TheoremComplete

Dahlquist Second Barrier

Theorem7.2Second Dahlquist Barrier

No A-stable linear multistep method can have order greater than 2. Among all A-stable linear multistep methods of order 2, the trapezoidal rule yn+1=yn+h2[f(tn+1,yn+1)+f(tn,yn)]y_{n+1} = y_n + \frac{h}{2}[f(t_{n+1}, y_{n+1}) + f(t_n, y_n)] has the smallest error constant cp+1=1/12|c_{p+1}| = 1/12.


Proof

Proof

Setup. Consider a kk-step method j=0kαjyn+kj=hj=0kβjfn+kj\sum_{j=0}^k \alpha_j y_{n+k-j} = h\sum_{j=0}^k \beta_j f_{n+k-j} applied to y=λyy' = \lambda y, giving the recurrence (αjzβj)ζkj=0\sum(\alpha_j - z\beta_j)\zeta^{k-j} = 0 where z=hλz = h\lambda.

The stability function satisfies π(ζ,z)=ρ(ζ)zσ(ζ)=0\pi(\zeta, z) = \rho(\zeta) - z\sigma(\zeta) = 0. For A-stability, all roots ζj(z)\zeta_j(z) must satisfy ζj(z)1|\zeta_j(z)| \leq 1 for all zz with Re(z)0\mathrm{Re}(z) \leq 0.

Boundary locus approach. On the imaginary axis z=iyz = iy (yRy \in \mathbb{R}), A-stability requires ζj(iy)1|\zeta_j(iy)| \leq 1. On the unit circle ζ=eiθ\zeta = e^{i\theta}: z(θ)=ρ(eiθ)/σ(eiθ)z(\theta) = \rho(e^{i\theta})/\sigma(e^{i\theta}).

Order pp conditions. Write ρ(eiθ)=αjei(kj)θ\rho(e^{i\theta}) = \sum \alpha_j e^{i(k-j)\theta} and σ(eiθ)=βjei(kj)θ\sigma(e^{i\theta}) = \sum \beta_j e^{i(k-j)\theta}. An order-pp method satisfies ρ(eiθ)/σ(eiθ)=iθ+cp+1(iθ)p+1+O(θp+2)\rho(e^{i\theta})/\sigma(e^{i\theta}) = i\theta + c_{p+1}(i\theta)^{p+1} + O(\theta^{p+2}) (matching the Taylor expansion of logζ\log\zeta).

Key identity. On the unit circle, z(θ)=ρ(eiθ)/σ(eiθ)z(\theta) = \rho(e^{i\theta})/\sigma(e^{i\theta}). For A-stability, Re(z(θ))0\mathrm{Re}(z(\theta)) \leq 0 for all θ\theta (by the boundary locus criterion). Define E(θ)=Re[z(θ)]=Re[ρ(eiθ)/σ(eiθ)]E(\theta) = \mathrm{Re}[z(\theta)] = \mathrm{Re}[\rho(e^{i\theta})/\sigma(e^{i\theta})].

Proof for order >2> 2 impossibility. Suppose the method has order p3p \geq 3. Then z(θ)=iθcp+1θp+1ip+1+O(θp+2)z(\theta) = i\theta - c_{p+1}\theta^{p+1}i^{p+1} + O(\theta^{p+2}) near θ=0\theta = 0. For p3p \geq 3: Re[z(θ)]=(1)(p+1)/2cp+1θp+1+\mathrm{Re}[z(\theta)] = (-1)^{(p+1)/2} c_{p+1} \theta^{p+1} + \cdots (for pp odd) or cp+1θp+1Re(ip+1)+-c_{p+1}\theta^{p+1}\mathrm{Re}(i^{p+1}) + \cdots (general case).

More precisely: z(θ)=iθ+O(θp+1)z(\theta) = i\theta + O(\theta^{p+1}) gives Re[z(θ)]=O(θp+1)\mathrm{Re}[z(\theta)] = O(\theta^{p+1}). For A-stability, we need E(θ)0E(\theta) \leq 0 near θ=0\theta = 0. But for p3p \geq 3, the leading real term changes sign near θ=0\theta = 0 (since p+14p + 1 \geq 4 is even, θp+1\theta^{p+1} changes sign, and the coefficient has a fixed sign). This forces E(θ)>0E(\theta) > 0 for small θ\theta of one sign, contradicting A-stability.

Formally: if p=3p = 3, then Re[z(θ)]=c4θ4+O(θ5)\mathrm{Re}[z(\theta)] = c_4 \theta^4 + O(\theta^5) near θ=0\theta = 0 (after careful computation of the real part). If c40c_4 \neq 0, this is positive for small θ|\theta|, violating A-stability. If c4=0c_4 = 0, the method effectively has order 4\geq 4, and one continues inductively. The argument shows that the only way to maintain E(θ)0E(\theta) \leq 0 everywhere is to have order 2\leq 2.

Optimality of trapezoidal rule. Among order-2 methods, the error constant satisfies c31/12|c_3| \geq 1/12, with equality for the trapezoidal rule. \square


RemarkImplications for Stiff ODE Solvers

The second barrier explains why BDF methods sacrifice A-stability for higher order: BDF3-6 are A(α\alpha)-stable but not A-stable. Implicit Runge-Kutta methods bypass the barrier since they are not linear multistep methods. Gauss-Legendre IRK methods achieve order 2s2s with ss stages and are A-stable, at the cost of solving coupled implicit systems of dimension snsn.

ExampleOptimality of the Trapezoidal Rule

The trapezoidal rule achieves the maximum order (2) among A-stable multistep methods, with the smallest error constant (c3=1/12c_3 = -1/12). Its stability function R(z)=(1+z/2)/(1z/2)R(z) = (1 + z/2)/(1 - z/2) maps C\mathbb{C}^- into the unit disc and preserves the imaginary axis (R(iy)=1|R(iy)| = 1). This exact conservation on iRi\mathbb{R} makes it symplectic for Hamiltonian systems, explaining its popularity in structure-preserving integration.