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Class Notes
Introduction
In this unit we will discuss one of the most basic problems in numerical
analysis. The problem is called a root-finding problem and consists of finding
values of the variable x (real) that satisfy the equation f(x) = 0, for a given
function f. Let f be a real-value function of a real variable. Any real number
for which f() = 0 is called a root of that equation or a zero of f. We shall
confine our discussion to locating only the real roots of f(x), that is, locating
non-real complex roots of f(x) = 0 will not be discussed. This is one of the
oldest numerical approximation problems. The procedures we will discuss
range from the classical Newton-Raphson method developed primarily by Isaac
Newton over 300 years ago to methods that were established in the recent
past.
All the methods for numerical solution of equations discussed here will consist
of two steps. First step is about the location of the roots, that is, rough
approximate value of the roots are obtained as initial approximation to a root.
Second step consists of methods, which improve the rough value of each root.
A method for improvement of the value of a root at a second step usually
involves a process of successive approximation of iteration. In such a process
of successive approximation a sequence {Xn} n = 0, 1, 2, … is generated by the
method used starting with the initial approximation xo of the root obtained
in the first step such that the sequence {Xn} converges to as n . This xn is
called the nth approximation of nth iterate and it gives a sufficiently accurate
value of the root .
Class Notes
Theorem 1: If f(x) is continuous in the closed internal [a, b] and f(a) are of
opposite signs, then there is at least one real root of the equation f(x) = 0
such that a << b.
x 0 1 2 >2
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f(x) 10 5 14
Sign f(x) + +
There is only one + ive root and it lies between 1 and 2. Let x1 = 1 and x2 =
2; at x = 1, f(x) is– ive and at x = 2, f(x) is + ive. We examine the sign of f(x)
x1 x 2
at x 1.5 and check whether the root lies in the interval
2
(1, 1.5) or (1.5, 2). Let us show the computations in the table below :
1.367 1.371
We can choose the root as x 1.369 .
2
Regula-Falsi Method (or Method of False Position)
In this method also we find two values of x say x1 and x2 where function f(x)
has opposite signs and there is only one root in the interval (x1, x2). Let us
express the function of y = f(x) and we are interested in finding the value of x
where curve y = f(x) intersects x-axis i.e. y = 0. We identify two points (x1, y1)
and (x2, y2) on the curve. Then we approximate the curve by a straight line
joining these two points. We find the point on the x-axis where this line cuts
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Class Notes
the x-axis. The equation of the straight line passing through (x1, y1) and (x2, y2)
is given by
y2 y1
y y1 (x x1 )
x 2 x1
Now we check the sign of f(x) and proceed like in the bisection method. That is,
if f(x) has same sign as f(x2) then root lies in the interval (x1, x) and if they have
opposite signs, then it lies in the interval (x, x2). See Figure 1.
(1) y= f (x)
(2)
x1 x1
x1 x
O x2
Class Notes
1 14 2 ( 5) 24
x 1.26
14 5 19
y f (x) 1.65
II-Iteration
Take points (1.26, – 1.65) and (2, 14)
1.26 14 2 ( 1.65)
x 1.34
14 1.65
y f (x) 0.41
III-Iteration
Take two points (1.34, – 0.41) and (2, 14)
1.34 14 2 ( 0.41)
x 1.36
14 0.41
y f (x) 0.086
IV-Iteration
Take two points (1.36, – 0.086) and (2, 14)
1.36 14 2 ( 0.086)
x 1.36
14 0.086
Class Notes
The point where the tangent cuts the x-axis (y = 0) is taken as the next
estimate x = x1 for the root, i.e.
f (x 0 )
x1 x 0
f (x 0 )
f (x n )
In general x n 1 x n , see Figure 2
f (x n )
y= f (x)
x1 x3 x4
x
O x2 x0
Class Notes
f (x)
where (x) x
f (x)
Class Notes
1
f (x) x 1 N ; f (x)
x2
N-R scheme is
f (x n ) 1
xn 1 xn x n x n2 N
f (x n ) xn
x n (2 N x n ) x n (2 17x n ) N 17.
We take x0 = 0.05.
Substituting in the formula, we get
x1 = 0.0575 ; x2 = 0.0588 ; x3 = 0.0588
1
Hence, 0.0588 .
17
Example: Write down N-R iterative scheme for finding qthroot of a positive
number N. Hence, find cuberoot of 10 correct up to 3 places of decimal taking
initial estimate as 2.0.
1
f (x) x q N ; f (x) q x q 1
Example: Using N-R method find the root of the equation x – cos x = 0 correct
upto two places of decimal only. Take the starting value as ( = 3.1416,
4
radian = 180o).
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Taking x 0
4
1 1
sin cos
x1 4 4 4 4 2 2
1
1 sin 1
4 2
1
1.7854
4 0.7395
2 1 2.4142
y= x
y= cos x
x
O /2
Class Notes
𝑓(𝑥𝑛 )
𝑥𝑛 +1 = 𝑥𝑛 −
𝑓 ′ (𝑥𝑛 )
𝑓 0 = −2, 𝑓 1 = 2.540
𝑥2 = 0.6071
𝑥3 = 0.6071
Suppose we are given the following values of y = f(x) for a set of values of x
X : x0 x1 x2 …… xn
y : y0 y1 y2 …… yn
(2) The technique of estimating the value of a function outside the given
range is called extrapolation.
(4) Suppose that the function y=f(x) is tabulated for the equally spaced
values x = x0, x1=x0+h, x2=x0+2h, …, xn=x0+nh giving y = y0, y1, y2, …, yn.
To determine the values of f(x) and f '(x) for some intermediate
values of x, we use the following two types of differences
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1.Forward difference
2.Backward difference
Forward difference: The first order forward differences are defined and
denoted by ∆f(x)=f(x+h)-f(x),
∆y0 = y1 – y0
∆y1 = y2 – y1
∆y2 = y3 – y2
…………….
∆yr = yr+1 – yr
…………….
∆yn-1 = yn – yn-1
These are called the first forward differences and ∆ is the forward difference
operator.
Similarly the second forward differences are defined by
∆2yr = ∆ yr+1 – ∆yr.
In general
∆pyr = ∆p-1 yr+1 – ∆p-1yr ,
pth forward differences.
The forward differences systematically set out in a table called forward
difference table.
Value of Value of 1st diff. 2nd diff. 3rd diff. 4th diff. 5thdiff.
x y ∆ ∆2 ∆3 ∆4 ∆5
x0 y0
∆y0
x1 y1 ∆2y0
∆y1 ∆3y0
x2 y2 ∆2y1 ∆4y0
∆y2 ∆3y1 ∆5y0
x3 y3 ∆2y2 ∆4y1
∆y3 ∆3y2
x4 y4 ∆2y3
∆y4
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x5 y5
Value of Value of 1st diff. 2nd diff. 3rd diff. 4th diff. 5thdiff.
x y ∇ ∇2 ∇3 ∇4 ∇5
x0 y0
∇y1
x1 y1 ∇2y2
∇y2 ∇3 y3
x2 y2 ∇2y3 ∇4 y4
∇y3 ∇3 y4 ∇5 y5
x3 y3 ∇2y4 ∇4 y5
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∇3 y5
∇y4
x4 y4 ∇2y5
∇y5
x5 y5
Example1: Evaluate
(i) ∆ tan-1x
(ii) ∆ (ex log 2x)
(iii) ∆2 cos 2x
Sol.From the definition of forward differences ∆f(x) = f(x+h) – f(x).
(i) Let f(x) = tan-1x, then
∆tan-1x = tan-1(x+h) - tan-1x
xhx h
= tan 1 tan 1 2
.
1 ( x h) x 1 hx x
(ii)
(e x log 2 x) e x h log 2( x h) e x log 2 x
e x h log 2( x h) e x h log 2 x e x h log 2 x e x log 2 x
xh
e x h log xh
(e e ) log 2 x
x
x
h
e x e h log(1 ) (e h 1) log 2 x .
x
2
(iii) ∆ cos 2x = ∆[∆cos 2x]
= ∆[ cos 2(x+h) – cos 2x]
= ∆cos 2(x+h) – ∆cos 2x
= cos 2(x+2h) – cos 2(x+h) – [cos 2(x+h)) – cos 2x]
= – 2 cos (2x+3h) sin h + 2 sin(2x+h) sin h
= – 2 sin h [sin(2x+3h) – sin(2x+h) ]
= – 2 sin h [2 cos(2x+2h)sin h]
= – 2 sin2 h cos 2(x+h).
Example2: Evaluate the following, with interval of difference being unity
(i) ∆2 (abx) (ii) ∆n ex
Sol.From the definition of forward differences ∆f(x) = f(x+h) – f(x).
(i) ∆(abx) = a ∆bx = a(bx+1 – bx) = abx(b – 1)
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∆2 (abx) = ∆ [∆ (abx)]
= ∆abx(b – 1) = a(b – 1) ∆(bx)
= a(b – 1)(bx+1 – bx)
= a(b – 1)2 bx.
(ii) ∆e = ex+1 – ex = ex(e – 1)
x
[x] = x, [x]2 = x(x – 1) , [x]3 = x(x – 1) (x – 2), …*x+n = x(x – 1) (x – 2) …(x – n +1).
x3 x2 x
1 2 -3 3 -10 = D
_ 2 -1
2 2 -1 2=C
_ 4
3 2 3=B
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2=A
x 45 50 55 60 65
y 3 ? 2 ? -2.4
Sol. Let p and q be the missing values in the given table, then the difference
table is as follows:
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x y ∆y ∆2y ∆3y
45 3
p–3
50 p 5 – 2p
2–p 3p + q – 9
55 2 p+q–4
q–2 3.6 – p –
3q
60 q –0.4 – 2q
–2.4 – q
65 -2.4
Since three entries are given, the function y can be represented by a second
degree polynomial.
Therefore, ∆3y0 = 0 and ∆3y1 = 0. Thus 3p + q – 9 = 0 and 3.6 – p – 3q = 0.
Solving these equations, we get p = 2.925 and q = 0.225.
Example2. Determine the missing values in the following table without using
difference table.
x 45 50 55 60 65
y 3 ? 2 ? -2.4
Sol. Given that y0 = 3, y2 = 2 and y4 = -2.4 and missing values be taken as y1= p
and y3 = q. Since three entries are given, the function y can be represented by a
second degree polynomial.
Therefore, ∆3y0 = 0 and ∆3y1 = 0.
(E – 1)3y0 = 0 (E – 1)3y1 = 0
3 2
(E – 3E + 3E – 1)y0 = 0 (E3 – 3E2 + 3E – 1)y1 = 0
y3 – 3y2 + 3y1 – y0 = 0 y4 – 3y3 + 3y2 – y1 = 0
q – 3(2)+ 3p – 3 = 0 -2.4 – 3q + 3(2) – p = 0
3p + q – 9 = 0 3.6 – p – 3q = 0.
Solving these equations, we get p = 2.925 and q = 0.225.
Class Notes
Example1. The table gives the distances in nautical miles of the visible horizon
for the given heights in feet above the earth’s surface :
x y ∆ ∆2 ∆3 ∆4
100 10.63
2.4
150 13.03 -0.39
2.01 0.15
x0=200 15.04 -0.24 -0.07
1.77 0.08
250 16.81 -0.16 -0.05
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1.61 0.03
300 18.42 -0.13 -0.01
1.48 0.02
350 19.90 -0.11
1.37
xn=400 21.27
+ 0.36(0.36-1)(0.36-2)(0.36-3)/24 (-0.01)
4yn=-0.01.
Class Notes
+ 0.2(0.2+1)(0.2+2)(0.2+3)/24 (-0.01)
Lagrange’s interpolation formula: If y = f(x) takes the values y0, y1, y2, …, yn
corresponding to x0, x1, x2, …, xn, then
(x x 1 )(x x 2 ) (x x n ) (x x 0 )(x x 2 ) (x x n )
f(x) y0 y1
(x 0 x 1 )(x 0 x 2 ) (x 0 x n ) (x 1 x 0 )(x 1 x 2 ) (x 1 x n )
(x x 0 )(x x 1 ) (x x n 1 )
yn ,
(x n x 0 )(x n x 1 ) (x n x n 1 )
Divided Differences: If (x0, y0), (x1, y1), …, (xn, yn) are given points, then the first
divided differences for the argument x0, x1 is defined by
y y0
[x 0 , x 1 ] 1 .
x1 x 0
Similarly
y y1 y y2 y y n 1
[x 1 , x 2 ] 2 , [x 2 , x 3 ] 3 ,, [x n 1 , x n ] n .
x 2 x1 x3 x2 x n x n 1
The second divided differences for x0, x1, x2 is
[x , x ] [x 0 , x 1 ]
[x 0 , x 1 , x 2 ] 1 2 .
x2 x0
The third divided differences for x0, x1, x2 , x3 is
[x , x , x ] [x 0 , x 1 , x 2 ]
[x 0 , x 1 , x 2 , x 3 ] 1 2 3 .
x3 x0
And so on, the nth divided differences for x0, x1, x2, …, xnis
[x , x ,, x n ] [x 0 , x 1 ,, x n -1 ]
[x 0 , x 1 , x 2 ,, x n ] 1 2 .
xn x0
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All the divided differences systematically set out in a table called divided
difference table.
Value Value 1st 2nd 3rd divided 4th divided 5th divided
of x of y divided divided difference difference difference
difference difference
x0 y0
[x0,x1]
x1 y1 [x0,x1,x2]
[x1,x2] [x0,x1,x2,x3]
x2 y2 [x1,x2,x3] [x0,x1,x2,x3,x4]
[x2,x3] [x1,x2,x3,x4] [x0,x1,x2,x3,x4,x5]
x3 y3 [x2,x3,x4] [x1,x2,x3,x4,x5]
[x3,x4] [x2,x3,x4,x5]
x4 y4 [x3,x4,x5]
[x4,x5]
x5 y5
Newton’s divided difference formula: If y = f(x) takes the values y0, y1, y2, …, yn
corresponding to x0, x1, x2, …, xn, then
f(x) = y0+(x-x0)[x0, x1] + (x-x0)(x-x1)[x0, x1, x2+ + ……
+ (x-x0)(x-x1)…(x-xn-1)[x0, x1, x2, …, xn],
Which is known as Newton’s general interpolation formula with divided
differences.
