (3.10). This fact with
(3.26) gives that
|U(T) u
N
(T)|
2
cN
2r
r
T,
(U) (3.27)
and
U u
N
2
T,N
= I
T,N
U u
N
2
T,N
= E
N
2
T,N

c
N
2r
r
T,
(U). (3.28)
Remark 3.4 The estimates (3.27) and (3.28) show again the spectral accuracy of
scheme (2.12). For xed T, even if the exact solution has the singularity as described
in Remark 3.2, we still have the convergence rate O(N
r
).
Remark 3.5 If
d
r+2
U
dt
r+2
L
(0, T), then we have from (3.27) and (3.28) that

|U(T) u
N
(T)| c
_
1
+ T + TN
4
_1
2
T
r+
3
2
N
r
_
_
_
_
d
r+2
U
dt
r+2
_
_
_
_
L
(0,T)
(3.29)
and
U u
N
T,N
c
1
2
_
1
+ T + TN
4
_1
2
T
r+
3
2
N
r
_
_
_
_
d
r+2
U
dt
r+2
_
_
_
_
L
(0,T)
. (3.30)
In particular, if
d
2s+1
U
dt
2s+1
L
(0, T) and T < 1, then we may take r = 2s 1 and N =

s 1 in (3.29) and (3.30), to reach that
|U(T) u
N
(T)| = O
_
T
2s+
1
2
s
2s+1
_
, U u
N
T,N
= O
_
T
2s+
1
2
s
2s+1
_
. (3.31)
4 LegendreGauss collocation method with domain decomposition
In the last section, we investigated the LegendreGauss collocation method. The
numerical errors decay very rapidly as N and r increase. However, in actual com-
putation, it is not convenient to resolve the discrete system (2.18) with very large
mode N. On the other hand, for ensuring the convergence of scheme (2.12), the
length of T is limited sometimes, such as the condition (3.12) with 4 T < 1.
To remedy these deciencies, we may use the suggested algorithm with moderate
mode N, coupled with domain decomposition. It can be regarded as a special implicit
RungeKutta method. This technique simplies computation, saves work, and still
keeps the spectral accuracy.
Let M be any positive integer and =
T
M
. Replacing T by in (2.12) and
all formulas in Section 2, we can derive an alternative algorithm, with which we
obtain the numerical solution u
N
1
(t) for 0 t . In particular, u
N
1
(0) = U
0
. Next,
we evaluate the numerical solutions u
N
m
(t) P
N+1
(0, ), 2 m M, such that
d
dt
u
N
m
_
t
N
,k
_
= f
_
u
N
m
_
t
N
,k
_
, m +t
N
,k
_
, 0 k N, 2 m M,
u
N
m
(0) = u
N
m1
(), 2 m M.
(4.1)
Finally, the global numerical solution of (2.11) is given by
u
N
(t +m ) = u
N
m
(t), 0 t , 1 m M. (4.2)
The above algorithm is of the BN-stability in the sense of Burrage and Butcher
[5], see Appendix of this paper. BN-stability means that the scheme retains the
dissipativity of nonlinear problems. In other words, the propagated error arising from
the starting error can be controlled effectively for long-time calculation.
We now analyze the numerical errors. To do this, let U
m
(t) = U(t +m ) for
0 t . Then
d
dt
U
m
(t) = f (U
m
(t), m +t), 0 < t , 1 m M,
U
m
(0) = U
m1
(), 2 m M,
U
1
(0) = U
0
.
(4.3)
Therefore, u
N
m
(t) given by (4.1) is an approximation to U
m
(t), with the approximate
initial data u
N
m
(0) = u
N
m1
().
As before, we shall analyze the numerical error for two different cases.
Case I Let (3.12) hold and 4 < 1. According to (3.19) and (3.20), we
observe that
|U() u
N
()|
2
= |U
1
() u
N
1
()|
2
c
N
2r
r
,
(U
1
),
U u
N
= U
1
u
N
1

2
N
2r
r
,
(U
1
). (4.4)
Next, let E
N
m
(t) = I
,N
U
m
(t) u
N
m
(t). Then
|U(2) u
N
(2)|
2
= |U
2
() u
N
2
()|
2
2|U
2
() I
,N
U
2
()|
2
+2
_
E
N
2
()
_
2
.
(4.5)
Using (3.5), (3.13), (2.10) and (3.8) successively, we deduce that
_
E
N
2
()
_
2
(2 +)||E
N
2
||
2
+
_
E
N
2
(0)
_
2
+c
1
N
2r
R
r
,1
(U
2
).
Due to (3.16) and (3.8),
||E
N
2
||
2

