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Numerical Methods

Presented To Dr. Essam Soliman

Higher Technological Institute

4/27/2010

[NUMERICAL METHODS] April 27, 2010

Theoretical Introduction

Throughout this course we have repeatedly made use of the numerical differential equation

solver packages built into our computer algebra system. Back when we first made use of this

feature I promised that we would eventually discuss how these algorithms are actually

implemented by a computer. The current laboratory is where I make good on that promise.

Until relatively recently, solving differential equations numerically meant coding the method

into the computer yourself. Today there are numerous solvers available that can handle the

majority of classes of initial value problems with little user intervention other than entering the

actual problem. However, occasionally it still becomes necessary to do a some customized

coding in order to attack a problem that the prewritten solvers can't quite handle.

This laboratory is intended to introduce you to the basic thinking processes underlying

numerical methods for solving initial value problems. Sadly, it probably won't turn you into an

expert programmer of numerical solver packages (unless some miracle occurs.)

From the point of view of a mathematician, the ideal form of the solution to an initial value

problem would be a formula for the solution function. After all, if this formula is known, it is

usually relatively easy to produce any other form of the solution you may desire, such as a

graphical solution, or a numerical solution in the form of a table of values. You might say that a

formulaic solution contains the recipes for these other types of solution within it.

Unfortunately, as we have seen in our studies already, obtaining a formulaic solution is not

always easy, and in many cases is absolutely impossible.

So we often have to "make do" with a numerical solution, i.e. a table of values consisting of

points which lie along the solution's curve. This can be a perfectly usable form of the answer in

many applied problems, but before we go too much further, let's make sure that we are aware

of the shortcomings of this form of solution.

By it's very nature, a numerical solution to an initial value problem consists of a table of values

which is finite in length. On the other hand, the true solution of the initial value problem is

most likely a whole continuum of values, i.e. it consists of an infinite number of points.

Obviously, the numerical solution is actually leaving out an infinite number of points. The

question might arise, "With this many holes in it, is the solution good for anything at all?" To

make this comparison a little clearer, let's look at a very simple specific example.

[NUMERICAL METHODS] April 27, 2010

Example

y′ = 2x

y(0) = 0

It's so simple, you could find a formulaic solution in your head, namely y = x2. On the other

hand, say we were to use a numerical technique. (Yes, I know we don't know how to do this

yet, but go with me on this for a second!) The resulting numerical solution would simply be a

table of values. To get a better feel for the nature of these two types of solution, let's compare

them side by side, along with the graphs we would get based on what we know about each

one:

y = x2

y 0.00 0.04 0.16 0.36 0.64 1.00 1.44 1.96

Notice that the graph derived from the formulaic solution is smoothly continuous, consisting of

an infinite number of points on the interval shown. On the other hand, the graph based on the

numerical solution consists of just a bare eight points, since the numerical method used

apparently only found the value of the solution for x-increments of size 0.2.

So what good is the numerical solution if it leaves out so much of the real answer? Well, we can

respond to that question in several ways:

The numerical solution still looks like it is capturing the general trend of the "real"

solution, as we can see when we look at the side-by-side graphs. This means that if we

are seeking a qualitative view of the solution, we can still get it from the numerical

solution, to some extent.

[NUMERICAL METHODS] April 27, 2010

The numerical solution could even be "improved" by playing "join-the-dots" with the set

of points it produces. In fact this is exactly what some solver packages, such as

Mathematica, do do with these solutions. (Mathematica produces a join-the-dots

function that it calls InterpolatingFunction.)

When actually using the solutions to differential equations, we often aren't so much

concerned about the nature of the solution at all possible points. Think about it! Even

when we are able to get formulaic solutions, a typical use we make of the formula is to

substitute values of the independent variable into the formula in order to find the

values of the solution at specific points. Did you hear that? Let me say it again: to find

the values of the solution at specific points. This is exactly what we can still do with a

numerical solution.

One last word of warning, however, before we move on to actually finding numerical solutions.

In a problem where a numerical solution would really be necessary, i.e. one which we can't

solve by any other method, there is no formulaic solution for us to compare our answers with.

This means that there is always an element of doubt about the data we produce by using these

numerical techniques.

Say, for example, you obtained a set of numerical data as a solution, which led to the following

graph:

Any reasonable observer of this picture would, in the absence of any other evidence, assume

that the underlying solution had a graph that looks something like this:

[NUMERICAL METHODS] April 27, 2010

In other words, you'd play join-the-dots visually. But how do you know that the actual

underlying solution doesn't look like this:

Notice that this graph fits the data points just as well as the first attempt we made at joining

the dots, see:

So how can you tell whether or not your data is leading you to the wrong conclusion? There are

ways, both qualitative and quantitative, that can be used to help in making this kind of decision.

A whole field of study called numerical analysis is dedicated to answering this sort of question.

Suffice it to say, that in reality, the kind of error I've just illustrated with the above pictures

never occurs. I deliberately used an "off-the-wall" example to get your attention.

In reality, the kind of errors we need to be careful of are much more subtle. What tends to

happen with numerical solutions is that the calculated points drift further and further away

[NUMERICAL METHODS] April 27, 2010

from the actual solution as you move further and further from the point defined by the initial

condition. This can lead you to make assumptions about the actual solution which aren't true.

This difficulty can be overcome to some degree by calculating these points closer together. The

penalty for this, of course, is that more points must be found, so the computer has to spend

more time finding the solution. Most computer solvers try to strike a compromise between the

accuracy inherent in using more points, and the extra time required to calculate the additional

points. (A third issue involves machine round-off errors, but we won't even start to talk about

that here.)

Euler’s Method

The laboratory introduces you to a very simple technique for handling first order initial value

problems. Like so many other concepts in mathematics, it is named after Leonhard Euler (1707-

1783), perhaps the most prolific mathematician of all time. Before we can begin to describe

Euler's Method, we must first make sure that we understand the nature of these approximate

numerical solutions that his idea makes it possible for us to find.