Class Notes
5 150
121
7 392 24
265 1
11 1452 32 0
457 1
13 2366 42
709
17 5202
Class Notes
Contents
Numerical Differentiation, Numerical integration:
TrapezoidalruleandSimpson’s1/3rdand3/8rules.SolutionofSimultaneousLinearA
lgebraic
equationsbyGauss’sElimination,Gauss’sJordan,Crout’smethods,Jacobi’s,Gauss-
Seidal,and Relaxation method.,
Numerical Differentiation
Class Notes
dy 2𝑢 − 1 2 3𝑢2 − 6 + 2 3
= ∆𝑦0 + ∆ 𝑦0 + ∆ 𝑦0
du 2! 3!
4𝑢3 − 18𝑢2 + 22𝑢 − 6 4
+ ∆ 𝑦0 + ⋯ ….
4!
𝑑𝑢 1
and𝑑𝑥 = h
𝑑𝑦 𝑑𝑦 𝑑𝑢
Therefore, 𝑑𝑥 = 𝑑𝑢 𝑑𝑥
𝑑2𝑦
The second derivative𝑑𝑥 2 may be determined by differentiating (2) with
respect to 𝑥
𝑑2 𝑦 1 2 3
6𝑢2 − 18𝑢 + 11 4
= [∆ 𝑦0 + 𝑢 − 1 ∆ 𝑦0 + ∆ 𝑦0
𝑑𝑥 2 h2 12
2𝑢3 − 12𝑢2 + 21𝑢 − 10 5
+ ∆ 𝑦0 + ⋯ … . ]
12
Similarly, derivatives of other higher orders may be obtained.
Example: A rod is rotating in a plane about one of it’s ends .If the following
table gives the angle 𝜃 radians throughh ,which the rod has turned for
different values of time 𝑡 seconds, find it’s angular velocity and angular
acceleration ,when 𝑡 = 0.7 second.
𝑡 seconds 𝜽 radians ∆𝜽 ∆𝟐 𝜽 ∆𝟑 𝜽 ∆𝟒 𝜽 ∆𝟓 𝜽
0.0 0.0 0.12
0.2 0.12 0.36 0.24 0.02 0.00 0.00
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dθ
Then the angular velocity dt is
𝑑2𝜃
The angular acceleration is obtained with the help of equation (1),
𝑑𝑡 2
𝑑2 𝜃 1 2 2 6𝑢 − 6 3 du 1 2
= 0 + ∆ 𝜃0 + ∆ 𝜃0 = [∆ 𝜃0 + 𝑢 − 1 ∆3 𝜃0 ]
𝑑𝑡 2 h 2! 3! dt h2
At 𝑡 = 0.7,then𝑢 = 3.5
𝑑2𝜃 1
= 0.24 + 3.5 − 1 0.02 = 7.25 radianper𝑠𝑒𝑐𝑜𝑛𝑑 2 .
𝑑𝑡 2 (0.2)2
[B]Derivative at tabulated points: -In particular case ,When the derivatives are
required at one of the tabulated points
𝑥0 , , 𝑦0 , , 𝑥1 , , 𝑦1 , … … … … … . 𝑥𝑛 , , 𝑦𝑛 , and not at the intermediate points,
the following formula may be used with advantage.
𝑑
If 𝐷 denotes the differential operator 𝑑𝑥 and ∆ is the difference operator
defined by
𝐷 = 𝑙𝑜𝑔 1 + ∆
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1 1 1
i.e.𝐷 ≡ [∆ − 2 ∆2 + 3 ∆3 − ⋯ … … . ]
Where,
is the interval between any two successive values of 𝑥 ,at which the
values of y are prescribed.
1 11 5
Similarly,.𝐷2 ≡ h 2 [∆2 − ∆3 + 12 ∆4 − 6 ∆5 + ⋯ … … . ]
Example :A slider in a machine moves along a fixed straight rod. It’s distance 𝑥
cm along the road are given in the following table for various values of the
time 𝑡 seconds
𝑡 seconds 𝒙 cm ∆𝒙 ∆𝟐 𝒙 ∆𝟑 𝒙 ∆𝟒 𝒙 ∆𝟓 𝒙
0.0 30.1 1.5
0.1 31.6 1.3 -0.2 -0.4 6.7 -31.3
0.2 32.9 0.7 -0.6 6.3 -24.6
0.3 33.6 6.4 5.7 -18.3
0.4 40.0 -6.2 -12.6
0.5 33.8
dx
Then the velocity dt is
1 1 1
.𝐷 ≡ [∆ − 2 ∆2 + 3 ∆3 − ⋯ … … . ]
Where h = 0.1
dx
Therefore, the velocity dt = Dx at 𝑡 = 0.3 is given by
1 1 1 1
𝐷𝑥3 = 0.1 ∆𝑥3 − 2 ∆2 𝑥3 + 3 ∆3 𝑥3 − ⋯ … … . = 10 ∆𝑥3 − 2 ∆2 𝑥3 =127 cm per
second
Class Notes
1 11 5
𝐷2 𝑥3 = [∆2 𝑥3 − ∆3 𝑥3 + 12 ∆𝑥3 4 − 6 ∆5 𝑥3 + ⋯ … … . ]= 100[∆2 𝑥3 − 0]= -
h2
1260 cmper𝑠𝑒𝑐𝑜𝑛𝑑2 .
Numerical integration
𝑏
The process of computing the value of a definite integral 𝑎
𝑓 𝑥 𝑑𝑥 from a
set of numerical values of the integrand is called Numerical integration. When
applied to the integration of a function of one variable, the process is known
as quadrature.
.We shall, now establish a general formula for the numerical integration, from
which other special formulas will be deduced. For this, we assume that the
values of 𝒙 are at equal intervals .i.e𝑎 = 𝑥0 , 𝑥1 = 𝑥0 + h, 𝑥2 = 𝑥0 +
2h … … … … … . 𝑥𝑛 = 𝑥0 + 𝑛h = b
Class Notes
𝑥 0 +𝑛h
𝑓 𝑥 𝑑𝑥
𝑥0
𝑛
𝑢 𝑢−1 2 𝑢 𝑢−1 𝑢−2 3
=h 𝑦0 + 𝑢∆𝑦0 + ∆ 𝑦0 + ∆ 𝑦0
0 2! 3!
+ … … … … … 𝑑𝑢
𝑥 0 +𝑛h 𝑛2 1 𝑛3 𝑛2 1 𝑛4
𝑥0
𝑓 𝑥 𝑑𝑥 = h 𝑛𝑦0 + ∆𝑦0 + 2! − ∆2 𝑦0 + 3! − 𝑛3 +
2 3 2 4
[I] Trapezoidal rule :- If ,we put 𝑛 = 1 in (2) ,Then there are only two
ordinates 𝑦0 , , 𝑦1 , and only one finite difference ∆𝑦0 = 𝑦1 , − 𝑦0 , exists, all
other higher order finite differences become zero.
𝑥1
1 1 h
𝑓 𝑥 𝑑𝑥 = h 𝑦0 + ∆𝑦0 = h 𝑦0 + (𝑦1 , − 𝑦0 , ) = [𝑦0 + 𝑦1 , ]
𝑥0 2 2 2
The geometrical meaning of this result is that the area between the curve
𝑦 = 𝑓 𝑥 ,the𝑥-axis and the ordinates 𝑦0 𝑎𝑛𝑑𝑦1 , is approximated by the area of
the trapezium who parallel sides are𝑦0 𝑎𝑛𝑑𝑦1 , and whose breadth is
h = 𝑥1 , − 𝑥0 ,
𝑥2 h
Similarly 𝑥1
𝑓 𝑥 𝑑𝑥 = 2 [𝑦1 + 𝑦2 , ],
𝑥3
h
𝑓 𝑥 𝑑𝑥 = [𝑦2 + 𝑦3 , ]
𝑥2 2
And so on
𝑥𝑛
h
𝑓 𝑥 𝑑𝑥 = [𝑦𝑛−1 + 𝑦𝑛 , ]
𝑛−1 2
Class Notes
[II] Simpson’s 1/3rd rule : If ,we put 𝑛 = 2 in (2) ,Then there are only three
ordinates 𝑦0 , , 𝑦1 , 𝑦2 , and therefore only two finite differences
∆𝑦0 𝑎𝑛𝑑∆2 𝑦0 are exist and all other differences become zero.
𝑥2
𝐡
𝑓 𝑥 𝑑𝑥 = [𝑦 + 4𝑦1 , + 𝑦2 , ]
𝑥0 𝟑 0,
𝑥6 𝐡
𝑥4
𝑓 𝑥 𝑑𝑥 = 𝟑 [𝑦4 , + 4𝑦5 , + 𝑦6 , ] ,
And so on ……….
𝑥𝑛
𝐡
𝑓 𝑥 𝑑𝑥 = [𝑦 + 4𝑦𝑛−1 , + 𝑦𝑛 , ]
𝑥 𝑛 −2 𝟑 𝑛−2 ,
[III] Simpson’s 3/8rule :- If ,we put 𝑛 = 3 in (2) ,Then there are only four
ordinates 𝑦0 , , 𝑦1 , 𝑦2 , 𝑦3 , and therefore only three finite differences
∆𝑦0 , ∆2 𝑦0 , 𝑎𝑛𝑑∆3 𝑦0 are exist and all other differences become zero
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𝑥3
𝟑𝐡
𝑓 𝑥 𝑑𝑥 = 𝑦 + 3(𝑦1 , + 𝑦2 , + 𝒚𝟑 , ]
𝑥0 𝟖 0,
And so on ……….
𝑥𝑛
𝟑𝐡
𝑓 𝑥 𝑑𝑥 = 𝑦 + 3(𝑦𝑛−2 , + 𝑦𝑛−1, + 𝒚𝒏, ]
𝑥 𝑛 −3 𝟖 𝑛−3 ,
1 1
Example : Evaluate the integral 0 1+𝑥 2
𝑑𝑥 by taking no. of subinterval 4
through, Trapezoidal rule, Simpson’s 1/3rd rule and Simpson’s 3/8th rule.
𝑏−𝑎 1−0 1
Solution: We know that Where = = =
𝑛 4 4
𝒙 1
𝒚=
1 + 𝑥2
𝑥0 = 0 𝑦0 = 1
1 16
𝑥1 = 𝑥0 + = 𝑦1 =
4 17
1 4
𝑥2 = 𝑥0 + 2 = 𝑦2 =
2 5
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3 16
𝑥3 = 𝑥0 + 3 = 𝑦3 =
4 25
𝑥4 = 𝑥0 + 4 = 1 1
𝑦4 =
2
Class Notes
In this method for solving the above equations, we proceed stepwise asfollows
:
Class Notes
𝑎
second equation ( 𝑎 31 ) times the first equation from the third equation, e.t.c.
11
This gives new system say as follows:
Here the first equation is called the pivotal equation and 𝑎11 is called the first
pivot.
𝑎′
( 𝑎 33
′ )times the second equation from the third equation,
22
𝑎′
( 𝑎 42
′ )times the second equation from the fourth equation e.t.c.
22
The further steps are now obvious. In the third step, we eliminate 𝑥3 and in
the fourth step, we eliminate 𝑥4 e.t.c.
𝑐22 𝑥2 + … … … . +𝑐2𝑛 𝑥𝑛 = 𝑑2
𝑐𝑛𝑛 𝑥𝑛 = 𝑑𝑛
Class Notes
𝒙 + 𝟒𝒚 − 𝒛 = −𝟓
𝒙 + 𝒚 − 𝟔𝒛 = −𝟏𝟐
𝟑𝒙 − 𝒚 − 𝒛 = 𝟒
1 4 −1 𝑥 −5
≈ 1 1 6 𝑦 = −12
3 −1 −1 𝑧 4
→ 𝑅2 − 𝑅1 , → 𝑅3 − 3𝑅1
1 4 −1 𝑥 −5
≈ 0 −3 −5 𝑦 = −7
0 −13 2 𝑧 19
13
→ 𝑅3 − 𝑅
3 2
1 4 −1 𝑥 −5
≈ 0 −3 −5 𝑦 = −7
0 0 71/3 𝑧 148/3
𝒙 + 𝟒𝒚 − 𝒛 = −𝟓 … … . . (𝟏)
−𝟑𝒚 − 𝟓𝒛 = −𝟕 … … . . (𝟐)
71
𝒛 = 148/3 … … . . (𝟐)
3
Hence from above by back substitution, we get the desiredapproximate
solution
Class Notes
to a diagonal matrix. i.e. each equation involving only one unknown. Thus in
this method, thelabor of back substitution for finding the unknowns is saved at
the cost of additional calculations. This method is well explained by the
following example.
𝒙+𝒚+𝒛=𝟗
𝟐𝒙 − 𝟑𝒚 + 𝟒𝒛 = 𝟏𝟑
𝟑𝒙 + 𝟒𝒚 + 𝟓𝒛 = 𝟒𝟎
𝒙 + 𝒚 + 𝒛 = 𝟗 … … … . (𝟏)
𝟐𝒙 − 𝟑𝒚 + 𝟒𝒛 = 𝟏𝟑 … … … (𝟐)
𝟑𝒙 + 𝟒𝒚 + 𝟓𝒛 = 𝟒𝟎 … … … . (𝟑)
Step-1:- Operate (2)-2(1) and (3)-3(1) to eliminate 𝑥 from (2) and (3).
𝒙 + 𝒚 + 𝒛 = 𝟗 ………….(4)
−𝟓𝒚 + 𝟐𝒛 = −𝟓 … … … (𝟓)
𝒚 + 𝟐𝒛 = 𝟏𝟑 ……….(6)
Step-2:- operate (4) +1/5 (5) and (6) +1/5 (5) to eliminate 𝑦 from (4) and (6).