1 2
_
E
N
2
()
_
2
+
c
(1 2 )
N
2r
R
r
,1
(U
2
).
A combination of the previous two estimates implies
_
E
N
2
()
_
2
c
_
E
N
2
(0)
_
2
+c
1
N
2r
R
r
,1
(U
2
)
c
|U
2
(0) I
,N
U
2
(0)|
2
+c
|U
1
() u
N
1
()|
2
+c
1
N
2r
R
r
,1
(U
2
).
With the above inequality, (3.19) and an estimate like (3.10), we have from (4.5) that
|U(2) u
N
(2)|
2
c
N
2r
(
r
,
(U
1
) +
r
,
(U
2
)).
Repeating the above process, we conclude that for any 1 m M,
|U(m)u
N
(m)|
2
c
N
2r
_
1
+
_
m
j=1
_
_
_
_
(t j +)
r+1
2
( j t)
r+1
2
d
r+2
U
dt
r+2
_
_
_
_
2
L
2
( j, j)
+
1
N
4
m
j=1
_
_
_
_
(tj +)
r+2
2
( j t)
r+2
2
d
r+2
U
dt
r+2
_
_
_
_
2
L
2
( j, j)
, (4.6)
Similarly,
Uu
N
2
L
2
(0,m)
c
N
2r
_
1
+
_
m
j=1
(mj+1)
_
_
_
_
(tj +)
r+1
2
( j t)
r+1
2
d
r+2
U
dt
r+2
_
_
_
_
2
L
2
( j, j)
+ N
4
m
j=1
(mj+1)
_
_
_
_
(tj +)
r+2
2
( j t)
r+2
2
d
r+2
U
dt
r+2
_
_
_
_
2
L
2
( j, j)
.
(4.7)
Remark 4.1 The estimates (4.6) and (4.7) indicate the spectral accuracy of scheme
(4.1). Moreover, for any xed , even if
d
r+2
U
dt
r+2
= o((m t)
r+2
2
) as t m, we still
have the convergence rate O(N
r
).
Remark 4.2 If
d
r+2
U
dt
r+2
L
(0, m), then for any 1 m M,

|U(m) u
N
(m)| c
m
1
2
r+
3
2
N
r
_
_
_
_
d
r+2
U
dt
r+2
_
_
_
_
L
(0,m)
. (4.8)
U u
N
L
2
(0,m)
c
m
r+2
N
r
_
_
_
_
d
r+2
U
dt
r+2
_
_
_
_
L
(0,m)
. (4.9)
In particular, if
d
2s+1
U
dt
2s+1
L
(0, T) and N = s 1, then for all 1 m M,

|U(m) u
N
(m)| = O
_
2s
s
2s+1
_
. (4.10)
U u
N
L
2
(0,T)
= TO
_
2s
s
2s+1
_
. (4.11)
As we know, if U C
2s+1
[0, T], then the numerical error of s-stage implicit
LegendreGauss-type RungeKutta method has the accuracy O(
2s
), as 0.
However, for xed number of stage, the convergence rate is always limited to
2s
, no
matter how smooth the exact solution is. Conversely, our method not only possesses
the same convergence rate
2s
as 0, but also keeps the spectral accuracy.
Moreover, the factor s
2s+1
in (4.10) and (4.11) also decreases the numerical error.
Case II Let the condition (3.25) hold. We have from (3.27) that
|U() u
N
()|
2
= |U
1
() u
N
1
()|
2
cN
2r
r
,
(U).
Following the same line as in the derivations of (3.5), (3.10) and (3.27), and using
(3.8) with the parameter , we obtain
|U(2)u
N
(2)|
2
=|U
2
()u
N
2
()|
2
2|U
2
()I
,N
U
2
()|
2
+2|I
,N
U
2
()u
N
2
()|
2
2|U
2
() I
,N
U
2
()|
2
+2|I
,N
U
2
(0) u
N
2
(0)|
2
+c
1
N
2r
R
r
,1
(U
2
)
2|U
2
() I
,N
U
2
()|
2
+4|U
2
(0) I
,N
U
2
(0)|
2
+4|U
1
() u
N
1
()|
2
+ c
1
N
2r
R
r
,1
(U
2
)
cN
2r
_
r
,
(U
1
) +
r
,
(U
2
)
_
.
Repeating the above process, we conclude that for any 1 m M,
|U(m) u
N
(m)|
2
cN
2r
_
1
+
_
m
j=1
_
_
_
_
(t j +)
r+1
2
( j t)
r+1
2
d
r+2
U
dt
r+2
_
_
_
_
2
L
2
( j, j)
+
1
N
4
m
j=1
_
_
_
_
(tj +)
r+2
2
( j t)
r+2
2
d
r+2
U
dt
r+2
_
_
_
_
2
L
2
( j, j)
. (4.12)
Furthermore, let
v
,N,m
=
j=1
N
k=0
v
2
_
j +t
N
,k
_
N
,k
1
2
.
In the same manner as before, we can prove that
U u
N
2
,N,m
N
2r
_
1
+
_
m
j=1
(m j +1)
_
_
_
_
(t j +)
r+1
2
( j t)
r+1
2
d
r+2
U
dt
r+2
_
_
_
_
2
L
2
( j, j)
+
1
N
4
m
j=1
(mj+1)
_
_
_
_
(tj +)
r+2
2
( j t)
r+2
2
d
r+2
U
dt
r+2
_
_
_
_
2
L
2
( j, j)
.
(4.13)
Remark 4.3 The estimates (4.12) and (4.13) demonstrate again the spectral accuracy
of scheme (4.1). For any xed , even if U has the singularity as discussed in Remark
4.1, we still have the convergence rate O(N
r
).
Remark 4.4 If
d
r+2
U
dt
r+2
L
(0, m), then for any 0 m M,

|U(m) u
N
(m)| c
_
1 +
1
_1
2
m
1
2
r+
3
2
N
r
_
_
_
_
d
r+2
U
dt
r+2
_
_
_
_
L
(0,m)
. (4.14)
U u
N
,N,m
c
_
1 +
1
_
m
r+
3
2
N
r
_
_
_
_
d
r+2
U
dt
r+2
_
_
_
_
L
(0,m)
. (4.15)
In particular, if
d
2s+1
U
dt
2s+1
L

