Solving ODE through least squares

FEM: Introduction
Suddhasheel Ghosh, PhD
Department of Civil Engineering
Jawaharlal Nehru Engineering College
N-6 CIDCO, 431003

Series on Advanced Numerical Methods

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DiffEq1

Introduction to terminology

Given a differential equation

d2 y dy

, , y, x = 0,
dx2 dx

and the initial conditions,

dy
F1
, y, x = a = 0
dx

F2

(1)

dy
, y, x = b = 0
dx

So, given the points a and b, it is desired to find the solution of the
differential equation using the least squares technique.

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DiffEq1

A second-order Boundary Value Problem

A boundary value problem is given as follows:

d2 y
dx
+ P(x) + Q(x)y = R(x)
dx2
dy
along with the conditions
y(x1 ) = A,

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y(xn+1 ) = B

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Least squares method

Recalling least squares

Least squares method

Least squares means that the sum of squares has to be minimised. The
minimization will happen at the internal points.

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Least squares method

Formulation I
Least squares method

From the earlier computations, for x = x1 ,

0 + 1 x1 + 2 x12 + + n x1n = A,

(2)

2
n
0 + 1 xn+1 + 2 xn+1
+ + n xn+1
= B,

(3)

and for x = xn+1 ,

From an earlier computation, we have obtained:

n
X

h
i
i i(i 1)xi2 + ixi1 P(x) + xi Q(x) = R(x)

i=0

Thus, for every xj , j = 2, . . . , n, we have

"
#

n
X
i2
i1
i
(x) =
i i(i 1)x + ix P(xj ) + x Q(x) R(x)

(4)

i=0
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Least squares method

Formulation II
Least squares method

For the least squares issue, we have to compute

b

F=

[(x)]2 dx =

Z
a

"

n
X

#2

i i(i 1)xi2 + ixi1 P(xj ) + xi Q(x) R(x)

dx

i=0

Therefore,
F
=
i

Z
a

"

n
X

i2
i1
i
i i(i 1)x + ix P(x) + x Q(x) R(x)

i=0

i(i 1)xi2 + ixi1 P(x) + xi Q(x) dx = 0

This, and the equations generated by the boundary conditions can be

solved by using Linear Algebra.
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Least squares method

Example I
Least squares method

Problem: Use the least squares method to solve the following differential
equation:
d2 y
y = x
dx2
Use the boundary conditions y(x = 0) = 0 and y(x = 1) = 0. (Desai, Eldho,
Shah)
Solution: Let us assume that the solution is in the cubic form
y = 0 + 1 x + 2 x2 + 3 x3 .

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Least squares method

Example II
Least squares method

Then, we will have

dy
= 1 + 22 x + 33 x2
dx
d2 y
= 22 + 63 x
dx2

(5)

Substituting these into the given differential equation, we have

(22 + 63 x) (0 + 1 x + 2 x2 + 3 x3 )
= 0 1 x + (2 x2 )2 + (6x x3 )3

=x
=x

We can therefore frame the error term as follows:

(x) = 0 1 x + (2 x2 )2 + (6x x3 )3 x
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Least squares method

Example III
Least squares method

And therefore

2
((x))2 = 0 1 x + (2 x2 )2 + (6x x3 )3 x

(6)

From the boundary conditions, we will have the following

0 = 0

(7)

0 + 1 + 2 + 3 = 0

(8)

Therefore, we have
3 = 2 1
Substituting these in (6), we have

2
F = ((x))2 = 1 x + (2 x2 )2 + (x3 6x)(1 + 2 ) x
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Least squares method

Example IV
Least squares method

Therefore,

F
= 1 x + (2 x2 )2 + (x3 6x)(1 + 2 ) x x3 7x
1

= 1 (x3 7x) + 2 (x3 x2 6x + 2) x (x3 7x)

(9)

F
= 1 x + (2 x2 )2 + (x3 6x)(1 + 2 ) x x3 6x x2 + 2
2

= 1 (x3 7x) + 2 (x3 x2 6x + 2) x x3 x2 6x + 2

(10)

Now,
F
dx = 0 = 13.67621 + 6.62622
0 1
Z 1
F
dx = 0 = 6.62621 + 4.27622
0 2
Z

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= 2.1333

(11)

= 1.05

(12)

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Least squares method

Example V
Least squares method

Thus, we can obtain 1 and 2 using the following

13.6762 6.6262 1
2.1333
=
6.6262 4.2762 2
1.05

(13)

Thus giving 0 = 0, 1 = 0.1485, 2 = 0.0154, and 3 = 0.1639 (since

1 + 2 + 3 = 0).

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Least squares method

Thank you!

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