𝒙 + 7/5𝒛 = 𝟖 ……….(7)
−𝟓𝒚 + 𝟐𝒛 = −𝟓 … … … (𝟖)
𝟏𝟐
𝒛 = 𝟏𝟐 …………..(9)
𝟓
Step-3:- operate (7) -7/12 (9) and (8) -5/6 (9) to eliminate 𝑧 from (7) and (8).
𝒙=𝟏
𝒚=3
𝒛=𝟓
Class Notes
Now from the above matrix, the Matrix of 12 unknowns,so called derived
𝑙11 𝑢12 𝑢13 𝑦1
matrix or Auxiliary Matrix is 𝐷 ∶ 𝑀 = 𝑙21 𝑙22 𝑢23 𝑦2 and is to be
𝑙31 𝑙32 𝑙33 𝑦3
calculated as follows:
Step-1:- The first column of the derived matrix is identical with the first column
of 𝐴 ∶ 𝐵 .
Step-2: The first row to the right of the first column of the 𝐷 ∶ 𝑀 is obtained
by dividing the corresponding element in 𝐴 ∶ 𝐵 by the leading diagonal
element of that row.
𝑏3 − ( 𝑙31 𝑦1 + 𝑙32 𝑦2 )
𝑦3 =
𝑙33
𝑥3 = 𝑦3 ;
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𝑥2 = 𝑦2 − 𝑢23 𝑥3 ;
𝑥1 = 𝑦1 − [ 𝑥2 𝑢12 + 𝑥3 𝑢13 ]
2 𝑥1 − 6 𝑥2 + 8 𝑥3 = 24
5 𝑥1 + 4 𝑥2 − 3 𝑥3 = 2
3 𝑥1 + 𝑥2 + 2 𝑥3 = 16
Now from the above matrix, the Matrix of 12 unknowns,so called derived
𝑙11 𝑢12 𝑢13 𝑦1
matrix or Auxiliary Matrix is 𝐷 ∶ 𝑀 = 𝑙21 𝑙22 𝑢23 𝑦2 and is to be
𝑙31 𝑙32 𝑙33 𝑦3
calculated as follows:
Step-1:- The first column of the derived matrix 𝐷 ∶ 𝑀 is identical with the first
column of 𝐴 ∶ 𝐵 .
Step-2: The first row to the right of the first column of the 𝐷 ∶ 𝑀 is obtained
by dividing the corresponding element in 𝐴 ∶ 𝐵 by the leading diagonal
element of that row.i.e.
𝑎12 −6 𝑎13 8 𝑏1 24
𝑢12 = = = −3 ; 𝑢13 = = = 4; y = = = 12
𝑎11 2 𝑎11 2 𝑎11 2
Class Notes
23 40
𝑙33 = 𝑎33 − 𝑙31 𝑢13 + 𝑙32 𝑢23 = 2 − [3 4 + 10 − =
19 19
𝑥3 = 𝑦3=5 ;
58 23
𝑥2 = 𝑦2 − 𝑢23 𝑥3 = − −5 − = 2;
19 19
𝑎1 𝑥 + 𝑏1 𝑦 + 𝑐1 𝑧 = 𝑑1
𝑎2 𝑥 + 𝑏2 𝑦 + 𝑐2 𝑧 = 𝑑2 ……………..(1)
𝑎3 𝑥 + 𝑏3 𝑦 + 𝑐3 𝑧 = 𝑑3
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1
𝑥= ( 𝑑1 − 𝑏1 𝑦 − 𝑐1 𝑧)
𝑎1
1
𝑦= ( 𝑑2 − 𝑎2 𝑥 − 𝑐2 𝑧) ………………………… (2)
𝑏2
1
𝑧= ( 𝑑3 − 𝑎3 𝑥 − 𝑏3 𝑦)
𝑐3
1
𝑦1 = ( 𝑑2 − 𝑎2 𝑥0 − 𝑐2 𝑧0 )
𝑏2
1
𝑧1 = ( 𝑑3 − 𝑎3 𝑥0 − 𝑏3 𝑦0 )
𝑐3
Now for second approximations, Substituting the𝑥1 ,𝑦1 , 𝑧1 on the right hand
sides of (2).
1
𝑥2 = ( 𝑑1 − 𝑏1 𝑦1 − 𝑐1 𝑧1 )
𝑎1
1
𝑦2 = ( 𝑑2 − 𝑎2 𝑥1 − 𝑐2 𝑧1 )
𝑏2
1
𝑧2 = ( 𝑑3 − 𝑎3 𝑥1 − 𝑏3 𝑦1 )
𝑐3
Note :In the absence of any better estimates for 𝑥0 , 𝑦0 , 𝑧0 ,these may each
be taken as zero.
Class Notes
20𝑥 + 𝑦 − 2𝑧 = 17
3𝑥 + 20𝑦 − 𝑧 = −18……………..(1)
2𝑥 − 3𝑦 + 20𝑧 = 25
1
𝑥= (17 − 𝑦 + 2𝑧)
20
1
𝑦 = 20 (−18 − 3𝑥 + 𝑧) ………………………… (2)
1
𝑧= (25 − 2𝑥 + 3𝑦)
20
For first approximations, substituting 𝑥0 = 0, 𝑦0 = 0, 𝑧0 = 0 for the values
of 𝑥, 𝑦, 𝑧 respectively in above,
1
𝑥1 = 17 − 0 + 2.0 = 0.85;
20
1
𝑦1 = −18 − 3.0 + 0 = −0.9;
20
1
𝑧1 = 25 − 2. 0 + 3.0 = 1.25.
20
Now for second approximations, Substituting the𝑥1 ,𝑦1 , 𝑧1 on the right hand
sides of (2).
1
𝑥2 = 17 − 𝑦1 + 2 𝑧1 = 1.02;
20
1
𝑦2 = −18 − 3 𝑥1 + 𝑧1 = −0.965;
20
1
𝑧2 = 25 − 2𝑥1 + 3𝑦1 = 1.03.
20
Now for third approximations, Substituting the𝑥2 ,𝑦2 , 𝑧2 on the right hand sides
of (2).
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Class Notes
1
𝑥3 = 17 − 𝑦2 + 2 𝑧2 = 1.00125;
20
1
𝑦3 = −18 − 3 𝑥2 + 𝑧2 = −1.0015;
20
1
𝑧3 = 25 − 2𝑥2 + 3𝑦2 = 1.00325.
20
Now for fourth approximations, substituting these values on the right hand
sides of (2).
1
𝑥4 = 17 − 𝑦3 + 2 𝑧3 = 1.0004;
20
1
𝑦4 = −18 − 3 𝑥3 + 𝑧3 = −1.000025;
20
1
𝑧4 = 25 − 2𝑥3 + 3𝑦3 = 0.9965.
20
Now for fifth approximations, substituting these values on the right hand sides
of (2).
1
𝑥5 = 17 − 𝑦4 + 2 𝑧4 = 0.999966;
20
1
𝑦5 = −18 − 3 𝑥4 + 𝑧4 = −1.000078;
20
1
𝑧5 = 25 − 2𝑥4 + 3𝑦4 = 0.999956.
20
Now for sixth approximations, substituting these values on the right hand sides
of (2).
1
𝑥6 = 17 − 𝑦5 + 2 𝑧5 = 1.0000;
20
1
𝑦6 = −18 − 3 𝑥5 + 𝑧5 = −0.999997;
20
1
𝑧6 = 25 − 2𝑥5 + 3𝑦5 = 0.999992.
20
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Class Notes
As the values in the 5th and 6th approximations, i.e. Iterations being practically
the same.We can stop now, Hence the solution is
𝑥 = 1; 𝑦 = −1; 𝑧=1
𝑎1 𝑥 + 𝑏1 𝑦 + 𝑐1 𝑧 = 𝑑1
𝑎2 𝑥 + 𝑏2 𝑦 + 𝑐2 𝑧 = 𝑑2 ……………..(1)
𝑎3 𝑥 + 𝑏3 𝑦 + 𝑐3 𝑧 = 𝑑3
1
𝑥= ( 𝑑1 − 𝑏1 𝑦 − 𝑐1 𝑧)
𝑎1
1
𝑦= ( 𝑑2 − 𝑎2 𝑥 − 𝑐2 𝑧) ………………………… (2)
𝑏2
1
𝑧= ( 𝑑3 − 𝑎3 𝑥 − 𝑏3 𝑦)
𝑐3
1
𝑦1 = ( 𝑑2 − 𝑎2 𝑥1 − 𝑐2 𝑧0 )
𝑏2
1
𝑧1 = ( 𝑑3 − 𝑎3 𝑥1 − 𝑏3 𝑦1 )
𝑐3
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Class Notes
20𝑥 + 𝑦 − 2𝑧 = 17
3𝑥 + 20𝑦 − 𝑧 = −18……………..(1)
2𝑥 − 3𝑦 + 20𝑧 = 25
1
𝑦 = 20 (−18 − 3𝑥 + 𝑧) …………(ii)
1
𝑧 = 20 (25 − 2𝑥 + 3𝑦)………….(iii)
1
𝑥1 = 17 − 0 + 2.0 = 0.8500;
20
Substituting 𝑥 = 𝑥1 , 𝑧 = 𝑧0 for the values of 𝑥 , 𝑧 respectively in (ii)
1
𝑦1 = −18 − 3𝑥1 + 𝑧0 = −1.0275;
20
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1
𝑧1 = 25 − 2𝑥1 + 3𝑦1 = 1.0109
20
For Second approximations / Iteration
1
𝑥2 = 17 − 𝑦1 + 2𝑧1 = 1.0025;
20
Substituting 𝑥 = 𝑥2 , 𝑧 = 𝑧1 for the values of 𝑥 , 𝑧 respectively in (ii)
1
𝑦2 = −18 − 3𝑥2 + 𝑧1 = −0.9998;
20
Substituting 𝑥 = 𝑥2 , 𝑦 = 𝑦2 for the values of 𝑥 , 𝑦 respectively in (iii)
1
𝑧2 = 25 − 2𝑥2 + 3𝑦2 = 0.9998
20
For Third approximations / Iteration
1
𝑥3 = 17 − 𝑦2 + 2𝑧2 = 1.0000;
20
Substituting 𝑥 = 𝑥3 , 𝑧 = 𝑧2 for the values of 𝑥 , 𝑧 respectively in (ii)
1
𝑦3 = −18 − 3𝑥3 + 𝑧2 = −1.0000;
20
Substituting 𝑥 = 𝑥3 , 𝑦 = 𝑦3 for the values of 𝑥 , 𝑦 respectively in (iii)
1
𝑧3 = 25 − 2𝑥3 + 3𝑦3 = 1.0000
20
Hence,the values in 2nd and 3rd Approximations being practically the same,
Now ,we can stop,
Class Notes
(3) Relaxation method: This method was original developed by R.V. South
well in 1935,for application to Structural engg. Problems.
Let us consider the system of equations
𝑎1 𝑥 + 𝑏1 𝑦 + 𝑐1 𝑧 = 𝑑1
𝑎2 𝑥 + 𝑏2 𝑦 + 𝑐2 𝑧 = 𝑑2 ……………..(1)
𝑎3 𝑥 + 𝑏3 𝑦 + 𝑐3 𝑧 = 𝑑3
𝑅𝑥 = 𝑑1 − 𝑎1 𝑥 − 𝑏1 𝑦 − 𝑐1 𝑧
𝑅𝑦 = 𝑑2 − 𝑎2 𝑥 − 𝑏2 𝑦 − 𝑐2 𝑧 …………….. (2)
𝑅𝑧 = 𝑑3 − 𝑎3 𝑥 − 𝑏3 𝑦 − 𝑐3 𝑧
𝛿 𝑅𝑥 𝛿 𝑅𝑦 𝛿 𝑅𝑧
𝛿𝑥 = 1 − 𝑎1 −𝑎2 − 𝑎3
𝛿𝑦 = 1 − 𝑏1 − 𝑏2 − 𝑏3
𝛿𝑧 = 1 − 𝑐1 − 𝑐2 − 𝑐3
When all the residuals have been reduced to almost zero, the increments in
𝑥, 𝑦, 𝑎𝑛𝑑 𝑧 are added separately to give the desired solution.
10𝑥 − 2𝑦 − 3𝑧 = 205
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Class Notes
𝑅𝑥 = 205 − 10𝑥 + 2𝑦 + 3𝑧
𝑅𝑧 = 120 + 2𝑥 + 𝑦 − 10𝑧
𝛿 𝑅𝑥 𝛿 𝑅𝑦 𝛿 𝑅𝑧
𝛿𝑥 = 1 − 𝑎1 =-10 −𝑎2 = 2 − 𝑎3 = 2
𝛿𝑦 = 1 − 𝑏1 = 2 − 𝑏2 = 10 − 𝑏3 =1
𝛿𝑧 = 1 − 𝑐1 = 3 − 𝑐2 = 2 − 𝑐3 =-10
𝑅𝑥 𝑅𝑦 𝑅𝑧
𝑥 = 0, 𝑦 = 0, 𝑧 205 154 120
=0
𝛿𝑥 = 20 5 194 160
𝛿𝑦 = 19 43 4 179
𝛿𝑧 = 18 97 40 -1
𝛿𝑥 = 10 -3 60 19
𝛿𝑦 = 6 9 0 25
𝛿𝑧 = 2 15 4 5
𝛿𝑥 = 2 -5 8 9
𝛿𝑦 = 1 -2 10 -1
𝛿𝑧 = 1 0 0 0
𝑅𝑥 = 32, 𝑅𝑦 = 26, 𝑅𝑧 = 21
Class Notes
Module3:Numerical Methods–3
Contents
Ordinarydifferentialequations:Taylor’s series, EulerandmodifiedEuler’s
methods. RungeKuttamethodoffourthorderfor solving
firstandsecondorderequations.Milne’sandAdam’spredicator-
correctormethods.Partialdifferential
equations:FinitedifferencesolutiontwodimensionalLaplaceequationandPoissio
nequation,
Implicitandexplicitmethodsforonedimensionalheatequation(Bender-
SchmidtandCrank-
Nicholsonmethods),Finitedifferenceexplicitmethodforwaveequation
[III]Euler’s method.
