Higher Order Methods PDF

Review
Higher Order methods

Multistep methods
Summary
H IGHER O RDER M ETHODS
P.V. Johnson
School of Mathematics
Semester 1 2008
P.V. Johnson MATH65241

Review
Multistep methods
Summary
O UTLINE
1 R EVIEW
2 H IGHER O RDER METHODS
Midpoint and modified Euler method
Runge-Kutta Method
Systems of Equations
3 M ULTISTEP METHODS
Implicit Methods
General Multistep Methods
4 S UMMARY

Review
Multistep methods
Summary
O UTLINE
1 R EVIEW
Runge-Kutta Method
Implicit Methods
4 S UMMARY

Review
Multistep methods
Summary
O UTLINE
1 R EVIEW
Runge-Kutta Method
Implicit Methods
4 S UMMARY

Review
Multistep methods
Summary
O UTLINE
1 R EVIEW
Runge-Kutta Method
Implicit Methods
4 S UMMARY

Review
Multistep methods
Summary
E ULER ’ S M ETHOD
Initial value problems for ODEs

Euler’s Method:
w0 = α
wi+1 = wi + hf (xi , wi ), for each i = 0, 1, . . . , n − 1
Local truncation error for Euler’s method:
h
|τi+1 (h)| ≤ M.
2

Review
Runge-Kutta Method
Multistep methods
Summary
O UTLINE
1 R EVIEW
Runge-Kutta Method
Implicit Methods
4 S UMMARY

Review
Runge-Kutta Method
Multistep methods
Summary
E LIMINATING TRUNCATION ERRORS
A second order method should approximate the equation:
h2 ′
yi+1 = yi + hf (xi , yi ) + f (xi , yi )
2
with local truncation error O(h2 ).
Then use a scheme of the form
yi+1 = yi + a1 f (xi + α1 , yi + β1 )
such that
h2 ′
a1 f (xi + α1 , yi + β1 ) = hf (xi , yi ) + f (xi , yi )
2

Review
Runge-Kutta Method
Multistep methods
Summary
E LIMINATING TRUNCATION ERRORS
A second order method should approximate the equation:
h2 ′
yi+1 = yi + hf (xi , yi ) + f (xi , yi )
2
with local truncation error O(h2 ).
Then use a scheme of the form
yi+1 = yi + a1 f (xi + α1 , yi + β1 )
such that
h2 ′
a1 f (xi + α1 , yi + β1 ) = hf (xi , yi ) + f (xi , yi )
2

Review
Runge-Kutta Method
Multistep methods
Summary
M IDPOINT METHOD
Then using a Taylor expansion we may choose the

constants a1 , α1 and β1 to satisfy our second order
equation
One such choice is a1 = h, α1 = h/2 and β1 = (h/2)f (x, y )
gives the midpoint method
w0 = α
wi+1 = wi + hf (xi + h/2, wi + (h/2)f (xi , wi )) ,
We take evaluate the function f half way through the step

to get a better approximation
This is a Runge-Kutta method of order 2

Review
Runge-Kutta Method
Multistep methods
Summary
M IDPOINT METHOD
Then using a Taylor expansion we may choose the

constants a1 , α1 and β1 to satisfy our second order
equation
One such choice is a1 = h, α1 = h/2 and β1 = (h/2)f (x, y )
gives the midpoint method
w0 = α
wi+1 = wi + hf (xi + h/2, wi + (h/2)f (xi , wi )) ,
We take evaluate the function f half way through the step

to get a better approximation

Review
Runge-Kutta Method
Multistep methods
Summary
M ODIFIED E ULER METHOD
Now try a scheme of the form
yi+1 = yi + a1 f (x, y ) + a2 f (xi + α1 , yi + δ1 f (x, y ))
Again using the Taylor expansion we can choose the

constants a1 = h/2, a2 = h/2, α1 = h and δ1 = h
This gives the modified Euler method
w0 = α,
h
wi+1 = wi + [f (xi , wi ) + f (xi+1 , wi + hf (xi , wi ))] .
2

Review
Runge-Kutta Method
Multistep methods
Summary
M ODIFIED E ULER METHOD
Now try a scheme of the form
yi+1 = yi + a1 f (x, y ) + a2 f (xi + α1 , yi + δ1 f (x, y ))
Again using the Taylor expansion we can choose the

constants a1 = h/2, a2 = h/2, α1 = h and δ1 = h
This gives the modified Euler method
w0 = α,
h
wi+1 = wi + [f (xi , wi ) + f (xi+1 , wi + hf (xi , wi ))] .
2

Review
Runge-Kutta Method
Multistep methods
Summary
O UTLINE
1 R EVIEW
Runge-Kutta Method
Implicit Methods
4 S UMMARY