In order to develop a technique for solving first order initial value problems numerically, we

should first agree upon some notation. We will assume that the problem in question can be

algebraically manipulated into the form:

y′ = f(x, y)

y(xo) = yo

Our goal is to find a numerical solution, i.e. we must find a set of points which lie along the

initial value problem's solution. If we look at this problem, as stated above, we should realize

that we actually already know one point on the solution, namely the one defined by the initial

condition, (xo, yo). Possibly, the picture of this tiny piece of information looks something like

this:

[NUMERICAL METHODS] April 27, 2010

Now, remember we don't really know the true solution of the problem, or we wouldn't be

going through this method at all. But let's act as if we do know this elusive solution for a

moment. Let's pretend that it's "ghostly graph" could be superimposed onto our previous

picture to get this:

Again, the blue graph of the true solution, shown above, is actually unknown. We've drawn a

picture of what it might look like just to help us think.

Since we're after a set of points which lie along the true solution, as stated above, we must now

derive a way of generating more solution points in addition to the solitary initial condition point

shown in red in the picture. How could we get more points?

Well, look back at the original initial value problem at the top of the page! So far we have only

used the initial condition, which gave us our single point. Maybe we should consider the

possibility of utilizing the other part of the initial value problem—the differential equation

itself:

y′ = f(x, y)

Remember that one interpretation of the quantity y′ appearing in this expression is as the slope

of the tangent line to the function y. But, the function y is exactly what we are seeking as a

solution to the problem. This means that we not only know a point which lies on our elusive

solution, but we also know a formula for its slope:

[NUMERICAL METHODS] April 27, 2010

All we have to do now is think of a way of using this slope to get those "other points" that we've

been after! Well, look at the right hand side of the last formula. It looks like you can get the

slope by substituting values for x and y into the function f. These values should, of course, be

the coordinates of a point lying on the solution's graph—they can't just be the coordinates of

any point anywhere in the plane. Do we know of any such points—points lying on the solution

curve? Of course we do! The initial condition point that we already sketched is exactly such a

point! We could use it to find the slope of the solution at the initial condition. We would get:

Remembering that this gives us the slope of the function's tangent line at the initial point we

could put this together with the initial point itself to build the tangent line at the initial point,

like this:

Once again, let's remind ourselves of our goal of finding more points which lie on the true

solution's curve. Using what we know about the initial condition, we've built a tangent line at

the initial condition's point. Look again at the picture of this line in comparison with the graph

of the true solution in the picture above. If we're wanting other points along the path of the

true solution, and yet we don't actually have the true solution, then it looks like using the

tangent line as an approximation might be our best bet! After all, at least on this picture, it

looks like the line stays pretty close to the curve if you don't move too far away from the initial

point.

Let's say we move a short distance away, to a new x-coordinate of x1. Then we could locate the

corresponding point lying on our tangent line. (We can't do this for the curve—it's a ghost,

remember!) It might look something like this:

[NUMERICAL METHODS] April 27, 2010

Notice that our new point, which I've called (x1, y1), isn't too terribly far away from the true

value of the solution at this x-coordinate, up on the curve.

(x1, y1): an approximate value, known to lie on the solution curve's tangent line through

(xo, yo).

We must now attempt to continue our quest for points on the solution curve (though we're

starting to see the word "on" as a little optimistic—perhaps "near" would be a more realistic

word here.) Still glowing from our former success, we'll dive right in and repeat our last trick,

constructing a tangent line at our new point, like this:

You should immediately recognize that there's a problem, and I've cheated to overcome it!

Since our new point didn't actually lie on the true solution, we can't actually produce a tangent

line to the solution at this point. (We don't even know where the true solution actually is

anymore—the blue curve in the picture is just a thinking aid.) But we can still substitute our

new point, (x1,y1), into the formula:

[NUMERICAL METHODS] April 27, 2010

to get get the slope of a pseudo-tangent line to the curve at (x1,y1). We hope that our

approximate point, (x1,y1), is close enough to the real solution that the pseudo-tangent line is

pretty close to the unknown real tangent line.

We now attempt to use this new pseudo-tangent line to get yet another point in the

approximate solution. As before, we move a short distance away from our last point, to a new

x-coordinate of x2. Then we locate the corresponding point lying on our pseudo-tangent line.

The result might look something like this:

(x1, y1): an approximate value, known to lie on the solution curve's tangent line through

(xo, yo).

(x2, y2): an approximate value, known to lie on the solution curve's pseudo-tangent line

through (x1, y1).

As you can see, we're beginning to establish a pattern in the way we are generating new points.

We could continue making new points like this for as long as we liked, but for the sake of this

illustration let's find just one more value in the approximate solution.

We make another pseudo-tangent line, this time through (x2, y2), like this:

[NUMERICAL METHODS] April 27, 2010

and we make another short jump to an x-coordinate of x3, and locate the corresponding point

on our latest pseudo-tangent line, like this:

So the list of points in our approximate numerical solution now has four members:

(x1, y1): an approximate value, known to lie on the solution curve's tangent line through

(xo, yo).

(x2, y2): an approximate value, known to lie on the solution curve's pseudo-tangent line

through (x1, y1).

(x3, y3): an approximate value, known to lie on the solution curve's pseudo-tangent line

through (x2, y2).

Looking over the picture one last time, we see an example of how the numerical solution—the

red dots, might compare with the actual solution. As we stated in the introduction to this

laboratory, a weakness of numerical solutions is their tendency to drift away from the true

solution as the points get further away from the initial condition point. One way of minimizing

(but not eliminating) this problem is to make sure that the jump-size between consecutive

points is relatively small.

y′ = f(x, y)

y(xo) = yo

As we just saw in the graphical description of the method, the basic idea is to use a known point

as a "starter," and then use the tangent line through this known point to jump to a new point.

Rather than focus on a particular point in the sequence of points we're going to generate, let's

be generic. Let's use the names:

[NUMERICAL METHODS] April 27, 2010

Our picture, based on previous experience, should look something like this:

(Though the proximity of the true solution to the point (xn, yn) is, perhaps, a little optimistic.)

Our task here is to find formulas for the coordinates of the new point, the one on the right.

Clearly it lies on the tangent line, and this tangent line has a known slope, namely f(x n, yn). Let's

mark on our picture names for the sizes of the x-jump, and the y-jump as we move from the

known point, (xn, yn), to the new point. Let's also write in the slope of the tangent line that we

just mentioned. Doing so, we get:

xn+1 = xn + h

Also, we know from basic algebra that slope = rise / run, so applying this idea to the triangle in

our picture, the formula becomes:

f(xn, yn) = Δy / h

Δy = h f(xn, yn)

[NUMERICAL METHODS] April 27, 2010

But, we're really after a formula for yn+1. Looking at the picture, it's obvious that:

yn+1 = yn + Δy

In order to use Euler's Method to generate a numerical solution to an initial value problem of

the form:

y′ = f(x, y)

y(xo) = yo

we decide upon what interval, starting at the initial condition, we desire to find the solution.