Class Notes
𝑑𝑦 = 𝑓 𝑥, 𝑦 𝑑𝑥
𝑥
𝑦 − 𝑦0 = 𝑥𝑜
𝑓 𝑥, 𝑦 𝑑𝑥
𝑥
𝑦=𝑦0 + 𝑥𝑜
𝑓 𝑥, 𝑦 𝑑𝑥 ---------------------------- (2)
For first approximation 𝑦1 ,we replace y by𝑦0 in𝑓 𝑥, 𝑦 in the R.H.S. of equation
(2),
𝑥
i.e. 𝑦1 =𝑦0 + 𝑥𝑜
𝑓 𝑥, 𝑦0 𝑑𝑥--------------------------------- (3)
Now, for second approximation 𝑦2 ,we replace y by𝑦1 in𝑓 𝑥, 𝑦 in the R.H.S. of
equation (2),
𝑥
𝑖. 𝑒𝑦2 =𝑦0 + 𝑥𝑜
𝑓 𝑥, 𝑦1 𝑑𝑥--------------------------------- (4)
The process is to be stopped when the two values of y, viz𝑦𝑛 , 𝑦𝑛 −1 ,are same
to the desired degree of accuracy.
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Class Notes
initial value problem y'=y, y(0) =2 .Use y3 to estimate the value of y (0.8) and
equation (1)
𝑥
Therefore,𝑦1 =𝑦0 + 𝑥𝑜
𝑓 𝑥, 𝑦0 𝑑𝑥
x
y1=2+
0
2 dx 2 2 x
where
𝑓 𝑥, 𝑦0 = 𝑦0 = 2
Similarly,
2 2 x dx 2 2 x x
x
2
y2 =2+
0
also
x x3
y3=2+ (2 2 x x )dx 2 2 x x
2 2
0 3
At x= 0.8
1
y3=2+2(0.8)+(0.8)2+ (0.8)3
3
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Class Notes
=4.41
y=2e0.8=4.45
Subject to 𝑦 𝑥0 = 𝑦0.
𝑦 = 𝑦 𝑥 = 𝑦 𝑥0 + 𝑥 − 𝑥0
2 3
𝑥 − 𝑥0 ′ 𝑥 − 𝑥0 ′′
𝑥 − 𝑥0
= 𝑦 𝑥0 + 𝑦 𝑥0 + 𝑦 𝑥0 + 𝑦 ′′′ 𝑥0
1! 2! 3!
+ ⋯…………
If 𝑥0 = 0 then
𝑥 ′ 𝑥 2 ′′ 𝑥 3 ′′′
𝑦=𝑦 0 + 𝑦 0 + 𝑦 0 + 𝑦 0 + ⋯…………
1! 2! 3!
Example- Using Taylor’s Series method, find the solution of
𝑑𝑦
= 𝑥𝑦 − 1With𝑦 1 = 2correct to five decimal places at 𝑥 = 1.02
𝑑𝑥
𝑑𝑦
Solution: Given that𝑑𝑥 = 𝑥𝑦 − 1with𝑦 1 = 2 i.e.𝑥0 = 1 𝑎𝑛𝑑 𝑦0 = 2
i.e.𝑦 ′ = 𝑥𝑦 − 1 ∴ 𝑦 ′ 0 = 𝑥0 𝑦0 − 1 = 1.2 − 1 = 1 = 𝑦 ′ 𝑥0
𝑦 ′′ = 𝑦 + 𝑥𝑦 ′ ∴ 𝑦 ′′ 0 = 𝑦0 + 𝑥0 𝑦 ′ 0 = 2 + 1.1 = 3 = 𝑦 ′′ 𝑥0
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andso on
2 3
𝑥 − 𝑥0 ′ 𝑥 − 𝑥0 𝑥 − 𝑥0
y = 𝑦 𝑥0 + 𝑦 𝑥0 + 𝑦 ′′ 𝑥0 + 𝑦 ′′′ 𝑥0
1! 2! 3!
+ ⋯…………
2 3 4
𝑥−1 𝑥−1 𝑥−1 𝑥−1
=> 𝑦 =2+ .1+ .3 + .5 + . 14
1! 2! 3! 4!
+ ⋯…………
At 𝑥 = 1.02
Subject to 𝑦 𝑥0 = 𝑦0.
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In an small interval, a curve is nearly a straight line. This is the property used in
Euler’s method.
𝑑𝑦
Solution: Given that𝑑𝑥 = 𝑥 + 𝑦With𝑦 0 = 1
𝑥 𝑦 𝑑𝑦 𝑑𝑦
Old 𝑦 +0.1(𝑑𝑥 ) = 𝑛𝑒𝑤 𝑦
=𝑥+𝑦
𝑑𝑥
= 𝑓 𝑥, 𝑦
0.0 1.0 1.0 1.0 +0.1 (1.0) = 1.10
0.1 1.10 1.20 1.10 +0.1 (1.20) = 1.22
0.2 1.22 1.42 1.22+0.1 (1.42) = 1.36
0.3 1.36 1.66 1.36+0.1 (1.66) = 1.53
0.4 1.53 1.93 1.53+0.1 (1.93) = 1.72
0.5 1.72 2.22 1.72+0.1 (2.22) = 1.94
0.6 1.94 2.54 1.94+0.1 (2.54) = 2.19
0.7 2.19 2.89 2.19+0.1 (2.89) = 2.48
0.8 2.48 3.29 2.48+0.1 (3.29) = 2.81
0.9 2.81 3.71 2.81+0.1 (3.71) = 3.18
1.0 3.18
Class Notes
Subject to 𝑦 𝑥0 = 𝑦0.
In each step of this method ,we first compute the auxiliary value 𝑦𝑛 +1 𝑏𝑦
𝑟 h
𝑦𝑛+1 = 𝑦𝑛 + 2 [f xn , 𝑦𝑛 + f xn+1 , 𝑦𝑛𝑟−1
+1 ……….(3)
where𝑟𝑑𝑒𝑛𝑜𝑡𝑒𝑠𝑛𝑢𝑚𝑏𝑒𝑟𝑜𝑓𝑖𝑡𝑒𝑟𝑎𝑡𝑖𝑜𝑛 1,2,3 … … ..
𝑑𝑦
=𝑥+ 𝑦
𝑑𝑥
Subject to 𝑦 0 = 1 𝑓𝑜𝑟 0 ≤ 𝑥 ≤ 0.6 in the steps of 0.2
𝑑𝑦
=𝑥+ 𝑦
𝑑𝑥
Subject to 𝑦 0 = 1 i.e.𝑥0 = 0, 𝑦0. = 1 𝑎𝑛𝑑 h = 0.2
∴ we have ,
Class Notes
Predictor formula
𝑟 h 𝑟−1
𝑦𝑛+1 = 𝑦𝑛 + 2 [f xn , 𝑦𝑛 + f xn+1 , 𝑦𝑛 +1 ……….(2)
Where𝑟𝑑𝑒𝑛𝑜𝑡𝑒𝑠𝑛𝑢𝑚𝑏𝑒𝑟𝑜𝑓𝑖𝑡𝑒𝑟𝑎𝑡𝑖𝑜𝑛 1,2,3 … … ..
h
𝑦1 1 = 𝑦0 + [f x0 , 𝑦0 + f x1 , 𝑦1 0
2
0.2
𝑦1 1 = 1 + [ 𝑥0 + 𝑦0 + 𝑥1 + 𝑦1 0
2
0.2
=> 𝑦1 1 = 1 + [ 0+ 1 + 0.2 + 1.2 where𝑦1 0 = 𝑦1 = 1.2
2
h 0.2
𝑦1 2 = 𝑦0 + [f x0 , 𝑦0 + f x1 , 𝑦1 1 =1+ [ 𝑥0 + 𝑦0 + 𝑥1 + 𝑦1 1
2 2
= 1.2309
h 0.2
𝑦1 3 = 𝑦0 + [f x0 , 𝑦0 + f x1 , 𝑦1 2 =1+ [ 𝑥0 + 𝑦0 + 𝑥1 + 𝑦1 2
2 2
= 1.2309
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h
𝑦2 1 = 𝑦1 + [f x1 , 𝑦1 + f x2 , 𝑦2 0
2
0.2
𝑦2 1 = 1.2309 + [ 𝑥1 + 𝑦1 + 𝑥2 + 𝑦2 0
2
1 0.2
=> 𝑦2 = 1.2309 + [ 0.2 + 1.2309 + 0.4 + 1.49279 =1.52402
2
where𝑦2 0 = 𝑦2 = 1.49279
h
𝑦2 2 = 𝑦1 + [f x1 , 𝑦1 + f x2 , 𝑦2 1
2
0.2
= 1.2309 + [ 𝑥1 + 𝑦1 + 𝑥2 + 𝑦2 1 = 1.525297
2
h
𝑦2 3 = 𝑦1 + [f x1 , 𝑦1 + f x2 , 𝑦2 2
2
0.2
= 1.2309 + [ 𝑥1 + 𝑦1 + 𝑥2 + 𝑦2 2 = 1.52535
2
𝑦2 3 = 1.52535
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Hence ,by again (1), for finding the value of 𝑦3. 𝑝𝑢𝑡𝑛 = 2
∴ we have ,
h
𝑦3 1 = 𝑦2 + [f x2 , 𝑦2 + f x3 , 𝑦3 0
2
0.2
𝑦3 1 = 1.52535 + [ 𝑥2 + 𝑦2 + 𝑥3 + 𝑦3 0 where𝑦3 0 = 𝑦3 = 1.85236
2
0.2
=> 𝑦3 1 = 1.52535 + [ 0.4 + 1.52535 + 0.6 + 1.85236 =1.88496
2
Subject to 𝑦 𝑥0 = 𝑦0.
Class Notes
Now from above , it is clear that only 𝑛 = 3,4,5, … … … possible i.e. we shall
find 𝒚𝟒 , 𝒚𝟓. , 𝒚𝟔 … … … .. ,we must required four prior values
𝒚𝟎 , 𝒚𝟏. , 𝒚𝟐. 𝒂𝒏𝒅𝒚𝟑 of 𝑦 .
𝑑𝑦
= 𝑥2 1 + 𝑦
𝑑𝑥
Subject to 𝑦 1 = 1 , 𝑦 1.1 = 1.233 , 𝑦 1.2 = 1.548 , 𝑦 1.3 =
1.979 𝑎𝑛𝑑 𝑒𝑣𝑎𝑙𝑢𝑡𝑒 𝑦 1.4
𝑑𝑦
= 𝑥2 1 + 𝑦
𝑑𝑥
∴ we have ,
𝑦′ 1 = 𝑥 2 1 1 + 𝒚𝟏. = 2.7019
𝑦′ 2 = 𝑥 2 2 1 + 𝒚𝟐. = 3.6691
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𝑦′ 3 = 𝑥 2 3 1 + 𝒚𝟑. = 5.0345
Now ,we shall correct this value of 𝒚𝟒. of 𝑦 by the corrector formula (2) as
put𝑛 = 3, 𝑖𝑛 2
h
𝑦4,𝑐 = 𝑦2 + 3 [ 2 𝑦 ′ 2 + 4 𝑦′ 3 + 𝑦′ 4 ] = 2.5750
k1. = h 𝑓 𝑥0 , 𝑦0.
h k1.
k 2. = h 𝑓 𝑥0 + , 𝑦0 +
2 2
h k 2.
k 3 = h 𝑓 𝑥0 + , 𝑦0 +
2 2
k 4 = h 𝑓 𝑥0 + , 𝑦0 + k 3.
∴ 𝐰𝐞𝐡𝐚𝐯𝐞
k1. + 2 k 2. + k 3 + k 4
𝐾=
6
Hence, y1. = 𝑦0. + 𝐾 = 𝑦 𝑥1
Class Notes
k1. = h 𝑓 𝑥1 , 𝑦1.
h k1.
k 2. = h 𝑓 𝑥1 + , 𝑦1 +
2 2
h k 2.
k 3 = h 𝑓 𝑥1 + , 𝑦1 +
2 2
k 4 = h 𝑓 𝑥1 + , 𝑦1 + k 3.
∴ 𝐰𝐞𝐡𝐚𝐯𝐞
k1. + 2 k 2. + k 3 + k 4
𝐾=
6
Hence, y2. = 𝑦1. + 𝐾 = 𝑦 𝑥2 and so on for succeeding intervals.
Therefore , we can notice that the only change in the formulae for succeeding
intervals is in the values of 𝑥 𝑎𝑛𝑑 𝑦.This refinement was carried out by two
German mathematicians C.D.T. Runge (1856-1927) and M.W.Kutta (1867-
1944).
𝑑𝑦
Solution: Given that𝑑𝑥 = 𝑥 2 + 𝑦 2 Subject to 𝑦 1 = 1.5
∴ we have , = 0.1
𝒙𝟎 = 𝟏, 𝒙𝟏. = 𝟏. 𝟏, 𝒙𝟐. = 𝟏. 𝟐,
h k1. 2 2
k 2. = h 𝑓 𝑥0 + , 𝑦0 + = 0.1 1.05 + 1.6625 = 0.3866
2 2
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h k 2. 2 2
k 3 = h 𝑓 𝑥0 + , 𝑦0 + = 0.1 1.05 + 1.6933 = 0.3969
2 2
2 2
k 4 = h 𝑓 𝑥0 + , 𝑦0 + k 3. = 0.1 1.1 + 1.8969 = 0.4808
∴ 𝐰𝐞𝐡𝐚𝐯𝐞
k1. + 2 k 2. + k 3 + k 4
𝐾= = 0.3954
6
Hence,𝐲𝟏. = 𝒚𝟎. + 𝑲 = 𝒚 𝒙𝟏 = 𝟏. 𝟓 + 𝟎. 𝟑𝟗𝟓𝟒 = 𝟏. 𝟖𝟗𝟓𝟒
h k1. 2 2
k 2. = h 𝑓 𝑥1 + , 𝑦1 + = 0.1 1.1 + 0.05 + 1.8954 + 0.2401
2 2
= 0.5882
h k 2.
k 3 = h 𝑓 𝑥1 + , 𝑦1 + = 0.6116
2 2
k 4 = h 𝑓 𝑥1 + , 𝑦1 + k 3. = 0.7725
∴ we have
k1. + 2 k 2. + k 3 + k 4
𝐾= = 0.60815
6
Hence, y2. = 𝑦1. + 𝐾 = 𝑦 𝑥2 = 2.5035
Class Notes
Subject to 𝑦 𝑥0 = 𝑦0.
