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A contractive implicit Runge-Kutta stage branch has a nonsingular residual Jacobian

Statement

Use the implicit Runge–Kutta residual G(Y)=Y−1⊗y−h(A⊗Id)F(Y) from Implicit Runge–Kutta stage equations and update, where y is the input state in that definition. Let B={Y:∥Y−1⊗y∥∞,2≤R}, with R>0, be a closed product ball in the admissible stage set. Suppose F is C1 on a convex open neighborhood of B, and constants M,L≥0 satisfy ∥F(Y)∥∞,2≤M,∥DYF(Y)Z∥∞,2≤L∥Z∥∞,2(Y∈B). Assume h∥A∥∞M≤R and q:=h∥A∥∞L<1. Then Small-step implicit Runge–Kutta stages have a unique branch and controlled residual error gives a unique stage root in B, and DYG(Y) is invertible at every point of B. This lemma supplies nonsingularity for implicit differentiation.

Facts & Assumptions

Given: The finite-dimensional stage space, implicit Runge–Kutta residual, selected invariant ball, C1 map F, derivative bound L on the ball, and q<1.

[F1]

The stage residual is G(Y)=Y−1⊗y−h(A⊗Id)F(Y), where y is the input state; a selected stage root satisfies G(Y)=0 (Implicit Runge–Kutta stage equations and update).

[F2]

On a closed product ball of radius R centered at c, bounds ∥F∥∞,2≤M and ∥F(Y)−F(Z)∥∞,2≤L∥Y−Z∥∞,2 with h∥A∥∞M≤R and h∥A∥∞L<1 give a unique root (Small-step implicit Runge–Kutta stages have a unique branch and controlled residual error).

[F3]

A vector-valued function continuous on [0,1], differentiable on (0,1), and with Euclidean derivative norm at most M has endpoint difference at most M (The mean value inequality: if f:[a,b]→Rm is continuous and differentiable on (a,b) with ∥f′∥2≤M, then ∥f(b)−f(a)∥2≤M(b−a)). The chain rule differentiates a C1 map along a segment (The chain rule for total derivatives: D(g∘f)(a)=Dg(f(a))∘Df(a)).

[F4]

For a linear map on a finite-dimensional vector space, dim⁡V=dim⁡ker⁡T+dim⁡im⁡T (Rank-nullity: dim⁡FV=nullity⁡T+rank⁡T).

Proof

1.1givenF2F3

Let Y,W∈B. Its convexity puts Y+t(W−Y) in B for 0≤t≤1. For each block i, the curve γi(t)=Fi(Y+t(W−Y)) is continuous on [0,1] and differentiable inside because F is C1 on an open neighborhood. Its derivative obeys ∥γi′(t)∥2≤∥DYF(Y+t(W−Y))(W−Y)∥∞,2≤L∥W−Y∥∞,2. Apply [F3] to each block and take the maximum to obtain ∥F(W)−F(Y)∥∞,2≤L∥W−Y∥∞,2. The fixed-point map Φ(Y)=1⊗y+h(A⊗Id)F(Y) satisfies ∥Φ(Y)−1⊗y∥∞,2≤h∥A∥∞M≤R, so it maps B into itself. Thus [F2] supplies the unique stage root in B.

1.2F1givenalgebra

Differentiating [F1] with respect to Y gives DYG=I−h(A⊗Id)DYF. If DYG Z=0, the block row-sum norm and the derivative bound imply ∥Z∥∞,2≤h∥A∥∞L∥Z∥∞,2=q∥Z∥∞,2. Since q<1, this forces Z=0; thus the square finite-dimensional map DYG has trivial kernel.

2.1F4step 1.2∎

By [F4], a linear map on the stage space has rank equal to its dimension when its kernel has dimension zero. Therefore DYG is onto as well as one-to-one, hence invertible. This holds at every point of the prescribed branch ball.

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