Course: Numerical Solution of Ordinary Differential Equations

Module1: Numerical Solution of Ordinary Differential Equations

Lecture
1

Content
Solution of first order ordinary differential equations

Hours
1

Approximate Solution: Picard Iteration Method, Taylor Series method

Numerical Solution: Euler method; Algorithm; Example; analysis

Modified Euler Method: Algorithm; Example; analysis

Runge Kutta methods, Second Order methods

Fourth Order Runge Kutta methods

Higher Order Runge Kutta methods

References:
BradieBAFriendlyIntroductiontoNumericalAnaysisPearsonEducation,2007
BurdenRL,FairesJDNumericalAnalysisCengageLearning,2007
ChapraSC,Canale,RPNumericalMethodsforEngineersTataMcGrawHill,2003
GeraldC.F.,WheatleyPOAppliedNumericalanalysis,AddisonWesley,1998

Module1: Numerical Solution of Ordinary Differential Equations

Lecture 1
Numerical solution of first order ordinary differential equations

Keywords: Initial Value Problem, Approximate solution, Picard method, Taylor series

Solution of first order ordinary differential equations

Consider y(t)

to be a function of a variable t. A first order Ordinary differential

equation is an equation relating y, t and its first order derivatives. The most general
form is :
F(t,y(t),y(t)) 0

The variable y is known as a dependent variable and t is independent variable. The

equation is of first order as it is the order of highest derivative present in the equation.
Sometimes it is possible to rewrite the equation in the form
y (t) f(t,y(t))

(1.1)

y g(t) is a solution of the first order differential equation (1.1) means

i)

y(t) is differentiable

ii)

Substitution of y(t) and y (t) in (1.1) satisfies the differential equation

identically

The differential equations are commonly obtained as mathematical representations of

many real world problems. Then the solution of the underlying problem lies in the
solution of differential equation. Finding solution of the differential equation is then
critical to that real world problem.
Examples of first order differential equations are:
y 2y 0
y sin y exp(t)

The first of these equations represents the exponential decay of radioactive material
where y represent the amount of material at any given time and k=2 is the rate of decay.
It may be noted that y(t) c exp( 2t) is the solution of differential equation as it
identically satisfies the given differential equation for arbitrarily chosen constant c. This

means that the differential equation has infinitely many solutions for different choices of
c. In other words, the real world problem has infinitely many solutions which we know is
not true. In fact, an initial condition should be specified for finding the unique solution of
the problem:
y(0) A

That is, the amount of radioactive material present at time t=0 is A. When this initial
condition is imposed on the solution, the constant c is evaluated as A and the solution
y(t) A exp( 2t) is now unique. The expression can now be used for computing the

amount of material at any given time.

The solution with arbitrary constant is known as the general solution of the differential
equation. The solution obtained using the initial condition is a particular solution.
A first order Initial Value Problem (IVP) is defined as a first order differential equation
together with specified initial condition at t=t0:
y f(t,y);

t 0 t b with y(t 0 ) y 0

(1.2)

There exist several methods for finding solutions of differential equations. However, all
differential equations are not solvable. The following well known theorem from theory of
differential equations establishes the existence and uniqueness of solution of the IVP:
Let f(t,y(t)) be continuous in a domain D={ (t,y(t)): t0tb, cyd } R2. If f satisfies
Lipschitz condition on the Variable y and (t0,y0) in D, then IVP has a unique solution
y=y(t) on the some interval t0 t t0+.
{The function f satisfies Lipschitz condition means that there exists a positive constant L
such that f(t,y) f(t,w) L y w }
The theorem gives conditions on function f(t, y) for existence and uniqueness of the
solution. But the solution has to be obtained by available methods. It may not be
possible to obtain analytical solution (in closed form) of a given first order differential
equation by known methods even when the above theorem guarantees its existence.

Sometimes it is very difficult to obtain the solution. In such cases, the approximate
solution of given differential equation can be obtained.
Approximate Solution
The classical methods for approximate solution of an IVP are:
i)

Picard Iteration method

ii)

Taylor Series method

Picard Iteration Method:

Picard method is an iterative method. An iterative method gives a sequence of
approximations y1(x), y2(x), ,yk(x),to the solution of differential equations such that
the nth approximation is obtained from one or more prevoius approximations.
The integration of differential equation (1.2) yields
t

y(t) y 0 f(x, y(x))dx

t0

Note that the exact solution of IVP is obtained for t=t0

For approximate solution, the exact solution y(x) is approximated by y0 in the integrand
to get
t

y(t) y1 (x) y 0 f(x,y 0 )dx

t0

The approximation can be improved as

t

y 2 (x) y 0 f(x, y1 )dx

t0

A sequence of approximations y1(x), y2(x), ,yk(x),can be obtained as

t

yk 1(x) y 0 f(x,yk )dx ; k 0,1,2,...

(1.3)

t0

From the theory of differential equations, it can be proved that the above sequence of
approximations converges to the exact solution of IVP.

Example 1.1: Obtain the approximate solution of IVP using Picard method. Obtain its

exact solution also

y 1 ty;

y(0) 1

Solution: Given that y0=1. Using (1.3) gives

t

yk1(t) 1 f(x,yk )dx f(x,yk ) 1 xyk

0
t

yk1(t) 1 (1 xyk )dx 1 t (xyk )dx

Simplification yields the sequence of approximations as
y1 (t) 1 t t 2 / 2
t

y 2 (t) 1 t x(1 x x 2 / 2)dx 1 t t 2 / 2 t 3 / 3 t 4 / 8

0
t

y 3 (t) 1 t x(1 x x 2 / 2 x 3 / 3 x 4 / 8)dx

0

and so on.

1 t t 2 / 2 t 3 / 3 t 4 / 8 t 5 /15 t 6 / 48
The differential equation in example 1.1 is a linear first order equation. Its exact solution
can be obtained as
t

y(t) exp(x 2 / 2)[1 exp( x 2 )dx]

0

The closed form solution of differential equation in this case is possible. But the
expression involving an integral is difficult to analyze. The sequence of polynomials as
obtained by Picard method gives only approximate solution, but for many practical
problems this form of solution is preferred.

Taylor Series method:

The IVP gives the solution y0 at initial point t=t0. for given step size h, the solution at
t=t0+h can be computed from Taylor series as
y(t1 ) y(t 0 h) y(t 0 ) h y (t 0 )

h2
h3
y (t 0 )
y (t 0 ) ...
2
6

(1.4)

From the differential equation, it is observed that

y (t 0 ) f(t 0 , y(t 0 )) f(t 0 , y 0 )

Repeated differentiation gives y (t 0 ), y (t 0 ),... as

f f
y
y (t 0 )
t y t t0
2 f

2 f
f
y (t 0 ) 2 2
and so on
y ( y )2
ty
y
t
t t0

Substituting these derivatives and truncating the series (1.4) gives the approximate
solution at t1.
Example 1.2: Obtain the approximate solution y(t) of IVP using Taylor series method.

Obtain approximate solution at t= 0.1 correct to 4 places of decimal.

y 1 ty;

y(0) 1

Solution: Given that y 1 ty f(t,y)

Repeated differentiations yield

y y ty
y 2y ty
yiv (2y 1)y xy y and so on
Or

y(0) 1, y (0) 1, y (0) 1, y (0) 2, y iv (0) 3,...

Substitution in (1.4) with t0=0 and h=t gives

y(t) y(0 t) 1 t t 2 / 2 t 3 / 3 t 4 / 8 ...

Taking t=0.1 and substitution in the above series gives

y(0.1) 1 0.1 0.01/ 2 0.001/ 3 0.0001/ 8 ....

Or

y(0.1) 1 0.1 0.005 0.00033 0.0000125 ..

It may be noted that fifth term and subsequent terms are smaller than the accuracy
requirement, the Taylor series can be truncated beyond fourth term. Accordingly
y(0.1)=1.1.53.

Observe that the Picard method involves integration while Taylor series method
involves differentiation of the function f. Depending on the ease of operation, one can
select the appropriate method for finding the approximate solution. The number of
iterations in Picard method depends upon the accuracy requirement. The step size h
can be chosen sufficiently small to meet the accuracy requirement in case of Taylor
series method. For fixed h, more terms have to be included in the solution when more
accuracy is desired.
In the category of methods that include Picard method and Taylor series method, the
approximate solution is given in the form of a mathematical expression.

Module1: Numerical Solution of Ordinary Differential Equations

Lecture 2
Numerical Methods: Euler method

Keywords: Numerical solution, grid points, local truncation error, rounding error

Numerical Solution
Numerical methods for solving ordinary differential equations are more popular due to
several reasons:

More computational efforts are involved in Picard and Taylor series methods for
complex real life applications
Easy availability of computers
The numerical methods can still be applied in cases where the closed form
expression for the function is not available, but the values of function f are known
at finitely many discrete points. The analytical methods are not applicable.
For example, the velocity of a particle is measured at given points and one is interested
to predict the position of particle at some times in future. In such cases the analytical
methods cannot be applied and one has to obtain solution by numerical methods.
In this lecture a very basic method known as Euler method is being discussed. The
method is illustrated with an example.
Euler method:
When initial value problem (1.2) is solved numerically, the numeric values of the
solution y=g(t) are obtained at finitely many (say n) discrete points in the interval of
interest. Let these n points be equi-spaced in the interval [t0, b] as t1,t 2 ,...,t n such that
t 0 kh, k 1,2,...n . These points are known as grid points. Here the step size h is

computed as h

b t0
. The numeric value of the solution is known at t=t0. The
n

approximate numeric value yk of the solution at kth grid point t=tk is an approximation to
the exact solution y(tk) of IVP. The Euler method specifies the formula for computing the
solution:

y k 1 y k h f(t k , y k ); k 0,1,2,...n 1

(1.5)

y(t)

y2
y1
y0

t1 t2

tn1 tn

Fig1.1 Schematic Diagram for Euler Method

The Euler formula (1.5) is a one step difference formula. The solution obtained by this
formula is shown on the computational grid in figure 1.1.
Observe that f(t, y 0 ); y(t 0 ) y 0 is the slope of the solution curve at t=t0. The solution is
approximated as a straight line passing through y (t0) = y0 having slope f(t0, y(t0)). The
actual solution y(t) (shown in blue) may not be a straight line and y(t1) may be different
than y1 computed by the formula (1.5). It is only an approximation to the exact solution.
Starting from this approximation y1 at t1, the solution at next grid point t2 can be
approximated as y2 using (1.5). This is further continued for other grid points.
The actual solution curve may be above/ below the approximated solution.
Accordingly, the algorithm for computing solution using Euler method is given below:

Algorithm 1 For numerical solution by Eulers method

Step 0 [initialization] k=0, h=(b-t0 )/n , y(tk)=yk,
Step 1 [computation] y k 1 y k h f(t k , y k )
Step 2 [increment]

tk+1=tk+h, k=k+1

Step 3 [check for continuation]

Step 4 [termination]

If k< n go to step 1

stop

Example 1.3: Solve the initial value problem using the above algorithm
3y t y; y(0) 1