|U(m) u
N
(m)| = T
1
2
O
_
2s
s
2s+1
_
, U u
N
,N,m
= TO
_
2s
1
2
s
2s+1
_
.
(4.16)
5 Systems of differential equations
The proposed algorithms are also applicable to systems of ordinary differential
equations. Let
U(t) =
_
U
(1)
(t), U
(2)
(t), , U
(n)
(t)
_
T
,
f (
U(t), t) =
_
f
(1)
_
U(t), t
_
, f
(2)
_
U(t), t
_
, , f
(n)
_
U(t), t
__
T
.
We consider the model system
d
dt
U(t) =

f
_
U(t), t
_
, 0 < t T,
U(0) =

U
0
.
(5.1)
The LegendreGauss collocation method for (5.1) is to approximate

U(t) by
u
N
(t) (P
N+1
(0, T))
n
, such that
d
dt
u
N
_
t
N
T,k
_
=

f
_
u
N
_
t
N
T,k
_
, t
N
T,k
_
, 0 k N,
u
N
(0) =

U
0
.
(5.2)
We can derive a matrix form of (5.2), which is similar to (2.18).
Let |
V|
E
be the Euclidean norm of

V. If
|
f
_
Z
1
, t
_
f
_
Z
2
, t
_
|
E
|
Z
1

Z
2
|
E
, > 0, 4 T < 1, (5.3)
then we have the error estimates similar to (3.19)(3.24).
On the other hand, if
_
f
_
Z
1
, t
_
f
_
Z
2
, t
__
Z
1

Z
2
_

Z
1

Z
2
2
E
, > 0, (5.4)
then we can derive the error estimates similar to (3.27)(3.31).
The second LegendreGauss collocation method is also available for (5.1). We use
the same notations as before. The corresponding process is to determine
u
N
m
(t) such
that
d
dt
u
N
m
_
t
N
,k
_
=

f
_
u
N
m
_
t
N
,k
_
, m +t
N
,k
_
, 0 k N, 1 m M,
u
N
m
(0) =

u
N
m1
(), 2 m M,
u
N
1
(0) =

U
0
.
(5.5)
The global numerical solution of (5.1) is given by
u
N
(t +m ) =

u
N
m
(t), 0 t , 1 m M. (5.6)
If

f
_
Z , t
_
fullls the condition (5.3) or the condition (5.4), then we can derive the
error estimates like (4.6)(4.11) or (4.12)(4.16), respectively. Moreover, the scheme
(5.5) is also BN-stable.
For example, we consider the following Hamiltonian system,
d
dt
P(t) = 4Q(t), 0 < t T,
d
dt
Q(t) = P(t), 0 < t T,
P(0) = P
0
,
Q(0) = Q
0
.
(5.7)
The corresponding Hamiltonian function is H(P, Q) =
1
2
P
2
+2Q
2
. This system
possesses the symplecticity, namely,
P
2
(t) +4Q
2
(t) = P
2
0
+4Q
2
0
. (5.8)
Thus, all points (P(t), Q(t)) always lie on the same elliptic orbit.
The collocation method for (5.7) is to seek p
N
(t) P
N+1
(0, T) and q
N
(t)
P
N+1
(0, T) such that
d
dt
p
N
_
t
N
T,k
_
= 4q
N
_
t
N
T,k
_
, 0 k N,
d
dt
q
N
_
t
N
T,k
_
= p
N
_
t
N
T,k
_
, 0 k N,
p
N
(0) = P
0
,
q
N
(0) = Q
0
.
(5.9)
We can derive its matrix form similar to (2.18). We now multiply the rst equation
of (5.9) by p
N
_
t
N
T,k
_
N
T,k
and the second one by 4q
N
_
t
N
T,k
_
N
T,k
, sum the resulting
equations for 0 k N, and put them together. Then we use (2.6) to obtain
_
d
dt
p
N
, p
N
_
T
+4
_
d
dt
q
N
, q
N
_
T
=
_
d
dt
p
N
, p
N
_
T,N
+4
_
d
dt
q
N
, q
N
_
T,N
= 0.
Therefore
_
p
N
(T)
_
2
+4
_
q
N
(T)
_
2
= P
2
0
+4Q
2
0
(5.10)
which simulates the property (5.8) well.
We now analyze the numerical errors. Let I
T,N
be the same interpolation as in
Section 2, and
p
G
N
T
(t) = I
T,N
d
dt
P(t)
d
dt
I
T,N
P(t),
q
G
N
T
(t) = I
T,N
d
dt
Q(t)
d
dt
I
T,N
Q(t).
Then, we have from (5.7) that
d
dt
I
T,N
P
_
t
N
T,k
_
= 4Q
_
t
N
T,k
_
p
G
N
T
_
t
N
T,k
_
, 0 k N,
d
dt
I
T,N
Q
_
t
N
T,k
_
= P
_
t
N
T,k
_
q
G
N
T
_
t
N
T,k
_
, 0 k N.
(5.11)
Further, let E
N
p
(t) = p
N
(t) I
T,N
P(t) and E
N
q
(t) = q
N
(t) I
T,N
Q(t). Subtracting
(5.11) from (5.9) yields
d
dt
E
N
p
_
t
N
T,k
_
= 4E
N
q
_
t
N
T,k
_
+
p
G
N
T
_
t
N
T,k
_
, 0 k N,
d
dt
E
N
q
_
t
N
T,k
_
= E
N
p
_
t
N
T,k
_
+
q
G
N
T
_
t
N
T,k
_
, 0 k N,
E
N
p
(0) = P
0
I
T,N
P(0),
E
N
q
(0) = Q
0
I
T,N
Q(0).
(5.12)
We multiply the rst equation and the second equation of (5.12) by 2E
N
p
_
t
N
T,k
_
N
T,k
and 8E
N
q
_
t
N
T,k
_
N
T,k
, respectively, sum the resulting equations for 0 k N, and put
them together. Then it follows that
2
_
E
N
p
,
d
dt
E
N
p
_
T,N
+8
_
E
N
q
,
d
dt
E
N
q
_
T,N
= 2
_
p
G
N
T
, E
N
p
_
T,N
+8
_
q
G
N
T
, E
N
q
_
T,N
.
(5.13)
Moreover, by virtue of (2.6) and (2.10), we have
2
_
E
N
z
,
d
dt
E
N
z
_
T,N
=2
_
E
N
z
,
d
dt
E
N
z
_
T
=
_
E
N
z
(T)
_
2
_
E
N
z
(0)
_
2
, z = p, q,
(5.14)
2
_
z
G
N
T
, E
N
z
_
T,N
E
N
z