We chop this interval into small subdivisions of length h. Then, using the initial condition as our

starting point, we generate the rest of the solution by using the iterative formulas:

xn+1 = xn + h

to find the coordinates of the points in our numerical solution. We terminate this process when

we have reached the right end of the desired interval.

A Preliminary Example

Just to get a feel for the method in action, let's work a preliminary example completely by hand.

Say you were asked to solve the initial value problem:

y′ = x + 2y

y(0) = 0

numerically, finding a value for the solution at x = 1, and using steps of size h = 0.25.

[NUMERICAL METHODS] April 27, 2010

Clearly, the description of the problem implies that the interval we'll be finding a solution on is

[0,1]. The differential equation given tells us the formula for f(x, y) required by the Euler

Method, namely:

f(x, y) = x + 2y

and the initial condition tells us the values of the coordinates of our starting point:

xo = 0

yo = 0

We now use the Euler method formulas to generate values for x1 and y1.

x1 = xo + h

or:

x1 = 0 + 0.25

So:

x1 = 0.25

y1 = yo + h f(xo, yo)

or:

y1 = yo + h (xo + 2yo)

or:

y1 = 0 + 0.25 (0 + 2*0)

So:

y1 = 0

[NUMERICAL METHODS] April 27, 2010

x1 = 0.25

y1 = 0

We now move on to get the next point in the solution, (x2, y2).

x2 = x1 + h

or:

x2 = 0.25 + 0.25

So:

x2 = 0.5

y2 = y1 + h f(x1, y1)

or:

y2 = y1 + h (x1 + 2y1)

or:

So:

y2 = 0.0625

x2 = 0.5

y2 = 0.0625

We now move on to get the fourth point in the solution, (x3, y3).

Higher Technological Institute |6th Of October Branch 15

[NUMERICAL METHODS] April 27, 2010

x3 = x2 + h

or:

x3 = 0.5 + 0.25

So:

x3 = 0.75

y3 = y2 + h f(x2, y2)

or:

y3 = y2 + h (x2 + 2y2)

or:

So:

y3 = 0.21875

x3 = 0.75

y3 = 0.21875

We now move on to get the fifth point in the solution, (x4, y4).

x4 = x3 + h

or:

x4 = 0.75 + 0.25

[NUMERICAL METHODS] April 27, 2010

So:

x4 = 1

y4 = y3 + h f(x3, y3)

or:

y4 = y3 + h (x3 + 2y3)

or:

So:

y4 = 0.515625

x4 = 1

y4 = 0.515625

We could summarize the results of all of our calculations in a tabular form, as follows:

n xn yn

0 0.00 0.000000

1 0.25 0.000000

2 0.50 0.062500

3 0.75 0.218750

4 1.00 0.515625

A question you should always ask yourself at this point of using a numerical method to solve a

problem, is "How accurate is my solution?" Sadly, the answer is "Not very!" This problem can

actually be solved without resorting to numerical methods (it's linear). The true solution turns

out to be:

[NUMERICAL METHODS] April 27, 2010

If we use this formula to generate a table similar to the one above, we can see just how poorly

our numerical solution did:

x y

0.00 0.000000

0.25 0.037180

0.50 0.179570

0.75 0.495422

1.00 1.097264

We can get an even better feel for the inaccuracy we have incurred if we compare the graphs of

the numerical and true solutions, as shown here:

The numerical solution gets worse and worse as we move further to the right. We might even

be prompted to ask the question "What good is a solution that is this bad?" The answer is "Very

little good at all!" So should we quit using this method? No! The reason our numerical solution

is so inaccurate is because our step-size is so large. To improve the solution, shrink the step-

size!

By the way, the reason I used such a large step size when we went through this problem is

because we were working it by hand. When we move on to using the computer to do the work,

we needn't be so afraid of using tiny step-sizes.

To illustrate that Euler's Method isn't always this terribly bad, look at the following picture,

made for exactly the same problem, only using a step size of h = 0.02:

[NUMERICAL METHODS] April 27, 2010

As you can see, the accuracy of this numerical solution is much higher than before, but so is the

amount of work needed! Look at all those red points! Can you imagine calculating the

coordinates of each of them by hand?

Runge-Kutta Method

The Runge-Kutta 2nd order method is a numerical technique used to solve an ordinary

differential equation of the form

f x, y , y 0 y 0

dy

dx

Only first order ordinary differential equations can be solved by using the Runge-Kutta 2nd

order method. In other sections, we will discuss how the Euler and Runge-Kutta methods are

used to solve higher order ordinary differential equations or coupled (simultaneous) differential

equations.

How does one write a first order differential equation in the above form?

[NUMERICAL METHODS] April 27, 2010

Example

Rewrite

2 y 1.3e x , y 0 5

dy

dx

in

dy

f ( x, y ), y (0) y 0 form.

dx

Solution

2 y 1.3e x , y 0 5

dy

dx

1.3e x 2 y, y 0 5

dy

dx

In this case

f x, y 1.3e x 2 y

Example

Rewrite

dy

ey

dx

in

dy

f ( x, y ), y (0) y 0 form.

dx

Solution

x 2 y 2 2 sin( 3x), y 0 5

dy

ey

dx

[NUMERICAL METHODS] April 27, 2010

dy 2 sin( 3x) x 2 y 2

, y0 5

dx ey

In this case

2 sin( 3x) x 2 y 2

f x, y

ey

Euler’s method is given by

yi 1 yi f xi , yi h (1)

where

x0 0

y 0 y ( x0 )

h xi 1 xi

To understand the Runge-Kutta 2nd order method, we need to derive Euler’s method from the

Taylor series.

2 3

y i 1 y i

dy

xi 1 xi 1 d y

2

xi 1 xi 2 1 d y

3

xi 1 xi 3 ...

dx xi , yi 2! dx xi , yi

3! dx xi , yi

1 2 1 3

2! 3!

