Analysis of Runge Kutta Method

ENGR90024
Computational Fluid Dynamics
Lecture 09!
Analysis of the Runge-Kutta method & !
the Crank-Nicolson method
Stability analysis of 2nd-order Runge-Kutta (page 39 of printed

lecture notes):
Apply 2nd-order Runge-Kutta
l+1
k1
k2
+
l
t
l
f( , t )
f(
1
1
k1 + k2
2
2
l
tk1 , t +
to model problem
d
=
dt
= f( )
t)
k1
k2
f ( l , tl )
l+1
f(
l
+
t
tk1 , t +
1
1
k1 + k2
2
2
d
=
dt
l
k1
f( , t ) =
k2
f(
t)
= f( )
l
ll
f( , t )
tk1 , tl +
ll
= k1
t)
f(
tk 1, tll + tt) = (
tk1 )
f(
tk1 , tl +
t(
t) = (
l )) =
k2
k1
k2
= (
l+1
l+1
=
=
l+1
l+1
= (1 +
l+1
+
+
t( l ))
1
1
t
k1 + k2
2
2
1 l 1
l
t
+
( +
2
2
t
t +
=
l 1
1 2
+
t
2
t2
2 l
/2)
where
=1+
t +
t2
/2
Prove that
l+1
1
2
3
4
..
.
l+1
=
=
=
=
l 1
Given
1
2
3
..
.
=
=
=
l
2 1
3 1
..
.
l 1
Hence, for stability

| | = |1 +
t +
2 2
/2| 1
| | = |1 +
t +
2 2
/2| 1
The stability boundary is can be found by solving

|1 +
t +
2 2
/2| = 1
A complex number
Need to find lt where the above complex number has a
magnitude of 1. Any complex number that has a magnitude 1 can
be represented by
i
|e | = 1
Hence we want to find values of lt that make
2 2
|1 + t + t /2| = 1
1+
1+
t +
t +
t2
t2
/2 = ei
2
/2 ei = 0
1+
t +
Note that
2 2
/2
=0
0 2n
where n is the order of the polynomial.
You can follow the steps above and show that the stability region
for the 4th order Runge-Kutta method can be found by solving
2
t+
t
2
t
6
where
0 8 = 0
24
+1
=0
Example O09.1: Write MATLAB program to find stability

boundary for the 2nd-order Runge-Kutta method solving the
model problem
!
d
!
=
= f( )
!
dt
!
From the theory presented above, we need to solve

1+
t2
t +
ei = 0
/2
To be consistent with notation introduced previously, we let

t =p
Hence
1 +p
+p /2
2
1 + p + p /2
e
e
=0
=0
This is a 2nd order polynomial in terms of p. We can use NewtonRaphson polynomial to solve this equation. Note that
0 2n
where n is the order of the polynomial.
%initial guess value of p!

p=0;!
!
for n=1:length(theta)!
gp=1+p+p^2/2.0-exp(i*theta(n));!
dgdp=1+p;!
while abs(gp)>1.0e-6!
p=p-gp/dgdp!
gp=1+p+p^2/2.0-exp(i*theta(n));!
dgdp=1+p;!
end!
lamdt(n)=p;!
end!
!
plot(real(lamdt),imag(lamdt),'b-','linewidth',5);!
xlabel('\lambda_{Re}\Delta t');!
ylabel('\lambda_{Im}\Delta t');!
axis([-4 2 -3 3]);!
daspect([1 1 1]);
g(p) = 1 + p + p /2
=0
dg
=1+p
dp
Newton Raphson
g(pold )
pnew = pold
dg
(p
)
old
dp
3
Im t
function MPO09p1a()!
clear all;!
close all;!
!
theta=0:0.1:4*pi;!
= 2
=0
= 4
3
4
= 3
3
1
Re t
Alternatively, we can get MATLAB to plot contours of

| | = |1 +
t +
t2
/2|
We can do that using the contour() command in MATLAB
function MPO09p1b()!
clear all;!
close all;!
!
relamdt=-4:0.1:4;!
imlamdt=-4:0.1:4;!
[x,y]=meshgrid(relamdt,imlamdt);!
axis square;!
lamdt=x+i*y;!
sig=1+lamdt+lamdt.^2/2; !
contour_levels=[1 2 3 4];!
contour(x,y,abs(sig),contour_levels,'linewidth
',4);!
xlabel('Re \lambda \Delta t','Fontsize',14);!
ylabel('Im \lambda \Delta t','Fontsize',14);!
hold on;!
plot([-4 4],[0 0],'k');!
plot([0 0],[-4 4],'k');!
title('contour |\sigma|','Fontsize',14);!
(-4,4)
(4,4)
(-4,-4)
(4,-4)
t = Re(
=1+
t) + iIm(
t +
t2
t)
/2
contour ||
| |
Im t
| |=4
| |=3
| |=2
| |=1
4
4
Re t
2.83
1+ h+
-2.79
2 2
h
2
4th order Runge Kutta
eI = 0
2nd order Runge Kutta