2
T
+
1
z
G
N
T
2
T
, z = p, q. (5.15)
Substituting (5.14) and (5.15) into (5.13), we reach that
_
E
N
p
(T)
_
2
+4
_
E
N
q
(T)
_
2
E
N
p
2
T
+4E
N
q

2
T
+
1
p
G
N
T
2
T
+
4
q
G
N
T
2
T
+
_
E
N
p
(0)
_
2
+4
_
E
N
q
(0)
_
2
. (5.16)
We can derive the upper-bounds of
z
G
N
T
T
and
_
E
N
z
(0)
_
2
, z = p, q, in the same
manner as in the derivations of (3.8) and (3.10). Therefore
_
E
N
p
(T)
_
2
+4
_
E
N
q
(T)
_
2
_
_
_E
N
p
_
_
_
2
T
4
_
_
_E
N
q
_
_
_
2
T
cN
2r

W=P,Q
__
1
+ T
_
R
r
T,1
(W) + T
1
N
4
R
r
T,2
(W)
_
. (5.17)
Furthermore, with the aid of (2.10) and (5.12), we can follow the same line as in the
derivation of (3.16) to deduce that
E
N
p
2
T
T
_
E
N
p
(T)
_
2
+2TE
N
p
T
_
_
_
_
d
dt
E
N
p
_
_
_
_
T,N
T
_
E
N
p
(T)
_
2
+2TE
N
p
T
_
4E
N
q

T,N
+
p
G
N
T
T,N
_
T
_
E
N
p
(T)
_
2
+2TE
N
p
T
_
4E
N
q

T
+
p
G
N
T
T
_
T
_
E
N
p
(T)
_
2
+ T(1 +)E
N
p
2
T
+16TE
N
q

2
T
+
T

p
G
N
T
2
T
.
Therefore,
_
E
N
p
(T)
_
2
1
T
(1 T T)E
N
p
2
T
16E
N
q

2
T

1
p
G
N
T
2
T
.
Similarly,
(E
N
q
(T))
2
1
T
(1 T T)E
N
q

2
T
E
N
p
2
T

1
q
G
N
T
2
T
.
If 5T < 1, then we follow the same line as in the derivations of (3.19) and (3.20)
to reach that
| P(T) p
N
(T)|
2
+4|Q(T) q
N
(T)|
2
c
N
2r

W=P,Q
_
(1+T)R
r
T,1
(W) + T
1
N
4
R
r
T,2
(W)
_
, (5.18)
P p
N
2
T
+4Qq
N
2
c
N
2r

W=P,Q
_
T(1 + T)R
r
T,1
(W) + N
4
R
r
T,2
(W)
_
.
(5.19)
The second collocation method for (5.7) is to seek p
N
m
(t) P
N+1
(0, ) and q
N
m
(t)
P
N+1
(0, ), such that
d
dt
p
N
m
_
t
N
,k
_
= 4q
N
m
_
t
N
,k
_
, 0 k N, 1 m M,
d
dt
q
N
m
_
t
N
,k
_
= p
N
m
_
t
N
,k
_
, 0 k N, , 1 m M,
p
N
m
(0) = p
N
m1
(), 2 m M,
q
N
m
(0) = q
N
m1
(), 2 m M,
p
N
1
(0) = P
0
,
q
N
1
(0) = Q
0
.
(5.20)
The global numerical solution of (5.7) is given by
p
N
(t +m ) = p
N
m
(t), q
N
(t +m ) = q
N
m
(t), 0 t , 1 m M.
It can be checked that
_
p
N
(m)
_
2
+ 4
_
q
N
(m)
_
2
= P
2
0
+ 4Q
2
0
, 0 m M. (5.21)
Therefore, the points
_
p
N
(m), q
N
(m)
_
always lie on the exact orbit. In other words,
the numerical result keeps the exact orbit. Thus the scheme (5.20) is a symplectic
RungeKutta scheme (cf. [12]).
Like (4.6) and (4.7), we have that for any 1 m M,
| P(m) p
N
(m)|
2
+4|Q(m) q
N
(m)|
2
c
N
2r

