Methods

Topic 8
Ordinary Differential
Equations (ODEs)
Lecture 28-36

KFUPM
(Term 101)
Section 04

Read 25.1-25.4, 26-2, 27-1

CISE301_Topic8L4&5 1
Outline of Topic 8
 Lesson 1: Introduction to ODEs
 Lesson 2: Taylor series methods
 Lesson 3: Midpoint and Heun’s method
 Lessons 4-5: Runge-Kutta methods
 Lesson 6: Solving systems of ODEs
 Lesson 7: Multiple step Methods
 Lesson 8-9: Boundary value Problems

CISE301_Topic8L4&5 2
 Lecture 31
Lesson 4: Runge-Kutta
Methods

CISE301_Topic8L4&5 3
Learning Objectives of
Lesson 4
 To understand the motivation for using
Runge Kutta method and the basic idea
used in deriving them.
 To Familiarize with Taylor series for
functions of two variables.
 Use Runge Kutta of order 2 to solve
ODEs.

CISE301_Topic8L4&5 4
Motivation
 We seek accurate methods to solve ODEs
that do not require calculating high order
derivatives.
 The approach is to use a formula
involving unknown coefficients then
determine these coefficients to match as
many terms of the Taylor series
expansion.

CISE301_Topic8L4&5 5
Second Order Runge-Kutta
Method
K1 h f ( xi , yi )
K 2 h f ( xi   h, yi   K1 )
yi 1  yi  w1K1  w2 K 2
Problem :
Find  ,  , w1 , w2
such that yi 1 is as accurate as possible.

CISE301_Topic8L4&5 6
 Taylor Series in Two
Variables
The Taylor Series discussed in Chapter 4
is extended to the 2-independent
variable case.
This is used to prove RK formula.

CISE301_Topic8L4&5 7
Taylor Series in One
Variable
The n th order Taylor Series expansion of f(x)
n

f ( x  h) 
i 0
hi (i )
i!
f ( x) 
h n 1
( n  1)!
f ( n 1) ( x )

Approximation Error

where x is between x and x  h

CISE301_Topic8L4&5 8
Runge-Kutta Methods – 1
of 5
Second Order Taylor Series Expansion
dy
Used to solve ODE :  f ( x, y )
dx
dy h 2 d 2 y 3
yi 1  yi  h  2
 O (h )
dx 2 dx
which is written as :
h2 3
yi 1  yi  h f ( xi , yi )  f ' ( xi , yi )  O ( h )
2
CISE301_Topic8L4&5 9
Runge-Kutta Methods – 2
of 5

where f ' ( x, y ) is obtained by chain - rule differenti ation

f ( x, y ) f ( x, y ) dy f f
f ' ( x, y )     f ( x, y )
x y dx x y
Substituting :
 f f  h2 3
yi 1  yi  f ( xi , yi )h    f ( xi , yi )   O ( h )
 x y  2

CISE301_Topic8L4&5 10
Taylor Series in Two
Variables
 f f 
f ( x  h, y  k )  f ( x, y )   h  k  
 x y 
1  2 2 f 2  2
f  2
f 
h k  2hk   ...

2!  x 2
y 2
x y 
n


i n 1
1   1   
  h  k  f ( x , y )   h  k  f ( x, y)
i!  x y  ( n  1)!  x y 
i 0
approximation error

( x , y ) is on the line joining between ( x, y ) and ( x  h, y  k )

CISE301_Topic8L4&5 11
Runge-Kutta Methods – 3
of 5
Problem : Find  ,  , w1 , w2 such that
K1 h f ( xi , yi )
K 2 h f ( xi   h, yi   K1 )
yi 1  yi  w1K1  w2 K 2

Substituting :
yi 1  yi  w1h f ( xi , yi )  w2h f ( xi   h, yi   K1 )

CISE301_Topic8L4&5 12
Runge-Kutta Methods – 4
of 5
f f
f ( xi  h, yi  K1 )  f ( xi , yi )  h  K1  ...
x y
Substituting :
 f f 
yi 1  yi  w1h f ( xi , yi )  w2h  f ( xi , yi )  h  K1  ...
 x y 
 f f 
yi 1  yi  ( w1  w2 )h f ( xi , yi )  w2h  h  K1  ...
 x y 
2 f 2 f
yi 1  yi  ( w1  w2 )h f ( xi , yi )  w2h  w2 h f ( xi , yi )  ...
x y