Now from above, it is clear that for applying this method , we require four
starting values of 𝑦.
Note :-In practice ,the Adam’s Bash forth method together with fourth order
Runge-Kutta method have been found to be most useful.
𝑑𝑦
= 𝑥2 1 + 𝑦
𝑑𝑥
Subject to 𝑦 1 = 1 , 𝑦 1.1 = 1.233 , 𝑦 1.2 = 1.548 , 𝑦 1.3 =
1.979 𝑎𝑛𝑑 𝑒𝑣𝑎𝑙𝑢𝑡𝑒 𝑦 1.4
𝑑𝑦
= 𝑥2 1 + 𝑦
𝑑𝑥
∴ we have ,
𝒚−𝟑. = 𝟏. 𝟎𝟎𝟎, 𝒚−𝟐. = 𝟏. 𝟐𝟑𝟑, 𝒚−𝟏. = 𝟏. 𝟓𝟒𝟖 , 𝒚𝟎. = 𝟏. 𝟗𝟕𝟗, 𝒚𝟒. = 𝒊. 𝒆. 𝑦1. =
?
2
Hence ,𝑓−3 = 1.0 1 + 1.000 = 2.000
2 2
Similarly 𝑓−2 = 1.1 1 + 1.233 = 2.702, 𝑓−1 = 1.2 1 + 1.548 = 3.669
2
,𝑓0 = 1.3 1 + 1.979 = 5.035
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2
and𝑓1 = 1.4 1 + 2.573 = 7.004
0.1
= 1.979 + [9× 7.004 + 19 × 5.035 − 5 × 3.669 + 2.702 ] = 2.575
24
[I]If𝐵 2 − 4 𝐴𝐶 < 0 at a point in the 𝑥, 𝑦 plane, then the equation (1) is called
Elliptic
Class Notes
𝜕2𝑢 𝜕2𝑢
+ 2 = 𝑓(𝑥, 𝑦)
𝜕𝑥 2 𝜕𝑦
𝜕2𝑢 1 𝜕𝑢
2
= 2
𝜕𝑥 𝑐 𝜕𝑡
[III ]If 𝐵 2 − 4 𝐴𝐶 > 0 at a point in the 𝑥, 𝑦 plane, then the equation (1) is
called hyperbolic.
𝜕2𝑢 1 𝜕2𝑢
=
𝜕𝑥 2 𝑐 2 𝜕𝑡 2
Numerical methods for solving boundary value problems for each three types
are slightly different from one another.Most commonly used numerical
method to solve such problems is termed as finite difference method or net
method. In this method, the derivatives appearing in the equation and the
boundary conditions are replaced by their finite difference approximations.
Then the given equation is changed into a system of linear equations, which
are solved by iterative procedures.This process is slow but produces good
resultsin many boundary value problems.
Class Notes
(i, j+2)
(i, j+1)
K=1
(i, j-1)
(i, j-2)
h=1
Now ,we can interpret the above idea in a different notation by drawing two
sets of parallel lines 𝑥 = 𝑖 and 𝑦 = 𝑗𝑘, 𝑖 = 𝑗 = 0,1,2, … … …
The point of intersection of these family of lines are called mesh points or lattice
points. The point 𝑖, 𝑗 is called the grid point and is surrounded by the
neighboring points as shown in below figure (2).
If 𝑢 is a function of two variables 𝑥, 𝑦 then the values of 𝑢 𝑥, 𝑦 at the point
𝑖, 𝑗 is denoted by 𝑢𝑖,𝑗
We can write
𝜕𝑢 𝑢𝑖+1,𝑗 − 𝑢𝑖,𝑗
= 𝑢𝑥 =
𝜕𝑥
𝑢𝑖,𝑗 − 𝑢𝑖−1,𝑗
=
𝑢 𝑖+1,𝑗 −𝑢𝑖−1,𝑗
= 2
,
𝜕𝑢 𝑢𝑖,𝑗 +1 − 𝑢𝑖 ,𝑗
= 𝑢𝑦 =
𝜕𝑦 𝑘
𝑢𝑖,𝑗 − 𝑢𝑖,𝑗−1
=
𝑘
𝑢𝑖,𝑗 +1 − 𝑢𝑖,𝑗−1
=
2𝑘
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Class Notes
This type of equation arises in potential and steady state flow problems. The
solution u 𝑥, 𝑦 of (1) is satisfied at every point of the region subject to given
boundary conditions on the closed curve. Consider a rectangular region 𝑅 for
which u 𝑥, 𝑦 is known at the boundary. Divide this region𝑅 for which u 𝑥, 𝑦 is
Known at the boundary.Divide this region into a network of square mesh of
side .
𝑢𝑖,𝑗 +1
Class Notes
𝑢𝑖,𝑗 −1
This shows that the value of 𝑢𝑖,𝑗 = u 𝑥, 𝑦 at any interior mesh point is the
average of it’s values at four neighboring points to left, right, above and
below.This is called the Standard five point formula (SFPF) or as Lineman’s
averaging procedure.
=> 𝑢𝑖,𝑗 =
𝑢 𝑖−1,𝑗 +1 +𝑢 𝑖+1,𝑗 −1 +𝑢 𝑖+1,𝑗 +1 +𝑢 𝑖−1 ,𝑗 −1
…………………… (3)
4
𝑢𝑖−1,𝑗 +1
𝑢𝑖+1,𝑗 +1
𝑢𝑖,𝑗
𝑢 𝑖−1,𝑗 −1 𝑢𝑖+1,𝑗 −1
This shows that the value of 𝑢𝑖,𝑗 = u 𝑥, 𝑦 is the average (or Arithmetic mean)
of it’s values at the four neighboring diagonal mesh points.This is called the
Diagonal five point formula (DFPF).
Although (3) is less accurate than (2), yet it serves as a reasonably good
approximation for obtaining the starting values at the mesh points. In the
iteration procedure, but wheneverpossible formula (2) is preferred in
comparison to formula (3).
Now to solve a Laplace equation by finite difference method,we adapt the
following set procedure
Suppose that the given boundary values are 𝑎1 , 𝑎2 ,𝑎3 …………..,𝑎16 .Now ,we
are to determine initial values of 𝑢𝑖,𝑗 = u 𝑥, 𝑦 at the interior mesh points
region 𝑅. Since the value 𝑢5 at the center an therefore the values 𝑢1 , 𝑢3 , 𝑢7 , 𝑢9 ,
are computed by using Diagonal five point formula (DFPF), therefore ,we have
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1 1 1
𝑢5 = 4 [ 𝑎1 + 𝑎9 + 𝑎13 + 𝑎5 ] ; 𝑢1 = 4 [ 𝑎15 + 𝑎11 + 𝑎13 + 𝑢5 ] ; 𝑢3 = 4 [ 𝑢5 +
𝑎9 + 𝑎11 + 𝑎7 ] ;
1 1
𝑢7 = [ 𝑎1 + 𝑢5 + 𝑎15 + 𝑎3 ] ; 𝑢9 = [ 𝑎3 + 𝑢5 + 𝑎7 + 𝑎5 ]
4 4
The values at the remaining interior mesh points i.e. the values of
𝑢2 , 𝑢4 , 𝑢6 , 𝑢8 , are computed by using, Standard five point formula (SFPF)
therefore, we have
1 1 1
𝑢2 = 4 [ 𝑢1 + 𝑢3 + 𝑎11 + 𝑢5 ] ; 𝑢4 = 4 [ 𝑎15 + 𝑢5 + 𝑢1 + 𝑢7 ] ; 𝑢6 = 4 [ 𝑢5 + 𝑢7 +
𝑢3 + 𝑢9 ];
1
𝑢8 = [ 𝑢7 + 𝑢9 + 𝑢5 + 𝑎3 ]
4
Thus ,we have computed all values 𝑢1 , 𝑢2 , 𝑢3 , … . . , 𝑢9 once. The accuracy of
𝑢1 , 𝑢2 , 𝑢3 , … . . , 𝑢9 are improved by the repeated application of the any one of
the following iterative formulae.
(𝑛+1)1 𝑛 𝑛
𝑢𝑖,𝑗
= [𝑢𝑖−1,𝑗 + 𝑢𝑖+1,𝑗 + 𝑢𝑖,𝑗𝑛 +1 + 𝑢𝑖,𝑗𝑛 −1 ]
4
Where 𝑛 = 0,1,2, … … be the no. of iterations.
(ii) Gauss s Seidal ‘s iterative method
1 𝑛 +1
(𝑛+1) 𝑛
+ 𝑢𝑖,𝑗𝑛+1 𝑛
𝑢𝑖,𝑗
= [𝑢𝑖−1,𝑗 + 𝑢𝑖+1,𝑗 +1 + 𝑢𝑖,𝑗 −1 ]
4
Where 𝑛 = 0,1,2, … … be the no. of iterations.
Class Notes
Let u1 , u2 ……u9 be the values of u at the interior mesh points of the given
region.By symmetry about the lines AB and the line CD,we observe
Class Notes
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Class Notes
When steady state condition prevail, the temperature distribution of the plate
is represented by Laplace equation uxx+uyy=0.The temperature along the edges
of the square plate of side 4 are given by along x=y=0,u=x3 along y=4 and u=16y
along x=4, divide the square plate into 16 square meshes of side h=1 ,compute
the temperature a iteration process.
Class Notes
In this session, we will discuss the finite difference solution of one dimensional
heat flow equation by Explicit and implicit method
Class Notes
Note
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Introduction
Class Notes
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Practice Problems:
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2u 2u
Example: Solve the equation 10( x 2 y 2 10) over the square
x 2 y 2
with sides x y 0, to x y 3 with u( x, y) 0 on the boundary and mesh
length is one.
Module -4
Transform Calculus
Contents
Laplace Transform, Laplace Transform of elementary function, Properties of Laplace
Transform,Change of Scale property , First and Second Shifting Properties , Laplace
Transform of periodic functions , Laplace Transform of Derivatives and Integrals,
Inverse Laplace Transform and Its Properties, Convolution Theorem, Application of
Laplace Transform in Solving the Ordinary Differential Equations. Fourier
transforms.
Class Notes
2. Prerequisite:
The Laplace transform also has the advantage that it solves problems
directly,initial and boundary value problems without determining a general
solution.
4. Key Notations:
5. Key Definitions:
(1) LAPLACE TRANSFORM: Let f (t ) be a function defined for all positive values
of t , then
(s) e st f (t ) dt provided the integral exists, is called the Laplace
0
Transform of f (t ) .
It is denoted as
L f (t ) (s) e s t f ( t ) dt
0
(2) INVERSE LAPLACE TRANSFORM: If L f (t ) (s) e s t f ( t ) dt then
0
f (t ) is called the
Class Notes
LAPLACE TRANSFORM:
STANDARD FORMULAE:
1
1) L(eat ) ( s a)
sa
1
2) L(1) ( s 0)
s
a
3) L(sin at )
s a2
2
s
4) L(cos at )
s a2
2
a
5) L(sinh at ) (s a )
s a2
2
s
6) L(cosh at ) (s a )
s a2
2
n 1
7) L(t n )
s n 1
7. SAMPLE PROBLEMS:
cos t for 0 t
f (t )
sin t for t
Chameli Devi Group of Institutions
Class Notes
e ax
But e ax cos bx dx a cos bx b sin bx
a 2 b2
e ax
e sin bx dx a 2 b2
ax
a sin bx b cos bx
1 1
L f (t ) e st s cos t sin t 2 e st s sin t cos t
s 12 0 s 1
1 1
e s ( s ) ( s ) 2 e s
s 1 2
s 1
1
2 s ( s 1) e s
s 1
Unsolved Problem
1) f (t ) (t 2)
2
t 2 , f (t ) 0 0 t 2 Ans : 23 e2 s
s
2) f (t ) t 0t a
1 (b a) 1 as
b t a Ans : 2 e
s 2 s s
3) f (t ) t , 0 t 3 1 3 1
Ans : 2 2 e3s
6 , t 3 s s s
Class Notes
L k1 f (t ) k2 g (t ) k1L f (t ) k2 L g (t )
Unsolved Problem
2 1 1 1 s
1) t 2 e2t cosh 2 3t Ans : 2
s ( s 2) 2 s s 62
3
1 4
2) (sin 2t cos 2t )2 Ans : 2
s s 42
s w
3) cos(wt b) Ans : cos b 2 sin b
s w2
2
s w2
5 s
4) sin(5t 3) Ans : cos 3 2 2 sin 3
s 5
2 2
s 5
5!