W=P,Q
(1 +)
m
j=1
_
_
_
_
(t j +)
r+1
2
( j t)
r+1
2
d
r+2
W
dt
r+2
_
_
_
_
2
L
2
( j, j)
+
1
N
4
m
j=1
_
_
_
_
(t j +)
r+2
2
( j t)
r+2
2
d
r+2
W
dt
r+2
_
_
_
_
2
L
2
( j, j)
,
(5.22)
P p
N
2
L
2
(0,m)
+4Qq
N
2
L
2
(0,m)
c
N
2r

W=P,Q
(1+)
m
j=1
(mj+1)
_
_
_
_
(tj +)
r+1
2
( j t)
r+1
2
d
r+2
W
dt
r+2
_
_
_
_
2
L
2
( j, j)
+N
4
m
j=1
(mj+1)
_
_
_
_
(tj +)
r+2
2
( j t)
r+2
2
d
r+2
W
dt
r+2
_
_
_
_
2
L
2
( j, j)
.
(5.23)
In particular, if
d
2s+1
P
dt
2s+1
,
d
2s+1
Q
dt
2s+1
L

| P(m) p
N
(m)| +|Q(m) q
N
(m)| = O
_
2s
s
2s+1
_
. (5.24)
P p
N
L
2
(0,T)
+Qq
N
L
2
(0,T)
= TO
_
2s
s
2s+1
_
. (5.25)
6 Numerical results
In this section, we present some numerical results. The algorithms are implemented
by using MATLAB, and all calculations are carried out with a computer of CPU
P4 3.0G, Mother Board I865PE/FSB 800/Dual Channel DDR400.
6.1 LegendreGauss collocation methods
Case I We rst use scheme (2.18) to solve problem (2.11) with the condition (3.12).
We take the test function
U(t) = (t +1)
3
2
+5 sin 2t
which oscillates and grows to innity as t . The corresponding right term at
(2.11) is
f (U(t), t)=exp
_
1
5
sin (U(t))
_
+
3
2
(t+1)
1
2
+10 cos 2texp
_
1
5
sin((t+1)
3
2
+5 sin 2t)
_
.
Clearly, it fullls the condition (3.12) with =
1
5
e
1
5
. Therefore, as predicted by (3.19)
and (3.20), for any T <
1
4
=
5
4
e
1
5
, the point-wise absolute errors |U(T) u
N
(T)|
and the global absolute errors U u
N
T
decay exponentially as N .
For description of numerical errors, we introduce the notations
E
N
T, pa
= |U(T) u
N
(T)|, E
N
T,aa
= U u
N
T,N
.
In Fig. 1, we plot the point-wise absolute errors log
10
of E
N
1, pa
and the global
absolute errors log
10
of E
N
1,aa
with various values of N. They indicate that for T <
1
4
,
the point-wise absolute errors and the global absolute errors decay exponentially as
N increases. This coincides very well with theoretical analysis.
In Fig. 2, we compare the LegendreGauss collocation method (2.18) with the
usual s-stage implicit RungeKutta method. We nd that for large N, the numerical
results of our new collocation method are more accurate than those of the corre-
sponding usual s-stage implicit RungeKutta method. Moreover, we observe that
the numerical errors of our new collocation method decay faster as N increases and
T decreases.
Fig. 1 Point-wise and global
absolute errors of scheme
(2.18)
2 4 6 8 10 12
15
10
5
0
N
Pointwise absolute errors log
10
E
N
1,pa
Global absolute errors log
10
E
N
1,aa
Fig. 2 Point-wise absolute
errors of scheme (2.18) vs. the
s-stage implicit RungeKutta
method
2 4 6 8 10 12
16
14
12
10
8
6
4
2
N(=s1)
l
o
g
1
0
E
N T
,
p
a
T=1, RungeKutta method
T=1, Scheme (2.18)
T=0.5, RungeKutta method
T=0.5, Scheme (2.18)
T=0.2, Scheme (2.18)
In Fig. 3, we compare the LegendreGauss collocation method (4.1) with the usual
s-stage implicit RungeKutta method, with xed N = s 1 = 13 and = 1 at each
step. We nd again that our new method provides more accurate numerical results.
In other words, its numerical accuracy is 100 time of that of the usual s-stage implicit
RungeKutta method approximately.
Case II We next use scheme (2.18) to solve problem(2.11) with the condition (3.25).
We take the same test function as in Case I, but the corresponding right term at
(2.11) is
f (U(t), t) = U
3
(t) U(t) +
3
2
(t +1)
1
2
+10 cos 2t +
_
(t +1)
3
2
+5 sin 2t
_
3
+(t +1)
3
2
+5 sin 2t.
method
0 200 400 600 800 1000
15
14
13
12
11
10
9
8
7
t
l
o
g
1
0
|
U
(
t
)
u
N
(
t
)
|
T=1, N=13, Scheme (4.1)
T=1, s=14, RungeKutta method
Fig. 4 Point-wise and global
absolute errors of scheme
(2.18)
2 4 6 8 10 12
14
12
10
8
6
4
2
0
N
Pointwise absolute errors log
10
E
N
1,pa
Global absolute errors log
10
E
N
1,aa
Obviously, it fullls the condition (3.25) with = 1. Therefore, as predicted by
(3.27) and (3.28), the point-wise absolute errors |U(T) u
N
(T)| and the global
absolute errors U u
N
T,N
decay exponentially as N .
In Fig. 4, we plot the point-wise absolute errors log
10
of E
N
1, pa
and the global
absolute errors log
10
of E
N
1,aa
with various values of N. They indicate that the
point-wise absolute errors and the global absolute errors decay exponentially as N