The IVP is solved first for step size h=1. The solution is obtained at t=1, 2 and 3.
The computations are performed using MS-Excel diff-euler1.xls [See columns B and C.
The column D gives the truncation error.] Note that the equation can be solved exactly.
Its exact solution is y(t) 4 exp( t / 3) t 3 , y(3.0)=1.471518.
Next, the same problem is solved with step size h=0.5 up to t=3. The solution is
obtained successively at t=0.5, 1.0, 1.5, 2.0, 2.5, 3.0. [See columns E and F of the same
MS-Excel sheet. The column G gives the error.]
Comparing y computed at t=3.0 by two different step sizes, it is observed that solution
with smaller step size is closer to exact solution.
The computations are repeated with step size h=0.25 and 0.125 also. [See the excel
sheet columns H to M. The column O of the sheet gives exact solution at grid points
with h=0.125].
The table 1.1 shows the application of Euler Method for h=0.125. The attached graph
shows that the difference between the exact solution and the solution obtained by Euler
method with h=0.125. The following conclusions can be drawn:
i)

As step size decreases, the computational effort increases

ii)

The accuracy of the approximate solution increases with decreasing step size

tk

yk

exact sol

error

0.125

0.9583333

0.961758

-0.00342

0.25

0.9236111

0.930178

-0.01351

0.375

0.895544

0.904988

-0.00944

0.5

0.8738546

0.885927

-0.01207

0.625

0.8582774

0.872745

-0.01447

0.75

0.8485575

0.865203

-0.01665

0.875

0.8444509

0.86307

-0.01862

0.8457238

0.866125

-0.0204

1.125

0.852152

0.874157

-0.02201

1.25

0.8635206

0.886963

-0.02344

1.375

0.8796239

0.904347

-0.02472

1.5

0.9002646

0.926123

-0.02586

1.625

0.9252536

0.952111

-0.02686

1.75

0.9544097

0.982141

-0.02773

1.875

0.9875593

1.016046

-0.02849

1.024536

1.053668

-0.02913

2.125

1.0651803

1.094857

-0.02968

2.25

1.1093395

1.139466

-0.03013

2.375

1.156867

1.187356

-0.03049

2.5

1.2076225

1.238393

-0.03077

2.625

1.2614716

1.292448

-0.03098

2.75

1.3182853

1.349399

-0.03111

2.875

1.3779401

1.409126

-0.03119

1.4403176

1.471518

-0.0312

Table1.1: Solution of Example 1.3 with h=0.125

Observe that the error is increasing with t.

yk
exactsol

Fig 1.2: Comparison with exact solution (Example 1.3)

For the derivation of Euler formula, consider the finite difference approximation of the
derivative

y yk
dy
k 1
h
dx t t
k

Also the approximate value of the function f(t,y(t) is computed as

f(t,y(t)) f(tk , yk )

Substitution in the differential equation gives the Euler formula

y k 1 y k h f(t k , y k )

When k=0, the right side of the formula can be computed from known initial value y0.
Once y1 is computed, other yk, k=2, 3, 4, can be computed successively in the similar
manner.
Analysis :

The Taylors Theorem gives

y(t k h) y(t k ) h y(t k )

h2
y( ), (t k ,t k h)
2

Substituting the derivative from the differential equation and neglecting second order
terms of the Taylor theorem gives Euler formula which is an approximation of the
solution at next grid point:

y(tk h) y(tk ) h f(tk ,y(tk ))

yk 1 yk h f(tk ,yk )

Starting from the initial condition at t0, the approximate solution y1 at t1 computed by
Euler method has error due to following reasons:
i)

The solution is assumed to be of constant slope equal to f(t0,y0) in the interval

(t0,t1)

ii)

Rounding errors in numerical computation of the formula.

The local truncation error Tk 1 y tk h yk 1 is the difference between the exact

solution and approximate solution as obtained by the numerical method assuming the
solution is exact at kth step.

Tk 1 y t k h y k 1
h2
y ( ) [y k h f(t k , y k )]
2
h2
y(t k ) y k h[f(t k , y(t k )) f(t k , y k )]
y ( )
2

Tk 1 y(t k ) h y (t k )
Tk 1

Using the inequalities

f(tk ,y(tk ) f(tk ,yk ) L (y(tk ) yk ) and y( ) M

the above expression for truncation error is simplified to
Tk 1 (1 hL) Tk

h2
M
2

For y1, the initial condition y0 is assumed to be the correct solution; hence the local
truncation error is of order h2.

However, the solution at t2 has one more source of error and that is approximate value
of the solution y1 at t1 as computed in earlier step. This error is further accumulated as
solution is advanced to more grid points tk, k=3, 4, . The accumulation of error is
evident from the fig. 1.1 also. The Final Global Error (F.G.E) in computing the final value
at the end of the interval (a,b); a= t0, b=to+Mh is accumulated error in M steps and is of
order h. This means that the error E(y(b),h) in computing y(b) using step size h is
approximated as
E( y(B), h) Ch

Accordingly, E( y (B), h / 2) Ch / 2
Therefore, halving the step size will half the FGE. FGE gives an estimate of
computational effort required to obtain an approximation to exact solution.
Repeated application gives
Tk 1

Mh
k 1
1 hL 1

2L

m
mx
Using 0 (1 x) e ; x 1 gives overall truncation error of order h:

Tk 1

Mh (k 1)hL
e
1
2L

Apart from the Euler method, there are numerous numerical methods for solving IVP. In
the next couple of lectures more methods are discussed. These are not exhaustive. The
selection of methods is based on the fact that these are generally used by scientists and
engineers in solving IVP because of their simplicity. Also, more complex techniques are
the combination of one or more of these and their development is on similar lines.

Module1: Numerical Solution of Ordinary Differential Equations

Lecture 3
Modified Euler Method

Keywords: Euler method, local truncation error, rounding error

Modified Euler Method: Better estimate for the solution than Euler method is expected
if average slope over the interval (t0,t1) is used instead of slope at a point. This is being

used in modified Euler method. The solution is approximated as a straight line in the
interval (t0,t1) with slope as arithmetic average at the beginning and end point of the
interval.

y1c
y1p
y0
t0
t1

Fig1.3 Schematic Diagram for Modified Euler Method

Accordingly, y1 is approximated as

y(t1 ) y1 = y0 + h

(y0 + y1 )
(f(t ,y(t 0 ) + f(t1,y(t1 ))
y0 + h 0
2
2

However the value of y( t1) appearing on the RHS is not known. To handle this, the
value of y1p is first predicted by Euler method and then the predicted value is used in
(1.6) to compute y1 from which a better approximation y1c to y1 can be obtained:
y1,p y 0 h f(t 0 , y 0 )

y1c y 0 h

f(t 0 ,y 0 ) f(t1,y1,p )
2

The solution at tk+1 is computed as

y k 1,p y k h f(t k , y k )

y k 1 y k h

f(t k ,y k ) f(t k 1, y k 1,p )

2

In the fig (1.3), observe that black dotted line indicates the slope f(t0,y(t0)) of the solution
curve at t0, red line indicates the slope f(t1,y(t1)), at the end point t1. Since the solution at
end point y(t1) is not known at the moment, its approximation y1p as obtained from Euler

method is used. The blue line indicates the average slope. Accordingly, y1 is a better
estimate than y1p. The method is also known as Heuns Method.

Algorithm 2 For numerical solution by Modified Euler method

Step 0 [initialization] k=0, h=(b-t0 )/n , y(tk)=yk,
Step 1 [predict solution] y k 1,p y k h f(t k , y k )
Step 2 [correct solution] y k 1 y k h
Step 3 [increment]

f(t k ,y k ) f(t k 1, y k 1,p )

2

tk+1=tk+h, k=k+1

Step 4 [check for continuation] if k< n go to step 1

Step 5 [termination]

stop

Example 1.4: Solve the IVP in the interval (0.0, 2.0) using Modified Euler method with
step size h=0.2
dy
y 2t 2 1 ;y(0) 0.5
dt

Solution: The computations are shown in the Table 1.2.

To compute local truncation error consider
y(t k h) y(t k ) h y(t k )

h2
h3
y(t k ) y( ), (t k ,tk h)
2
6

Replacing second derivative by finite difference gives

y(t k h) y(t k ) h y(t k )

h2 y(t k 1 ) y(t k ) h3
(
) y( ), (t k ,t k h)
2
h
6

(1.6)

Further simplification gives local truncation error of modified Euler formula as O(h3):
h
h3

y(t k h) y(t k ) ( y (t k ) y (t k 1 )) y( ), (t k ,t k h)
2
6

The FGE in this method is of order h2. This means that halving the step size will reduce
the error by 25%.

y0

f(t0,y0)

t1

y1p

f(t1,y1p)

y1c

0.5

1.5

0.2

0.8

1.72

0.822

0.2

0.822

1.742

0.4

1.1704

1.8504

1.18124

0.4

1.18124

1.86124

0.6

1.553488

1.833488

1.550713

0.6

1.550713

1.830713

0.8

1.916855

1.636855

1.89747

0.8

1.89747

1.61747

2.220964

1.220964

2.181313

2.181313

1.181313

1.2

2.417576

0.537576

2.353202

1.2

2.353202

0.473202

1.4

2.447842

-0.47216

2.353306

1.4

2.353306

-0.56669

1.6

2.239967

-1.88003

2.108634

1.6

2.108634

-2.01137

1.8

1.70636

-3.77364

1.530133

1.8

1.530133

-3.94987

0.740159

-6.25984

0.509162

0.509162

-6.49084

2.2

-0.78901

-9.46901

-1.08682

Table 1.2 Modified Euler Method Example 1.4

[Reference excel sheet modified-euler.xlsx]
The Euler method and Modified Euler methods are explicit single step methods as they
need to know the solution at a single step. It may be observed that the Euler method is
derived by replacing derivative by forward difference:
dy
dt

t tk

y k 1 y k
O(h)
h

The central and backward difference approximation can also be used to give single step
methods
dy
dt

t tk

y k y k 1
O(h)
h

or

dy
dt

t tk

y k 1 y k 1
O(h2 )
2h

Module1
Numerical Solution of Ordinary Differential Equations

Lecture 4
Runge Kutta Method

Keywords: one step algorithm, Taylor series, Runge-Kutta method

Runge Kutta Method

The solution of differential equation with desired accuracy can be achieved using
classical Taylor series method at a specified point. This means for given h, one can go

on adding more and more terms of the series till the desired accuracy is achieved. This
requires the expressions for several higher order derivatives and its evaluation. It poses
practical difficulties in the application of Taylor series method:
Higher order derivatives may not be easily obtained
Even if the expressions for derivatives are obtained, lot of computational effort may
still be required in their numerical evaluation
It is possible to develop one step algorithms which require evaluation of first derivative
as in Euler method but yields accuracy of higher order as in Taylor series. These
methods require functional evaluations of f(t,y(t)) at more than one point.on the interval
[tk,tk+1]. The Category of methods are known as Runge-Kutta methods of order 2, 3 and
more depending upon the order of accuracy. .A general Runge Kutta algorithm is given
as
y k 1 y k h ( t k , y k , h)

(1.7)

The function phi is termed as increment function. The mth order Runge-Kutta method
gives accuracy of order hm. The function is chosen in such a way so that when
expanded the right hand side of (1.7) matches with the Taylor series upto desired order.
This means that for a second order Runge-Kutta mehod the right side of (1.7 ) matches
up to second order terms of Taylor series.
Second Order Runge Kutta Methods
The Second order Runge Kutta methods are known as RK2 methods. For the derivation
of second order Runge Kutta methods, it is assumed that phi is the weighted average of
two functional evaluations at suitable points in the interval [tk,tk+1]:

(tk , yk , h) w1K1 w 2K 2
K1 f ( t k , yk )

(1.8)

K 2 f (t k ph, yk qhK1 ); 0 p, q 1
Here, four constants w1, w2, p and q are introduced. These are to be chosen in such a
way that the expansion matches with the Taylor series up to second order terms.