Review
Runge-Kutta Method
Multistep methods
Summary
RUNGE -K UTTA O RDER F OUR

One of the most popular methods to solve an ODE is the
Runge-Kutta method:
w0 = α,
k1 = hf (xi , yi ),
µ ¶
h 1
k2 = hf xi + , wi + k1
2 2
µ ¶
h 1
k3 = hf xi + , wi + k2
2 2
k4 = hf (xi+1 , wi + k3 )
1
wi+1 =wi + (k1 + 2k2 + 2k3 + k4 ).
6
Review
Runge-Kutta Method
Multistep methods
Summary
A LGEBRA
The algebra required to arrive at the Runge-Kutta order

four (RK4) method is tedious
The idea is the same as with the midpoint and modified
Euler methods...
Match up and cancel out error terms.
The local truncation error for the RK4 is unsurprisingly
O(h4 )

Review
Runge-Kutta Method
Multistep methods
Summary
A LGEBRA
The algebra required to arrive at the Runge-Kutta order

four (RK4) method is tedious
The idea is the same as with the midpoint and modified
Euler methods...
Match up and cancel out error terms.
The local truncation error for the RK4 is unsurprisingly
O(h4 )

Review
Runge-Kutta Method
Multistep methods
Summary
O UTLINE
1 R EVIEW
Runge-Kutta Method
Implicit Methods
4 S UMMARY

Review
Runge-Kutta Method
Multistep methods
Summary
S OLVING A S YSTEM OF F IRST O RDER E QUATIONS
We can solve a system of equations just as easily as a

single equation
Simply rewrite algorithms in vector form, for example
w0 = α
w i+1 = w i + hf (xi , w i ),
so the jth equation is

¡ ¢
wi+1,j = wi,j + hfj xi , wi,1 , . . . , wi,m ,

Review
Runge-Kutta Method
Multistep methods
Summary
S OLVING A S YSTEM OF F IRST O RDER E QUATIONS
We can solve a system of equations just as easily as a

single equation
Simply rewrite algorithms in vector form, for example
w0 = α
w i+1 = w i + hf (xi , w i ),
so the jth equation is

¡ ¢
wi+1,j = wi,j + hfj xi , wi,1 , . . . , wi,m ,

Review
Runge-Kutta Method
Multistep methods
Summary
M ODULAR P ROGRAMMING
We can use modular programming to allow functions to

return arrays
This allows for simple coding of the algorithms given above
Example code:
USE some_function_module
REAL, DIMENSION(10) :: y
x = a
DO i = 1,n
y = y + h*f(x,y)
x = x+h
ENDDO

Review
Higher Order methods Implicit Methods
Multistep methods General Multistep Methods
Summary
O NE S TEP M ETHODS
All methods up to now have been one-step methods ...

using only wi to calculate wi+1
Methods that use more than one previous step are called
multistep methods
There are two types of multistep methods:
Explicit;
Implicit.

Review
Summary
O NE S TEP M ETHODS
All methods up to now have been one-step methods ...

using only wi to calculate wi+1
Methods that use more than one previous step are called
multistep methods
There are two types of multistep methods:
Explicit;
Implicit.

Review
Summary
O UTLINE
1 R EVIEW
Runge-Kutta Method
Implicit Methods
4 S UMMARY

Review
Summary
M ODIFIED E ULER METHOD - REVISITED

In the modified Euler method we can see that the last term
is an approximation to the value of the function at xi+1 :
f (xi+1 , wi + hf (xi , wi )) ∼ f (xi+1 , wi+1 )
This suggests we may use the implicit scheme

Review
Summary

w0 = α,
h
wi+1 = wi + [f (xi , wi ) + f (xi+1 , wi+1 )] .
2

Review
Summary

w0 = α,
h
wi+1 = wi + [f (xi , wi ) + f (xi+1 , wi+1 )] .
2
The value we must calculate now appears on both sides

Review
Summary
O UTLINE
1 R EVIEW
Runge-Kutta Method
Implicit Methods
4 S UMMARY

Review
Summary
T HE G ENERAL M - STEP M ETHOD

The general m-step method can be written as:
wi+1 =am−1 wi + am−2 wi−1 + · · · + a0 wi+1−m

·
+ h bm f (xi+1 , wi+1 ) + bm−1 f (xi , wi )
¸
+ · · · + b0 f (xi+1−m , wi+1−m )

Review
Summary
T HE G ENERAL M - STEP M ETHOD

The general m-step method can be written as:
wi+1 =am−1 wi + am−2 wi−1 + · · · + a0 wi+1−m

·
+ h bm f (xi+1 , wi+1 ) + bm−1 f (xi , wi )
¸
+ · · · + b0 f (xi+1−m , wi+1−m )
If the scheme has bm = 0 then the scheme is explicit

