MA3251- Statistics and Numerical Methods

UNIT V NUMERICAL SOLUTION OF ORDINARY DIFFERENTIAL EQUATIONS

Single step methods: Taylor’s series method - Euler’s method - Modified Euler’s method -
Fourth order Runge-Kutta method for solving first order differential equations - Multi step
methods: Milne’s and Adams - Bash forth predictor corrector methods for solving first order
differential equations.
Single step methods:
Taylor’s series method:
𝑑𝑦
Consider a first order ODE as: 𝑑𝑥 = 𝑦 ′ = 𝑓(𝑥, 𝑦) with I.C 𝑦 𝑥0 = 𝑦0 .
This is an initial value problem.
Then, the Taylor’s series expansion of 𝑦(𝑥) around the point 𝑥 = 𝑥0 + ℎ is
𝒉 𝒉𝟐 𝒉𝟑 𝒉𝒏
𝒚 𝒙 = 𝒚 𝒙𝟎 + 𝒉 = 𝒚𝟎 + 𝟏! 𝒚𝟎 ′ + 𝟐! 𝒚𝟎 ′′ + 𝟑! 𝒚𝟎 ′′′ + ⋯ . . + 𝒏! 𝒚𝟎 (𝒏) + ⋯ … … ..
Where, ℎ = 𝑥 − 𝑥0 ; 𝑦0 = 𝑦(𝑥0 ); 𝑦0 ′ = 𝑦(𝑥0 ) etc.
The above series has to be truncated to get an approximate solution as a polynomial.
If the series truncates after "𝑛" terms, then the error is given by
ℎ𝑛
𝐸 = 𝑛! 𝑦0 𝑛 (𝜀) ≈ 𝑂(ℎ𝑛 ), 𝑥 ≤ 𝜀 ≤ 𝑥 + ℎ (or)
𝐸 = 𝐾ℎ𝑛 , where 𝐾 is a constant.
The truncation error is 𝑂(ℎ𝑛 ).
The Taylor’s series is said to be of order(𝑛 − 1).
Now, taking 𝑥1 = 𝑥0 + ℎ and 𝑦 𝑥1 = 𝑦1 , we have
𝒉 𝒉𝟐 𝒉𝟑 𝒉𝒏
𝒚𝟏 = 𝒚𝟎 + 𝟏! 𝒚𝟎 ′ + 𝟐! 𝒚𝟎 ′′ + 𝟑! 𝒚𝟎 ′′′ + ⋯ . . + 𝒏! 𝒚𝟎 (𝒏) + ⋯ … … ..
Taking 𝑥2 = 𝑥1 + ℎ and 𝑦 𝑥2 = 𝑦2 , we have
𝒉 𝒉𝟐 𝒉𝟑 𝒉𝒏
𝒚𝟐 = 𝒚𝟏 + 𝟏! 𝒚𝟏 ′ + 𝒚 ′′ + 𝒚 ′′′ + ⋯ . . + 𝒏! 𝒚𝟏 (𝒏) + ⋯ … … ..
𝟐! 𝟏 𝟑! 𝟏
In general,
𝒉 𝒉𝟐 𝒉𝟑 𝒉𝒏
𝒚𝒏+𝟏 = 𝒚𝒏 + 𝟏! 𝒚𝒏 ′ + 𝒚 ′′ + 𝒚 ′′′ + ⋯ . . + 𝒏! 𝒚𝒏 (𝒏) + ⋯ … … ..
𝟐! 𝒏 𝟑! 𝒏
𝑑𝑦
1. Given that 𝑑𝑥 = 𝑥 2 + 𝑦 2 , 𝑦 1 = 2, find 𝑦(1.1) using Taylor’s series method of the fourth
order.
Solution:

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2. Find 𝑦 0.1 = 0 (correct to four decimal places), using Taylor’s series expansion, given
that 𝑦 ′ = 𝑥 2 + 𝑦 2 , 𝑦 0 = 1.
Solution:

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3. Solve:𝑦 ′ = 𝑦 2 + 𝑥, 𝑦 0 = 1. Apply Taylor series method of order 4 to find 𝑦(0.2) and
𝑦(0.4).
Solution:

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4. Find by Taylor’s series method, the values of 𝑦 at 𝑥 = 0.1 & 𝑥 = 0.2, to four decimal
𝑑𝑦
places from 𝑑𝑥 = 𝑥 2 𝑦 − 1, 𝑦 0 = 1.
Solution:

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Euler’s Method
𝑑𝑦
Consider 𝑑𝑥 = 𝑦 ′ = 𝑓(𝑥, 𝑦), with 𝑦 𝑥0 = 𝑦0 .
Now, taking 𝑥1 = 𝑥0 + ℎ and 𝑦 𝑥1 = 𝑦1 ,
The Euler’s algorithm to find 𝑦1 is given by
𝒚𝟏 = 𝒚𝟎 + 𝒉𝒇(𝒙𝟎 , 𝒚𝟎 ) .
Similarly, 𝒚𝟐 = 𝒚𝟏 + 𝒉𝒇(𝒙𝟏 , 𝒚𝟏 )
In general,
𝒚𝒏+𝟏 = 𝒚𝒏 + 𝒉𝒇(𝒙𝒏 , 𝒚𝒏 )
𝑑𝑦 𝑦−𝑥
1. Given 𝑑𝑥 = 𝑦+𝑥 , with the boundary conditions 𝑦 = 1 for 𝑥 = 0, find 𝑦(0.1).
Solution:

2. Given 𝑦 ′ = 1 + 𝑥𝑦, with the boundary conditions 𝑦 2 = 0, find 𝑦(2.2)with step size 0.1.
Solution:

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3.Given 𝑦 ′ = 𝑦𝑠𝑖𝑛𝑥 + 𝑐𝑜𝑠𝑥, with the boundary conditions 𝑦 0 = 0, find 𝑦(0.2).
Solution:

4. Given 𝑦 ′ = 𝑦 + 𝑒 𝑥 , with the boundary conditions 𝑦 0 = 0, find 𝑦(0.2) and 𝑦(0.4).

Solution:

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Modified Euler’s Method
The Modified Euler’s formula is given by:
ℎ 𝑘
𝑦𝑛+1 = 𝑦𝑛 + ℎ𝑓 𝑥𝑛 + , 𝑦𝑛 + 1 , where 𝑘1 = ℎ𝑓 𝑥𝑛 , 𝑦𝑛 .
2 2
1. Given, 𝑦 ′ = 𝑦 2 + 1, 𝑦 = 0 at 𝑥 = 0, find 𝑦(0.2) and 𝑦(0.4).
Solution:

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 2𝑥
2. Given, 𝑦 ′ = 𝑦 − , 𝑦 = 1 at 𝑥 = 0, find 𝑦(0.1) and 𝑦(0.2).
𝑦
Solution:

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Fourth order Runge-Kutta method for first order ODEs
The 4th order Runge-Kutta formula is given by
1
𝑦𝑛+1 = 𝑦𝑛 + 𝑘1 + 2𝑘2 + 2𝑘3 + 𝑘4 , where
6
𝑘1 = ℎ𝑓 𝑥𝑛 , 𝑦𝑛 ;
ℎ 𝑘
𝑘2 = ℎ𝑓 𝑥𝑛 + 2 , 𝑦𝑛 + 21 ;
ℎ 𝑘
𝑘3 = ℎ𝑓 𝑥𝑛 + 2 , 𝑦𝑛 + 22 ;
𝑘4 = ℎ𝑓 𝑥𝑛 + ℎ, 𝑦𝑛 + 𝑘3 .
𝑑𝑦
1. Use Runge-Kutta method of order 4 to find 𝑦(0.2), given that 𝑦 𝑑𝑥 = 𝑦 2 − 𝑥, 𝑦 0 = 2, by
taking ℎ = 0.2.
Solution:

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 𝑑𝑦 1
2. Use Runge-Kutta method of order 4 to find 𝑦(0.2), given that 𝑑𝑥 = 𝑥+𝑦 , 𝑦 0 = 1.
Solution:

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3. Find the values of 𝑦(0.2) and 𝑦(0.4), using Runge-Kutta method of order 4 with ℎ = 0.2,
𝑑𝑦
given that 𝑑𝑥 = 𝑥 2 + 𝑦; 𝑦 0 = 0.8.

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4. Find the values of 𝑦(1.1) and 𝑦(1.2), using Runge-Kutta method of order 4, given that
𝑑𝑦
= 𝑦 2 + 𝑥𝑦; 𝑦 1 = 1.
𝑑𝑥

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5. Find the values of 𝑦(1.2) and 𝑦(1.4), using Runge-Kutta method of order 4 with ℎ = 0.2,
𝑑𝑦
given that 𝑑𝑥 = 𝑥𝑦; 𝑦 1 = 2.

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6. Find the values of 𝑦(0.1) and 𝑦(0.2), using Runge-Kutta method of order 4, given that
𝑑𝑦
= 𝑦 2 + 𝑥𝑦; 𝑦 0 = 1.
𝑑𝑥

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7. Apply the Runge-Kutta method to find the approximate value of 𝑦 for 𝑥 = 0.2. in steps of
𝑑𝑦
0.1, if 𝑑𝑥 = 𝑥 + 𝑦 2 , 𝑦 = 1 when 𝑥 = 0.