For this
K 2 f (t k ph, y k qhK1 )
f (t k , y k ) phft (t k , y k ) qhK1fy (t k , yk ) O(h2 )

(1.9)

f (t k , y k ) phft (t k , y k ) qhf (t k , yk )(fy (t k , yk ) O(h2 )

Substitution in (1.7 ) yields

yk 1 yk h[w1f (tk , yk ) w 2{f (tk , yk ) phft (tk , yk ) qhf (tk , yk )(fy (tk , yk ) O(h2 )}]
Or

yk 1 yk h[ w1f (tk , yk ) w 2 f (tk , yk )] h2 [pft (tk , yk ) qf (tk , yk )(fy (tk , yk )] O(h3 ) (1.10)

Let us write the Taylor series for the solution y(tk+h) as

y (t k h) y (t k ) hf (t k y (t k ))

h2
h3
f (t k , y (t k )) f ( , y ( )); t k t k 1
2
6

Using chain rule for the derivative f ( t k , y ( t k )) gives

f ( t k , y ( t k )) ft ( t k , y ( t k )) f ( t k , y ( t k ))( fy ( t k , y ( t k ))

Substituting in Taylor series gives

y (t k h) y (t k ) hf (t k y ( t k ))

h2
[ ft ( t k , y ( tk )) f ( tk , y ( t k ))( fy ( tk , y ( t k ))] O(h3 ) (1.11)
2

Assuming y ( t k ) y k and comparing (1.10) and (1.11) yields

w 1 w 2 1 , w 1p 1/ 2 and w 2 q 1/ 2

(1.12)

Observe that four unknowns are to be evaluated from three equations. Accordingly
many solutions are possible for (1.12). Let us chose arbitrary value to constant q as
q=1, then
w 1 w 2 1/ 2, p 1 and q 1

Accordingly, the second order Runge-Kutta can be written as

y kp y k hf ( t k , y k )
h
y k 1 y k [ f ( t k , y k ) f ( t k h, y kp )]
2

(1.13)

This is the same as modified Euler method. It may be noted that the method reduces to
a quadrature formula [Trapezoidal rule] when f(t, y) is independent of y:
h
y k 1 y k [f (t k ) f (t k h)]
2

For convenience q is chosen between 0 and 1such that one of the weights w in the
method is zero. For example choose q=1/2 makes w1=0 and (1.12) yields:
w 1 0, w 2 1, p q 1/ 2
h
f (t k , yk )
2
h
y k 1 yk hf (t k , yk )
2
yk yk

(1.14)

Choosing arbitrary constant q so as to minimize the sum of absolute values of

coefficients in the truncation error term Tj+1 gives optimal RK method. The minimum
error occurs for q=2/3. Accordingly optimal method is obtained for
w 1 1/ 4, w 2 3 / 4, p q 2 / 3

This gives another second order Runge-Kutta method known as optimal RK2 method:
2h
f (tk , yk )
3
h
3h
2h
y k 1 y k f (t k , y k )
f (t k , y k )
4
4
3
y k y k

(1.15)

Example 1.5: Solve IVP in 1<t<2 with h=0.1using Optimal Runge Kutta Method (1.15)

y y / t ( y / t ) 2 ; y (1) 1

Solution: The solution is given in table 1.3

t

yk

f(t,y)

yk0

t+2h/3

f(t+2h/3,yk0)

yk+1

1.066667

0.05859375

1.004395

1.1

1.004395

0.07936

1.020267

1.166667

0.119744262

1.015359

1.2

1.015359

0.130192

1.041398

1.266667

0.159037749

1.030542

1.3

1.030542

0.164312

1.063404

1.366667

0.185456001

1.048559

1.4

1.048559

0.188014

1.086162

1.466667

0.203806563

1.068545

1.5

1.068545

0.204902

1.109525

1.566667

0.216857838

1.089932

1.6

1.089932

0.217164

1.133364

1.666667

0.226296619

1.112333

1.7

1.112333

0.226187

1.157571

1.766667

0.233198012

1.135478

1.8

1.135478

0.232886

1.182055

1.866667

0.238272937

1.15917

1.9

1.15917

0.23788

1.206746

1.966667

0.242006106

1.183268

1.183268

0.241603

1.231588

2.066667

0.244736661

1.207663

Table 1.3: Solution of Example 1.5 with h=0.1

[Ref modified-euler.xlsx/sheet3]

Module1: Numerical Solution of Ordinary Differential Equations

Lecture 5
Fourth Order Runge Kutta Methods

Keywords: fourth order methods, Taylor series, convergence, stability

Fourth Order Runge-Kutta Methods (RK4)

All the fourth order Runge Kutta Methods are of the following general form:

yk 1 yk h (t k , yk , h)

w1K1 w 2K 2 w 3K 3 w 4K 4
K1 f (t k , y k )
K 2 f (t k p1h, yk a21K1 )

(1.16)

K 3 f (t k p2h, yk a31K1 a32K 2 )

K 4 f (t k p3h, yk a 41K1 a 42K 2 a43K 3 )
The thirteen unknowns in the method have to be obtained. The Taylor series expansion
of the solution and Ki, i=1,2,3,4 are obtained and substituted in the first equation of
(1.16). For Fourth order Runge Kutta Method, comparing terms up to h4 on the two
sides gives the following 11 equations:
p1 a21 ; p2 a31 a32 ; p3 a 41 a 42 a 43
w1 w 2 w 3 w 4 1
p1w 2 p2 w 3 p3 w 4 1/ 2
p12 w 2 p22 w 3 p3 2 w 4 1/ 3
p1a32 w 2 (p1a 42 p2a 43 ) w 4 1/ 6
p13 w 2 p23 w 3 p33 w 4 1/ 4
a32p12 w 3 (p12a 42 p2a 43 ) w 4 1/ 12
a32p1p2 w 3 p3 (p1a 42 p2 2a 43 ) w 4 1/ 8
p1a32 a 43 w 4 1/ 24

Assuming two additional constraints p1 p2 and w 2 w 3 gives

1
1
, p3 1, w 2 w 3
2
3
1
1
w 1 w 4 , a21 a32
6
2
a31 a 41 a 42 0, a 43 1

p1 p2

Accordingly the classical fourth order Runge-Kutta method is obtained as

h
y k 1 y k [K1 2K 2 2K 3 K 4 ]
6
K1 f ( t k , y k )
h
h
K 2 f (t k , yk K1 )
2
2
h
h
K 3 f (t k , y k K 2 )
2
2
K 4 f (t k h, yk hK 3 )

(1.16)

It may be observed that RK4 uses four functional evaluations in the interval [ t0, t1].
These points are shown as p0, p1, p2 and p3 in the following figure

Fig1.4 Schematic Diagram for RK4 Method

Example 1.6: find the solution of IVP using classical fourth order Runge-Kutta method

with h=1
dy 1 y
; y (1) 0
dt 2 t

Solution: The solution of IVP by RK4 classical method is shown in the following table:
h k

tk yk

k1

k2

k3

k4

yk+1

exactsol

1
1
1
1
1
1
1
1
1
1
1

1
2
3
4
5
6
7
8
9
10
11

0.5
0.84491
1.0475
1.19131
1.30288
1.39404
1.47111
1.53787
1.59677
1.64945
1.6971

0.66667
0.94491
1.11893
1.24687
1.34833
1.4325
1.50444
1.56729
1.62308
1.67326
1.71884

0.72222
0.96491
1.12913
1.25304
1.35246
1.43546
1.50666
1.56902
1.62447
1.67439
1.71978

0.861111
1.051574
1.192908
1.303659
1.394475
1.471381
1.538054
1.59689
1.649536
1.697168
1.740658

0.689815
1.6425
2.765255
4.014388
5.364212
6.797766
8.302995
9.87089
11.49446
13.16811
14.88727

0.693147
1.647918
2.772589
4.023595
5.375278
6.810686
8.317766
9.887511
11.51293
13.18842
14.90944

0
1
2
3
4
5
6
7
8
9
10

0
0.68981
1.6425
2.76526
4.01439
5.36421
6.79777
8.303
9.87089
11.4945
13.1681

Abs
error
0.00333
0.00542
0.00733
0.00921
0.01107
0.01292
0.01477
0.01662
0.01847
0.02032
0.02217

Table 1.4: Solution by Classical RK4 for example 1.6

[Reference R4_CLASSICAL.xlsx/sheet1]

Various entries of the table in a row are computed by the RK4 classical formula (1.16).
For

computations

in

the

table

the

user

is

referred

to

the

excel

sheet

R4_CLASSICAL.xlsx/sheet1
The solutions are compared with the exact solution and the absolute error is given in the
last column.