If the scheme has bm 6= 0 the scheme is now implicit

Review
Summary
E XAMPLE – A DAMS -BASHFORTH F OUR - STEP M ETHOD
This is an explicit method:
w0 = α0 , w1 = α1 , w2 = α2 and w3 = α3
are calculated using a one-step method(RK4), then for

i = 3, 4, . . . , n − 1 we use
·
h
wi+1 = wi + 55f (xi , wi ) − 59f (xi−1 , wi−1 )
24
¸
+ 37f (xi−2 , wi−2 ) − 9f (xi−3 , wi−3 )

Review
Summary
U SING M ULTISTEP M ETHODS
Multistep methods don’t involve as many function calls as

their one-step equivalents
Implicit methods are more stable and have smaller errors
than their explicit counterparts
However, they do require iteration
This means that we may use them together, in a
predictor-corrector method
(1) Use the explicit method to guess solution - predict
(2) Input guess into implicit method - correct
(3) Results in small errors with small expense

Review
Summary
U SING M ULTISTEP M ETHODS
Multistep methods don’t involve as many function calls as

their one-step equivalents
Implicit methods are more stable and have smaller errors
than their explicit counterparts
However, they do require iteration
This means that we may use them together, in a
predictor-corrector method
(1) Use the explicit method to guess solution - predict
(2) Input guess into implicit method - correct
(3) Results in small errors with small expense

Review
Multistep methods
Summary
S UMMARY
To make higher order methods, we must eliminate

truncation errors
There are often different methods with the same order
We can use modular programming to implement the
algorithms on a system of equations
Multistep methods are less expensive
Implicit schemes have smaller errors, but can be more
expensive than explicit versions

Review
Multistep methods
Summary
S UMMARY
To make higher order methods, we must eliminate

truncation errors
There are often different methods with the same order
We can use modular programming to implement the
algorithms on a system of equations
Multistep methods are less expensive
Implicit schemes have smaller errors, but can be more
expensive than explicit versions

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Review

Higher Order methods

H IGHER O RDER M ETHODS

P.V. Johnson MATH65241

P.V. Johnson MATH65241

P.V. Johnson MATH65241

P.V. Johnson MATH65241

P.V. Johnson MATH65241

Initial value problems for ODEs

Local truncation error for Euler’s method:

P.V. Johnson MATH65241

P.V. Johnson MATH65241

E LIMINATING TRUNCATION ERRORS

A second order method should approximate the equation:

P.V. Johnson MATH65241

E LIMINATING TRUNCATION ERRORS

A second order method should approximate the equation:

P.V. Johnson MATH65241

Then using a Taylor expansion we may choose the

We take evaluate the function f half way through the step

P.V. Johnson MATH65241

Then using a Taylor expansion we may choose the

We take evaluate the function f half way through the step

P.V. Johnson MATH65241

M ODIFIED E ULER METHOD

Now try a scheme of the form

yi+1 = yi + a1 f (x, y ) + a2 f (xi + α1 , yi + δ1 f (x, y ))

Again using the Taylor expansion we can choose the

P.V. Johnson MATH65241

M ODIFIED E ULER METHOD

Now try a scheme of the form

yi+1 = yi + a1 f (x, y ) + a2 f (xi + α1 , yi + δ1 f (x, y ))

Again using the Taylor expansion we can choose the

P.V. Johnson MATH65241

P.V. Johnson MATH65241

RUNGE -K UTTA O RDER F OUR

The algebra required to arrive at the Runge-Kutta order

P.V. Johnson MATH65241

The algebra required to arrive at the Runge-Kutta order

P.V. Johnson MATH65241

P.V. Johnson MATH65241

S OLVING A S YSTEM OF F IRST O RDER E QUATIONS

We can solve a system of equations just as easily as a

so the jth equation is

P.V. Johnson MATH65241

S OLVING A S YSTEM OF F IRST O RDER E QUATIONS

We can solve a system of equations just as easily as a

so the jth equation is

P.V. Johnson MATH65241

We can use modular programming to allow functions to

P.V. Johnson MATH65241

All methods up to now have been one-step methods ...

P.V. Johnson MATH65241

All methods up to now have been one-step methods ...

P.V. Johnson MATH65241

P.V. Johnson MATH65241

M ODIFIED E ULER METHOD - REVISITED

f (xi+1 , wi + hf (xi , wi )) ∼ f (xi+1 , wi+1 )

This suggests we may use the implicit scheme

P.V. Johnson MATH65241

M ODIFIED E ULER METHOD - REVISITED

f (xi+1 , wi + hf (xi , wi )) ∼ f (xi+1 , wi+1 )

This suggests we may use the implicit scheme