As you can see the first two terms of the Taylor series

yi 1 yi f xi , yi h

are Euler’s method and hence can be considered to be the Runge-Kutta 1st order method.

f xi , yi 2 f xi , yi 3

Et h h ... (3)

2! 3!

[NUMERICAL METHODS] April 27, 2010

So what would a 2nd order method formula look like. It would include one more term of the

Taylor series as follows.

y i 1 y i f xi , y i h f xi , y i h 2

1

(4)

2!

e 2 x 3 y, y 0 5

dy

dx

f x, y e 2 x 3 y

f x, y f x, y dy

f x, y (5)

x y dx

2 x

x

e 3y

2 x

y

e 3 y e 2 x 3 y

2e 2 x (3) e 2 x 3 y

5e 2 x 9 y

y i 1 y i f xi , y i h f xi , y i h 2

1

2!

yi e 2 xi 3 yi h

1

2!

5e 2 xi 9 yi h 2

However, we already see the difficulty of having to find f x, y in the above method. What

Runge and Kutta did was write the 2nd order method as

yi 1 yi a1k1 a2 k 2 h (6)

where

k1 f xi , yi

[NUMERICAL METHODS] April 27, 2010

This form allows one to take advantage of the 2nd order method without having to calculate

f x, y .

So how do we find the unknowns a1 , a 2 , p1 and q11 . Without proof (see Appendix for

proof), equating Equation (4) and (6) , gives three equations.

a1 a2 1

1

a 2 p1

2

1

a 2 q11

2

Since we have 3 equations and 4 unknowns, we can assume the value of one of the unknowns.

The other three will then be determined from the three equations. Generally the value of a 2 is

1

chosen to evaluate the other three constants. The three values generally used for a 2 are ,1

2

2

and , and are known as Heun’s Method, the midpoint method and Ralston’s method,

3

respectively.

Heun’s Method

1

Here a 2 is chosen, giving

2

1

a1

2

p1 1

q11 1

resulting in

1 1

y i 1 y i k1 k 2 h (8)

2 2

where

k1 f xi , yi (9a)

[NUMERICAL METHODS] April 27, 2010

Average Slope

1

f xi h, yi k1h f xi , yi

2

yi

xi xi+1

x

Midpoint Method

Here a2 1 is chosen, giving

a1 0

1

p1

2

1

q11

2

resulting in

yi 1 yi k 2 h (10)

where

k1 f xi , yi (11a)

1 1

k 2 f xi h, y i k1 h (11b)

2 2

Example

Higher Technological Institute |6th Of October Branch 24

[NUMERICAL METHODS] April 27, 2010

A ball at 1200 K is allowed to cool down in air at an ambient temperature of 300 K. Assuming

heat is lost only due to radiation, the differential equation for the temperature of the ball is

given by

d

2.2067 10-12 ( 4 81 108 )

dt

where is in K and t in seconds. Find the temperature at t 480 seconds using Runge-Kutta

2nd order method. Assume a step size of h 240 seconds.

Solution

d

dt

2.2067 10 12 4 81 10 8

f t , 2.2067 10 12 4 81 108

Per Heun’s method given by Equations (8) and (9)

1 1

i 1 i k1 k 2 h

2 2

k1 f t i , i

k 2 f t i h, i k1h

k1 f t 0 , o

f 0,1200

2.2067 10 12 1200 4 81 108

4.5579

k 2 f t 0 h, 0 k1h

f 0 240,1200 4.5579240

f 240,106.09

2.2067 10 12 106.09 4 81 108

Higher Technological Institute |6th Of October Branch 25

[NUMERICAL METHODS] April 27, 2010

0.017595

1 1

1 0 k1 k 2 h

2 2

1

1200 4.5579 0.017595240

1

2 2

1200 2.2702240

655.16 K

k1 f t1 ,1

f 240,655.16

2.2067 10 12 655.16 4 81 108

0.38869

f 480,561.87

2.2067 10 12 561.87 4 81 108

0.20206

1 1

2 1 k1 k 2 h

2 2

1

655.16 0.38869 0.20206240

1

2 2

655.16 0.29538240

584.27 K

2 480 584.27 K

[NUMERICAL METHODS] April 27, 2010

The results from Heun’s method are compared with exact results in Figure 2.

The exact solution of the ordinary differential equation is given by the solution of a non-linear

equation as

300

0.92593 ln 1.8519 tan 1 0.0033333 0.22067 10 3 t 2.9282

300

(480) 647.57 K

1200

Temperature, θ (K)

Exact h =120

800

h =240

400

h =480

0

0 100 200 300 400 500

-400

Time, t(sec)

Heun’s method results for different step sizes.

Using a smaller step size would increase the accuracy of the result as given in Table 1 and Figure

3 below.

[NUMERICAL METHODS] April 27, 2010

800

Temperature, θ (480)

600

400

200

0

0 100 200 300 400 500

-200

Step size, h

-400

In Table 2, Euler’s method and the Runge-Kutta 2nd order method results are shown as a

function of step size,

[NUMERICAL METHODS] April 27, 2010

1200

1100

1000 Midpoint

Temperature, θ(K)

900 Ralston

800 Heun

700 Analytical

600

Euler

500

0 100 200 300 400 500 600

Time, t (sec)

Comparison of Euler and Runge Kutta methods with exact results over time.

How do these three methods compare with results obtained if we found f x, y

directly

Of course, we know that since we are including the first three terms in the series, if the solution

is a polynomial of order two or less (that is, quadratic, linear or constant), any of the three

methods are exact. But for any other case the results will be different.