Euler
-2.0
h+
2 2
h
+
2
3 3
4 4
h
h
+
+1
6
24
eI = 0
-2.83
Stability region for RK4 is bigger than RK2

In order for your code to be stable, !
1+ h+
2 2
h
2
eI = 0
you need to pick

t such that it falls within !
the stability region of your numerical scheme.
For example, if you want to solve
d
=
dt
-2.79
10
using Euler, the maximum value of t you !

can use is
tmax,Euler
2
1
=
= = 0.2
10
5
If you were to use RK4, then the maximum

value of t you can use is
h+
2 2
h
+
2
3 3
4 4
h
h
+
+1
6
24
eI = 0
tmax,RK4
2.79
=
= 0.279
10
Back to this slide again: stability analysis predicts this behaviour

1exp(t)
1exp(t)
1.8
1.8
1.6
1.6
1.4
1.4
1.2
1.2
1exp(t)
30
20
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
Explicit Euler
10
10
20
4
t
1exp(t)
1.8
1.6
1.6
1.4
1.4
1.2
1.2
30
1exp(t)
1.8
4
t
4
t
1exp(t)
30
20
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
2nd-order!
Runge-Kutta
10
10
20
4
t
1exp(t)
1.8
1.6
1.6
1.4
1.4
1.2
1.2
30
1exp(t)
1.8
4
t
4
t
1exp(t)
30
20
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
4th-order!
Runge-Kutta
10
10
20
4
t
4
t
30
4
t
End of Example O09.1
Runge-Kutta methods for a!

System of ODEs
In general, a system of M ODEs can be written as

d 1
= f1 ( 1 , 2 , 3 , . . . . . . ,
dt
d 2
= f2 ( 1 , 2 , 3 , . . . . . . ,
dt
d 3
= f3 ( 1 , 2 , 3 , . . . . . . ,
dt
.. ..
.=.
d M
= fM ( 1 , 2 , 3 , . . . . . . ,
dt
M , t)
M , t)
M , t)
M , t)
Runge-Kutta method can easily be extended to solve a system of M

equations
d 1
= f1 (
dt
1 , t)
RK-2
l+1
1
k1
k2
=
=
l
1
f(
f(
l l
1, t )
l
1+
1
1
k1 + k2
2
2
t)
tk1 , t +
d 1
= f1 (
dt
d 1
= f1 (
dt
d 2
= f2 (
dt
1 , t)
RK-2
k1
f(
k2
f(
l l
1, t )
l
1+
l+1
1
l
1
tk1 , tl +
1
1
k1 + k2
2
2
t)
1,
2 , t)
1,
2 , t)
k1 associated with !
f1
RK-2
l+1
1
l+1
2
l
1
l
2
1
t
k11 +
2
1
t
k12 +
2
k11
f1 (
k12
f2 (
k21
f1
k22
f2
l
1
l
1
l
1,
l
1,
tk11 ,
tk11 ,
1
k21
2
1
k22
2
l l
2, t )
l l
2, t )
l
2
l
2
f1
f2
f2
tk12 , tl +
tk12 , tl +
d 1
= f1 (
dt
d 1
= f1 (
dt
d 2
= f2 (
dt
d 3
= f3 (
dt
1 , t)
RK-2
k1
k2
=
l+1
1
l l
1, t )
l
1+
f(
f(
=
l
1
d 1
= f1 (
dt
d 2
= f2 (
dt
l+1
1
=
=
l
2
k11
f1 (
k12
f2 (
l+1
2
k21
f1
k22
f2
l
1
l
1
tk1 , t +
1
1
k1 + k2
2
2
1,
1,
tk11 ,
tk11 ,
l
1,
l
1,
l
2
l
2
t)
2,
3 , t)
1,
2,
3 , t)
1,
2,
f1
3 , t)
f1
RK-2
2 , t)
2 , t)
RK-2
1
t
k11 +
2
1
t
k12 +
2
l
1
1,
1
k21
2
1
k22
2
l l
2, t )
l l
2, t )
tk12 , tl +
tk12 , tl +
k21
f1
k22
f2
k23
f3
l+1
1
l
1
l+1
2
l
2
l+1
3
l
3
1
t
k11 +
2
1
t
k12 +
2
1
t
k13 +
2
k11
f1 (
k12
k13
=
=
f2 (
f3 (
l
1
l
1
l
1
tk11 ,
tk11 ,
tk11 ,
l
2
l
2
l
2
l
1,
l
1,
l
1,
l
2,
l
2,
l
2,
tk12 ,
tk12 ,
tk12 ,
1
k21
2
1
k22
2
1
k23
2
l l
3, t )
l l
3, t )
l l
3, t )
l
3
l
3
l
3
f2
f2
f3
f3
tk13 , tl +
tk13 , tl +
tk13 , tl +
Example O09.2: Write a MATLAB program to solve the

