Variable step-size techniques in continuous Runge-Kutta methods for isospectral dynamical systems

Abstract In this paper we consider numerical methods for the dynamical system L ′ = [ B ( L ), L ], L (0) = L 0 , where L 0 is a n × n symmetric matrix, [if[B(L),L] is the commutator of B ( L ) and L , and B ( L ) is a skew-symmetric matrix for each symmetric matrix L . The differential system is isospectral, i.e., L ( t ) preserves the eigenvalues of L 0 , for t ⩾0. The matrix B ( L ) characterizes the flow, and for special B (·), the solution matrix L ( t ) tends, as t increases, to a diagonal matrix with the same eigenvalues of L 0 . In [11] a modification of the MGLRK methods, introduced in [2], has been proposed. These procedures are based on a numerical approximation of the Flaschka formulation of (∗) by Runge-Kutta (RK) methods. Our numerical schemes (denoted by E d GLRK s consist in solving the system (∗) by a continuous explicit Runge-Kutta method (CERK) and then performing a single step of a Gauss-Legendre RK method, for the Flaschka formulation of (∗), in order to convert the approximation of L ( t ) to an isospectral solution. The problems of choosing a constant time step or a variable time step strategy are both of great importance in the application of these methods. In this paper, we introduce a definition of stability for the isospectral numerical methods. This definition involves a potential function associated to the isospectral flow. For the class E d GLRK s we propose a variable step-size strategy, based on this potential function, and an optimal constant time step h in the stability interval. The variable time step strategy will be compared with a known variable step-size strategy for RK methods applied to these dynamical systems. Numerical tests will be given and a comparison with the QR algorithm will be shown.