The other RK4 formulae are obtained as

h
y k 1 y k [K1 3K 2 3K 3 K 4 ]
8
K1 f (t k , y k )
h
h
K 2 f (t k , yk K1 )
3
3
2h
h
K 3 f (t k , y k K1 hK 2 )
3
3
K 4 f ( t k h, y k hK1 hK 2 hK 3 )

(1.17)

and
h
1
1
)K 2 2(1
)K 3 K 4 ]
yk 1 yk [K1 2(1
6
2
2
K1 f (t k , y k )
h
h
K 2 f (t k , y k K1 )
2
2
h
1 1
1
)hK1 (1
)hK 2 )
K 3 f (tk , yk (
2
2
2
2
1
1
)hK 3 )
K 4 f (t k h, yk
hK 2 (1
2
2

(1.18)

Example 1.7: find the solution of IVP using classical fourth order Runge-Kutta method

given in (1.17) with h=1

dy 1 y
; y (1) 0
dt 2 t

Solution: In the following table the computation are shown to solve the IVP using (1.17).
Although both the methods are of same order but (1.17) gives more accurate result as
compared to classical method (1.16)

h k tk yk
k1
k2
k3
k4
yk+1
exactsol
1 0 1
0
0.5
0.625
0.775
0.825 0.690625 0.693147
1 1 2 0.69063 0.84531 0.91674 0.9971 1.038765 1.643824 1.647918
1 2 3 1.64382 1.04794 1.09794 1.15249 1.186578 2.76705 2.772589
1 3 4 2.76705 1.19176 1.23022 1.27143 1.300004 4.016642 4.023595
1 4 5 4.01664 1.30333 1.33458 1.36767 1.392176 5.366922 5.375278
1 5 6 5.36692 1.39449 1.4208 1.44843 1.469863 6.80093 6.810686
1 6 7 6.80093 1.47156 1.49429
1.518 1.537026 8.306613 8.317766
1 7 8 8.30661 1.53833 1.55833 1.5791 1.59619 9.874961 9.887511
1 8 9 9.87496 1.59722 1.61508 1.63355 1.649065 11.49898 11.51293
1 9 10 11.499 1.6499 1.66603 1.68266 1.696865 13.17308 13.18842
1 10 11 13.1731 1.69755 1.71226 1.72738 1.74048 14.8927 14.90944

Abs
error
0.00252
0.00409
0.00554
0.00695
0.00836
0.00976
0.01115
0.01255
0.01395
0.01534
0.01674

Table 1.5 Solution By Classical RK4 for example 1.7

[Reference R4_CLASSICAL.xlsx/sheet2]

Let Tk+1(h) be the local truncation error at the( k+1)th step of the one step method with
step size h, assuming that no error was made in the previous step. It is obtained as
Tk 1 (h) y k 1 y k h ( t k , y k , h)

The method is said to be consistent if

T (h)
lim k 1 0
h 0
h
It is now easy to verify that the Euler, Modified Euler and Runge-Kutta methods are
consistent
It is now easy to verify that the Eulers, Modified Eulers and Runge Kutta methods are
consistent.
A one step method is convergent when the difference between the exact solution and
the solution of difference equation at kth step satisfies the condition

lim max y(t k ) yk 0

h 0

1k N

Using the bound for Tk=y(tk)-yk proves the convergence of Euler method.
Stability of a numerical method ensures that small changes in the initial conditions

should not lead to large changes in the solution. This is particularly important as the
initial conditions may not be given exactly. The approximate solution computed with
errors in initial condition is further used as the initial condition for computing solution at
the next grid point. This accounts for large deviation in the solution started with small
initial errors. Also round off errors in computations may also affect the accuracy of the
solution at a grid point. Euler method is found to be stable.
According to Lax equivalence theorem Given a properly posed initial value problem and
a finite-difference approximation to it that satisfies the consistency condition, stability is
the necessary and sufficient condition for convergence.

Module1: Numerical Solution of Ordinary Differential Equations

Lecture 6
Higher order Runge Kutta Methods

Keywords: higher order methods, functional evaluations, accuracy

Higher order Runge Kutta Methods

The local error of RK4 is O(h5) while the global error is O(h4). If the solution of IVP is to
be obtained for t in the interval (0,1] with h=0.1 using RK4, then the solution is to be
computed at 10 grid points t=0.1, 0.2, ,1.0. At each grid point four functional
evaluations are required. This way, the solution at t=1 requires 40 functional evaluations
and the accuracy will be of order 10-4. If Euler method is to be used then h=0.0001 will
yield the desired accuracy of 10-4. Accordingly, the solution is to be computed at 10000
grid points to reach to t=1.This means Euler method requires10,000 functional
evaluations (one for each grid point) to compute approximate solution at t=1. Evidently,
RK4 is very efficient and saves lots of computational effort.
We can further improve the efficiency by employing still higher order Runge-Kutta
methods. The higher order methods, say of order 5 and 6 are developed on the same
lines. These are more efficient as the higher accuracy is achieved with less
computational effort as compared to lower order methods.
Runge-Kutta method ( say of order 4) is applied for obtaining approximate solution y1 at
t=t1=t+h for IVP with chosen value of h. The value of h is then halved and the solution is
again obtained at t1. Now 7 functional evaluations are needed to compute y1. If the
difference between two solutions is not substantial then the approximation is accepted.
Otherwise, the iteration (halving h) is repeated again till the desired accuracy is
achieved. Each halving h will require 4+7 functional evaluations. This way higher
accuracy can be achieved with more computational effort.
In another approach, higher performance with less computational effort is achieved
when the Runge-Kutta methods of different orders are used to move from one grid point
to the next point. One such method known as Runge-Kutta Fehlberg method is based
on the formulae (1.19) given below. In this, two estimates are obtained for yk+1 using RK
method of global error O(h4) and O(h5) with six functional evaluations.

K1 f (t k , y k )
h
h
K 2 f (t k , y k K1 )
4
4
3h
3h
9h
K 3 f ( t k , y k K1 K 2 )
8
32
32
12h
1932h
7200h
7296h
, yk
K 4 f (tk
K1
K2
K3 )
13
2197
2197
2197
439h
3680h
845h
K 5 f (t k h, yk
K1 8hK 2
K3
K4 )
216
513
4104
1859h
11h
h
8h
3544h
K4
K5 )
K 6 f (tk , yk
K1 2hK 2
K3
4104
40
2
27
2565
h 25
1408
2197
1
y k 1 y k [
K1
K3
K4 K5 ]
8 216
2565
4104
5
h 16
6656
28561
9
2
y k 1 y k [
K1
K3
K 4 K5
K6 ]
8 135
12825
56430
50
55
1
128
2197
1
2
Error y k 1 y k 1 [
K1
K3
K4
K5
K 6 ]h
360
4275
75240
50
55

(1.19)

Since the lower order method is of order four, the step size adjustment factor s can be
computed as
1/ 4

s 0.84

Ti1

Here, is the accuracy requirement and T is the truncation error Ti1 yi1 yi1 .
If the desired accuracy is not achieved the solution is iterated taking new value of h.
Depending upon error requirement the step size h can be increased or decreased. The
solution yk+1 of desired accuracy is obtained at tk+1=tk+sh. The method is known as
RKF45. To implement the method, the user specifies the allowable smallest step size
hmin , largest step size hmax and the maximum allowable local truncation error . The
following algorithm is used to solve IVP using RKF45 formulae with self adjusting
variable step sizes:

Algorithm RKF45
[Step 1] set k=0, t=a=t0, y=yk, h=hmax, flag=1
[Step 2] while (flag==1) repeat steps 3-7

y k 1, y k 1 and R y k 1 y k 1

[Step 3]

compute

[Step 4]

compute s

[Step 5]

if s >hmax then h=hmax

else if (s<hmin ) exit

else h=s

( R ) flag=0

[Step 6]

if

[Step 7]

go to step 2

[Step 8]

t=t+h, y=yk+1, k++; flag=1

[Step 9]
[Step 10]

if( t<=b) goto step 2

stop

Example 1.8: Solve IVP using y 2ty 2 , y (0) 1

Solution: the matlab code for solving the system is given as

function dydt= rkf4(t,y)
dydt=y.^2.2*t;
[t,y]=ode45(@rkf4,[0 1], 1); %[0 1]-time span, 1-initial condition

t y
0.1
1.005
0.2
1.02
0.3
1.047
0.4
1.088
0.5
1.145
0.6
1.225
0.7
1.337
0.8
1.497
0.9
1.741
1.0
2.146

Table 1.6 Solution of example 1.8

Example 1.9: find the solution of IVP using higher order order Runge-Kutta method

RKF45 given in (1.19) in the interval (0,2) taking h max=0.25, hmin=0.01 and accuracy
as 0.000001
dy
y t 2 1; y (0) 0.5
dt

Solution: The detailed solution of the problem is worked out in the excel sheet rkf45.xls
h
0.25
0.188324
0.25
0.192067
0.20392
0.206565
0.214212
0.225464
0.24762
0.25
0.25
0.206501
0.215663

t
0
0
0.188324
0.188324
0.380391
0.584311
0.790876
1.005088
1.230552
1.478171
1.728171
1.728171
1.934673

y
0.5
0.5
0.808501
0.808501
1.174051
1.613165
2.104573
2.654304
3.263801
3.948873
4.627744
4.627744
5.151414

k1
1.5
1.5
1.773035
1.773035
2.029354
2.271745
2.479088
2.644102
2.749544
2.763882
2.641168
2.641168
2.408456

k2
1.589844
1.568405
1.856403
1.83778
2.091427
2.326045
2.524275
2.676656
2.763568
2.747947
2.586313
2.596419
2.326784

k3
k4
k5
Kk6
1.638153 1.833988 1.863381 1.681916
1.604568 1.753716 1.775389 1.638313
1.901019 2.079976
2.10662
1.94126
1.87192 2.011491 2.031676 1.903627
2.124074 2.255372 2.274263 2.154073
2.354349 2.465632 2.481366 2.380102
2.54744 2.634325 2.646171 2.568076
2.692615
2.74499 2.751256 2.706084
2.768682 2.767586 2.764947 2.771299
2.735929 2.656062 2.640557 2.722156
2.552099 2.370792 2.338767 2.517156
2.569447 2.430547 2.406828 2.541928
2.278814 2.042876 2.003464 2.231007

y5
0.92048705
0.80850123
1.2937217
1.17405097
1.61316482
2.10457288
2.6543036
3.26380128
3.94887292
4.62774423
5.25474897
5.15141426
5.63074392

Table 1.7 Details of Solution of example 1.9

tk+1

y5

0.25
0.188324
0.438324
0.380391
0.584311
0.790876
1.005088

0.92048705
0.80850123
1.2937217
1.17405097
1.61316482
2.10457288
2.6543036

exact
0.920487292
0.808501278
1.293721978
1.174051068
1.613164996
2.104573148
2.654303965

tk+1

y5
1.230552
1.478171
1.728171
1.978171
1.934673
2.150336

3.26380128
3.94887292
4.62774423
5.25474897
5.15141426
5.63074392

exact
3.263801766
3.948873499
4.62774482
5.254749428
5.151414894
5.630744518

Table 1.8 Comparison with exact Solution of example 1.9

Exercise 1

1.1

Apply Eulers method to solve the initial value problems in the interval (0,1]:
y 2y 3t, y (0) 1

y 2ty 2 , y (0) 1

x
, y (0) 1
y

Take h=0.1 and compare with exact solutions.

Reduce h=0.05 and again solve the two IVPs.
1.2

Apply modified Euler method to IVPs in Ex. 1.1 with h=0.1. Compare the effort
and accuracy achieved in two methods.

1.3

Can Eulers method be applied to solve the following IVP in the interval (0,2)

1.4

y( t ) 4 y 2 , y (0) 0

Show that Eulers method and modified Eulers method fail to approximate the
solution y ( t ) 8t 3 / 2 of the IVP
y(t ) 6y1/ 3 , y (0) 0

1.5

Solve the following IVP using Runge Kutta method of order two and four:
y(t ) t 2 y 2 , y (1) 0 at t 2using h=0.5

y( t ) y sin x, y (0) 2 at t 1using h=0.1

Course: Numerical Solution of Ordinary Differential Equations

Module 2: Multi-step methods

Lecture

Content

Hours

Single step and Multi-step methods, Predictor

corrector methods, Milnes method

Adams-Moulton method.