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Multistep Methods
Milne’s Predictor-Corrector Method
Consider the IVP 𝑦 ′ = 𝑓(𝑥, 𝑦) with boundary conditions :
𝑦 𝑥0 = 𝑦0 ; 𝑦 𝑥1 = 𝑦1 ; 𝑦 𝑥2 = 𝑦2 ; 𝑦 𝑥3 = 𝑦3 .
Then, Milne’s Predictor formula to find 𝑦 𝑥4 = 𝑦4 is:
𝟒𝒉
𝒚𝟒,𝒑 = 𝒚𝟎 + 𝟑 𝟐𝒚′𝟏 − 𝒚′𝟐 + 𝟐𝒚′𝟑
And the Milne’s Corrector formula to find 𝑦 𝑥4 = 𝑦4 is:
𝒉
𝒚𝟒,𝒄 = 𝒚𝟐 + 𝟑 𝒚′𝟐 + 𝟒𝒚′𝟑 + 𝒚′𝟒
In general, the Milne’s Predictor –Corrector formula is:
𝟒𝒉
𝒚𝒏+𝟏,𝒑 = 𝒚𝒏−𝟑 + 𝟑 𝟐𝒚′𝒏−𝟐 − 𝒚′𝒏−𝟏 + 𝟐𝒚′𝒏 and
𝒉
𝒚𝒏+𝟏,𝒄 = 𝒚𝒏−𝟏 + 𝟑 𝒚′𝒏−𝟏 + 𝟒𝒚′𝒏 + 𝒚′𝒏+𝟏 .
1
1. Given, 𝑦 ′ = 2 1 + 𝑥 2 𝑦 2 , 𝑦 0 = 1, 𝑦 0.1 = 1.06, 𝑦 0.2 = 1.12, 𝑦 0.3 = 1.21.
Compute𝑦 0.4 , using Milne’s Predictor-Corrector formula.
Solution:

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 1
2. Given, 𝑦 ′ = 𝑥+𝑦 , 𝑦 0 = 2,𝑦 0.2 = 2.09, 𝑦 0.4 = 2.17 and 𝑦 0.6 = 2.24. Find 𝑦 0.8
using Milne’s method.
Solution:

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3. Given, 5𝑥𝑦 ′ + 𝑦 2 = 2, 𝑦 4 = 1, 𝑦 4.1 = 1.0049, 𝑦 4.2 = 1.0097, 𝑦 4.3 = 1.0143,
compute 𝑦 4.4 using Milne’s Method.
Solution:

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4. Given, 𝑦 ′ = 𝑥𝑦(1 + 𝑦), 𝑦 −0.2 = 1.0412,𝑦 −0.1 = 1.0108, 𝑦 0 = 1, 𝑦 0.1 =
1.0108, compute 𝑦 0.2 using Milne’s Method.
Solution:

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 𝑑𝑦
5. Solve 𝑑𝑥 = 𝑦 − 𝑥 2 at 𝑥 = 0.8 by Milne’s Predictor and Corrector method, given
𝑦 0 = 1, 𝑦 0.2 = 1.12186, 𝑦 0.4 = 1.46820, 𝑦 0.6 = 1.7379.

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 𝑑𝑦
6. Given, 𝑑𝑥 = 𝑥𝑦 + 𝑦 2 , 𝑦 0 = 1, 𝑦 0.1 = 1.1169, 𝑦 0.2 = 1.2773,find 𝑦 0.3 by R-K
method of order four and hence find 𝑦 4.4 using Milne’s Method.
Solution:

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 𝑑𝑦
7. Given that 𝑑𝑥 = 𝑥 − 𝑦 2 , 𝑦 0 = 0, find 𝑦 0.2 , 𝑦 0.4 , 𝑦 0.6 using Taylor’s series
method of the third order. Also find 𝑦 0.8 using Milne’s method.

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8. Given, 𝑦 ′ = 𝑥 + 𝑦, with the initial condition 𝑥0 = 0,𝑦0 = 1 , solve 𝑦 for 𝑥 = 0 𝑡𝑜 𝑥 = 0.3,
by Euler’s method and hence for 𝑥 = 0.4 using Milne’s method.
Solution:

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 𝑑𝑦
9. Given 𝑑𝑥 = 𝑥 𝑥 2 + 𝑦 2 𝑒 −𝑥 , 𝑦 0 = 1, find 𝑦 at 𝑥 = 0.1,0.2,0.3 by Taylor’s series method
and compute 𝑦(0.4) by Milne’s method.