6) sin 5 t Ans :
( s 1)( s 9)( s 2 25)
2 2
Class Notes
s3
Ex.If L f (t ) log , find L f (2t ) .
s 1
1 s
L f (2t )
2 2
s
2 3
L f (2t ) log
1
2 s 1
2
1 s6
log
2 s2
Unsolved Problem
1 s
If L[ f (t )] (s) then L[ f (at )] ( )
a a
s 3 1 ( s 6)
1) Find L[ f (2t )] if L[ f (t )] log Ans : 2 log ( s 2)
s 1
1 2
2) Find L[(erf 2 t )], If L ert t Ans :
s s 1 s s4
s
3) Find L cos 4t , If L cos t
s 1
2
Class Notes
1 1
sin 2t cos t 2sin 2t cos t sin 3t sin t
2 2
2 t
e e
2t
cosh 2t
2
1
sin 2t cos t cosh 2t e 2t e 2t sin 3t sin t
2
3
sin 3t
s 9
2
3 3
L e2t sin 3t , L e2t sin 3t
s 2 s 2
2 2
9 9
L e2t sin 3t L e2t sin 3t 3
1
1
s 2 9 s 2 9
2 2
3.2 s 2 13
s 4 10s 2 132
1
Now sin t
s 12
L e 2t sin t 1
, L e 2t sin t 1
s 2 s 2
2 2
1 1
2 s2 5
L e sin t L e
2t
2 t
sin t s 4 6 s 2 52
Class Notes
Unsolved Problem
4!
1) e3t t 4 Ans :
( s 3)5
t 3 3s
2) sinh( ) sin( t ) Ans :
2 2 2( s s 2 1)
4
cos 2t sin t ( s 2 2s 2)
3) Ans :
et ( s 2 2s 10)( s 2 2s 2)
2( s 4)
4) e4t sinh t sin t Ans :
( s 6s 10)( s 2 10s 26)
2
12s
5) et sin 2t sin 3t Ans :
( s 2s 2)( s 2 2s 26)
2
4( s 2 6s 50)
6) e3t cosh 5t sin 4t Ans :
( s 2 4s 20)( s 2 16s 80)
3( s 2 13) ( s 2 5)
7) sin 2t cos t cosh 2t Ans :
( s 4 10s 2 132 ) ( s 4 6s 2 52 )
( s 2 8s 18)
8) e4t cosh t sin t Ans :
( s 2 6s 10)( s 2 10s 26)
EFFECT OF MULTIPLICATION BY t n :
dn
If L[ f (t )] ( s) then L[t f (t )] (1)
n
(s)
n
ds n
Solution:
Chameli Devi Group of Institutions
Class Notes
2
t t t t
sin cos sin cos
2 2 2 2
t t
L 1 sin t L sin cos
2 2
12
s
1 2
2 2
s2 s2 1
2
1 4 4s
2 4s 1
2
4s 2 1
4s 2 2 2s 1
4s 2 1 4s 2 1
d 2 2 s 1
L 1 sin t
ds 4 s 2 1
4 s 2 1 2 2 s 1 8s
2
2
4s 1
2
8s 2 8s 2
2
4s 2 1 2
4
4s 4s 1
2
4s 1
2
2
Chameli Devi Group of Institutions
Class Notes
Unsolved Problem
dn
If L[ f (t )] ( s) then L[t n f (t )] (1) n (s)
ds n
24s( s 5)
1) t sin 3 t Ans :
( s 1)2 ( s 2 9)2
2
( s 1) ( s 1)
2) t sin 2t cosh t Ans : 2 2 2 2
( s 2s 5) ( s 2s 5)
2
1 1 s 2 22
3) t cos2 t Ans :
2 s 2 2 ( s 2 22 ) 2
8( s 3)
4) te3t sin 4t Ans :
( s 6s 2s) 2
2
(2s 6)
5) te3t sin t Ans :
( s 6s 10)2
2
4(4s 2 4s 1)
6) t 1 sin t Ans :
(4s 2 1)2
4( s 3)
7) te3t sin 2t Ans :
( s 6s 13) 2
2
( s 2 3)
8) t 2 sin 3t Ans : 18
( s 2 9)3
EFFECT OF DIVISION BY t
1
If L[ f (t )] ( s) then L f (t ) ( s) ds
t s
sin 2 t
Ex. Find L 2
t
Chameli Devi Group of Institutions
Class Notes
1 cos t
L sin 2 t L
2
1
L 1 L cos 2t
2
1 1 s
2
2 s s 4
sin 2 t 1 1 s
L 2 ds
t 2 s s s 4
1
1
log s log s 2 4
2 2 s
1 s 2
log 2
4 s 4 s
1 s2
log 2
4 s 4
1 s2 4
log 2
4 s
sin 2 t 1 s2 4
L 2 log 2 ds
t s4 s
Integrating by parts
Chameli Devi Group of Institutions
Class Notes
sin 2 t 1 s 2 4
L 2 log 2 s s 2
s 2
s 2 2s s 2 4 2s
ds
4
t 4 s s 4 s
s
1 s2 4 ds
s log 2 8 2
4 s s 4 s
1 s2 4 s
s log 2 2 tan 1
4 s 2 s
Unsolved Problem :
If L[ f (t )] ( s) then L f (t ) ( s) ds
1
t s
1 1 s2 1
1) (1 cos t ) Ans : log 2
t 2 s
1 at sb
2) (e ebt ) Ans : log
t sa
sin 2 2t 1 s2 4
3) Ans : log 2
t 4 s
sin 2 t 1 s s2 a2
5) Ans : 2cot s log
t2 2 s
1 cos t s s2 1
6) Ans : log 2 tan 1 s
t2 2 2 s
Class Notes
If L[ f (t )] ( s ) then
L[ f '(t )] s ( s ) f (0)
L[ f ''(t )] s 2 ( s ) sf (0) f '(0)
L[ F '''(t )] s 3 ( s) s 2 f (0) sf '(0) f ''(0)
L f n (t ) s n ( s ) s n 1 f (0) s n 2 f '(0) s n 3 f ''(0) f ( n 1) (0)
Solution: L f (t ) f (s)
sin t
L L sin t ds
t s
1
ds
s
s 1
2
tan 1 s
s
1
cot s
f (s) cot 1 s
L f ' (t ) s f ( s ) f (0)
sin t
s cot 1 s lim
t 0 t
sin t
But f (0) lim is an indeterminate form, which can be solved by
t 0 t
L’Hospital’s Rule
sin t cos t
lim
t 0
lim
t 0
By differentiating numerator and deonimnatorseparately
t 1
1
Chameli Devi Group of Institutions
Class Notes
L f ' (t ) L f (t ) f (0)
s cot 1 s 1
Unsolved Problem
sin t
i) If f (t ) Ans : s cot 1 s 1
t
ii) f (t ) 3 , 0 t 5
0 , t 5
3
Ans : 1 e5 s
s
iii) f (t ) t , 0 t 3 1 3 1 1 1
Ans : 2 e3s 2 , e3s 3
6 , t 3 s s s s s
t
1 1 1
2) If L 2 3 2 , Show that L
π
s πt s
2 s
3) If L t sin t , evaluate i) L t cos t sin t ii) L 2cos t t sin t
s
2 2 2
2 s 2s3
Ans :i) , ii)
s 2 s 2
2 2 2 2
t ( s)
If L f (t ) s then L f u du
0 s
Chameli Devi Group of Institutions
Class Notes
Solution:
d
L t sin 3t L sin 3t
ds
d 3
2
ds s 9
6s
2
s2 9
6 s 4
L t e4t sin 3t
s
2
2
8s 25
t 1
L t e4t sin 3t L t e 4t sin 3t
0 s
6 s 4
2
s s 2 8s 25
Unsolved Problem
t ( s 2 a 2 )
1) t cosh t dt Ans : 2
0 s( s a 2 )2
t 1 1 s 2 22
2) t cos 2 t dt Ans :
0 2 s 3 2 s ( s 2 22 ) 2
1 et s 1
dt Ans : log
t
1
3)
0 t s s
tsin t 1
4) dt Ans : cot 1 s
0 t s
Chameli Devi Group of Institutions
Class Notes
t t t
2
5) t sin tdtdtdt Ans :
s 2 s 2 1
2
000
t
sin u
Solution: By comparing the given integral e t
du dt with the Definition
0 0
u
of Laplace transform L [f (t)] =
0
e st f (t ) dt we get,
t
sin u
s=1 and f (t ) du
0
u
1
L sin u
s 12
sin u
L L sin u ds
u s
1
Now, ds
s
s 1
2
tan 1 s
s
tan 1 s
2
cot 1 s
t sin u 1 sin u
L du L
0 u s u
1
cot 1 s
s
t
sin u 1
Now, e
st
du dt cot 1 s
0 0
u s
Chameli Devi Group of Institutions
Class Notes
t
sin u
e
t
du dt cot 1 1
0 0
u 4
Unsolved Problem
6
1) Show that e2t sin 3 t dt
0 65
sin t sinh t
2) Show that e 2t
dt
0 t 8
sin 2t sin 3t 3
4) Show that
dt
0
t
te 4
et sin 3 t
5) Show that dt
0 t 3
6) Evaluate t 3 et sin t dt
0
t sin u
7) Evaluate et du dt
00 u
3 π
8) If e2t cos t sin t dt find Ans :
0 8 4
STANDARD FORMULAE:
1) L1
1
eat
s a
1
2) L1 e at
s a
1
3) L1 1
s
Chameli Devi Group of Institutions
Class Notes
n 1
1 t
4) L1 n
s n
5) L1 2
1 sin at
s a
2
a
6) L1 2
s
cos at
s a
2
7) L1 2
s
cosh at
s a
2
8) L1 2
1 sinh at
s a
2
a
3s 4
Ex. Find the inverse Laplace transform of
s 2 16
Solution:
3s 4 1 s 1 4
L1 2 3L 2 L 2
s 16 s 16 s 16
s 1 4
3L1 2 2
L 2 2
s 4 s 4
3cos 4t sin 4t
Unsolved Problem
1)
1 sin 3t
Ans :
s 9
2
3
Chameli Devi Group of Institutions
Class Notes
2)
s 2 3s 4
Ans :2t 2 3t 1
s3
3)
3s 4 3 4 3
Ans : cos 7t sin 7t
s2 7 7
4s 12
Ex.Find the inverse Laplace transform of
s 8s 12
2
Solution:
4s 12 1 4 s 4 2
2
1
L 2 L
s 8s 12 s 4 22
2
4 s 4 1 22
L1 L
s 4 22 s 4 22
2 2
s 22
4e4t L1 2 2 4e4t L1 2 2
s 2 s 2
1
4e4t cosh 2t 4e4t sinh 2t
4
Class Notes
Unsolved Problem
1)
2s 2
Ans : 2et cos3t
s 2s 10
2
2)
s2
Ans : e2t cos 3t
s 4s 7
2
3)
2s 3
Ans :2et cos t et sin t
s 2s 2
2
s 2 2s 3
Ex. Find the inverse Laplace transform of 2
s 2s 5 s 2 2s 2
s 1 2
2
s 2 2s 3 1
Solution: L 21
L
s 2s 5 s 2 2s 2 s 12 22 s 12 12
s2 2
et L1 2
s 4 s 2 1
Let
s2 x
And hence
Chameli Devi Group of Institutions
Class Notes
s2 2 x2
2
s 4 s 2 1 x 4 x 1
x2 a b
x 4 x 1 x 4 x 1
x 2 a x 1 b x 4
s2 2 2 1 1 1
2 2 2
s 4 s 1 3 s 4 3 s 1
2
s2 2 2 1 1 1
L1 2 L1 2 L1 2
s 4 s 2
1 3 s 4
3 s 1
2 1 1
sin 2t sin t
3 2 3
s 2 2s 3 et
L1 2 sin 2t sin t
s 2s 5 s 2s 2 3
2
Unsolved Problem
3s 1 2 2 7
1) Ans : et cos 2t sin 2t
s 1 s 2
2
3 3 3 2
2)
s2 1
Ans : (a sin at b sin bt )
s 2
a 2
s 2
b 2
a b2
2
Chameli Devi Group of Institutions
Class Notes
4)
s2
s ( s 3)
2
Ans :
1
9
1 6t e3t
5)
s 2 2s 3 et
Ans : sin 2t sin t
( s 2 2s 5)( s 2 2s 2) 3
6)
s 1
Ans : cos t cos 2t
( s 1)( s 2 4)
2
3
.
s 2 3t t
7) Ans : sin sinh
1 s s
2 4
3 2 2
21s 33 3
8) Ans :2et 2e2t 6te2t t 2e2t
s 1 s 2
3
2
s2 a 2t 2
e at 1 2at
2
11)
s a
3
1
12) Ans : -1+t+et
s s 1
2
s 1
13) Ans : sin at sinh at.
s 4a 4
4
2a 2
t
L1[1 ( s).2 ( s)] f1 (u ). f 2 (t u ) du
0
Class Notes
s 2
2
s 2 s 2
2 2
L
1 L
1
2
s 2 4 s 8 2
s 2 2
2 2
1 s2
e 2t L
s 2 22 2
s
L1 cos 2t
s 22
2
s s
t
L1 2 2 2 2
cos 2u cos 2 t u du
s 2 s 2 0
t
1
cos 2t cos 4u 2t du
20
t
1 1
u cos 2t sin 4u 2t
2 4 0
1 1 1
t cos 2t sin 2t sin 2t
2 4 4
1 1
t cos 2t sin 2t
2 2
s 2
2 2 t
L 1 e t cos 2t 1 sin 2t
s 2 4s 8 2 2 2
e 2t
2t cos 2t sin 2t
4
Unsolved Problem
Class Notes
1)
s2 1
Ans sinh at at cosh at
( s 2 a 2 )2 2
2)
1 e3t 2t 1 t t2 t3
Ans : e
( s 2)4 ( s 3) 625 625 125 50 30
3)
( s 2)2 e2t
Ans : [sin 2t 2t cos 2t ]
( s 2 4s 8)2 4
4)
1 1 2t 2t
Ans : [e e 4te2t ]
( s 2)( s 2)2 16
s2 1
5) Ans : 2sin 2t sin t
s 2
1 s 2 4 3
s t sin at
6) Ans :
(s a )
2 2 2
2a
s2 s 1
8) 2 Ans : 3cos t sin t 3et cos t et sin t
s 1 s 2s 2
2
5
Class Notes
1
L H (t a ) e as
s
1
L H (t )
s
L f (t ) H (t a ) e as L f (t a )
L f (t ) H (t ) L f (t )
cos t 0t
Ex 1. Express the function f (t ) cos 2t t 2 as Heaviside’s unit step
cos 3t t 2
functions and find their Laplace transform.