Adams Bashforth method

Module 2
Lecture 1

Multi Step Methods

Predictor corrector Methods

keywords: multi-step predictor, corrector, Milne-simpson method, integration formulae

Consider I VP
y f(t,y);

t 0 t b with y(t 0 ) y 0

(2.1)

One step methods for solving IVP (2.1) are those methods in which the solution yj+1 at
the j+1th grid point involves only one previous grid point where the solution is already
known. Accordingly, a general one step method may be written as
y j+1=y j +h(t j ,y j ,h)

The increment function depends on solution yj at previous grid point tj and step size h.
If yj+1 can be determined simply by evaluating right hand side then the method is explicit
method. The methods developed in the module 1 are one step methods. These
methods might use additional functional evaluations at number of points between tj and
tj+1. These functional evaluations are not used in further computations at advanced grid
points. In these methods step size can be changed according to the requirement.
It may be reasonable to develop methods that use more information about the solution
(functional values and derivatives) at previously known values while computing solution
at the next grid point. Such methods using information at more than one previous grid
points are known as multi-step methods and are expected to give better results than
one step methods.
To determine solution yj+1, a multi-step method or k-step method uses values of y(t) and
f(t,y(t)) at k previous grid points tj-k, k=0,1,2,k-1,. yj is called the initial point while yj-k
are starting points. The starting points are computed using some suitable one step
method. Thus multi-step methods are not self starting methods.
Integrating (2.1) over an interval (tj-k, tj+1) yields
t j1

y j1 y j

t jk

t j1

f(t,y(t))dt y j

a t dt

t j k j 0

(2.2)

The integrand on the right side is approximated by interpolating polynomial of degree r

using equi-spaced points. The integration over the interval is shown in the Fig 2.1.
The method may be explicit or implicit. An implicit method involves computation of yj+1 in
terms of yj+1. First an explicit formula known as predictor formula is used to predict yj+1.
Then another formula, known as corrector formula, is used to improve the predicted

value of yj+1. The predictor-corrector methods form a large class of general methods for
numerical integration of ordinary differential equations. A popular predictor-corrector
scheme is known as the Milne-Simpson method.
Milne-Simpson method

Its predictor is based on integration of f (t, y(t)) over the interval [tj3, tj+1] with k=3 and
r=3. The interpolating polynomial is considered to match the function at three points tj2,
tj1, and tj and the function is extrapolated at both the ends in the interval [tj3, tj-2] and [tj,
tj+1] as shown in the Fig 2.2(a). Since the end points are not used, an open integration
formula is used for the integral in (2.2):
p j1 y j1 y j

4h
14
2f(t j ,y j ) f(t j1,y j1 ) 2f(t j2 ,y j2 ) h5 f (4) (); in(t j3 ,t j1 ) (2.3)

3
45

The explicit predictor formula is of O(h4) and requires starting values. These starting
values should also be of same order of accuracy. Accordingly, if the initial point is y0
then the starting values y1, y2 and y3 are computed by fourth order Runge kutta method.
Then predictor formula (2.3) predicts the approximate solution y4 as p4 at next grid point.
The predictor formula (2.3) is found to be unstable (proof not included) and the solution
so obtained may grow exponentially.
The predicted value is then improved using a corrector formula. The corrector formula is
developed similarly. For this, a second polynomial for f (t, y(t)) is constructed, which is
based on the points (tj1, fj1), (tj, fj) and the predicted point (tj+1, fj+1). The closed
integration of the interpolating polynomial over the interval [tj, tj+1] is carried out [See Fig
2.2 (b)]. The result is the familiar Simpsons rule:
y j1 y j

h
1 5 ( 4)
f(t j1,y j1 ) 4f(t j ,y j ) f(t j1,y j1 )
h f ( ); in(t j1,t j1 )

3
90

fj-1

(2.4)

fj-3

fj-2

fj-k

tj-k

fj
fj+1

tj-3

tj

tj+1
tj-1

Fig 2.1 Scheme for multi-step integration

x
x

xj-1

t
tj-3
(a)

tj-2 tj-1

tj

tj+1

t
tj-3

tj-1 tj-1

tj+1

tj
(b)

Fig 2.2 (a) Open Scheme for Predictor (b) Closed integration for Corrector

In the corrector formula fj+1 is computed from the predicted value pj+1 as obtained from
(2.3).

Denoting f j f(t j , y j ) , the equations (2.3) and (2.4) gives the following predictor corrector
formulae, respectively, for solving IVP (2.1) at equi-spaced discrete points t4,t5,
p j1 y j1 y j3
y j1 y j1

4h
2fj fj1 2fj2
3

(2.5)

h
fj1 4f j f j1
3

The solution at initial point t0 is given in the initial condition and t1, t2 and t3 are the
starting points where solution is to be computed using some other suitable method such
as Runge Kutta method. This is illustrated in the example 2.1
Example 2.1: Solve IVP y=y+3t-t2 with y(0)=1; using Milnes predictor corrector method

take h=0.1
Solution: The following table 2.1 computes Starting values using fourth order Runge
Kutta method.

k y k1= t+ y+
k2 y+
k3
t
f(t,y) h/2 h/2*k
h/2*k2
1
0 0
1
1 0.05 1.05 1.197 1.05987 1.2074
5
5
1 0.1 1.1203 1.410 0.15 1.190 0.222 1.13147 1.559
34
859
7
7
2 0.2 1.2338 1.793 0.25 1.323 0.321 1.24993 1.9374
84
533
8
1
3 0.2 1.3763

y+
t+h h*k3

k4

y+h(k1+2k
2+2k3+k4)
/6
0.1 1.1207 1.41074 1.1203415
0.2 1.2762 1.83624 1.2338409
0.3 1.4276 2.23758 1.3763387

Table 2.1: Starting values using RK4 in Example 2.1

Using initial value and starting values at t=0, 0.1, 0.2 and 0.3, the predictor formula
predicts the solution at t=0.4 as 1.7199359. It is used in corrector formula to give the
corrected value. The solution is continued at advanced grid points [see table 2.2].

MilnePredictorcorrector1
f(t,p)
k
t
y
f(t,y)
corrector
0
0
1
1
rk4
Milne pc exact
1
0.1 1.1203415 1.410341
2
0.2 1.2338409 1.793841 startingpoints
3
0.3 1.3763387 2.186339
4
0.4 1.7199359 2.759936 1.67714525 2.717145
5
0.5 2.0317593 3.281759 1.920894708 3.170895
Table 2.2: Example 2.1 using predictor corrector method with h=0.1
The exact solution is possible in this example; however it may not be possible for other

equations. Table 2.3 compares the solution with the exact solution of given equation.
Clearly the accuracy is better in predictor corrector method than the Runge-Kutta
method.
rk4
Milnepc exact
0.1 1.120341
1.120342
0.2 1.233841
1.282806
0.3 1.376339
1.489718
0.4
1.5452 1.6771453 1.743649
0.5
1.7369 1.9208947 2.047443
Table 2.3: Comparison of solution of example 2.1
Milne

Predictor

corrector1

f(t,p)

f(t,y)

0.05

1.055042

1.202542

starting point1

0.1

1.120342

1.410342

starting point2

0.15

1.196169

1.623669

starting point3

0.2

1.282805

1.842805

1.282805

1.842805

0.25

1.380551

2.068051

1.380551

2.068051

Table 2.4: Example 2.1 using predictor corrector method with h=0.05

The exercise 2.1 is repeated with h=0.5 in table 2.4.The table 2.5 clearly indicates that
the better accuracy is achieved with h=0.05 [see table 2.5]

0.05

1.055042

1.055042

0.1

1.120342

1.120342

0.15

1.196169

1.196168

0.2

1.282805 1.282806

0.25

1.380551 1.380551

Table 2.5: improved accuracy with h=0.05

Predictor Corrector methods are preferred over Runge-Kutta as it requires only two
functional evaluations per integration step while the corresponding fourth order RungeKutta requires four evaluations. The starting points are the weakness of predictorcorrector methods. In Runge kutta methods the step size can be changed easily.

Module 2
Lecture 2

Multi Step Methods

Predictor corrector Methods
Contd

Keywords: iterative methods, stability

A predictor-corrector method refers to the use of the predictor equation with one
subsequent application of the corrector equation and the value so obtained is the final
solution at the grid point. This approach is used in example 2.1.
The predicted and corrected values are compared to obtain an estimate of the
truncation error associated with the integration step. The corrected values are accepted

if this error estimate does not exceed a specified maximum value. Otherwise, the
corrected values are rejected and the interval of integration is reduced starting from the
last accepted point. Likewise, if the error estimate becomes unnecessarily small, the
interval of integration may be increased. The predictor formula is more influential in the
stability properties of the predictor-corrector algorithm.
In another more commonly used approach, a predictor formula is used to get a first
estimate of the solution at next grid point and then the corrector formula is applied
iteratively until convergence is obtained. This is an iterative approach and corrector
formula is used iteratively. The number of derivative evaluations required is one greater
than the number of iterations of the corrector and it is clear that this number may in fact
exceed the number required by a Runge-Kutta algorithm. In this case, the stability
properties of the algorithm are completely determined by the corrector equation alone
and the predictor equation only influences the number of iterations required. The step
size is chosen sufficiently small to converge to the solution in one or two iterations. The
step size can be estimated from the error term in (2.4).
Example 2.2: Apply iterative method to solve IVP y=y+3t-t2 with y(0)=1 with h=0.1
Solution: With h=0.1 the computations are arranged in the table 2.6
Note that the corrector formula converges fast but is not converging to the solution of
the equation. It converges to the fixed point of difference scheme given by the corrector
formula. If h=0.05 then the solution converges to the exact solution in just two iterations.

f(t,y)

Milne Predictor corrector for t=0.4 with h=0.1

0.1

0.1

0.1

1.120341 1.410341

starting point1

0.1

0.2

1.233841 1.793841

starting point2

0.1

0.3

1.376339 2.186339

starting point3

0.1

0.4

1.719936 2.759936

predictor

0.1

0.4

1.677145 2.717145

corrector1

0.1

0.4

1.675719 2.715719

corrector2

0.1

0.4

1.675671 2.715671

corrector3

0.1

0.4

1.67567

2.71567

corrector4

0.1

0.4

1.67567

2.71567

corrector5

Milne Predictor corrector at t=0.5 with h=0.1

0.1

0.1

1.120341 1.410341

0.1

0.2

1.233841 1.793841

0.1

0.3

1.376339 2.186339

0.1

0.4

1.67567

0.1

0.5

1.840277 3.090277

predictor

0.1

0.5

1.914315 3.164315

corrector1

0.1

0.5

1.916783 3.166783

corrector2

0.1

0.5

1.916865 3.166865

corrector3

0.1

0.5

1.916868 3.166868

corrector4

Starting values

2.71567

Table 2.6a iterative Milnes predictor corrector method example 2.2 with h=0.1
Several applications of corrector formula is needed to obtain the desired accuracy.
Decreasing the value of h will reduce the number of applications of corrector formula.
This is evident from the next table 2,6b.