[NUMERICAL METHODS] April 27, 2010

e 2 x 3 y, y 0 5 .

dy

dx

If we directly find f x, y , the first three terms of the Taylor series gives

y i 1 y i f xi , y i h f xi , y i h 2

1

2!

where

f x, y e 2 x 3 y

f x, y 5e 2 x 9 y

y0.6 1.0930

gives

0.96239

0.96239 1.0930

t 100

0.96239

13.571%

For the same problem, the results from Euler’s method and the three Runge-Kutta methods are

given in Table .

y(0.6)

[NUMERICAL METHODS] April 27, 2010

[NUMERICAL METHODS] April 27, 2010

Theoretical Introduction

In the last lab you learned to use Heuns's Method to generate a numerical solution to an initial

value problem of the form:

y′ = f(x, y)

y(xo) = yo

We discussed the fact that Heun's Method was an improvement over the rather simple Euler

Method, and that though it uses Euler's method as a basis, it goes beyond it, attempting to

compensate for the Euler Method's failure to take the curvature of the solution curve into

account. Heun's Method is one of the simplest of a class of methods called predictor-corrector

algorithms. In this lab we will address one of the most powerful predictor-corrector algorithms

of all—one which is so accurate, that most computer packages designed to find numerical

solutions for differential equations will use it by default—the fourth order Runge-Kutta

Method. (For simplicity of language we will refer to the method as simply the Runge-Kutta

Method in this lab, but you should be aware that Runge-Kutta methods are actually a general

class of algorithms, the fourth order method being the most popular.)

The Runge-Kutta algorithm may be very crudely described as "Heun's Method on steroids." It

takes to extremes the idea of correcting the predicted value of the next solution point in the

numerical solution. (It should be noted here that the actual, formal derivation of the Runge-

Kutta Method will not be covered in this course. The calculations involved are complicated, and

rightly belong in a more advanced course in differential equations, or numerical methods.)

Without further ado, using the same notation as in the previous two labs, here is a summary of

the method:

xn+1 = xn + h

where

k1 = h f(xn, yn)

k4 = h f(xn + h, yn + k3)

[NUMERICAL METHODS] April 27, 2010

Even though we do not plan on deriving these formulas formally, it is valuable to understand

the geometric reasoning that supports them. Let's briefly discuss the components in the

algorithm above.

First we note that, just as with the previous two methods, the Runge-Kutta method iterates the

x-values by simply adding a fixed step-size of h at each iteration.

The y-iteration formula is far more interesting. It is a weighted average of four values—k1, k2,

k3, and k4. Visualize distributing the factor of 1/6 from the front of the sum. Doing this we see

that k1 and k4 are given a weight of 1/6 in the weighted average, whereas k2 and k3 are

weighted 1/3, or twice as heavily as k1 and k4. (As usual with a weighted average, the sum of

the weights 1/6, 1/3, 1/3 and 1/6 is 1.) So what are these ki values that are being used in the

weighted average?

k1 you may recognize, as we've used this same quantity on both of the previous labs. This

quantity, h f(xn, yn), is simply Euler's prediction for what we've previously called Δy—the vertical

jump from the current point to the next Euler-predicted point along the numerical solution.

k2 we have never seen before. Notice the x-value at which it is evaluating the function f.

xn + h/2 lies halfway across the prediction interval. What about the y-value that is coupled with

it? yn + k1/2 is the current y-value plus half of the Euler-predicted Δy that we just discussed as

being the meaning of k1. So this too is a halfway value, this time vertically halfway up from the

current point to the Euler-predicted next point. To summarize, then, the function f is being

evaluated at a point that lies halfway between the current point and the Euler-predicted next

point. Recalling that the function f gives us the slope of the solution curve, we can see that

evaluating it at the halfway point just described, i.e. f(xn + h/2, yn + k1/2), gives us an estimate of

the slope of the solution curve at this halfway point. Multiplying this slope by h, just as with the

Euler Method before, produces a prediction of the y-jump made by the actual solution across

the whole width of the interval, only this time the predicted jump is not based on the slope of

the solution at the left end of the interval, but on the estimated slope halfway to the Euler-

predicted next point. Whew! Maybe that could use a second reading for it to sink in!

k3 has a formula which is quite similar to that of k2, except that where k1 used to be, there is

now a k2. Essentially, the f-value here is yet another estimate of the slope of the solution at the

"midpoint" of the prediction interval. This time, however, the y-value of the midpoint is not

based on Euler's prediction, but on the y-jump predicted already with k2. Once again, this slope-

estimate is multiplied by h, giving us yet another estimate of the y-jump made by the actual

solution across the whole width of the interval.

k4 evaluates f at xn + h, which is at the extreme right of the prediction interval. The y-value

coupled with this, yn + k3, is an estimate of the y-value at the right end of the interval, based on

the y-jump just predicted by k3. The f-value thus found is once again multiplied by h, just as

with the three previous ki, giving us a final estimate of the y-jump made by the actual solution

across the whole width of the interval.

Higher Technological Institute |6th Of October Branch 33

[NUMERICAL METHODS] April 27, 2010

In summary, then, each of the ki gives us an estimate of the size of the y-jump made by the

actual solution across the whole width of the interval. The first one uses Euler's Method, the

next two use estimates of the slope of the solution at the midpoint, and the last one uses an

estimate of the slope at the right end-point. Each ki uses the earlier ki as a basis for its

prediction of the y-jump.

is simply the y-value of the current point plus a weighted average of four different y-jump

estimates for the interval, with the estimates based on the slope at the midpoint being

weighted twice as heavily as the those using the slope at the end-points.

As we have just seen, the Runge-Kutta algorithm is a little hard to follow even when one only

considers it from a geometric point of view. In reality the formula was not originally derived in

this fashion, but with a purely analytical approach. After all, among other things, our geometric

"explanation" doesn't even account for the weights that were used. If you're feeling ambitious,

a little research through a decent mathematics library should yield a detailed analysis of the

derivation of the method.

Linear multistep methods are used for the numerical solution of ordinary differential

equations. Conceptually, a numerical method starts from an initial point and then takes a short

step forward in time to find the next solution point. The process continues with subsequent

steps to map out the solution. Single-step methods (such as Euler's method) refer to only one

previous point and its derivative to determine the current value. Methods such as Runge-Kutta

take some intermediate steps (for example, a half-step) to obtain a higher order method, but

then discard all previous information before taking a second step. Multistep methods attempt

to gain efficiency by keeping and using the information from previous steps rather than

discarding it. Consequently, multistep methods refer to several previous points and derivative

values.

Definitions

Numerical methods for ordinary differential equations approximate solutions to initial value

problems of the form

The result is approximations for the value of y(t) at discrete times ti:

[NUMERICAL METHODS] April 27, 2010

ti = t0 + ih

fi = f(ti,yi)

A linear multistep method uses a linear combination of yi and yi' to calculate the value of y for

the desired current step.