CISE301_Topic8L4&5 13
Runge-Kutta Methods – 5
of 5
We derived two expansions for yi 1 :
2f 2 f
yi 1  yi  ( w1  w2 )h f ( xi , yi )  w2h  w2 h f ( xi , yi )  ...
x y
 f f  h2
yi 1  yi  f ( xi , yi )h    f ( xi , yi )   O ( h 3 )
 x y  2
Matching terms, we obtain the following three equations :
1 1
w1  w2 1 , w2  , and w2  
2 2
3 equations with 4 unknowns  infinite solutions
1
One possible solution :   1, w1 w2 
2
CISE301_Topic8L4&5 14
2nd Order Runge-Kutta
Methods
K1 h f ( xi , yi )
K 2 h f ( xi   h, yi   K1 )
yi 1  yi  w1K1  w2 K 2

Choose  ,  , w1 , w2 such that :

1 1
w1  w2 1, w2  , and w2  
2 2
CISE301_Topic8L4&5 15
Alternative Form
Second Order Runge Kutta
K1 h f ( xi , yi )
K 2 h f ( xi   h, y i   K1 )
yi 1  yi  w1K1  w2 K 2

Alternative Form
k1  f ( xi , yi )
k2  f ( xi   h, yi   h k1 )
CISE301_Topic8L4&5
yi 1  yi  h w1 k1  w2 k2  16
Choosing , , w1 and w2
1
For example, choosing  1, then  1, w1 w2 
2
Second Order Runge - Kutta method becomes :
K1 h f ( xi , yi )
K 2 h f ( xi  h, yi  K1 )
1 h

yi 1  yi  K1  K 2   yi  f ( xi , yi )  f ( xi 1 , yi 1 )
2 2
0

This is Heun ' s Method with a Single Corrector

CISE301_Topic8L4&5 17
Choosing , , w1 and w2
1 1
Choosing   then   , w1 0, w2 1
2 2
Second Order Runge - Kutta method becomes :
K1 h f ( xi , yi )
h K1
K 2 h f ( xi  , yi  )
2 2
h K1
yi 1  yi  K 2  yi  h f ( xi  , yi  )
2 2
This is the Midpoint Method
CISE301_Topic8L4&5 18
2 Order Runge-Kutta
Methods
Alternative Formulas
1 1
 w2  ,  w2  , w1  w2 1
2 2
1 1
Pick any nonzero  number :   , w2  , w1 1 
2 2

Second Order Runge Kutta Formulas (select 0)

K1  h f ( xi , yi )
K 2 h f ( xi   h, yi   K1 )
 1  1
yi 1  yi   1   K1  K2
 2  2
CISE301_Topic8L4&5 19
Second order Runge-Kutta
Method
Example
Solve the following system to find x (1.02) using RK2
x (t ) 1  x 2  t 3 , x (1)  4, h 0.01,  1

STEP 1 :
K1 h f (t0 1, x0  4) 0.01(1  x02  t03 ) 0.18
K 2 h f (t0  h, x0  K1 )
0.01(1  ( x0  0.18)2  (t0  .01)3 ) 0.1662
x (1  0.01)  x (1)  K1  K 2 / 2
 4  (0.18  0.1662) / 2  3.8269
CISE301_Topic8L4&5 20
Second order Runge-Kutta
Method
Example
STEP 2

K1 h f (t1 1.01, x1  3.8269) 0.01(1  x12  t13 ) 0.1668

K 2 h f (t1  h, x1  K1 )
0.01(1  ( x1  0.1668)2  (t1  .01)3 ) 0.1546
1
x (1.01  0.01)  x (1.01)  K1  K 2 
2
1
 3.8269  (0.1668  0.1546)  3.6662
2

CISE301_Topic8L4&5 21
 2 3
x (t ) 1  x (t )  t , x (1)  4,
Solution for t  [1,2]
Using RK2,  1

CISE301_Topic8L4&5 22
 Lecture 32
Lesson 5: Applications of
Runge-Kutta Methods to
Solve First Order ODEs

Using Runge-Kutta methods of different

orders to solve first order ODEs

CISE301_Topic8L4&5 23
2nd Order Runge-Kutta RK2

Typical value of  1, Know as RK2

Equivalent to Heun' s method with a single corrector
k1  f ( xi , yi )
k2  f ( xi  h, yi  k1 h )
h
yi 1  yi  k1  k2 
2
Local error is O ( h 3 ) and global error is O ( h 2 )

CISE301_Topic8L4&5 24
Higher-Order Runge-
Kutta

Higher order Runge-Kutta methods are available.

Derived similar to second-order Runge-Kutta.

Higher order methods are more accurate but

require more calculations.