Solution: Here
Chameli Devi Group of Institutions
Class Notes
f (t ) 1 2t 3t 2 4t 3 and a 2
f (t 2) 1 2(t 2) 3(t 2) 2 4(t 2)3
4t 3 21t 2 38t 25
L f (t 2) L 4t 3 21t 2 38t 25
3! 2! 1 1
4 4
21 3 38 2 25
s s s s
24 42 38 25
L f (t ) H (t 2) e 2 s 4 3 2
s s s s
Unsolved Problem
e as
1) Prove that L H (t a)
s
3) Evaluate
s 3 s
3 se 2
e 2
L sin t H t H t Ans :
2 2 s 1
2
s
4) Evaluate
L (1 2t 3t 2 4t 3 ) H (t 2) and hence evaluate 0 et (1 2t 3t 2 4t 3 ) H (t 2) dt
25 38 42 24 129
Ans : e2 s 2 3 4 , 2
s s s s e
e s 2e2 s e3s
6) f t t 1, 1 t 2 Ans : 2 2
s2 s s
3 t , 2 t 3
7) f t cos t , 0 t π Ans :
1
s 1
2 s e s s 1 e2 s
sin t , π t 2π
Chameli Devi Group of Institutions
Class Notes
L t a e as
L (t ) 1
L sin 2t t 2 L f (t ) t 2
e as f (a)
e2 s sin 4
Unsolved Problem
2e2 s
4) Prove that L t 2 H t 2 cos t t 4 1 2s 2s 2 e 4 s cosh 4
s3
5) Prove that t e
2 t
sin t t 2 dt 4e2 sin 2
0
1 T st
If f (t) is a periodic function of period T then L[ f (t )] e f (t )dt
1 eTs 0
Chameli Devi Group of Institutions
Class Notes
1 0t a
Ex. Find the Laplace transform of f (t ) and f (t) is periodic
1 a t 2a
with period 2a.
2a
1
L f (t ) e
st
f (t ) dt
1 e2 as 0
1 st
a 2a
1 e 2 as 0 a
st
e (1) dt e ( 1) dt
1 e st e st
a 2 a
1 e 2 as s 0 s a
as
1 1 e
1 1
2
2 as
1 e as
s 1 e s 1 e as
1 e 2 e 2
as as
as
s e 2 e as 2
1 as
tanh
s 2
Unsolved Problem
1 T st
If f (t ) is a periodic function of period T then L[ f (t )] e f (t )dt
1 eTs 0
k ke s
1) Find Laplace Transform of f t kt , 0 t 1 Ans :
s 2 s 1 e s
0 ,1 t 2
Class Notes
f (t ) a sin pt for 0 t
p
2 ap 1
0 for t Ans : s
p p s p2
2
1 e p
2
and f (t ) is periodic with the period
p
1
L1 H (t )
s
1
L1 e as H (t a )
s
L e s f (t a ) H (t a )
1 as
e 4 3 s
Ex. Find the inverse Laplace transform of .
s 4
5
2
1
Solution: Here s , We know that
s 4 2
5
1
f (t ) L1 s L1
s 4
5
2
1
e 4t L1 5
( By first shifting theorem )
2
s
3
4 t t 2
e ,
5 / 2
3
e 4t t 2
3
2
1 1/ 2
2
3
4e 4t t 2
3
Chameli Devi Group of Institutions
Class Notes
e 4 3 s 4e4 4t
e t 3 2 H t 3
3
L1
s 4 3
5
2
Unsolved Problem
Evaluate
1)
4 3 s 3
L
1 e 4
Ans : e4(t 4) (t 3) 2 H (t 3)
5
3
( s 4)
2
( s 1)e s
( t 1)
(t 1) 1 (t 1)
2) L1 2 Ans : e 2
cos 3 sin( 3 ) H (t 1)
s s 1 2 3 2
3)
e s
L1 2 2 Ans : (t ) sin(t ).H (t )
s ( s 1)
4)
2s
1 se e s 1
L Ans : sin t H t H (t 1)
(s 2 2 ) 2
The following are steps to solve ordinary differential equations using the
Laplace transform method
Class Notes
t
dy
2 y y dt sin t , given that y (0) 1 .
dt 0
t
L( y ) 2 L( y ) L y dt L sin t
'
0
But
s 2 2s 1 s2 2
y
s s2 1
s s2 2
y
s 1
2
s 2
1
s s2 2 a b cs d
2
Let
s 1
2
s 2
1 s 1 s 1 2
s 1
s s 2 2 a s 1 s 2 1 b s 2 1 cs d s 1
2
Chameli Devi Group of Institutions
Class Notes
3
Putting s 1, 3 = 2b b
2
Putting s 0, 0 abd
0 a b 2c d and 1 a c
3 3
b , ad
2 2
3
and a 2c d
2
3
But a d 2c 0 c 0
2
1 a c and c 0 a 1
3 1
ad and a 1 d
2 2
3 1
a 1, b , c 0, d
2 2
1 3 1 1 1
y
s 1 2 s 1 2 s 2 1
2
1 3 t 1 1 1 1 1
y L1 e L 2 L
s 1 2 s 2 s 2 1
3 1
y e t te t sin t
2 2
But
Chameli Devi Group of Institutions
Class Notes
L e t sin t
1
( s 1) 2 1
1
( s 2 y 1) 2sy 5 y
( s 1) 2 1
1 s 2 2s 3
( s 2s 5) y 1 2
2
s 2s 2 s 2 2s 2
s 2 2s 3
y 2
( s 2s 5)( s 2 2s 2)
s 2 2s 3 as b cs d
Let y 2
( s 2s 5)( s 2s 2)
2 2
( s 2s 5) ( s 2s 2)
2
2 1 1 1 2 1 1 1
y
3 ( s 2 s 5) 3 ( s 2 s 2) 3 ( s 1) 2 3 ( s 1) 2 12
2 2 2 2
dy
Ex.3. Solve 3 2 y e x , y(0) 5
dx
Class Notes
dy
L 3 2 y L e x
dx
1
3[ sY ( s) y(0)] 2Y ( s)
s 1
1
3[ sY ( s) 5] 2Y ( s)
s 1
1
(3s 2)Y ( s) 15
s 1
15s 16
(3s 2)Y ( s)
s 1
15s 16
Y ( s)
( s 1)(3s 2)
15s 16 A B
( s 1)(3s 2) s 1 3s 2
15s 16 3 As 2 A Bs B
( s 1)(3s 2) ( s 1)(3s 2)
15s 16 3As 2 A Bs B
3 A B 15
2 A B 16
A 1
B 18
Chameli Devi Group of Institutions
Class Notes
1 18
Y ( s)
s 1 3s 2
1 6
s 1 s 0.666667
1 1 6
L1{Y ( s)} L1 L
s 1 s 0.666667
Since
1
L1 e
at
sa
y( x) e x 6e 0.666667x
Unsolved Problem :
1) Solve
dy 10 23 t 1 3t
3 2 y e3t , y 1 at t 0 Ans : e e
dt 11 11
dy 2 1 1
2) Solve 3 y 2 et , y 1 at t 0 Ans : et e3t
dt 3 2 6
dx
3) Solve x sin wt , x(0) 2
dt
1
Ans : [(2w2 w 2)et w cos wt sin wt ]
1 w2
Class Notes
d2y dy
5) Solve 2
4 8 y 1, where y (0) 0, y '(0) 1
dt dt
1 1 3
Ans : e2t cos 2t e2t sin 2t
8 8 8
d2y
6) Solve y t , where y(0) 1, y '(0) 0 Ans : t cos t sin t
dt 2
dy t
7) Solve 2 y ydt sin t , given that y(0) 1.
dt 0
3 1
Ans : y et et t sin t
2 2
d2y π
8) Solve 2 9 y cos 2t with y 0 1 & y 1
dt 2
1 1 4
y cos 2t cos 3t sin 3t
5 5 5
d2y 3 1
9) Solve 2
4 y 3et where y 0 0 & y ' 0 3 Ans : et e2t e2t
dt 2 2
Fourier Transform:
It is denoted by 𝐹 𝑓(𝑥) = 𝐹(𝑠) and defined as
∞
1
𝐹 𝑓 𝑥 = 𝑓 𝑥 𝑒 𝑖𝑠𝑥 𝑑𝑥
2𝜋 −∞
Inverse Fourier Transform:
It is given by
1 ∞
𝑓(𝑥)= 2𝜋 −∞ 𝐹(𝑠)𝑒 −𝑖𝑠𝑥 𝑑𝑠
Class Notes
∞
2
Fc f(x) = f x cossx dx
π
0
2 ∞
IFST 𝑓𝑐 𝑥 = F(s)cossx ds
π 0
Q.1: Find Fourier Cosine Transform of the function f(x)= 𝑒 −𝑥 , 𝑥 ≥ 0
∞
2
𝐹𝑐 𝑠 = 𝑓 𝑥 𝑐𝑜𝑠𝑠𝑥𝑑𝑥
𝜋 0
∞
2
𝐹𝑐 𝑠 = 𝑒 −𝑥 𝑐𝑜𝑠𝑠𝑥𝑑𝑥
𝜋 0
2 𝑒 −𝑥
𝐹𝑐 𝑠 = [ (− cos 𝑠𝑥 + 𝑠 sin 𝑠𝑥)]
𝜋 1 + 𝑠2
2 1
𝐹𝑐 𝑠 =
𝜋 1 + 𝑠2
∞
2
𝑓𝑠 𝑥 = 𝐹 𝑠 𝑆𝑖𝑛𝑠𝑥𝑑𝑠
𝜋 0
∞
2 𝑠
𝑓𝑠 𝑥 = 𝑆𝑖𝑛𝑠𝑥𝑑𝑠
𝜋 0 1 + 𝑠2
Class Notes
2 ∞
𝑠2
𝑓𝑠 𝑥 = 𝑆𝑖𝑛𝑠𝑥𝑑𝑠
𝜋 0 s(1 + 𝑠 2 )
∞ 2
2 𝑠 +1−1
𝑓𝑠 𝑥 = 𝑆𝑖𝑛𝑠𝑥𝑑𝑠
𝜋 0 s(1 + 𝑠 2 )
∞ ∞ 2
2 1 2 𝑠 +1−1
𝑓𝑠 𝑥 = 𝑆𝑖𝑛𝑠𝑥𝑑𝑠 − 𝑆𝑖𝑛𝑠𝑥𝑑𝑠
𝜋 0 s 𝜋 0 s(1 + 𝑠 2 )
∞
𝜋 2 1
𝑓𝑠 𝑥 = − 𝑆𝑖𝑛𝑠𝑥𝑑𝑠
2 𝜋 0 s(1 + 𝑠 2 )
Differentiate bw.r.to x
∞
𝑑𝑓𝑠 𝑥 2 𝑠
=− cos 𝑠𝑥 𝑑𝑠
𝑑𝑥 𝜋 0 s(1 + 𝑠 2 )
𝑑 2 𝑓𝑠 𝑥 2 ∞
𝑠
= sin 𝑠𝑥 𝑑𝑠
𝑑𝑥 2 𝜋 0 (1 + 𝑠 2 )
𝑑2 𝑓𝑠 𝑥
= 𝑓𝑠 𝑥
𝑑𝑥 2
𝐷2 − 1 𝑓𝑠 𝑥 = 0
𝑓𝑠 𝑥 = 𝑎𝑒 𝑥 + 𝑏𝑒 −𝑥
Class Notes
𝜋 −𝑥
𝑓𝑠 𝑥 = 𝑒
2
𝑒 −𝑎𝑥
Q.3: Find the Fourier sine transform of . Hence find Fourier sine transform
𝑥
1
of 𝑥 .
∞
2
Fs f(x) = f x Sinsx dx
π
0
∞
2 𝑒 −𝑎𝑥
Fs f(x) = Sinsx dx
π 𝑥
0
𝑑𝐹𝑠 𝑥 2 ∞ 𝑒 −𝑎𝑥
= x cos sx dx
𝑑𝑠 π 0 𝑥
𝑑𝐹𝑠 𝑥 2 a
=
𝑑𝑠 π a 2 +s 2
Now integrating w.r.to s,
We have
2 ′ s
𝐹𝑠 𝑥 = tan− +c
π a
But for s=0
F(0)=0
And therefore c=0
Hence,
∞
2 𝑒 −𝑎𝑥 2 ′ s
Sinsx dx = tan−
π 𝑥 π a
0
Taking a=0, both the sides
∞
sin 𝑠𝑥 π
dx =
𝑥 2
0
Class Notes
Procedure
Firstly take the Fourier transform of both sides of the given differential
equation. Thus we shell get an algebraic equation. Simplify and get Fourier
transform.
Now take the inverse Fourier transform. Apply initial condition and then
required solution is obtained.
Remark: If we take the Fourier transform of 𝑒 𝑥 𝑜𝑟𝑒 −𝑥 then we shell find that
the integral diverges and hence Fourier transform does not exist.