nonlinear ODE
!
3
2
d
1d
!
+
=0
!
3
2
dt
2 dt
!
!
!
with (0)=0, (d/dt)(0)=0, (d2/dt2)(0)=0.332 using the 4thorder Runge-Kutta method. Plot d/dt for 0<t<25.
d3
1 d2
+
dt3
2 dt2
(9.1)
=0
d2
(0) = 0.332
2
dt
d
(0) = 0.0
(0) = 0.0
dt
Let
1
so
= ,
d 1
d
=
=
dt
dt
= d /dt,
=d
d 2
d2
= 2 =
dt
dt
/dt
0 t 25
and
1 (0)
= 0.0
2 (0)
= 0.0
Equation (9.1) can be rewritten as

2
d 3
1d
=
32 1 =
dt
2 dt
1
2
3 (0)
3 1
= 0.332
function MPO9p2()!
clear all;!
close all;!
!
Delta_t=0.1;
!
t=0:Delta_t:25;
!
phi=zeros(length(t),3); !
phi(1,:)=[0.0 0.0 0.332]; !
!
for n=1:length(t)-1!
k1=f(phi(n,:));!
k2=f(phi(n,:)+Delta_t*k1);!
phi(n+1,:)=phi(n,:)+Delta_t*(k1/2+k2/2);!
end!
!
plot(t,phi(:,2),'ko-')
!
hold on!
xlabel('t');!
ylabel('d\phi/dt');!
!
function dphidt=f(phi)!
dphidt=[phi(2) phi(3) -0.5*phi(3)*phi(1)];!
d 1
=
dt
d 2
=
dt
d 3
=
dt
1 (0)
= 0.0
0 t 25
1
2
2 (0)
3 1
= 0.0
d 1
= f1 (
dt
d 2
= f2 (
dt
d 3
= f3 (
dt
3 (0)
1,
2,
3 , t)
1,
2,
3 , t)
1,
2,
3 , t)
= 0.332
RK-2
k21
f1
k22
f2
k23
f3
k11
f1 (
k12
f2 (
k13
f3 (
l
1
l
1
l
1
tk11 ,
tk11 ,
tk11 ,
l+1
1
l
2
l
2
l
2
l
1
l+1
2
l
2
l+1
3
l
3
l
1,
l
1,
l
1,
l
2,
l
2,
l
2,
tk12 ,
tk12 ,
tk12 ,
1
t
k11 +
2
1
t
k12 +
2
1
t
k13 +
2
l l
3, t )
l l
3, t )
l l
3, t )
l
3
l
3
l
3
tk13 , tl +
tk13 , tl +
tk13 , tl +
1
k21
2
1
k22
2
1
k23
2
function MPO9p2()!
clear all;!
close all;!
!
Delta_t=0.1;
!
t=0:Delta_t:25;
!
phi=zeros(length(t),3); !
phi(1,:)=[0.0 0.0 0.332]; !
!
k1=f(phi(n,:));!
k2=f(phi(n,:)+Delta_t*k1);!
phi(n+1,:)=phi(n,:)+Delta_t*(k1/2+k2/2);!
end!
!
plot(t,phi(:,2),'ko-')
!
hold on!
xlabel('t');!
ylabel('d\phi/dt');!
!
function dphidt=f(phi)!
dphidt=[phi(2) phi(3) -0.5*phi(3)*phi(1)];!
0.9
0.8
0.7
0.6
d/dt
0.5
0.4
0.3
0.2
0.1
0
10
15
t
20
25
CRANK-NICOLSON FORMULA
ODE to solve:
d
(t) = f ( , t)
dt
Apply Crank-Nicolson:
l+1
1
l l
t f( , t ) + f(
2
l+1
l+1
,t
1.2. EULER METHODS
19
GRAPHICAL COMPARISON
This method is an implicit method because it has l+1 on both sides of the equation,
so we are using information at time step l + 1 that we dont yet know in order to
take our next step (Figure 1.7). If we are only 1.3.
solving
a single ODE then, depending
CRANK-NICOLSON
METHODS
upon the form of f , we may still be able to rearrange Equation 1.11 to obtain an
explicit expression. If we are solving a system
of ODEs
then we will need to solveMethods
1.3
Crank-Nicolson
l of equations (either linear or nonlinearl+1
a system
depending upon the form of f ) at
l
l+1
eachDIFFERENTIAL
time step.
CHAPTER 1. ORDINARY
EQUATIONS
Explicit Euler:
take slope at t
Crank-Nicolson:
take average of slopes
at t and t
Implicit Euler:
take slope at t
l+1
El+1local
tl+1)
tl+1)
t )
l+1
} l+1
E local
l+1
El+1local
l+1
tl
tl+1
l+1
l+1
1
l+1
l
l l
l+1
l
l+1 l+1
l+1
l
=
+
tf
(
,
t
)
=
+
tf
(
,
t
)
= illustrating
+ Thet one step in the Crank-Ni
1.7: Euler
A schematic
in the1.11:
implicit
Euler method.
matic illustrating one step in Figure
the explicit
method. illustrating
The green one stepFigure
A
schematic
2 l l
green
illustrates
the gradient
)
which
is
used
to
step
the
solution
l+1 l+1
e gradient f ( l , tl ) which is used
to arrow
step the
solution forward.
The f ( l+1 , tl+1
green
arrows
illustrate
the
gradients
f
(
,
t
)
and
f
(
,t )
l
l
l+1
l+1
l+1
l+1
forward.
The
pink
line
illustrates
computed
step
to
.
The
blue
line
illustrates
f
(
,
t
)
+
f
(
,
t
)
computed step to
. The blue line illustrates the analytical
to step the solution forward. The pink line illustrates compute
analytical
solution.
Alsobetween
illustrated is the local truncation error, which is the
rated is the local truncation the
error,
which is the
dierence
blue line illustrates the analytical solution. Also illustrated is
numerical solutions at time dierence
step l + 1.between the analytical and numerical solutions at time step l + 1.
error, which is the dierence between the analytical and numeri

