ODE

- Initial Value Problems

-Multistep methods-
Dr.U.Oral nal
 Multistep Methods

The problem is an integration across a series of interval

This can be written as:

 Multistep Methods
-Open Integration Formulas-
The function in the integral can be replaced by an interpolating polynomial:

Let us remember the backward interpolation formula:

 Multistep Methods
-Open Integration Formulas-
Hence:
 Multistep Methods
-Open Integration Formulas-
For k=0, 1 the following algorithms can be obtained:
 Multistep Methods
-Open Integration Formulas-
For k=2, 3:

Open multistep integration

 Multistep Methods
-Open Integration Formulas-
For the odd values of k the coefficient of the kth backward difference is zero. For
this reason the most commonly used formulas of this type are for k odd with
k+1 terms retained (r=k).

The error term:

 Multistep Methods
-Open Integration Formulas-
The most important open formulas are:
 Multistep Methods
-Open Integration Formulas-
In terms of the derivative estimates:

*
Open multistep integration for k=3 r=3
 Multistep Methods
- Adams Method -
For k=0 and r=2 another typical formula can be obtained:

Let us evaluate the same initial value problem:

By using the values obtained by Runge Kutta Fehlberg method

 Multistep Methods
- Adams Method -

0.000072. (-084643 is the exact solution)

For k=0 and r=3:

The error is now 0.000007.

 Multistep Methods
-Closed Integration Formulas-
The following integrations can be performed with the interpolating polynomial
expressed in terms of the backward difference formula based at xi+1 instead of xi
 Multistep Methods
-Closed Integration Formulas-
For different values of k the equation leads to the following:

The error term:

 Multistep Methods
-Closed Integration Formulas-
For the odd values of k the coefficient of the (k+2)th backward difference
vanishes. For this reason the most commonly used formulas of this type are for
k odd with k+2 terms retained (r=k+2).
 Multistep Methods
-Closed Integration Formulas-
In terms of the derivative estimates:

**

Closed multistep integration for k=1, r=3

 Multistep Methods
-Predictor Corrector methods
For example, the equation marked with * can be used to generate explicitly the
successive values y4, y5, y6 when y0 is known from the initial condition. y1, y2 and y3
can be computed with the fourth-order Runge-Kutta method with a local truncation
error of order h5.

However, a closed integration formula (e.g. **) cannot be directly used to compute yi+1
since the formula involves fi+1.

One approch is to solve ** by the method of successive substitutions.

yi+1,0 can be initially assumed. The iterations should continue until yi+1,0, yi+1,1 and yi+1,2
appears to converge.
 Multistep Methods
-Predictor Corrector methods
Although the closed multistep method is more complicated than the open multistep
method, due to its considerably smaller local truncation error it is generally preferred.

**

This is not surprising since the open formulas involve extrapolation while the closed
formulas involve interpolation.
 Multistep Methods
-Predictor Corrector methods
Runge Kutta methods require four derivative evaluations for each step
Starting values are needed at just one point
The step size can be adjusted from step to step with little difficulty

Closed formula ** requires two derivative evaluations for each step.

Closed formulas are not self starting. yi+1,0 should be predicted.
The step size change is more complicated.

The open formulas can be used as predictors for the prediction of the initial values
required for the closed formulas.
 Multistep Methods
-Predictor Corrector methods

Fourth-order Milne method is a popular choice.

Predictor:

Corrector:
 Multistep Methods
-Milne Method-
Let us evaluate the same initial value problem:

The first four values can be calculated using Runge-Kutta method.

 Multistep Methods
-Adams-Moulton Method-

Another popular choice is Adams-Moulton (or modified Adams) method

Predictor:

Corrector:
 Multistep Methods
-Adams-Moulton Method-
Let us evaluate the same initial value problem:

The first four values can be calculated using Runge-Kutta method.

The predictor formula gives:

And the predictor gives:

 Multistep Methods
-Adams-Moulton Method-
 Multistep Methods
-Truncation Error and Step Size Control-
Consider the Milne method.

Convergence criteria is:

h should be small enough so that the convergence test is passed after one or
two iterations.
 Multistep Methods
-Truncation Error and Step Size Control-
k+1 evaluations of fi+1 are required for each step.

The local truncation error in using the Milne method to integrate across the
interval can be estimated by assuming that the associated error terms given
apply.

If we assume that the derivative term are equal the division of the former by latter
leads to:

Hence, for the corrector equation, the estimate of the local truncation error is :
 Multistep Methods
-Truncation Error and Step Size Control-
Using a predicted value rather than yi+1,0 as the starting value does not change
the converged value of yi+1,k hence the error analysis remains unchanged.
The only effect of the predicted value is to speed convergence of the iterative
solution.

The relationships given for the error and convergence rate provide sufficient
information to determine when the step size should be increased and
decreased.
The difficulty is that when the step size is changed the necessary starting values
for the predictor and corrector will not usually be available.
If the new step size h2 is chosen to be 2h1, one need only reassign subscripts so
that the old yi-3 becomes new yi-2, that the old yi-5 becomes new yi-3, etc.
Multistep Methods
-Stability-
Multistep Methods
-Stability-
Multistep Methods
-Stability-
 Multistep Methods
-Convergence-
For the Adams-Moulton method:

For the Milne method:

 Multistep Methods
-Convergence-

dy/dx=sinx-3y, y(0)=1 what maximum value of h is permitted if we wish to compute

by Milne and Adams-moulton methods and get accuracy to five decimals?
Multistep Methods
-Convergence-
 Multistep Methods
-Hamming Method-
The predicted solution

The modified predicted value solution

The corrector equation

 Multistep Methods
Systems of Equations and Higher-Order Equations

Let us apply the Adams-Moulton method for the two equations. h=0.025.

First we get the four starting values and then we proceed with the
algorithm.

The predicted values are:

 Multistep Methods
Systems of Equations and Higher-Order Equations