Multistep method will use the previous s steps to calculate the next value. Consequently, the

desired value at the current processing stage is yn + s.

where h denotes the step size and f the right-hand side of the differential equation. The

coefficents and determine the method. The designer of the method

chooses the coefficients; often, many coefficients are zero. Typically, the designer chooses the

coefficients so they will exactly interpolate y(t) when it is an nth order polynomial.

If the value of bs is nonzero, then the value of yn + s depends on the value of f(tn + s,yn + s).

Consequently, the method is explicit if bs = 0. In that case, the formula can directly compute yn +

s.

If then the method is implicit and the equation for yn + s must be solved. Iterative

methods such as Newton's method are often used to solve the implicit formula.

Sometimes an explicit multistep method is used to "predict" the value of yn + s. That value is

then used in an implicit formula to "correct" the value. The result is a Predictor-corrector

method.

Examples

[NUMERICAL METHODS] April 27, 2010

One-Step Euler

Euler's method can be viewed as an explicit multistep method for the degenerate case of one

step.

This method, applied with step size on the problem y' = y, gives the following results:

Euler's method is a one-step method. A simple multistep method is the two-step Adams–

Bashforth method

This method needs two values, yn + 1 and yn, to compute the next value, yn + 2. However, the

initial value problem provides only one value, y0 = 1. One possibility to resolve this issue is to

use the y1 computed by Euler's method as the second value. With this choice, the Adams–

Bashforth method yields (rounded to four digits):

is more accurate than Euler's method. This is always the case if the step size is small enough.

[NUMERICAL METHODS] April 27, 2010

Three families of linear multistep methods are commonly used: Adams–Bashforth methods,

Adams–Moulton methods, and the backward differentiation formulas (BDFs).

Adams–Bashforth methods

The Adams–Bashforth methods are explicit methods. The coefficients are as − 1 = − 1 and

, while the bj are chosen such that the methods has order s (this

determines the methods uniquely).

The Adams–Bashforth methods with s = 1, 2, 3, 4, 5 are (Hairer, Nørsett & Wanner 1993, §III.1;

Butcher 2003, p. 103):

The coefficients bj can be determined as follows. Use polynomial interpolation to find the

polynomial p of degree s − 1 such that

The polynomial p is locally a good approximation of the right-hand side of the differential

equation y' = f(t,y) that is to be solved, so consider the equation y' = p(t) instead. This equation

can be solved exactly; the solution is simply the integral of p. This suggests taking

The Adams–Bashforth method arises when the formula for p is substituted. The coefficients bj

turn out to be given by

[NUMERICAL METHODS] April 27, 2010

Replacing f(t, y) by its interpolant p incurs an error of order h s, and it follows that the s-step

Adams–Bashforth method has indeed order s (Iserles 1996, §2.1)

The Adams–Bashforth methods were designed by John Couch Adams to solve a differential

equation modelling capillary action due to Francis Bashforth. Bashforth (1883) published his

theory and Adams' numerical method (Goldstine 1977).

Adams–Moulton methods

The Adams–Moulton methods are similar to the Adams–Bashforth methods in that they also

have as − 1 = − 1 and . Again the b coefficients are chosen to obtain the

highest order possible. However, the Adams–Moulton methods are implicit methods. By

removing the restriction that bs = 0, an s-step Adams–Moulton method can reach order s + 1,

while an s-step Adams–Bashforth methods has only order s.

The Adams–Moulton methods with s = 0, 1, 2, 3, 4 are (Hairer, Nørsett & Wanner 1993, §III.1;

Quarteroni, Sacco & Saleri 2000):

— this is the trapezoidal rule;

method; however, the interpolating polynomial uses not only the points tn−1, … tn−s, as above,

but also tn. The coefficients are given by

The Adams–Moulton methods are solely due to John Couch Adams, like the Adams–Bashforth

methods. The name of Forest Ray Moulton became associated with these methods because he

realized that they could be used in tandem with the Adams–Bashforth methods as a predictor-

[NUMERICAL METHODS] April 27, 2010

corrector pair (Moulton 1926); Milne (1926) had the same idea. Adams used Newton's method

to solve the implicit equation (Hairer, Nørsett & Wanner 1993, §III.1).

Analysis

The central concepts in the analysis of linear multistep methods, and indeed any numerical

method for differential equations, are convergence, order, and stability.

The first question is whether the method is consistent: is the difference equation

a good approximation of the differential equation y' = f(t,y)? More precisely, a multistep

method is consistent if the local error goes to zero as the step size h goes to zero, where the

local error is defined to be the difference between the result yn + s of the method, assuming that

all the previous values are exact, and the exact solution of the equation at

time tn + s. A computation using Taylor series shows out that a linear multistep method is

consistent if and only if

All the methods mentioned above are consistent (Hairer, Nørsett & Wanner 1993, §III.2).

If the method is consistent, then the next question is how well the difference equation defining

the numerical method approximates the differential equation. A multistep method is said to

have order p if the local error is of order O(hp + 1) as h goes to zero. This is equivalent to the

following condition on the coefficients of the methods:

The s-step Adams–Bashforth method has order s, while the s-step Adams–Moulton method has

order s + 1 (Hairer, Nørsett & Wanner 1993, §III.2).

[NUMERICAL METHODS] April 27, 2010

In terms of these polynomials, the above condition for the method to have order p becomes

In particular, the method is consistent if it has order one, which is the case if ρ(1) = 0 and ρ'(1) =

σ(1).

If the roots of the characteristic polynomial ρ all have modulus less than or equal to 1 and the

roots of modulus 1 are of multiplicity 1, we say that the root condition is satisfied. The method

is convergent if and only if it is consistent and the root condition is satisfied. Consequently, a

consistent method is stable if and only if this condition is satisfied, and thus the method is

convergent if and only if it is stable.

Furthermore, if the method is stable, the method is said to be strongly stable if z = 1 is the only

root of modulus 1. If it is stable and all roots of modulus 1 are not repeated, but there is more

than one such root, it is said to be relatively stable. Note that 1 must be a root; thus stable

methods are always one of these two.

Example

which has roots z = 0,1, and the conditions above are satisfied. As z = 1 is the only root of

modulus 1, the method is strongly stable.

