Sci

ent

ifiCompu

Coupled ODEs
tin g

Consider

= f(t , u, v), u = g(t , u, v), v

Examples:

u(t0 ) = u0 , v(t0 ) = v0

Second order systems like mechanical systems coupled diffusion-reaction systems like the Brussulator

Partititioned Methods for Multield Problems

Joachim Rang, 8.5.2013
8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 1
Sci ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 2

Sci

ent

ifiCompu

tin

Partitioned RungeKutta methods

ki = f tm + ci , um +
j =1 s s

Application
Second order ODE:

ij lj a

= f(t , u, u ), u
s

aij kj , v +
j =1 s

u(t0 ) = u0 ,

(t0 ) = u 0. u

Apply partitioned RungeKutta method:

i , um + li = g tm + c

ij lj a

aij kj , vm +
j =1 j =1 s

ki = vm +
j =1

ij lj a
s s

li = f tm + ci , um +

ij lj a

um+1 = um +
i =1

bi ki ,

vm+1 = vm +
i =1

i li . b

aij kj , vm +
j =1 j =1 s s

i , c ij , b i Coefcients: aij , bi , ci , a Advantage: Each problem can be solved by a special RungeKutta method.
8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 3
Sci ifiCompu tin ent g

ij lj a

= f tm + ci , um +
j =1

aij

vm +
k =1

jk lk a

, vm +
j =1

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 4

Sci

ent

ifiCompu

tin

RungeKuttaNystrm method
A RungeKuttaNystrm method can then we be written as

Example
s s

li = f tm + ci , um + ci vm + 2

ij lj a
Nystrm method of order 4: 0 ij 1/2 1/8 a 1 0 1 /2 1/6 1/3 0 1/6 4/6 1/6

ij lj , vm + a
j =1 j =1

um+1 = um + vm +
s

2 i =1

i li b

ci

vm+1 = vm +
i =1

i li . b
s s

i b i b

where

ij = a
j =1

jk , aij a

i = bi b
j =1

ij a

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 5

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 6

Sci

ent

ifiCompu

tin

Example
Advantage: ODE can be splitted into a stiff and into a non-stiff part. Consider

Methods
method of Heun: 0
1 3 2 3 1 3

0
1 4

1 u 2 u

81 34 38 24

u1 u2

u1 (0) u2 (0)

1 3

0 3 4 Lobatto-IIIC method with 3 internal stages 0 0

5 24 1 6 1 6

2 3

Exact solution: u1 (t ) u2 (t )

0
1 3 2 3 2 3

0
1 24 1 6 1 6

2 1

exp(100t ) +

1
2

exp(5t ).

1 2

partitioned RungeKutta method with the Heun and Lobatto-IIIA method.

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 7
Sci ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 8

Sci

ent

ifiCompu

tin

Numerical result

Remarks
Partitioned RungeKutta methods may have order reduction. Higher order PRK methods must satisfy further order conditions A partitioned RungeKutta method is of order 2, if and only if both RungeKutta methods have at least order 2 and if the coupling condition s s i aij = 1 ij = bi a b 2
i ,j =1 i , j =1

is satised.

i , and both methods satisfy i , bi = b This condition is valid, if ci = c the simplifying condition C (1).

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 9

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 10

Sci

ent

ifiCompu

tin

New method
Aim: Find an explicit RungeKutta method of order 3 with c1 = 0, b1 = 1/6, c2 = 1/2, b2 = 2/3,
s

Numerical result
c3 = 1 b3 = 1/6.

remaining order condition bi aij cj = 1/6

i =1

is valid, if we choose 32 = 2. Finally we have 31 = 1. 0

1 2 1 2

-1
1 6

2
4 6 1 6

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 11

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 12

Sci

ent

ifiCompu

tin

Multirate formulas
Consider the coupled ODE

BDF formulas
For subsystem 1 we apply the BDF formula with stepsize , i. e.
k

= f(t , u, v), u = g(t , u, v), v

Assumptions:

u(0) = u0 , v(0) = v0 .

r umr + 0 f(tm , um , vm ) = 0,
r =0

0 = 1.

(1)

First ODE is a so-called fast subsystem, i. e. the component u changes fastly Second ODE is a so-called slow subsystem, i. e. the component v slowly.