step l + 1.
(t)
Illustration of explicit Eulers method

Predicted value of l+1
Error
d
l l
= f( , t )
dt
(t
l+1
(t)
True value of l+1

l+1
(t )
l+1
tf ( , t )
Eulers formula
(t)
Illustration of the implicit Euler method

l+1
tf (
l+1
l+1
,t
True value of l+1

Error
l
t
t
l+1
Summary
(t)
(t)
Illustration of explicit Eulers method
Illustration of the implicit Euler method

d
= f ( l , tl )
dt
(tl+1 )
l+1
tf (
l+1
, tl+1 )
Error
True value of l+1

(t)
True value of l+1

l+1
(tl )
Error
tf ( l , tl )
Eulers formula
t
t
tl
tl+1
(t)
tl+1
Illustration of Crank Nicolson method

l+1
1
t f ( l , tl ) + f (
2
l+1
l+1
,t
Error
l
t
tl
tl+1
Example O09.3:
!
Using Crank-Nicolson method, solve
!
!
!
!
!
d
=1
dt
For 0 < t < 8 with (t=0)=0 and

a) t=2
b) t=1
c) t=0.5
d) t=0.1
Compare your solution with Eulers method
d
=1
dt
= f ( , t)
Crank Nicolson formula

l+1
l+1
t
1+
2
l+1
1
t f ( l , tl ) + f (
2
1
t f1( l , tll) + f1(
2
l+1
t
2
t
2
1+
t
2
l+1
l+1
,t
l+1l+1
l+1
,t
function MPO09p3()!
!
close all!
clear all!
!
tmin=0.0;!
tmax=8.0;!
l+1
[t1,phi1]=MyCrankNicolson([tmin tmax],0.0,2.0);!
!
!
t
2
1+
t
2
plot(t1,phi1,'ko-');!
hold on!
ezplot(@(t)1-exp(-t),[0,8,0,2])!
xlabel('t');!
ylabel('\phi');!
legend('Crank-Nicolson','True');!
!
function [t,phi]=MyCrankNicolson(tspan,phi0,Delta_t)!
t=tspan(1):Delta_t:tspan(2);!
phi=zeros(length(t),1);!
phi(1)=phi0;!
phi(n+1)=((1-Delta_t/2)*phi(n)+Delta_t)/(1+Delta_t/2);!
end!
1exp(t)
Euler
True
1.8
Crank-Nicolson
1.6
1.4
1.2
1
0.8
0.6
Output
0.4
0.2
0
4
t
Compare implicit Euler, explicit Euler and Crank Nicolson method for t=2.0
1exp(t)
Euler
True
t=2.0
1.8
1.6
1.4
1.2
1.2
1.4
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
4
t
4
t
1exp(t)
Euler
True
t=2.0
1.8
1.6
1.4
1.2
1.6
Euler
True
t=2.0
1.8
1
0.8
0.6
0.4
0.2
0
4
t
Example O09.4: Write a MATLAB program that uses the CrankNicolson method to solve
!
d
!
= i2
!
dt
!
!
for 0 < t < 10 with (t=0)=1.
(t) = ei2t
Analytical solution:
Applying the Crank-Nicolson method, we obtain

l+1
(1
i t)
l+1
l+1
1
= l + t i2
2
l
= (1 + i t)
1+i t l
=
1 i t
+ i2
l+1
function MPO9p4()!
% Solve dphi/dt = i*2*phi, phi(0) = 1, 0 < t <
10.!
clear all;!
close all;!
!
Delta_t=0.1;
% Time step size!
t=0:Delta_t:10.0;
% Time vector!
phi=zeros(size(t)); % Solution vector!
phi(1)=1.0;
% Initial condition!
phi(n+1)=phi(n)*(1+Delta_t*i)/(1Delta_t*i);!
end!
!
plot(t,real(phi),'ko-') % Plot numerical
solution!
hold on!
ezplot(@(t)real(exp(i*2*t)),[0,10,-2,2]) % Plot