Milne Predictor corrector at t=0.2 for h=0.05

h
k
t
y
f(t,y)
0.05
0
0
1
1
0.05
1
0.05 1.055042
1.202542 Starting values

0.05
2
0.1 1.120342
1.410342
0.05
3
0.15 1.196169
1.623669
0.05
4
0.2 1.282805
1.842805 predictor
0.05
5
0.2 1.282805
1.842805 corrector1
0.05
6
0.2 1.282805
1.842805 corrector2
Table 2.6b iterative Milnes predictor corrector method example 2.2 with h=0.05
A modified method, or modified predictor-corrector method, refers to the use of the
predictor equation and one subsequent application of the corrector equation with
incorporation of the error estimates as discussed below
Error estimates
Local Truncation Error in predictor and corrector formulae are given as
y(t j1 ) p j1

28 5 ( 4)
h f (); in(t j3 ,t j1 )
90

y(t j1 ) y j1

1 5 ( 4)
h f ( ); in(t j1,t j1 )
90

It is assumed that the derivative is constant over the interval [tj-3, tj+1]. Then simplification
yields the error estimates based on predicted and corrected values.
y(t j1 ) p j1

28
[y j1 p j1 ]
29

(2.6)

Further, assume that the difference between predicted and corrected values at each
step changes slowly. Accordingly, pj and yj can be substituted for pj+1 and yj+1 in (2.6)
gives a modifier qj+1 as
q j1 p j1

28
[y j p j ]
29

This modified value is used in functional evaluation fj+1 to be substituted in corrector

formula. This scheme is known as Modified Predictor corrector formula and is given as
p j1 y j1 y j

4h
2fj fj1 2fj2
3

q j1 p j1

y j1 y j

28
[y j p j ]; f j1 f(t j 1,q j1 )
29

(2.7)

h
f j1 4fj f j1
3

Another problem associated with Milnes predictor corrector method is the instability
problem in certain cases. This means that error does not tend to zero as h tends to
zero. This is illustrated analytically for a simple IVP
Y=Ay, y(0)=y0
Its solution at t=tn is yn=y0 exp(tn-t0). Substituting y=Ay in the corrector formula gives the
difference equation
y j1 y j1

Or

(1

h
Ay j1 4Ay j Ay j1
3

hA
4hA
hA
)y j1
y j (1
)y j1 0
3
3
3

(2.8)

Let Z1 and Z2 be the roots of quadratic equation

(1

hA 2 4hA
hA
)Z
Z (1
)0
3
3
3

The solution of above difference equation (2.8) can be written as

y j C Z C2 Z ;with Z1,2
j
1 1

j
2

2r 3r 2 1
hA

,r
1 r
3

For stability the behavior of solution is to be explored as h tends to zero, consider

Z1

2r 3r 2 1
1 3r O(r 2 ) 1 Ah O(h2 )
1 r

Z2

2r 3r 2 1
Ah
1 r O(r 2 ) (1
) O(h2 )
1 r
3

Also, exp(hA) 1 hA O(h2 ),exp( hA / 3) 1 hA / 3 O(h2 ),

Hence the solution of the given IVP by predictor corrector method is represented as
y j C1 exp A(t j t 0 ) C 2 exp A(t j t 0 ) / 3

When A>0, the second term will die out but the first grows exponentially as j increases
irrespective of h. However, first term will die out and second will grow exponentially
when A<0. This establishes the instability of the solution.

Module 2
Lecture 3

Multi Step Methods

Adams Bashforth method

Keywords: interpolating polynomial, open integration

A general k step method for solving IVP is given as

y j1 ak 1y j ak 2 y j1 ... a0 y j1m
h[bk f(t j1,y j1 ) bk 1f(t j ,y j ) ... b0 f(t j1m ,y j1m )

(2.9)

When bk=0, the method is explicit and yj+1 is explicitly determined from the initial value y0
and starting values yi; i=1,2, , k-1. When bk is nonzero, the method is implicit.
The Milnes predictor corrector formulae are the special cases of (2.9):
Predictor formula : k=4,a1=a 2 =a3 =0,a 4 =1,b0 =0, b1=8/3, b 2 =-4/3, b3 =8/3, b 4 =0
Corrector formula : k=4,a1=a 2 =a 4 =0,a3 =1,b0 =0, b1=0, b 2 =1, b3 =4, b 4 =1 .
Another category of multistep methods, known as Adams methods, are obtained from
t j1

y j1 y j

t j1

f(t,y(t))dt y j

tj

a t dt
j

t j k j 0

Here the integration is carried out only on the last panel, while many function and
derivative values at equi-spaced points are considered for the interpolating polynomial.
Both open and closed integration are considered giving two types of formulas. The
integration scheme is shown in the fig. 2.3

x
x

x
x

x
x

x
x

tj-3

tj-1 tj-1

t
tj

tj-3

tj+1

tj-1 tj-1

t
tj

tj+1

Fig. 2.3 Schematic diagram for open and closed Adams integration
formulas

The open integration of Adams formula gives Adams Bashforth formula while
closed integration gives Adams Moulton formula. Different degrees of interpolating
polynomials depending upon the number r of interpolating points give rise to formulae of
different order. Although these formulae can be derived in many different ways, here
backward application of Taylor series expansion is used for the derivation of second
order Adams Bashforth open formula.
Second Order Adams Bashforth open formula
For second order formula, consider degree of polynomial r=2 and points tj, tj-1and tj-2
are used in the following
t j1

y j1 y j

t j1

f(t,y(t))dt y j

tj

a t dt
j

t j k j 0

Expanding left hand side in Taylor series as

y j1 y j h[fj fj h / 2 fj h2 / 6 ...]

Also,

f j

f j f j1
h

f j
2

(2.10)

h O(h2 )

Substitution and simplification yields second order Adams formula

3
1
5
y j1 y j h( fj fj1 ) h3 fj()
2
2
12

(2.11)

A fourth order Adams Bashforth formula can be derived on similar lines and it is written
as

y j1 y j h(

55
59
37
9
251 5 iv
fj
fj1 fj2
f j 3 )
h f ( )
24
24
24
24
720

(2.12)

Example 2.3: Apply Adams Bashforth method to solve IVP

y y 3t t 2 With y(0)=1 with h=0.1

Solution: With h=0.1 the computations are arranged in the table 2.7

0.05

0.05
0.05
0.05
0.05
0.05

Exact

f(t,y)

1
2
3

0.05
0.1
0.15

1.0550422
1.1203418
1.1961685

1.202542
1.410342
1.623669

Starting

0.2

1.2828053

1.842805

1.2828055

solution

values

1.3805508
5
0.25
1.3805503
2.06805
Table 2.7: Apply Adams Bashforth method Example 2.3

Module 2
Lecture 4

Multi Step Methods

Adams Moulton method

Keywords: closed integration, local truncation error

Second Order Adams Moulton formula

Backward Taylor series is used for integrand in the closed integration formula:
t j1

y j1 y j

t j1

f(t,y(t))dt y j

tj

a t dt
j

t j k j 0

y j y j1 h[fj1 fj1 h / 2 fj1 h2 / 6 ...]

(2.13)

y j1 y j h[fj1 fj1 h / 2 fj1 h2 / 6 ...]

f j1

f j1 f j
h

fj1
2

h O(h2 )

Substitution and simplification yields second order Adams Moulton formula

1
1
1
y j1 y j h( fj1 fj ) h3 fj1 ()
2
2
12

(2.14)

Fourth order Adams Moulton formula can be obtained on similar lines:

y j1 y j h(

9
19
5
1
19 5 iv
fj1
fj fj1
f j2 )
h f ()
24
24
24
24
720

(2.15)

A predictor corrector method is based on Adams integration formulas make use of

Adams Bashforth formula (2.12) as predictor while Adams Moulton formula (2.15) as
corrector. Milnes method is considered to be better due to smaller error terms.
However, Adams method is preferred due to instability of corrector formula in Milnes
method in some cases.
The predictor formula

y j1 y j h(

55
59
37
9
251 5 iv
fj
fj1 fj2
f j 3 )
h f ( )
24
24
24
24
720

The Corrector formula

y j1 y j h(

9
19
5
1
19 5 iv
fj1
fj fj1
f j2 )
h f ()
24
24
24
24
720

Example 2.4 Solve IVP of example 2.3 by Adams predictor corrector Method

f(t,y)

Solution At t=0.20
0.05

0.05

0.05

1.0550422 1.202542

0.05

0.1

1.1203418 1.410342

0.05

0.15

1.1961685 1.623669

0.05

0.2

1.2828053 1.842805 predictor

0.05

0.2

1.2828055 1.842806 corrector

0.05

0.2

1.2828056 1.842806 corrector

Starting
values

Solution At t=0.25
0.05
1
0.05
1.0550422 1.202542
0.05
2
0.1
1.1203418 1.410342
Starting
0.05
3
0.15
1.1961685 1.623669
values
0.05
4
0.2
1.2828056 1.842806
0.05
5
0.25
1.3805506 2.068051 predictor
0.05
6
0.25
1.3805509 2.068051 corrector
0.05
7
0.25
1.3805509 2.068051 corrector
Table 2.8 Solution of IVP of Example 2.3 by Adams predictor corrector Method
Both the predictor and corrector formula have Local Truncation errors of order O(h5):
251 (5 )
y (1 )h5
720
19 (5 )
y (t k 1 ) y k 1
y (2 )h5
720
y (t k 1 ) pk 1

If fifth derivative is nearly constant and h is small then the error estimate can be
obtained by eliminating the derivative and simplifying as
y (t k 1 ) y k 1

Exercise 2

19
y (tk 1 ) pk 1
270

2.1

Consider the IVP

y e t y, y(0)=1

Compute solution at times t=0.05, 0.1 and 0.15 using RK4 by taking h=0.05. Use
these values to compute solution at t=0.2 0.25 and 0.3 using Milne-Simpson
method. Compare solution with the exact solution y (t 1)e t
2.2

Consider the IVP

y y t 2 , y(0)=1

Compute solution at times t=0.2, 0.4 and 0.6 using RK4 by taking h=0.2. Apply
Adams Bashforth method to compute solution at t=0.8 and 1.00
2.3

Solve IVP of exercise 2.2 by fourth order Adams predictor corrector Method.

Course: Numerical Solution of Ordinary Differential Equations

Module 3
Systems of equations and higher order equations

keywords: system of differential equations, Euler method, Runge-Kutta methods

Systems of Differential Equations

The mathematical models of many real life dynamical problems give rise to system of first order
differential equations. For example, dynamics of interacting species, chemical or biological, at
molecular, cellular or population level is modeled as a system of n first order differential
equations. The number n depends upon the species involved in the interaction. The study of
combustion dynamics can give a large system with n in hundreds or even in thousands. The
system of differential equations generally involved wide variety of possible behaviors as
compared to single differential equation. As such more advanced mathematics is required for

their analysis. However when it comes to numerical techniques for solving them, there is not
much difference between the system of differential equations and single differential equations.
The most general form of a system of m differential equations can be written as

yi (t) fi t,y1,y 2 ,y3 ,...ym t ;yi (0) y0i ;0 a t b

(3.1)

In (3.1) t is independent variable and m dependent variables are y1, y 2 , y 3 ,...y m . Introducing
column vector Y as (y1, y 2 , y 3 ,...y m )T , F as (f1,f2 ,f3 ,...fm )T and Y0 as (y 01, y 02 , y 03 ,...y 0m )T , the
system (3.1) in matrix form is written as

Y (t) F(t, Y); Y(0) Y0 ;0 t b

(3.2)

The form (3.2) is similar to the IVP (1.2) with scalars being replaced by vectors.
Let the interval (a,b) is divided into N subintervals of width h=(b-a)/N such that the grid
points are tj=a+jh and tj+1=tj+h. Let yi,j ; i=1,2,m and

j=1,2,N denote the

th

approximation of i dependent variable yi (tj) at t=tj=t0+jh.

