WEEK 10 & 11

Ordinary Differential Equations

Eulers methods Improvements of Eulers methods Runge-Kutta methods Adaptive Runge-Kutta methods

LESSON OUTCOMES
At the end of this topic, the students will be able: To identify and apply the methods outlined to solve ordinary differential equations (ODE)

DIFFERENTIAL EQUATION
Equations which are composed of an unknown function and its derivatives are called differential equations. When a function involves one independent variable, the equation is called an ordinary differential equation (or ODE). A partial differential equation (or PDE) involves two or more independent variables. Differential equations are also classified as to their order. A first order equation includes a first derivative as its highest derivative. A second order equation includes a second derivative.
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 Differential equations play a fundamental role in engineering because many physical phenomena are best formulated mathematically in terms of their rate of change.

dv c g v dt m
v ~ dependent variable t ~ independent variable

 This chapter is devoted to solving ordinary differential equations of the form The estimated slope is used to predict the new value yi+1 using the old value yi over a distance h. The procedure can be implemented step by step to compute a set of new values ys and hence, trace out the trajectory of the solution.

dy f ( x, y ) dx

New value = old value + slope x step size

yi 1 yi h

 Eulers Method
The first derivative provides a direct estimate of the slope at xi f ( xi , yi )
where f(xi, yi) is the differential equation evaluated at xi and yi. This estimate can be substituted into the equation:

yi 1 yi f ( xi , yi )h
A new value of y is predicted using the slope (equal to the first derivative at the original value of x) to extrapolate linearly over the step size h.

Example
Use Eulers method to numerically integrate ODE:
dy 2 x 3 12 x 2 20 x 8.5 dx

From x = 0 to x = 2 with a step size of 0.5. The initial condition at x = 0 is y = 1. The exact solution is: y = 0.5x4 + 4x3 10x2 + 8.5x + 1

yEuler

ytrue

t (%)

0 0.5
1.0 1.5 2.0

1.000 5.250
5.875 5.125 4.500

1.000 3.219
3.000 2.219 2.000

-63.1
-95.8 -131 -125

Error Analysis for Eulers Method Numerical solutions of ODEs involves two types of error:
Truncation error (error cause by the nature of the techniques employed to approximate values of y)
Local truncation error (result from application of the method in question over a single step)

f ( xi , yi ) 2 Ea h 2! Ea O ( h 2 )
Propagated truncation error (result from the approximations produced during previous steps)

The sum of the two is the total or global truncation error Round-off errors (caused by limited numbers of significant figures)

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If the function has continuous derivatives, TS can be expanded about a starting point (xi , yi),
and Rn is the remainder defined as Now, if we substitute the derivative function f(xi,yi) then obtain,

Comparison of yi 1 yi f ( xi , yi )h , we conclude that truncation error is due to the remaining terms in the TSE.

the
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Therefore, the true local truncation error is given by

For sufficiently small h, higher-order terms would decrease appreciably. The approximate local truncation error can then be written as

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 The Taylor series provides a means of quantifying the error in Eulers method. However;
The Taylor series provides only an estimate of the local truncation error-that is, the error created during a single step of the method. In actual problems, the functions are more complicated than simple polynomials. Consequently, the derivatives needed to evaluate the Taylor series expansion would not always be easy to obtain.

In conclusion,
the error can be reduced by reducing the step size If the solution of the differential equation is linear, the method will provide error free predictions because for a straight line, the 2nd derivative would be zero.
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a) Comparison of two numerical solutions with Eulers method using step size of 0.5 and 0.25 b) Comparison of true and estimated local truncation error for the case where the step size is 0.5.
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Example
Estimate the true and the approximate local truncation error associated with the Eulers method in the first step to solve the following initial-value problem dy 2 x3 x 2 5x 2 dx

from x = 0 to x = 3 with h = 0.5.

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Improvements of Eulers method

A fundamental source of error in Eulers method is that the derivative at the beginning of the interval is assumed to apply across the entire interval.