analytical solution!
xlabel('t');!
ylabel('\phi');!
legend('Crank-Nicolson','True');
l+1
1+i t
=
1 i t
real(exp(i 2 t))
CrankNicolson
True
1.5
0.5
0.5
Output
1.5
5
t
10
real(exp(i 2 t))
CrankNicolson
Explicit Euler
Implicit Euler
True
1.5
0.5
0.5
1.5
5
t
10
Amplitude of explicit Euler solution grows with time!

Amplitude of implicit Euler solution decays with time!
Amplitude of Crank Nicolson solution remain constant

Analysis of Runge Kutta Method

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Analysis of Runge Kutta Method

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ENGR90024

Computational Fluid Dynamics

Stability analysis of 2nd-order Runge-Kutta (page 39 of printed

Hence, for stability

The stability boundary is can be found by solving

where n is the order of the polynomial.

Example O09.1: Write MATLAB program to find stability

From the theory presented above, we need to solve

To be consistent with notation introduced previously, we let

where n is the order of the polynomial.

%initial guess value of p!

Alternatively, we can get MATLAB to plot contours of

We can do that using the contour() command in MATLAB

4th order Runge Kutta

2nd order Runge Kutta

Stability region for RK4 is bigger than RK2

you need to pick

using Euler, the maximum value of t you !

If you were to use RK4, then the maximum

Back to this slide again: stability analysis predicts this behaviour

End of Example O09.1

Runge-Kutta methods for a!

In general, a system of M ODEs can be written as

Runge-Kutta method can easily be extended to solve a system of M

Example O09.2: Write a MATLAB program to solve the

Equation (9.1) can be rewritten as

End of Example O09.2

1.2. EULER METHODS

error, which is the dierence between the analytical and numeri

Illustration of explicit Eulers method

True value of l+1

Illustration of the implicit Euler method

True value of l+1

Predicted value of l+1

Illustration of explicit Eulers method

Illustration of the implicit Euler method

Predicted value of l+1

True value of l+1

True value of l+1

Predicted value of l+1

Illustration of Crank Nicolson method

Using Crank-Nicolson method, solve

For 0 < t < 8 with (t=0)=0 and

Compare your solution with Eulers method

Crank Nicolson formula

End of Example O09.3

Applying the Crank-Nicolson method, we obtain

Amplitude of explicit Euler solution grows with time!

End of Example O09.4

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