𝜕𝑉 𝜕2𝑉
Example: Solve =
𝜕𝑡 𝜕𝑥 2
2) V(x,0)=𝑒 −𝑥 , 𝑥 > 0
Solution: Taking Fourier Sine Transform of both the sides of given equation, we
have
2 ∞
𝜕𝑉 2 ∞
𝜕2𝑉
sin 𝑠𝑥𝑑𝑥 = sin 𝑠𝑥𝑑𝑥
𝜋 0 𝜕𝑡 𝜋 0 𝜕𝑥 2
∞ ∞
2𝑑 2 𝜕𝑉 𝜕𝑉
⇒ 𝑉 sin 𝑠𝑥𝑑𝑥 = {sin𝑠𝑥 −𝑠 cos 𝑠𝑥𝑑𝑥}
𝜋 𝑑𝑡 0 𝜋 𝜕𝑥 0 𝜕𝑥
∞
𝑑𝑉𝑠 2
⇒ = {𝑠[𝑉 cos 𝑠𝑥] − 𝑠 2 𝑉 sin 𝑠𝑥𝑑𝑥}
𝑑𝑡 𝜋 0
𝑑𝑉𝑠 2 ∞
= {𝑠[𝑉 cos 𝑠𝑥] − 𝑠 2 0
𝑉 sin 𝑠𝑥𝑑𝑥}
𝑑𝑡 𝜋
Class Notes
𝑑𝑉𝑠
⇒ + 2𝑠 2 𝑉𝑠 = 0
𝑑𝑡
2𝑡
⇒ 𝑉𝑠 = 𝐴𝑒 −2𝑠
Now at t=0,
⇒ 𝑉𝑠 = 𝐴
∞
2
⇒ 𝑉𝑠 (𝑠, 0) = 𝑉(𝑥, 0) sin 𝑠𝑥𝑑𝑥
𝜋 0
∞
2
⇒ 𝑉𝑠 (𝑠, 0) = 𝑒 −𝑥 sin 𝑠𝑥𝑑𝑥
𝜋 0
2 𝑠
⇒ 𝑉𝑠 𝑠, 0 =
𝜋 1 + 𝑠2
2 𝑠
⇒𝐴=
𝜋 1 + 𝑠2
Therefore,
2 𝑠 2
⇒ 𝑉𝑠 = 𝑒 −2𝑠 𝑡
𝜋 1 + 𝑠2
2 ∞ 2 𝑠 2
𝑉(𝑥, 𝑡)= 𝜋 0 𝜋 1+𝑠 2
𝑒 −2𝑠 𝑡 sin 𝑠𝑥𝑑𝑠
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Class Notes
Module 5:
Concept of Probability
In general:
Number of ways it can happen: 1 (there is only 1 face with a "4" on it)
1
So the probability =
6
Example: there are 5 marbles in a bag: 4 are blue, and 1 is red. What is the
probability that a blue marble gets picked?
4
So the probability = = 0.8
5
Words:-
Tossing a coin, throwing dice, seeing what pizza people choose are all
examples of experiments.
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Class Notes
So the Sample Space is all 52 possible cards: {Ace of Hearts, 2 of Hearts, etc... }
"King" is not a sample point. As there are 4 Kings that is 4 different sample
points.
Example Events:
Random Variable:
A Random Variable assumes only a set of real values & the values which
variable takes depends on the chance.
For Example:
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Class Notes
1
p xi = 2i , i = 1,2,3, …
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Class Notes
a) 𝑓 𝑥 ≥ 0 , ∀ 𝑥 ∈ 𝑅, −∞ < 𝑥 < ∞
∞
b) −∞ 𝑓 𝑥 𝑑𝑥 = 1 𝑖𝑓𝑎 ≤ 𝑥 ≤ 𝑏
Then the function 𝑓 𝑥 is called probability density function of the
continuous random variable X.
𝑏
Moreover, 𝑃 𝑎≤𝑋≤𝑏 = 𝑎
𝑓 𝑥 𝑑𝑥 𝑓𝑜𝑟 𝑎𝑛𝑦 𝑟𝑒𝑎𝑙 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡𝑠 𝑎, 𝑏 𝑤𝑖𝑡 𝑎 ≤
𝑏
Class Notes
𝑑𝐹 𝑥
e) If 𝑋continuous random variable , then =𝑓 𝑥
𝑑𝑥
𝑤𝑒𝑟𝑒 𝐹 𝑥 𝑖𝑠 𝑐𝑑𝑓 𝑎𝑛𝑑 𝑓 𝑥 𝑖𝑠 𝑝𝑑𝑓.
Moreover,
∞ ∞
Mean =𝜇1′ = −∞
𝑥𝑓 𝑥 𝑑𝑥 , 𝜇2′ = −∞
𝑥2𝑓 𝑥 𝑑𝑥
Examples:
1) Let X be a random variable with PDF given by
𝑓 𝑥 = 𝑐𝑥 2 𝑥 ≤ 1
0 𝑜𝑡𝑒𝑟𝑤𝑖𝑠𝑒
. c. Find P(X≥12).
∞
Solution: To find c, we can use −∞
𝑓 𝑥 𝑑𝑥=1:
1
1= −1
𝑐𝑥 2 𝑑𝑥
2
1=3 𝑐
3
ThereforeC=2
1
To find EX, we can write −1
𝑥𝑓 𝑥 𝑑𝑥=o
In fact, we could have guessed EX=0 because the PDF is symmetric around x=0.
To find Var(X), we have
Var(X)
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Class Notes
=EX2−(EX)2=EX2
1
= −1
𝑥𝑓 𝑥 𝑑𝑥
=3/5
To Find P(X≥12):
3 1
P(X≥12)=2 1 𝑥 2 𝑑𝑥
2
=7/16.
So = 1 , or c = 1, so c = 3
Consequently f(x) = 3 : 0
Again P( ) = =
= -1 , Hence mode =
Variance = = =
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Class Notes
Theoretical Distributions :
Definition : When frequency distribution of some universe are not based on
actual observation or experiments , but can be derived mathematically from
certain predetermined hypothesis , then such distribution are said to be
theoretical distributions.
Class Notes
Normal Distribution
Binomial Distribution:
1. The procedure has a fixed number of trials. [n trials]
Notations:
n!
Formula for Binomial Probabilities: P( x) p x q n x for x 0,1, 2,..., n
(n x)! x !
5! 5 4 3!
P( x 2) 0.320.752 (0.09)(0.343) = 10(0.03087) = 0.3087
(5 2)!2! 3! 2!
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Class Notes
= x p(x)
= x nCx p x q n – x
= np( q + p ) n-1
= np
Mean = = np
= x 2 p(x) 2
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Class Notes
= 0. nC0 p 0q n-0 +1. nC1 p1 q n- 1 +4. nC2 p2 q n-2 +…..+ n 2.nCnpn q n-n –
(n2p2)
= np ( 1+ (n-1)p) -n 2p 2
= np + n 2p2 – n p 2 – n 2p 2
= np(1 – p)
= npq
Examples:
1) Six dice are thrown 729 times. How many times do you expect at least
three dice to show a five or six?
Solution: We know that when a die is thrown , the probability to show a 5
or 6 = 2/6 = 2/3 = p (say)
= 6𝑥=3 𝑝(𝑥) = p(3) + p(4) + p(5) +p(6), where p(x) is the probability to show 5
or 6
233
=6 C3𝑞 3 𝑝3 + 6
C4𝑝4 𝑞 2 + 6 C5𝑝5 𝑞 + 6 C6𝑝6 = = p (say)
729
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Class Notes
2) The mean and variance of a binomial variate are 16 & 8. Find i) P (X= 0)
ii) P( X ≥ 2)
Mean = np = 16
Variance = npq = 8
q = 8/16 = 1/2
p=1–q=½
np = 16 ie, n = 32
i) P ( X = 0 ) = nC0 p 0q n-0
= (½)0 (1/2)32
= (1/2)32
ii)P( X ≥ 2) = 1 – P ( X < 2)
= 1 – P( X = 0 ,1)
= 1 – P(X = 0) – P(X = 1)
= 1- 33 (1/2)32
2) Six dice are thrown 729 times.Howmany times do you expect atleast 3
dice to show a 5 or 6 ?
Class Notes
q = 1 – 1/3 = 2/3
P(x ≥ 3) = P ( x = 2,3,4,5,6)
= p( x=3)+p(x=4)+p(x=5)+p(x=6)
=0 .3196
ie, p =80C1
100C1
= 0.8
q = 1- 0.8 = 0.2
n=20 n p =2
p(x ≥ 3) = 1 – p ( x < 3 )
= 1 – p( x = 0,1,2) = 0.323
Class Notes
= 323
Problems
x: 0 1 2 3 4 5
f: 2 14 20 34 22 8
Here n = 5 , N = 100
𝑥𝑖 𝑓𝑖
Mean = = 2.84
𝑓𝑖
np = 2.84
p = 2.84/5 = 0.568
q = 0.432
r p(r) N* p(r)
0 0.0147 1.47 = 1
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Class Notes
5 0.060 6 =6
Total = 100
Poisson Distribution :.
m is the parameter which indicates the average number of events in the given
time interval.
1. Mean :-
The mean of Poisson distribution is
∞
𝜇= 𝑟 P r, 𝜆
𝑟=0
∞ 𝜆 𝑟 𝑒 −𝜆
= 𝑟=0 𝑟 𝑟 !
𝜆 𝑟
∞
=𝑒 −𝜆 𝑟=0 𝑟 𝑟!
1 2 𝑟
=𝑒 −𝜆 [0 + 1! 𝜆 + 2! 𝜆2 + ⋯ … … … . . + 𝑟! 𝜆𝑟 + ⋯ … … . . ]
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Class Notes
1 1 1
= 𝜆 𝑒 −𝜆 [1 + 𝜆 + 𝜆2 + ⋯ … … … . . + 𝜆𝑟 + ⋯ … … . . ]
1! 2! (𝑟 − 1)!
∴ 𝜇 = 𝜆 𝑒 −𝜆 𝑒 𝜆 = 𝜆 = 𝑛𝑝
2. Variance:-
∞
𝜎2 = 𝑟−𝜇 2
P r, 𝜆
𝑟=0
= 𝑟 2 − 2𝜇𝑟 + 𝜇 2 P r, 𝜆
𝑟=0
∞ ∞ ∞
2 2
= 𝑟 P r, 𝜆 − 2𝜇 𝑟 P r, 𝜆 + 𝜇 P r, 𝜆
𝑟=0 𝑟=0 𝑟=0
= 𝑟 2 P r, 𝜆 − 2𝜇 . 𝜇 + 𝜇 2 . 1
𝑟=0
= 𝑟 2 P r, 𝜆 − 𝜇 2
𝑟=0
∞
2
𝜆𝑟 𝑒 −𝜆
= 𝑟 − 𝜆2
𝑟!
𝑟=0
∞
−𝜆 2
𝜆𝑟
=𝑒 𝑟 − 𝜆2
𝑟!
𝑟=0
−𝜆
1 2 2 32 3 𝑟2 𝑟
=𝑒 0 + 𝜆 + 2 𝜆 + 𝜆 + ⋯ … … … . . + 𝜆 + ⋯ … … . . − 𝜆2
1! 2! 3! 𝑟!
−𝜆
1 𝜆2 1 2𝜆2
= 𝜆𝑒 1 + 𝜆 + + ⋯. + 𝜆+ + ⋯. − 𝜆2
1! 2! 1! 2!
= 𝜆𝑒 −𝜆 𝑒 𝜆 + 𝜆𝑒 𝜆 − 𝜆2 = 𝜆 + 𝜆2 − 𝜆2 = 𝜆 = 𝑛𝑝
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Class Notes
Note: Events, which are extremely rare but have a large number of
independent opportunities, for occurrence are found to obey the law of
Poisson probability distribution satisfactorily. Emission and disintegration of
radioactive rays, number of occurrences of rare diseases etc. are phenomena
of this nature.
1. The number of road construction projects that take place at any one time in
a certain city follows a Poisson distribution with a mean of 3. Find the
probability that exactly five road construction projects are currently taking
place in this city. (0.100819)
2. The number of road construction projects that take place at any one time in
a certain city follows a Poisson distribution with a mean of 7. Find the
probability that more than four road construction projects are currently taking
place in the city. (0.827008)
Class Notes
As follows
1
N𝑒 −𝑚 , N𝑒 −𝑚 .m, N𝑒 −𝑚 .2 𝑚2
𝒙=𝒓 0 1 2 3 4
𝒇 122 60 15 2 1
And 𝑁 = 𝑓 = 200
e−m −0.05 r
𝑁 P r, 𝑚 = 𝑁 P r = 𝑁 r! mr = 200 e r!
(0.05) for 𝒓 = 𝟎 𝒕𝒐 𝟒
Therefore
e−0.05 0
𝑁P 0 = 200 (0.05) = 200 X 0.61 = 122
0!
e−0.05 1
𝑁P 1 = 200 (0.05) = 61
1!
e−0.05 2
𝑁P 2 = 200 (0.05) = 15
2!
e−0.05 3
𝑁P 3 = 200 (0.05) = 3
3!
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e−0.05 4
𝑁P 4 = 200 (0.05) = 0
4!
Hence ,the above theoretical frequency distribution is shown below
𝒙=𝒓 0 1 2 3 4
𝒇 122 61 15 3 0
Normal Distribution:
Bell-shaped appearance
Symmetrical
Unimodal
Mean = Median = Mode
Described by two parameters: mean (μx) and standard deviation (σx)
1
f(x; , ) =
2
- < x <
- 1 x-
e 2
2
where the function f(x) defines the probability density associated with X = x.
That is, the above formula is a probability density function
Because μx and σxcan have infinitely many values, it follows there are infinitely
many normal distributions:
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Class Notes
1 z 2
Class Notes
If X is a normal random variable with mean μx and σx, then the standard normal
variable (normal deviate) is obtained by:
𝒙 − 𝝁𝒙
𝒛=
𝝈𝒙
Class Notes
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e x
f x
x 0
0 x 0
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Class Notes
x x
F (x) = P[ Xx ] = f (t ) dt = 0 et 1 e x
0
x 0
P[ X>x ] = e x x 0
1
Also = E[X] = and =
Reason:
0 x e x dx
0
x 1 e x 1
0
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E X
2
x 2 e x dx
0
OR
2
1 x
2 0 x e dx
1
2
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Example:
1 1
4
.25
P X 4 e x e
14 4
e1 .367879
≈ .368
Example:
The waiting time T for the next customer follows an exponential distribution with a mean
waiting time of five minutes. Find the probability that the next customer waits for at most ten
minutes.
1 1
.2
5
P[ T 10 ] = F (10) = 1 P T 10 1 e
1510
1 e2 1 .135335
Note:
1 1
Also = = 0 P[ X< ] = 0 = P[ X< 2 ]