Two simple modifications are available to circumvent this shortcoming:

Heuns method The Midpoint (or Improved Polygon) method

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 Heuns Method
One method to improve the estimate of the slope involves the determination of two derivatives for the interval:
At the initial point At the end point

The two derivatives are then averaged to obtain an improved estimate of the slope for the entire interval.

Predictor :

0 i 1

yi f ( xi , yi )h

f ( xi , yi ) f ( xi 1 , yi01 ) Corrector : yi 1 yi h 2

Refer Text Book for explanation

Note that Corrector equation is in an iterative form. So, we can iteratively obtain the improved estimate of yi+1 until it converge to prespecified tolerance. Note also, however, that the convergence is not necessarily to the true solution. The termination criterion of the corrector equation is given by

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Comparison of the true solution with a numerical solution using Eulers and Heuns method

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 Midpoint (Improved Polygon) Method

The slope at the mid-point of the interval is used to extrapolate the solution at the end of the interval. The value of the unknown function at the mid-point of the interval is This value is used to estimate the value of the slope over the interval,

This slope is then used to extrapolate linearly from xi to xi+1

yi 1 yi f ( xi 1/ 2 , yi 1/ 2 )h
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 Runge-Kutta Method
The Runge-Kutta methods have the accuracy of the Taylor series approach without having to evaluate the higher derivatives.
yi 1 yi ( xi , yi , h)h

a1k1 a2 k 2 an k n
a' s constants k1 f ( xi , yi )

Increment function

k 2 f ( xi p1h, yi q11k1h) ps and qs are constants k3 f ( xi p3h, yi q21k1h q22k 2 h) k n f ( xi pn 1h, yi qn 1k1h qn 1, 2 k 2 h qn 1,n 1k n 1h)
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 ks are recurrence functions. Because each k is a functional evaluation, this recurrence makes RK methods efficient for computer calculations. Various types of RK methods can be devised by employing different number of terms in the increment function as specified by n. First order RK method with n=1 is in fact Eulers method. Once n is chosen, values of as, ps, and qs are evaluated by setting general equation equal to terms in a Taylor series expansion. Thus, at least for the lower-older version, the number of terms, n usually represent the order of approach.
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 Second-Order Runge-Kutta Methods

The second-order version is

yi 1 yi (a1k1 a2 k 2 )h where k1 f ( x i , yi ) k 2 f ( xi p1h, yi q11k1h)

Values of a1, a2, p1, and q11 are evaluated by setting the second order equation to Taylor series expansion to the second order term.

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 Three equations to evaluate four unknowns constants are derived.

a1 a2 1 1 a 2 p1 2 1 a2 q11 2
A value is assumed for one of the unknowns to solve for the other three.

Three of the most commonly used methods are: Huen Method with a Single Corrector (a2=1/2) The Midpoint Method (a2=1) Raltsons Method (a2=2/3)
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Heun Method with a Single Corrector (a2=1/2)

The Midpoint Method (a2=1)

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Ralstons Method (a2=2/3)

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 Third-Order Runge-Kutta Methods

1 yi 1 yi (k1 4k2 k3 )h 6

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 Fourth-Order Runge-Kutta Methods

1 yi 1 yi (k1 2k2 2k3 k4 )h 6

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 Adaptive Runge-Kutta Method

For an ODE with an abrupt changing solution, a constant step size can represent a serious limitation.

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Step-Size Control
The strategy is to increase the step size if the error is too small and decrease it if the error is too large. Press et al. (1992) have suggested the following criterion to accomplish this:
D new hnew h present D present
a

Dpresent= computed present accuracy Dnew = desired accuracy a = a constant power that is equal to 0.2 when step size increased and 0.25 when step size is decreased Implementation of adaptive methods requires an estimate of the local truncation error at each step. The error estimate can then serve as a basis for either lengthening or decreasing step size.
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