[NUMERICAL METHODS] April 27, 2010

In the introduction to this section we briefly discussed how a system of differential equations

can arise from a population problem in which we keep track of the population of both the prey

and the predator. It makes sense that the number of prey present will affect the number of the

predator present. Likewise, the number of predator present will affect the number of prey

present. Therefore the differential equation that governs the population of either the prey or

the predator should in some way depend on the population of the other. This will lead to two

differential equations that must be solved simultaneously in order to determine the population

of the prey and the predator.

The whole point of this is to notice that systems of differential equations can arise quite easily

from naturally occurring situations. Developing an effective predator-prey system of

differential equations is not the subject of this chapter. However, systems can arise from nth

order linear differential equations as well. Before we get into this however, let’s write down a

system and get some terminology out of the way.

Example

Write the following 2nd order differential equations as a system of first order, linear differential

equations.

Solution

We can write higher order differential equations as a system with a very simple change of

variable. We’ll start by defining the following two new functions.

[NUMERICAL METHODS] April 27, 2010

Note the use of the differential equation in the second equation. We can also convert the

initial conditions over to the new functions.

Putting all of this together gives the following system of differential equation

To this point, we have only considered the solutions of differential equations for which the

initial conditions are known. However, many physical applications do not have specified initial

conditions, but rather some given boundary (constraint) conditions. A simple example of such a

problem is the second-order boundary value problem

Thus the solution is defined over a specific interval and must satisfy the relations (5.3.2) at the

end points of the interval. Figure 4 gives a graphical representation of a generic boundary value

problem solution. We discuss the algorithm necessary to make use of the time-stepping

schemes in order to solve such a problem.

[NUMERICAL METHODS] April 27, 2010

The boundary value problems constructed here require information at the present time (t = a)

and a future time (t = b). However, the time-stepping schemes developed previously only

require information about the starting time t = a. Some effort is then needed to reconcile the

time-stepping schemes with the boundary value problems presented here.

The stepping schemes considered thus far for second order differential equations involve a

choice of the initial conditions y(a) and y!(a). We can still approach the boundary value problem

from this framework by choosing the “initial” conditions

where the constant A is chosen so that as we advance the solution to t = b we find y(b) = ". The

shooting method gives an iterative procedure with which we can determine this constant A.

Figure 5 illustrates the solution of the boundary value problem given two distinct values of A. In

this case, the value of A = A1 gives a value for the initial slope which is too low to satisfy the

boundary conditions (5.3.4), whereas the value of A = A2 is too large to satisfy (5.3.4).

[NUMERICAL METHODS] April 27, 2010

Computational Algorithm

The above example demonstrates that adjusting the value of A in (5.3.5b) can 0lead to a

solution which satisfies (5.3.4b). We can solve this using a self consistent algorithm to search

for the appropriate value of A which satisfies the original problem. The basic algorithm is as

follows:

1. Solve the differential equation using a time-stepping scheme with the initial conditions

y(a) = ! and y!(a) = A.

2. Evaluate the solution y(b) at t = b and compare this value with the target value of y(b) =

".

3. Adjust the value of A (either bigger or smaller) until a desired level of tolerance and

accuracy is achieved. A bisection method for determining values of A, for instance, may

be appropriate.

4. Once the specified accuracy has been achieved, the numerical solution is complete and

is accurate to the level of the tolerance chosen and the discretization scheme used in

the time-stepping.

The finite difference method is used to solve ordinary differential equations that have

conditions imposed on the boundary rather than at the initial point. These problems are called

boundary-value problems. In this chapter, we solve second-order ordinary differential

equations of the form

d2y

f ( x, y, y ' ), a x b , (1)

dx 2

Many academics refer to boundary value problems as position-dependent and initial value

problems as time-dependent. That is not necessarily the case as illustrated by the following

examples.

The differential equation that governs the deflection y of a simply supported beam under

uniformly distributed load (Figure 1) is given by

d 2 y qx( L x )

(3)

dx 2 2 EI

[NUMERICAL METHODS] April 27, 2010

where

y ( x 0) 0 (4)

y ( x L) 0

Clearly, these are boundary values and hence the problem is considered a boundary-value

problem.

Now consider the case of a cantilevered beam with a uniformly distributed load (Figure 2). The

differential equation that governs the deflection y of the beam is given by

d 2 y q( L x ) 2

(5)

dx 2 2 EI

[NUMERICAL METHODS] April 27, 2010

where

y ( x 0) 0 (6)

dy

( x 0) 0

dx

Clearly, these are initial values and hence the problem needs to be considered as an initial value

problem.

[NUMERICAL METHODS] April 27, 2010

Example

The deflection y in a simply supported beam with a uniform load q and a tensile axial load T is

given by

d 2 y Ty qx( L x)

(E1.1)

dx 2 EI 2 EI

where

T x T

Given,

a) Find the deflection of the beam at x 50" . Use a step size of x 25" and approximate the

derivatives by central divided difference approximation.

[NUMERICAL METHODS] April 27, 2010

Solution

a) Substituting the given values,

dx 2

(30 10 )(120) 2(30 106 )(120)

6

d2y

2

2 10 6 y 7.5 10 7 x(75 x) (E1.2)

dx

d2y

Approximating the derivative at node i by the central divided difference approximation,

dx 2

i 1 i i 1

central divided difference method.

d 2 y yi 1 2 yi yi 1

(E1.3)

dx 2 ( x ) 2

yi 1 2 yi yi 1

2 10 6 yi 7.5 10 7 xi (75 xi ) (E1.4)

(x) 2

i 1 i2 i 3 i4

x 25 x 50 x 75

x0

Figure 5 Finite difference method from x 0 to x 75 with x 25 .