On the subsystem2 we apply the same BDF formula but with stepsize q , q 1, i. e.
k

r umqr + q 0 f(tm , um , vm ) = 0,
r =0

0 = 1.

(2)

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 13

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 14

Sci

ent

ifiCompu

tin

Example

Coupling

different stepsizes:
... tnq ...

tn1 tn

use interpolation and extrapolation, i. e.

k

tm1 tm t nq tn

m = v
r =0

r ,m(nq ) vmrq , a

n q < m n.

(3)

...

t n2q

A sequence of computation is not implied.

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 15

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 16

Sci

ent

ifiCompu

tin

Fastest rst algorithm

Slowest rst algorithm

Integrate the fast subsystem with (1) from tnq to tn using q steps.

m is computed from (3) using vnkq , . . . , vnq The slow solution v

Integrate the slow subsystem with (2) from tnq to tn using one step.

Integrate the slow subsystem with (2), where un is approximated by m computed from an extrapolation formula similar to equation (3) u and based on unq k 1 , . . . , unq . Integrate the fast subsystem with (1) from tnq to tn . The approximation vn may be corrected by a reevaluation of (3).

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 17

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 18

Sci

ent

ifiCompu

tin

The Picard method

Remarks

Solve the ODE

= f(t , u), u
by the help of the Picard method.

u(0) = u0 .

The Picard iteration is nowadays only used for theoretical investigations. simple splitting of the ODE. Often such methods are called waveform relaxation methods or shortly WR methods. (4) This class of methods were introduced by Lelarasmee (1982).

Therefore let u(0) (t ) be a given function. Then the sequence of ODES

(k +1) = f(t , u(k ) (t )), u

is called Picard iteration.

u(k +1) (0) = u0 .

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 19

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 20

Sci

ent

ifiCompu

tin

Convergence

Dahlquist problem
Consider

= u , u
Exact solution:
t

u (0) = 1,

where < 0 xed. Then we get from (5) f(, u(k ) ( ))d .
0

u(k +1) (t ) = u0 +

(5) u(k +1) (t ) = u0 +

0

u(k ) ( )d .

The convergence speed is rather slow, but the Picard method is easy to parallelise.

Let u (0) (t ) 1. Then we get

t k

u (k ) (t ) = 1 +
0

u (k 1) ( )d =
l =0

(t )l . l!

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 21

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 22

Sci

ent

ifiCompu

tin

Local error

Improvements

The local error is then given by

|u (t ) u (k ) (t )| =

(t )k +1 + O(t k +2 ). (k + 1)!

An improvement of the Picard iterations can be found in a paper of Skeel (1989). The idea is to replace (4) by

(k +1) Mk u(k +1) = f(t , u(k ) (t )) Mk u(k ) , u

u(k +1) (0) = u0 .

We have only convergence if ||t /k < 1, i. e. the iteration number k should satisfy the inequality k > ||T . For stiff problem, i. e. problems with large ||, we need a lot of iterations.

This approach can be interpreted as a generalisation of the splitting of the linear system Ax = b.

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 23

Sci

ifiCompu tin ent g

8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 24

Sci

ent

ifiCompu

tin

Literature
E. Hairer, S. P. Nrsett, and G. Wanner. Solving ordinary differential equations. I: Nonstiff problems., Springer-Verlag, Berlin, 1993. E. Lelarasmee. The waveform relaxation method for the time domain analysis of large scale nonlinear dynamical systems. Ph.d. thesis, Univ. of California, Berkeley, 1982. E. Lelarasmee, A. Ruehli, and A. Sangiovanni-Vincentelli. The waveform relaxation metbod for the time domain analysis of large scaled integrated circuits. IEEE Trans. on CAD of IC and Syst., 1:131145, 1982. S. Skelboe: Stability properties of backward differentiation multirate formulas. Appl. Numer. Math. 5(1-2):151-160, 1989. S. Skelboe: Adaptive partitioning techniques for ordinary differential equations. BIT, 46(3):617629, 2006. R. D. Skeel. Waveform iteration and the shifted Picard splitting. SIAM J. Sci. Stat. Comput., 10(4):756776, 1989.
8.5.2013 Joachim Rang Partititioned Methods for Multield Problems Seite 25
Sci ifiCompu tin ent g