When a stiff differential system
y'(
t)=
f(
y, t),
y
R
n, is solved by an implicit multistep method, then in each time step one has to solve a set of nonlinear equations by a modified Newton iteration. A fixed approximate Jacobian
W=(1/
h
)
I – J, J=
f/
y is normally used for many time steps.
The cost of factorizing
W and of solving the resulting linear systems can be high. For the case that only
k
n eigenvalues of
J are stiff, we derive an approximation of
J which is more easily factorized and still often gives almost the same rate of convergence in the Newton iterations. The approximation is based on a block Schur factorization of
J, which can be efficiently computed by a modified version of the
QR algorithm.
Limited numerical experiences indicate that typically just a few iterations in the blockQR algorithm suffice to give a good approximation toJ. It is shown that for sparse Jacobians a similar scheme can be realized by using a slight modification of orthogonal iteration.