increases. They coincide very well with theoretical analysis.
In Fig. 5, we compare the LegendreGauss collocation method (2.18) with the
usual s-stage implicit RungeKutta method as in [6, 12, 25, 28]. We nd that for the
same mesh size T = 0.2, 0.5, 1, and the same number of interpolation nodes, i.e.,
N = s 1, the numerical results of our new method are more accurate than those of
the corresponding usual implicit RungeKutta method, in particular, for large T and
method
2 4 6 8 10 12
16
14
12
10
8
6
4
2
0
2
N(=s1)
l
o
g
1
0
E
N T
,
p
a
T=1, Scheme (2.18)
T=0.5, Scheme (2.18)
T=0.2, Scheme (2.18)
T=1, RungeKutta method
method
0 200 400 600 800 1000
13
12
11
10
9
8
7
6
5
4
3
l
o
g
1
0
|
U
(
t
)
u
N
(
t
)
|
N=13, =1, Scheme (4.1)
s=14, =1, RungeKutta method
t
N. Moreover, we observe that the numerical errors of our method decay faster as N
increases and T decreases.
In Fig. 6, we compare the scheme (4.1) with the usual s-stage implicit RungeKutta
method, with xed node number N = s 1 = 13 and mesh size = 1 at each step.
We nd that our new method provides more accurate numerical results, especially
for large N.
6.2 Systems of differential equations
We solve the Hamiltonian system (5.7) by using algorithm (5.20). We take M = 7
10
8
, N = 10 and = 0.15. Thus, the convergence condition 5 < 1 is fullled and the
nal interpolation node is t = 1.05 10
8
. The CPU elapsed time of computation is
8.25 10
4
s. In Fig. 7, we plot the numerical orbit ( p
N
(t), q
N
(t)) for t 1.05 10
8
,
Fig. 7 Numerical orbit
( p
N
(t), q
N
(t)) of scheme (5.20)
1.5 1 0.5 0 0.5 1 1.5
1
0.8
0.6
0.4
0.2
0
0.2
0.4
0.6
0.8
1
p
N
(t)
q
N
(
t
)
errors of scheme (5.20)
0 2 4 6 8 10 12
x 10
7
0
0.2
0.4
0.6
0.8
1
1.2
1.4
x 10
6
t
E
N
(
t
)
which is virtually indistinguishable with the exact orbit of movement governed by the
Hamiltonian system (5.7). In Fig. 8, we plot the point-wise absolute errors E
N
(t) =
(( p
N
(t) P(t))
2
+(q
N
(t) Q(t))
2
)
1
2
, which grow slowly. Namely, the errors at t =
10
8
are of the order 10
6
.
We now compare our methods with the usual s-stage implicit RungeKutta
method. We take s = 11 and = 0.15. We use 7 10
8
steps to reach the endpoint t =
1.05 10
8
. The corresponding CPU elapsed time is about 5.69 10
4
s. Its numerical
orbit is also nearly the same as in Fig. 7. But the point-wise absolute errors E
N
(t)
are much bigger than those of our method. In fact, we see from Figs. 8 and 9 that
for the same interpolation nodes and the same mesh size , our method costs 1.45
times of computational time of the corresponding implicit RungeKutta method, but
its accuracy is about 200 time of the usual s-stage implicit RungeKutta method.
errors of the s-stage implicit
RungeKutta method
0 2 4 6 8 10 12
x 10
7
0
0.5
1
1.5
2
2.5
3
x 10
4
t
E
N
(
t
)
errors of scheme (5.20)
0 2 4 6 8 10 12
x 10
7
0
1
2
3
4
5
6
7
x 10
8
t
E
N
(
t
)
It is pointed out that, in actual computation, even for 5 1, the numerical
solutions of scheme (5.20) match the exact solutions very well. For instance, we
take M = 1.05 10
8
, N = 10 and = 1. Thus, the nal interpolation node is t =
1.05 10
8
. The CPU elapsed time of computation is 1.24 10
4
s, which is 0.22 times
of that of the usual implicit RungeKutta method with much smaller = 0.15, while
the point-wise absolute errors E
N
(t) are of the order 10
8
and so much less than
those of the usual implicit RungeKutta method with = 0.15, which are of the
order 10
4
, see Figs. 9 and 10. This fact indicates that the condition 5 < 1 is only
a sufcient condition ensuring the convergence, and that for long-time calculation,
our new method saves a lot of work and provides much more accurate numerical
results.
( p
N
(t), q
N
(t)) of (6.1)
1.5 1 0.5 0 0.5 1 1.5
0.8
0.6
0.4
0.2
0
0.2
0.4
0.6
0.8
p
N
(t)
q
N
(
t
)
To illustrate the efciency of our new method for nonlinear Hamiltonian systems,
we consider two examples. The rst system is as follows,
d
dt
P(t) = Q(t),
d
dt
Q(t) = P(t) P
3
(t),
(6.1)
with the exact solutions
1
: P(t) =
2sech(t), Q(t) =
2sech(t) tanh(t), < t < ,

and
2
: P(t) =
2sech(t), Q(t) =
2sech(t) tanh(t), < t < .