CISE301_Topic8L4&5 25
3rd Order Runge-Kutta RK3

Know as RK3
k1  f ( xi , yi )
h 1
k2  f ( xi  , yi  k1h )
2 2
k3  f ( xi  h, yi  k1h  2k2h )
h
yi 1  yi  k1  4k2  k3 
6
4 3
Local error is O ( h ) and Global error is O ( h )
CISE301_Topic8L4&5 26
4th Order Runge-Kutta RK4

k1  f ( xi , yi )
h 1
k2  f ( xi  , yi  k1h )
2 2
h 1
k3  f ( xi  , yi  k2h )
2 2
k4  f ( xi  h, yi  k3h )
h
yi 1  yi  k1  2k2  2k3  k4 
6
5 4
Local error is O ( h ) and global error is O ( h )
CISE301_Topic8L4&5 27
Higher-Order Runge-
Kutta
k1  f ( xi , yi )
1 1
k2  f ( xi  h, yi  k1h )
4 4
1 1 1
k3  f ( xi  h, yi  k1h  k2h )
4 8 8
1 1
k4  f ( xi  h, yi  k2h  k3h )
2 2
3 3 9
k5  f ( xi  h, yi  k1h  k4h )
4 16 16
3 2 12 12 8
k6  f ( xi  h, yi  k1h  k2h  k3h  k 4 h  k 5h )
7 7 7 7 7
h
yi 1  yi  7k1  32k3  12k4  32k5  7k6 
90
CISE301_Topic8L4&5 28
Example
4th-Order Runge-Kutta Method RK4

dy 2
1  y  x
dx
y (0) 0.5
h 0.2
Use RK 4 to compute y (0.2) and y (0.4)

CISE301_Topic8L4&5 29
Example: RK4
Problem :
dy
1  y  x 2 , y (0) 0.5
dx
Use RK 4 to find y (0.2), y (0.4)

CISE301_Topic8L4&5 30
4th Order Runge-Kutta RK4

k1  f ( xi , yi )
h 1
k2  f ( xi  , yi  k1h )
2 2
h 1
k3  f ( xi  , yi  k2h )
2 2
k4  f ( xi  h, yi  k3h )
h
yi 1  yi  k1  2k2  2k3  k4 
6
5 4
Local error is O ( h ) and global error is O ( h )
CISE301_Topic8L4&5 31
Example: RK4 See RK4 Formula
Problem : h 0.2
dy
1  y  x 2 , y (0) 0.5 f ( x, y ) 1  y  x 2
dx
x0 0, y0 0.5
Use RK 4 to find y (0.2), y (0.4)
k1  f ( x0 , y0 ) (1  y0  x02 ) 1.5
1 1
k2  f ( x0  h, y0  k1h ) 1  y0  0.15 x0  0.12 1.64
2 2
1 1
k3  f ( x0  h, y0  k2h ) 1  y0  0.164 x0  0.12 1.654
2 2
k4  f ( x0  h, y0  k3h ) 1  y0  0.16545 x0  0.2 2 1.7908
h
y1  y0  k1  2k2  2k3  k4  0.8293
6
CISE301_Topic8L4&5 32
Example: RK4
Problem :
h 0.2
dy
1  y  x 2 , y (0) 0.5 f ( x, y ) 1  y  x 2
dx
x1 0.2, y1 0.8293
Use RK 4 to find y (0.2), y (0.4)
k1  f ( x1 , y1 ) 1.7893
1 1
k2  f ( x1  h, y1  k1h ) 1.9182
2 2
1 1
k3  f ( x1  h, y1  k2h ) 1.9311
2 2
k4  f ( x1  h, y1  k3h ) 2.0555
0. 2
y2  y1  k1  2k2  2k3  k4  1.2141
6
CISE301_Topic8L4&5 33
Example: RK4
Problem :
dy
1  y  x 2 , y (0) 0.5
dx
Use RK 4 to find y (0.2), y (0.4)

Summary of the solution

xi yi
0.0 0.5
0.2 0.8293
0.4 1.2141
CISE301_Topic8L4&5 34
Summary
 Runge Kutta methods generate an
accurate solution without the need to
calculate high order derivatives.
 Second order RK have local truncation
error of order O(h3) and global truncation
error of order O(h2).
 Higher order RK have better local and
global truncation errors.
 N function evaluations are needed in the
Nth order RK method.
CISE301_Topic8L4&5 35
Remaining Lessons in Topic
8
Lesson 6:
Solving Systems of high order ODE

Lesson 7:
Multi-step methods

Lessons 8-9:
Methods to solve Boundary Value Problems

CISE301_Topic8L4&5 36