[NUMERICAL METHODS] April 27, 2010

x0 0

x1 x0 x 0 25 25

x2 x1 x 25 25 50

x3 x2 x 50 25 75

y1 0 (E1.5)

y3 2 y 2 y1

2

2 10 6 y 2 7.5 10 7 x2 (75 x2 )

(25)

y 4 2 y3 y 2

2

2 10 6 y3 7.5 10 7 x3 (75 x3 )

(25)

y4 0 (E1.8)

Equations (E1.5-E1.8) are 4 simultaneous equations with 4 unknowns and can be written in

matrix form as

[NUMERICAL METHODS] April 27, 2010

1 0 0 0 y1 0

0.0016 0.003202 y 4

0.0016 0 2 9.375 10

0 0.0016 0.003202 0.0016 y 3 9.375 10 4

0 0 0 1 y 4 0

The above equations have a coefficient matrix that is tridiagonal (we can use Thomas’ algorithm

to solve the equations) and is also strictly diagonally dominant (convergence is guaranteed if we

use iterative methods such as the Gauss-Siedel method). Solving the equations we get,

y1 0

y

2 0.5852

y3 0.5852

y 4 0

y(50) y( x2 ) y2 0.5852"

The exact solution of the ordinary differential equation is derived as follows. The homogeneous

part of the solution is given by solving the characteristic equation

m 2 2 10 6 0

m 0.0014142

Therefore,

y p Ax 2 Bx C

d 2 yp

2 10 6 y p 7.5 10 7 x(75 x)

dx 2

d2

2

( Ax 2 Bx C ) 2 10 6 ( Ax 2 Bx C ) 7.5 10 7 x(75 x)

dx

[NUMERICAL METHODS] April 27, 2010

2 A 2 10 6 ( Ax 2 Bx C ) 7.5 10 7 x(75 x)

2 10 6 Ax 2 2 10 6 Bx (2 A 2 10 6 C ) 5.625 10 5 x 7.5 10 7 x 2

2 10 6 A 7.5 10 7

2 10 6 B 5.625 10 5

2 A 2 10 6 C 0

A 0.375

B 28.125

C 3.75 10 5

y ( x 0) 0

y ( x 75) 0

K1 K 2 3.75 10 5

1 1 K1 3.75 10 5

1.1119 0.89937 K 5

2 3.75 10

[NUMERICAL METHODS] April 27, 2010

A number of different numerical methods may be utilized to solve this system of equations

such as the Gaussian elimination. Using any of these methods yields

K1 1.775656226 10 5

K 5

2 1.974343774 10

y 0.375x 2 28.125x 3.75 105 1.775656266 105 e 0.0014142x 1.974343774 105 e 0.0014142x

Unlike other examples in this chapter and in the book, the above expression for the deflection

of the beam is displayed with a larger number of significant digits. This is done to minimize the

round-off error because the above expression involves subtraction of large numbers that are

close to each other.

b) To calculate the relative true error, we must first calculate the value of the exact solution at

y 50 .

y (50) 0.5320

Et 0.5320 (0.5852)

Et 0.05320

True Error

t 100%

True Value

0.05320

t 100%

0.5320

t 10%

[NUMERICAL METHODS] April 27, 2010

Like ordinary differential equations, partial differential equations are equations to be solved in

which the unknown element is a function, but in PDEs the function is one of several variables,

and so of course the known information relates the function and its partial derivatives with

respect to the several variables. Again, one generally looks for qualitative statements about the

solution. For example, in many cases, solutions exist only if some of the parameters lie in a

specific set (say, the set of integers). Various broad families of PDE's admit general statements

about the behaviour of their solutions. This area has a long-standing close relationship with the

physical sciences, especially physics, thermodynamics, and quantum mechanics: for many of

the topics in the field, the origins of the problem and the qualitative nature of the solutions are

best understood by describing the corresponding result in physics, as we shall do below.

Roughly corresponding to the initial values in an ODE problem, PDEs are usually solved in the

presence of boundary conditions. For example, the Dirichlet problem (actually introduced by

Riemann) asks for the solution of the Laplace condition on an open subset D of the plane, with

the added condition that the value of u on the boundary of D was to be some prescribed

function f. (Physically this corresponds to asking, for example, for the steady-state distribution

of electrical charge within D when prescribed voltages are applied around the boundary.) It is a

nontrivial task to determine how much boundary information is appropriate for a given PDE!

Linear differential equations occur perhaps most frequently in applications (in settings in which

a superposition principle is appropriate.) When these differential equations are first-order, they

share many features with ordinary differential equations. (More precisely, they correspond to

families of ODEs, in which considerable attention must be focused on the dependence of the

solutions on the parameters.)

Historically, three equations were of fundamental interest and exhibit distinctive behaviour.

These led to the clarification of three types of second-order linear differential equations of

great interest. The Laplace equation

2 2

du du

--- + --- = 0

2 2

dx dy

[NUMERICAL METHODS] April 27, 2010

applies to potential energy functions u=u(x,y) for a conservative force field in the plane. PDEs of

this type are called elliptic. The Heat Equation

2 2

du du du

--- + --- = ---

2 2 dt

dx dy

applies to the temperature distribution u(x,y) in the plane when heat is allowed to flow from

warm areas to cool ones. PDEs of this type are parabolic. The Wave Equation

2 2 2

du du du

--- + --- = ---

2 2 2

dx dy dt

applies to the heights u(x,y) of vibrating membranes and other wave functions. PDEs of this

type are called hyperbolic. The analyses of these three types of equations are quite distinct in

character. Allowing non-constant coefficients, we see that the solution of a general second-

order linear PDE may change character from point to point. These behaviours generalize to

nonlinear PDEs as well.

A general linear PDE may be viewed as seeking the kernel of a linear map defined between

appropriate function spaces. (Determining which function space is best suited to the problem is

itself a nontrivial problem and requires careful functional analysis as well as a consideration of

the origin of the equation. Indeed, it is the analysis of PDEs which tends to drive the

development of classes of topological vector spaces.) The perspective of differential operators

allows the use of general tools from linear algebra, including eigenspace decomposition

(spectral theory) and index theory.

Modern approaches seek methods applicable to non-linear PDEs as well as linear ones. In this

context existence and uniqueness results, and theorems concerning the regularity of solutions,

are more difficult. Since it is unlikely that explicit solutions can be obtained for any but the most

special of problems, methods of "solving" the PDEs involve analysis within the appropriate

function space -- for example, seeking convergence of a sequence of functions which can be

shown to approximately solve the PDE, or describing the sought-for function as a fixed point

under a self-map on the function space, or as the point at which some real-valued function is

minimized. Some of these approaches may be modified to give algorithms for estimating

numerical solutions to a PDE.

[NUMERICAL METHODS] April 27, 2010

Generalizations of results about partial differential equations often lead to statements about

function spaces and other topological vector spaces. For example, integral techniques (solving a

differential equation by computing a convolution, say) lead to integral operators (transforms on

functions spaces); these and differential operators lead in turn to general pseudodifferential

operators on function spaces.

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