We use scheme (5.5) to solve (6.1) numerically, with = 0.1, M = 10
4
and
N = 5. In Fig. 11, we plot the numerical orbit
_
p
N
(t), q
N
(t)
_
, which is virtually
indistinguishable with the exact orbit of movement governed by the system (6.1).
The second system is
d
dt
P(t) = Q(t)
8
3
Q
3
(t),
d
dt
Q(t) = P(t).
(6.2)
We use the scheme (5.5) to solve (6.2), with = 0.1, M = 10
4
, N = 10, and the
initial data as
P(t
0
) =
1
2
cos(2t
0
), Q(t
0
) =
1
4
sin(2t
0
), 0 t
0
< .
(6.3)
( p
N
(t), q
N
(t)) of (6.2)
0.8 0.6 0.4 0.2 0 0.2 0.4 0.6 0.8
1
0.8
0.6
0.4
0.2
0
0.2
0.4
0.6
0.8
1
p
N
(t)
q
N
(
t
)
In Fig. 12, we plot the numerical orbit ( p
N
(t), q
N
(t)) with various initial data t
0

[0, ). Note that the orbits of exact solutions are periodic and disconnected from
each other. Clearly, the numerical results coincide with this property very well.
7 Concluding discussions
In this paper, we proposed two numerical integration processes for ordinary differen-
tial equations. The rst is the LegendreGauss collocation method. The second is the
LegendreGauss collocation method with domain decomposition. These approaches
have several fascinating merits.
The new LegendreGauss collocation method is easy to be implemented for

nonlinear problems, and possesses the spectral accuracy. Thereby, the smoother
the exact solution, the more accurate the numerical results. However, the existing
numerical methods for ordinary differential equations do not possess such
property.
By using the LegendreGauss collocation method with domain decomposition,

we can use moderate mode N to evaluate the numerical solution on subintervals,
step by step. This simplies actual computation and saves work. For any xed
mode N, the numerical solution has the same convergence rate as the usual
implicit LegendreGauss-type RungeKutta method. For any xed step size
in time, the numerical error decays very rapidly as N increases. In particular,
it decays exponentially as the regularity of exact solution raises. The reason
of this phenomena might be that there exists the factor s
2s+1
in the error
estimations of our new method, see (5.24) and (5.25). Whereas there is no
such factor in the error estimations of the corresponding usual s-stage implicit
RungeKutta method. In fact, in the derivation of algorithm of our method, we
benet from the orthogonality of Legendre polynomials, while in the derivation
of algorithm of the usual s-stage implicit RungeKutta method, one used the
Lagrange interpolation on the LegendreGauss interpolation nodes, which is not
stable for large s.
According to the recent results on the Jacobi interpolation, the numerical errors
of our methods depend only on the semi-norms of exact solutions in certain
Jacobi weighted Sobolev spaces. This ensures the high accuracy, even if the exact
solutions are singular in some sense. Furthermore, if the solutions are singular at
certain points, then we may design convergent collocation methods with non-
uniform partition in time, possessing those singular points as endpoints of some
subintervals.
The numerical results demonstrated the spectral accuracy of proposed algorithms
and coincided with the theoretical analysis very well. Although we only considered
several model problems in this paper, the suggested methods are also applicable
to many other problems, such as singular problems and nonlinear evolutionary
partial differential equations. The techniques used in this paper provide a simple
and powerful tool, not only for the numerical analysis of the implicit RungeKutta
methods, but also for other related methods. It is noted that we may also use the
LaguerreGauss and LaguerreGaussRadau interpolations to design the related
algorithms for the whole interval 0 t < , see [19, 20].
Appendix
Existence and Uniqueness of Solution of (2.12) with Condition (3.12). We consider
the following iteration process
d
dt
u
N,m
_
t
N
T,k
_
= f
_
u
N,m1
_
t
N
T,k
_
, t
N
T,k
_
, 0 k N, m 1,
u
N,m
(0) = U
0
, m 0.
(A.1)
Let u
N,m
(t) = u
N,m
(t) u
N,m1
(t). Then we have from (A.1) that
d
dt
u
N,m
_
t
N
T,k
_
= f
_
u
N,m1
_
t
N
T,k
_
, t
N
T,k
_
f
_
u
N,m2
_
t
N
T,k
_
, t
N
T,k
_
, 0kN, m1.
(A.2)
In addition, u
N,m
(0) = 0. Obviously,
|u
N,m
(T)|
2
= 2
_
u
N,m
,
d
dt
u
N,m
_
T
2u
N,m
T
_
_
_
_
d
dt
u
N,m
_
_
_
_
T
. (A.3)
Moveover, a combination of (A.2), (2.10) and (3.12) leads to that
_
_
_
_
d
dt
u
N,m
_
_
_
_
T
=
_
_
_
_
d
dt
u
N,m
_
_
_
_
T,N
u
N,m1
T,N
u
N,m1
T
.
Therefore (A.3) reads
|u
N,m
(T)|
2
2 u
N,m
T
u
N,m1
T
. (A.4)
On the other hand, like (3.15), we have that
u
N,m
2
T
T(u
N,m
(T))
2
+2Tu
N,m
T
_
_
_
_
d
dt
u
N,m
_
_
_
_
T
T(u
N,m
(T))
2
+2 Tu
N,m
T
u
N,m1
T
whence
|u
N,m
(T)|
2
1
T
u
N,m
2
T
2 u
N,m
T
u
N,m1
T
. (A.5)
This with (A.4) implies that
u
N,m
T
4 Tu
N,m1
T
.
Thus, if 4 T < 1, then u
N,m
T
0 as m . It implies the existence of
solution of (2.12). It is easy to prove the uniqueness of solution of (2.12). Similarly, we
can prove the existence and uniqueness of global solution of (4.1) as long as <
1
4
.
In fact, they are also the conditions for ensuring the spectral accuracy, see Sections 3
and 4.
Existence and Uniqueness of Solution of (2.12) with Condition (3.25). Assume that
f (z, t) is continuous for z. Let
B
N
T
u
N
=
_
A
N
T
_
1
_
T
2
F
N
T
_
u
N
_
TU
0
b
N
T
_
.
Then (2.18) is equivalent to the operator equation
u
N
= B
N
T
u
N
. (A.6)
Clearly, B
N
T
is a compact continuous mapping from the N +1 dimensional Euclidean
space to itself. Next, let 0 1 and consider the possible solutions u
N
of the
operator equations
u
N
= B
N
T
u
N
, (A.7)
which is equivalent to
d
dt
u
N
_
t
N
T,k
_
= f
_
u
N
_
t
N
T,k
_
, t
N
T,k
_
, 0 k N,
u
N
(0) = U
0
.
(A.8)
Multiplying the above by 2u
N