The Eulers method for the system of equations be written as
y i,j1 y i,j hfi (t j , y1,j , y 2,j ,..., y m,j );i 1,2,...,m and j 0,1,2,...,N

(3.3)

Fourth Order Runge Kutta method for system of equations

K1,i fi t j ,y1,j ,y 2,j ,y 3,j ,...,ym,j , ;i 1,2,...,m

h
h
h
h
h

K 2,i fi t j ,y1,j K1,1,y 2,j K1,2 ,y 3,j K1,3 ,...,ym,j K1,m

2
2
2
2
2

h
h
h
h
h

K 3,i fi t j ,y1,j K 2,1,y 2,j K 2,2 ,y 3,j K 2,3 ,...,ym,j K 2,m

2
2
2
2
2

(3.4)

K 4,i fi t j h,y1,j hK 3,1,y 2,j hK 3,2 ,y 3,j hK 3,3 ,...,ym,j hK 3,m

yi, j 1 yi, j

h
K1,i 2K 2,i 2K 3,i K 4,i
6

Example 3.1 Solve the system of differential equations with given initial conditions

using Eulers method in the interval (0,1) taking h=0.02

x=x+2y
y=3x+2y

Solution:

x(0)=6
y(0)=4

The Euler method given in (3.3) is used for solving given system of two

equations (m=2):

f1(x,y)=x+2y

x(0)=6

f2 (x,y)=3x+2y

y(0)=4

The computations are shown in the table 3.1.

j

xj

yj

f1

f2

0.02

14

26

0.02

0.02

6.28

4.52

15.32

27.88

0.02

0.04

6.5864

5.0776

16.7416

29.9144

0.02

0.06

6.921232

5.675888

18.273008

32.115472

0.02

0.08

7.28669216

6.31819744

19.923087

34.49647136

0.02

0.1

7.685153901

7.00812687

21.7014076

37.07171544

0.02

0.12

8.119182054

7.74956118

23.6183044

39.85666851

0.02

0.14

8.591548142

8.54669455

25.6849372

42.86803352

0.02

0.16

9.105246886

9.40405522

27.9133573

46.12385109

0.02

0.18

9.663514033

10.3265322

30.3165785

49.64360657

10

0.02

0.2

10.2698456

11.3194044

32.9086543

53.44834555

11

0.02

0.22

10.92801869

12.3883713

35.7047613

57.56079863

Table 3.1 Solution of Example 3.1

Refer to euler-system of equations.xlsx

Example 3.2 Solve the following system of differential equations with given initial

conditions using fourth order Runge Kutta method in the interval (0, 2) taking h=0. 5
x=x-xy
y=-y+xy

x(0)=4
y(0)=1

Solution: Consider the system with h=0.5, m=2

f1(x,y)=x-xy

x(0)=4

f2 (x,y)=-y+xy

y(0)=1

The Runge-Kutta formulae given in (3.4) are used to compute solution. The
computations are shown in the table 3.2 [Ref. system_of_equations.xls]
t
0

x
4

y
1

k11=f1(x,y)
0

k12=f2(x,y)
3

t+h/2

x+h*k11/2

y+h*k12/2

k21=f1(x,y)

k22=f2(x,y)

0.25

1.75

-3

5.25

t+h/2

x+h*k21/2

y+h*k22/2

k31=f1(x,y)

k32=f2(x,y)

0.25

3.25

2.3125

-4.265625

5.203125

t+h

x+h*k31

y+h*k32

k41=f1(x,y)

k42=f2(x,y)

0.5

1.8671875

3.6015625

-4.85760498

3.12322998

phi1

phi2

-1.61573792

2.25245667

t1

x+phi1

y+phi2

0.5

2.384262085

3.252456665

t1

x
0.5

t1+h/2

2.384262085
x+h*k11/2

0.75
t1+h/2
t1+h
1

y+h*k12/2
4.378019776
y+h*k22/2

1.504583232
x+h*k31

k11=f1(x,y)
3.252456665

1.041650329
x+h*k21/2

0.75

3.298043156
y+h*k32

0.655463485

4.084525303

-5.37044702
k21=f1(x,y)
-3.51871541
k31=f1(x,y)
-3.4575972
k41=f1(x,y)
-2.02179371
phi1
-1.77873883

t2

x+phi1
1

k12=f2(x,y)
4.50225244
k22=f2(x,y)
0.18234596
k32=f2(x,y)
1.66413728
k42=f2(x,y)
-1.40726811
phi2
0.56566257

y+phi2

0.605523256

3.818119233

t2

k11=f1(x,y)

k12=f2(x,y)

0.605523256

3.818119233

-1.70643673

-1.50615924

t2+h/2

x+h*k11/2

y+h*k12/2

k21=f1(x,y)

k22=f2(x,y)

1.25

0.178914073

3.441579422

-0.43683292

-2.82583243

t2+h/2

x+h*k21/2

y+h*k22/2

k31=f1(x,y)

k32=f2(x,y)

1.25

0.496315026

3.111661125

-1.04804915

-1.56729695

t2+h

x+h*k31

y+h*k32

k41=f1(x,y)

k42=f2(x,y)

1.5

0.081498682

3.034470757

-0.16580669

-2.78716539

phi1

phi2

-0.40350063

-1.08996528

t3

x+phi1

y+phi2

1.5

0.202022627

2.728153949

t3

k11=f1(x,y)

k12=f2(x,y)

1.5

0.202022627

2.728153949

-0.3491262

-2.17700512

x+h*k11/2

y+h*k12/2

k21=f1(x,y)

k22=f2(x,y)

1.25

0.114741077

2.183902669

-0.13584227

-1.93331933

t3+h/2

x+h*k21/2

y+h*k22/2

k31=f1(x,y)

k32=f2(x,y)

0.25

0.16806206

2.244824118

-0.20920771

-1.86755435

t3+h

x+h*k31

y+h*k32

k41=f1(x,y)

k42=f2(x,y)

0.097418774

1.794376773

-0.07738721

-1.61957079

phi1

x+phi1

t3+h/2

-0.09305111

0.108971514

phi2

y+phi2

-0.94986027

1.778293677

Table 3.2: Solution of the system of equations in Example 3.2

Accordingly,

the

first

part

of

the

table

gives

x(0.5)=2.384262085,

y(0.5)=

3.252456665.The solution at t=1.0,1.5 and 2.0 are computed in the subsequent parts of
the table

Module 3
Lecture 2
Numerical Solution of Higher Order Ordinary Differential Equations

keywords: system of differential equations, Euler method, Runge-Kutta methods

Solution of Higher Order Ordinary Differential Equations

The general form of an nth order differential equation is

F(y(n), y(n 1) ,..., y, y, y,t) 0

(3.5)

It is convenient to convert higher order differential equation to a system of first order differential
equations. This is illustrated for the following second order differential equation n=2:

F(y,y,y,t) 0

(3.6)

The initial conditions associated with ( 3.6)

y(0)=y 0 and y(0)=y1

Substituting z=y in (3.6) gives F(z,z,y,t) 0 .
Accordingly, the second order equation (3.6) reduces to a system of two coupled first order
equations in two unknowns y and z:

z y
F(z,z,y,t) 0
Or

y z
z f(z, y,t)

(3.7)

The associated initial conditions get transformed to

y(0)=y 0 and z(0)=y1

(3.8)

Let Y y, z , the system can be written in the matrix form as

T

Y G(y,z,t);G z,f(y,z,t) With initial condition Y(0) (y0 ,y1)T

T

(3.9)

The second order differential equation is reduced to a system of two first order
differential equation in two unknowns y and y. Similarly nth order differential equation
can be reduced to a system of n first order differential equation in n unknowns y ,
y,,y(n-1) .Once the higher order differential equation is converted into system of first
order differential equations, then one of the methods already discussed can be applied.
Example 3.3 Solve the following initial value problem using fourth order Runge Kutta
method in the interval (1, 2) taking h=0.2
2x

Solution:

d2 x dx 2
dx
( ) 1 0, x (1) 1,
0
2
dt
dt
dt x 1

Writing

dx
y ,the given differential equation becomes
dt

dy
1 y 2

dt
2x

Therefore, the equivalent system of equations is

dx
dy
1 y 2
y f1 ( x, y ),

f2 ( x, y )
dt
dt
2x

The system is subjected to initial conditions x(1)=1, y(1)=0.The following table shows
the detailed computational steps for solution at t=1.2 when h=1.2
j

k11=f1(x,y)

k12=f2(x,y)

0.2

-0.5

t+h/2

x+h*k11/2

y+h*k12(x,y)/2

k21=f1(x,y)

k22=f2(x,y)

1.1

-0.05

-0.05

-0.50125

t+h/2

x+h*k21/2

y+h*k22(x,y)/2

k31=f1(x,y)

k32=f2(x,y)

1.1

0.995

-0.05013

-0.05013

-0.50378

t+h

x+h*k31

y+h*k32(x,y)

k41=f1(x,y)

k42=f2(x,y)

1.2

0.989975

-0.10076

-0.10076

-0.51019

1.2

phi1

x+phi1

phi2

y+phi2

-0.01003

0.989966

-0.10067

-0.10067

Table 3.3: Solution of the system of equations in Example 3.3 at t=1.2

Solution at other time steps are obtained similarly and given in the next table. Details of
steps can be seen in the excel sheet second-order ODE-RK4ex3.3 .xls.
x(1)

x(1.2)
1

0.989966

x(1.4)
0.959451

x(1.6)
0.907106

x(1.8)
0.830285

x(2)
0.724106

Table 3.4: Complete Solution of the system of equations in Example 3.3

Module 3
Lecture 3
Stiff Differential Equations

keywords: Euler method, explicit method, implicit method, stiff equations, stability

Stiff Differential Equations

It is observed that the approximate solution of ordinary differential equations involve
truncation error which depends upon the higher derivatives of the solution. When this

higher derivative is bounded then the method gives predictable error bound. In some
cases the solutions as well as its derivative(s) grow with number of steps and the
relative error can still be under control. However, there are IVP for which the error grows
so large that the solution is not acceptable. Such equations are termed as stiff
equations. These are very common in physical and biological systems. One typical
example is mass spring system with a large spring constant (stiffness).
The stiff equations are characterized by those differential equations having a term of the
form exp(-ct) in the exact solution with large c. Typically, this led to fast decaying
transient solution. But the increasing truncation error (involving its nth derivative) of the
form cn exp (-ct) will destabilize the approximate solution. In such cases the step size h
should be drastically decreased to maintain stability. The following stiff differential
equation involves large negative exponent in the solution
x cx; x (o) x 0 , c is large and positive