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Adam’s or Adam-Bashforth Predictor-Corrector Method
Consider the IVP 𝑦 ′ = 𝑓(𝑥, 𝑦) with boundary conditions 𝑦 𝑥0 = 𝑦0 ; 𝑦 𝑥1 = 𝑦1 ; 𝑦 𝑥2 =
𝑦2 ; 𝑦 𝑥3 = 𝑦3 .
Then, Adam’s Predictor formula to find 𝑦 𝑥4 = 𝑦4 is:
𝒉
𝒚𝟒,𝒑 = 𝒚𝟑 + 𝟐𝟒 𝟓𝟓𝒚′𝟑 − 𝟓𝟗𝒚′𝟐 + 𝟑𝟕𝒚′𝟏 − 𝟗𝒚′𝟎
And the Adam’s Corrector formula to find 𝑦 𝑥4 = 𝑦4 is:
𝒉
𝒚𝟒,𝒄 = 𝒚𝟑 + 𝟐𝟒 𝟗𝒚′𝟒 + 𝟏𝟗𝒚′𝟑 − 𝟓𝒚′𝟐 + 𝒚′𝟏
In general, the Adam’s Predictor –Corrector formula is:
𝒉
𝒚𝒏+𝟏,𝒑 = 𝒚𝒏 + 𝟐𝟒 𝟓𝟓𝒚′𝒏 − 𝟓𝟗𝒚′𝒏−𝟏 + 𝟑𝟕𝒚′𝒏−𝟐 − 𝟗𝒚′𝒏−𝟑 and
𝒉
𝒚𝒏+𝟏,𝒄 = 𝒚𝒏−𝟏 + 𝟐𝟒 𝟗𝒚′𝒏+𝟏 + 𝟏𝟗𝒚′𝒏 − 𝟓𝒚′𝒏−𝟏 + 𝒚′𝒏−𝟐 .
1
1. Given, 𝑦 ′ = 2 1 + 𝑥 2 𝑦 2 , 𝑦 0 = 1, 𝑦 0.1 = 1.06, 𝑦 0.2 = 1.12, 𝑦 0.3 = 1.21.
Compute 𝑦 0.4 , using Adam’s Predictor-Corrector formula.
Solution:

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 1
2. Given, 𝑦 ′ = 𝑥+𝑦 , 𝑦 0 = 2,𝑦 0.2 = 2.09, 𝑦 0.4 = 2.17 and 𝑦 0.6 = 2.24. Find 𝑦 0.8
using Adam’s method.
Solution:

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3. Given, 5𝑥𝑦 ′ + 𝑦 2 = 2, 𝑦 4 = 1, 𝑦 4.1 = 1.0049, 𝑦 4.2 = 1.0097, 𝑦 4.3 = 1.0143,
compute 𝑦 4.4 using Adam’s Method.
Solution:

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4. Given, 𝑦 ′ = 𝑥𝑦(1 + 𝑦), 𝑦 −0.2 = 1.0412,𝑦 −0.1 = 1.0108, 𝑦 0 = 1, 𝑦 0.1 =
1.0108, compute 𝑦 0.2 using Adam’s Method.
Solution:

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 𝑑𝑦
5. Solve 𝑑𝑥 = 𝑦 − 𝑥 2 at 𝑥 = 0.8 by Adam’s Predictor and Corrector method, given
𝑦 0 = 1, 𝑦 0.2 = 1.12186, 𝑦 0.4 = 1.46820, 𝑦 0.6 = 1.7379.

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 𝑑𝑦
6. Given, 𝑑𝑥 = 𝑥𝑦 + 𝑦 2 , 𝑦 0 = 1, 𝑦 0.1 = 1.1169, 𝑦 0.2 = 1.2773,find 𝑦 0.3 by R-K
method of order four and hence find 𝑦 4.4 using Adam’s Method.
Solution:

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 𝑑𝑦
7. Given that 𝑑𝑥 = 𝑥 − 𝑦 2 , 𝑦 0 = 0, find 𝑦 0.2 , 𝑦 0.4 , 𝑦 0.6 using Taylor’s series
method of the third order. Also find 𝑦 0.8 using Adam’s Method.

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8. Given, 𝑦 ′ = 𝑥 + 𝑦, with the initial condition 𝑥0 = 0,𝑦0 = 1 , solve 𝑦 for 𝑥 = 0 𝑡𝑜 𝑥 = 0.3,
by Euler’s method and hence for 𝑥 = 0.4 using Adam’s Method.
Solution:

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 𝑑𝑦
9. Given 𝑑𝑥 = 𝑥 𝑥 2 + 𝑦 2 𝑒 −𝑥 , 𝑦 0 = 1, find 𝑦 at 𝑥 = 0.1,0.2,0.3 by Taylor’s series method
and compute 𝑦(0.4) by Adam’s Method.

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