N
T,k
and summing the result for 0 k N, we use
(2.6), (3.25) and (A.8) to deduce that
_
u
N
(T)
_
2
_
u
N
(0)
_
2
= 2
_
d
dt
u
N
, u
N
_
T
= 2
_
d
dt
u
N
, u
N
_
T,N
= 2
_
f
_
u
N
,
_
, u
N
_
T,N
= 2
_
f
_
u
N
,
_
f (0, ) , u
N
_
T,N
+2
_
f (0, ), u
N
_
T,N
2 u
N

2
T,N
+2u
N

T,N
f (0, )
T,N
u
N

2
T,N
+

f (0, )
2
T,N
.
Consequently, for all 0 1,
u
N

2
T,N

U
2
0
+
1
2
f (0, )
2
T,N

1
_
1 +
1
_
_
U
2
0
+ f (0, )
2
T,N
_
.
Finally, we use the LeraySchauder xed point theorem to assert that (A.6) has at
least one solution. This implies the existence of solution of (2.18) as well as (2.12). It is
easy to verify the uniqueness of solution. We can prove the existence and uniqueness
of solution of scheme (4.1) similarly.
Proof of (3.9) For any v H
1
(0, T) and 0 t
1
t
2
T,
|v(t
2
) v(t
1
)|
_
t
2
t
1
d
dt
v(t)
dt (t
2
t
1
)
1
2
_
_
_
_
d
dt
v
_
_
_
_
T
.
Let |v(t
)| = min
t[0,T]
|v(t)|. Then
|v(t)| |v(t
)| |v(t) v(t
)| T
1
2
_
_
_
_
d
dt
v
_
_
_
_
T
.
Moreover,
|v(t
)|
1
T
_
T
0
|v(t)|dt T
1
2
v
T
.
Therefore,
|v(t)| T
1
2
_
_
_
_
d
dt
v
_
_
_
_
T
+ T
1
2
v
T
.
BN-stability of (4.1) As in [5], we consider the problem (2.11) with the following
condition
( f (z
1
, t) f (z
2
, t)) (z
1
z
2
) 0. (A.9)
Let y
N
(t) and z
N
(t) be any numerical solutions given by (4.1) and (4.2), with y
N
(0) =
Y
0
and z
N
(0) = Z
0
. Let w
N
(t) = y
N
(t) z
N
(t). Then
d
dt
w
N
m
_
t
N
,k
_
= f
_
y
N
m
_
t
N
,k
_
, t
N
,k
_
f
_
z
N
m
_
t
N
,k
_
, t
N
,k
_
, 0 k N, 1 m M,
w
N
m
(0) = w
N
m1
(), 2 m M,
w
N
1
(0) = Y
0
Z
0
.
(A.10)
By multiplying the rst formula of (A.10) by w
N
m
_
t
N
,k
_
N
,k
and summing the result
for 0 k N, we use (2.6) and (A.9) to reach that for any 1 m M,
_
w
N
(m)
_
2
_
w
N
(m )
_
2
=
_
d
dt
w
N
m
, w
N
m
_
L
2
(0,)
=
_
d
dt
w
N
m
, w
N
m
_
,N
=
_
f
_
y
N
m
,
_
f
_
z
N
m
,
_
, y
N
m
z
N
m
_
,N
0.
Thus, for 1 m M,
|y
N
(m) z
N
(m)| |y
N
(m ) z
N
(m )|.
This implies the BN-stability. We can prove the BN-stability of (5.5) and (5.6)
similarly.
Acknowledgements This work is supported in part by NSF of China, N.10771142, The National
Basic Research Project N.2005CB321701, The Grant of Science and Technology Commission of
Shanghai Municipality N.075105118, The Shanghai Leading Academic Discipline Project N. T0401,
and The Fund for E-institutes of Shanghai Universities N.E03004.
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(0, T), then we have

(0, T) and T < 1, then we can take r = 2s 1 and N =

(0, T), then we have from (3.27) and (3.28) that

(0, T) and T < 1, then we may take r = 2s 1 and N =

(0, m), then for any 1 m M,

(0, T) and N = s 1, then for all 1 m M,

(0, m), then for any 0 m M,

(0, T) and N = s 1, then for all 1 m M,

(0, T) and N = s 1, then for all 1 m M,

2sech(t) tanh(t), < t < ,

2sech(t) tanh(t), < t < .

The new LegendreGauss collocation method is easy to be implemented for

By using the LegendreGauss collocation method with domain decomposition,

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