(3.10)

Example 3.4: Solve IVP x 15x; x(o) 1 numerically in the interval (0, 2)
Solution: Solving the differential equation numerically in the interval (0, 2) for c=15 by
Eulers method with h=0. 5, it is observed that the solution explodes very soon. [See the
computations in the Excel sheet Stiff equ.xls/ sheet 1 and sheet 2]. When h=0. 25, it is
oscillatory in contrast to exact solution. The step size h is to be decreased drastically to
obtain the solution close to the exact solution. However, this will increase the
computational effort.
t

at h=0.5

at h=0.25

at h=0.1

at h=0.05

at h=0.01

at

exact

h=0.005
0.5

42.25

7.5625

-0.3125

9.54 E-07

0.000296

0.000411

0.00053

-274.625

57.19141

0.000977

9.09E-13

1.5

1785.0625

432.51

-3.10E-05

1.69E-10

-11602.91

3270.857

9.50E-07

9.36E-14

3.06E-07

Table 3.5: Comparison of solution with different values of h

To solve stiff equation (3.10), it is desirable to use implicit methods. The explicit Euler
method is modified for the equation as follows:
x

x (t t ) x (t )
cx (t t );
t

Or

x ( t t )

x(t)
1 ct

(3.11)

The application of this Euler implicit scheme for the equation (3.10) will not misbehave.
[See the computations in the Excel sheet Stiff equ.xls/ sheet 3]
In case of IVP x f ( x, t ); x (o) x 0
The implicit Euler Scheme is written as
x k 1 x k hf ( x k 1, t k 1 )

(3.12)

Another implicit scheme which can be used to solve stiff equations is Trapezoidal
scheme or two stage adams Moulton scheme
x k 1 x k h[f ( x k , t k ) f ( x k 1, t k 1 )] / 2

(3.13)

The stiff differential equations generally results from the phenomenon that involves
widely differing time scales. Consider the differential equation

x 100x
Its most general solution is
x ( t ) Ae10t Be 10t

There are two different time scale in the solution. In another example
x 1000x e t ; x (o) 1

Its exact solution also involves two time scales 1 versus 1/1000
x ( t ) (e 1000t e t ) / 999

In general the presence of vastly different evolutionary time scale gives stiff dynamic
differential equations. In such cases, care should be taken in solving them.
Example 3.5: Using Euler implicit Scheme Solve IVP over interval (0, 3.0)
x 1000x e t ; x (o) 1. Take h=0.05

Solution: Applying Scheme (3.12) to the given equation gives

x k 1

x k h exp( t k 1 )
1 1000h

The numerical details are worked out in Excel file Stiff equ.xls/ sheet 4
euler method
h

tk

xk

f(xk,tk)

xk+1

0.05

-1001

-49.05

exact
0.05

-0.000952182

0.05

0.05

-49.05

49049.0488

2403.40244

0.1

-0.000905743

0.05

0.1

2403.40244

-2403403.3

-117766.765

0.15

-0.00086157

0.05

0.15

-117766.765

117766764

5770571.43

0.2

-0.00081955

0.05

0.2

5770571.43

-5.771E+09

-282758000

0.25

-0.00077958

0.05

0.25

-282758000

2.8276E+11

1.3855E+10

0.3

-0.00074156

0.05

0.3

1.3855E+10

-1.386E+13

-6.789E+11

0.35

-0.000705393

Table 3.6 a Euler I Method for stiff equation

Euler Implict method

h

tk

xk

tk+1

hexp(-tk+1)

xk+1

exact

0.05

0.05

0.951229

0.0186753

-0.000952182

0.05

0.05

0.018675

0.1

0.904837

-0.0005209

-0.000905743

0.05

0.1

-0.00052

0.15

0.860708

-0.000854

-0.00086157

0.05

0.15

-0.00085

0.2

0.818731

-0.0008194

-0.00081955

0.05

0.2

-0.00082

0.25

0.778801

-0.0007796

-0.00077958

0.05

0.25

-0.00078

0.3

0.740818

-0.0007416

-0.00074156

0.05

0.3

-0.00074

0.35

0.704688

-0.0007054

-0.000705393

Table 3.6 b Euler Implicit Method for stiff equation

Exercise 3

3.1

Solve the following system of equations using Runge Kutta method of

order 4 in the interval 0< t 1.0 :
(a)

x xy t; x (0) 1
;
y ty x; y (0) 1

(b)

x x 4y; x (0) 2
y y x; y (0) 3

; taking h=0.0.5

x y 2 x 2 ; x(0) 2
(c)
y 2xy; y(0) 0.1

; taking h=0.0.5

(d)
3.2

taking h=0.1

x 3x 2y (2t 2 1)e2t ; x (0) 1

y 4x y (t 2 2t 4)e2t ; y(0) 1

; taking h=0.1

Solve the following higher order differential equations using Runge Kutta
method of order 4
(a) t 2 x 2tx 2x t 3 ln t, 1 t 2; x (1) 1, x(1) 0

3.3

Using trapezoidal Scheme Solve IVP over interval (0, 3.0)

x 1000x e t ; x (o) 1. Take h=0.05

Repeat the exercise for h = 0.001

Module 4
Linear Boundary value problems

Lecture
1

Content

Hours

Finite Difference Methods: Dirichlet type boundary 1

condition
Finite Difference Methods: Mixed boundary condition
1

Shooting Method

Shooting Method contd

Module 4
Lecture 1

Finite Difference Methods: Dirichlet type boundary condition

keywords: Dirichlet type boundary conditions, discretize, finite differences

Linear Boundary Value Problems

An initial value problem consists of a differential equation and associated initial
conditions for finding the unique solution of the problem. All the initial conditions are
specified at one specified point called as initial point. Typical initial conditions for nth
order differential equation involve specification of y, y,,y(n-1) at some initial point, say
at t=0. For a boundary value problem boundary conditions are associated with the
differential equation. The boundary conditions are specified at different points of the
domain of independent variable t known as boundary points. For example, consider a
second order ordinary differential equation

y f(y,y,x);a x b
1(x)y(x) 1(x)y(x) 1 at x a

(4.1)

2 (x)y(x) 2 (x)y(x) 2 at x b
The Boundary value is called two-point linear boundary value problem when the
arbitrary function f is given as a linear combination of dependent variable and its
derivative as
f(y,y,x) c(x)y(x) d(x)y(x) e(x)

(4.2)

The boundary conditions are specified at the boundary points x=a and x=b as linear
combination of y and its derivative y. This is Robin mixed boundary conditions. In
particular when i 0, i 0;i 1,2 then the boundary conditions are known as Dirichlet
boundary conditions. The conditions are Neumanns boundary conditions when
i 0, i 0;i 1,2

Finite difference method for two point linear Boundary Value problem with Dirichlet type
conditions

y c(x)y(x) d(x)y(x) e(x);a x b

y(a) 1; y(b) 2

(4.3)

To apply finite difference method first discretize the domain a x b into N-1
computational grid points xi;i 1,2...N 1 and two boundary points x0 and xN as
a x0 x1 x 2 ... xN1 xN b

The grid points are equi-spaced and computed as

xi x0 ih;h

ba
N

The step size h is a critical parameter for stability and convergence of the numerical
scheme. The differential equation is now written at each internal grid point
xi;i 1,2...N 1 . For this, the derivatives are replaced by corresponding finite differences:

y 2yi yi1
o(h2 )
y xi i1
2
h
y y
y xi i1 i1 o(h2 )
2h
that is
yi1 2yi yi 1
h2

or

y y
c(xi ) i 1 i1 d(xi )yi e(xi )
2h

h
h
( 1 c i )yi1 (2 h2di )yi ( 1 c i )yi1 h2ei;i 1,2,N 1
2
2

(4.4)

The unknown yis are on the left side and known quantities are on right side of
the equation for i=2,3,N-2. Using boundary conditions for i=1and i=N-1 give
(2 h2d1)y1 ( 1

h
h
c1)y 2 h2e1 (1 c1)1
2
2

(4.6a)

h
h
( 1 cN1)yN 2 (2 h2dN1)yN1 [h2eN1 (1 cN1)2 ] (4.6b)
2
2

This reduces the system of differential equations to linear system of N-1 algebraic
equations which can be written in the matrix form as AX=B where
1 u1

2 2 u2

.
... .

. ...

N 2

N 2 uN 2

N1 N1 (N1)X(N1)

 x1
x

X .

xN 2
xN1

i 2 h2di
h
i 1 ci
2
h
ui 1 ci
2

h
2

h e1 (1 2 )1

h2e2

B ...

h eN 2

h
h eN1 (1 )2

(4.7)

The system of equations must admit unique solution for which the sufficient condition is
the diagonal dominance of the matrix A. Suppose d(x) has positive values in the domain
and c(x) is continuous. Let L be upper bound of the function c(x) over the domain then
the step size h smaller than 2/L guarantees the uniqueness of the solution.
Example 4.1: Solve the boundary value problem using N=4
y 12y 16; y(0) y(2) 5

Solution:

It is observed that c(x)=0, d(x)=12>0, e(x)=-16. for N=4, the Bvp will

reduce to system of three algebraic equations with step size h=2/4=0.5 The equivalent
system given below:

5y1 y 2

y1 5y 2 y3

y 2 5y3 1
The system of algebraic equations corresponding to the BVP has unique solution
irrespective of step size h. The solution of the system is
y1

1
18
1
, y 2 , y3
23
23
23

Example 4.1: Solve the boundary value problem using N=4

xy (2x 1)y (x 1)y; y(1) 2e, y(3) 10e3

Solution: For the given boundary value problem a=1, b=3, N=4 h=0.5
c(x)

2x 1
x 1
,d(x)
,e(x) 0
x
x

It may be noted that d(x) is positive and c(x) is a decreasing function in (1, 3).
Therefore, L=C(1)=3. Accordingly, the condition for unique solution ( h<2/L) is satisfied
for h=0.5
The grid points are x 0 1.0, x1 1.5, x 2 2.0, x3 2.5, x 4 3.0
The coefficients of the matrix are computed from the expressions given below
x 1 2
2x 1 h
2x 1 h
di 2 i
h , i 1 ( i ) ,ui 1 ( i ) ,
xi
xi
2
xi
2

Applying finite differences gives the following system of equations:

2.41667y1-0.33333y 2

=9.060939

-1.625 y1+2.375 y 2 -0.375 y3 =0

-1.6 y 2 +2.35 y3 =80.34215
The coefficient matrix is diagonally dominant. The system of equations can be solved
using Gauss-Seidel iterative scheme with initial guess as (0,0,0).
For numeric computations refer to NPTEL-II\BVP-I.xls
The final solution is obtained as
y1=5.125596, y 2 =9.977751, y 3 =40.98151