Numerical Solution

of
Ordinary Differential Equations

Chapter 25

Credit: Prof. Lale Yurttas, Chemical Eng., Texas A&M University

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General overview

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 Differential Equations

• Differential equations play a fundamental role in engineering. Many

physical phenomena are best formulated in terms of their rate of change:
dv c v- dependent variable
g v
dt m t- independent variable

• Equations which are composed of an unknown function and its

derivatives are called differential equations.

• One independent variable  ordinary differential equation (or ODE)

• Two or more independent variables  partial diff. equation (or PDE)

• A first order equation includes a first derivative as its highest derivative

• Second order equation includes second derivative

• Higher order equations can be reduced to a system of first order

equations, by redefining the variables.
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 ODEs and Engineering Practice

Swinging pendulum

d 2 g
2
 sin   0
dt l
A second-order
nonlinear ODE.

Falling parachutist problem

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 Solving Ordinary Differential Equations (ODEs)

• This chapter is devoted to solving ordinary

differential equations (ODEs) of the form

dy
 f ( x, y )
dx
New value  old value  slope * (step_size)
yi 1  yi   * h

Euler’s Method
• First derivative provides a direct estimate of
the slope at xi:

  f ( xi , yi ) (dif f .equ. evaluated at x i and y i )

then,
y i 1  y i  f ( x i , y i ) h
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 How to write Ordinary Differential
Equation
How does one write a first order differential equation in the form of

 f  x, y 
dy
dx
Example

 2 y  1.3e  x , y0  5
dy
dx
is rewritten as

 1.3e  x  2 y, y0  5
dy
dx
In this case

f x, y   1.3e  x  2 y
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 Error Analysis for Euler’s Method
• Numerical solutions of ODEs involves two types of error:
– Truncation error
• Local truncation error
• Propagated truncation error
The sum of the two is the total or global truncation error
– Round-off errors (due to limited digits in representing numbers in a computer)
• We can use Taylor series to quantify the local truncation error in Euler’s method.
Given y'  f ( x , y ) f ( xi , yi ) 2
yi" 2 yi( n ) n Ea  h  R3
yi 1  yi  y h  h  ... 
'
i h  Rn 2!
2! n!
f ( xi , yi ) 2
yi 1  yi  f ( xi , yi )h 
f ' ( xi , yi ) 2
h  ... 
f ( n1) ( xi , yi ) n
h  O( hn1 ) Ea  h  O(h 2 )
2! n! 2!
EULER Local Truncation ERROR

• The error is reduced by 4 times if the step size is halved  O(h2).

• In real problems, the derivatives used in the Taylor series are not easy to obtain.
• If the solution to the differential equation is linear, the method will provide error free
predictions (2nd derivative is zero for a straight line).
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 X yeuler ytrue Error Error
Example: Euler’s Method Global Local
Solve numerically : dy
 2 x 3  12 x 2  20 x  8.5 0 1 1 % %
dx
From x=0 to x=4 with step size h=0.5 0.5 5.250 3.218 63.1 63.1
initial condition: (x=0 ; y=1)
1.0 5.875 3.000 95.8 28

Exact Solution: y = -0.5x4 + 4x3 - 10x2 + 8.5x + 1 5.125 2.218 131.0 1.41
1.5
Numerical
Solution: yi1  yi  f ( xi , yi )h 2.0 4.500 2.000 125.0 20.5

y(0.5) = y(0)+f(0, 1)0.5 = 1+8.5*0.5 = 5.25

(true solution at x=0.5 is y(0.5) = 3.22 and et = 63%)

y(1) = y(0.5)+f(0.5, 5.25)0.5

= 5.25+[-2(0.5)3+12(0.5)2-20(0.5)+8.5]*0.5
= 5.25+0.625 = 5.875
(true solution at x=1 is y(1) = 3 and et = 96%)
y(1.5) = y(1)+f(1, 5.875)0.5 = 5.125
…. 
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 Improvements of Euler’s method

• A fundamental source of error in Euler’s method is that the

derivative at the beginning of the interval is assumed to
apply across the entire interval.

• Two simple modifications are available to circumvent this

shortcoming:

– Heun’s Method
– The Midpoint (or Improved Polygon) Method

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 Heun’s method
• To improve the estimate of the slope,
determine two derivatives for the interval:
• At the initial point
• At the end point

• The two derivatives are then averaged to

obtain an improved estimate of the slope
for the entire interval.

Predictor : yi01  yi  f ( xi , yi )h
f ( xi , yi )  f ( xi 1 , yi01 )
Corrector : yi 1  yi  h
2

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 Heun’s method (improved)
Original Huen’s:

Predictor : yi01  yi  f ( xi , yi )h
f ( xi , yi )  f ( xi 1 , yi01 )
Corrector : yi 1  yi  h
2
Note that the corrector can be iterated to improve the
accuracy of yi+1.

Predictor : yi01  yi  f ( xi , yi )h
f ( xi , yi )  f ( xi 1 , yij11 )
Corrector : y ij1  yi  h j  1,2,...
2
However, it does not necessarily converge on the true answer
but will converge on an estimate with a small error.

Example 25.5 from Textbook 11

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 The Midpoint (or Improved Polygon) Method

• Uses Euler’s method to predict a

value of y using the slope value at
the midpoint of the interval:

h
yi 1/2  yi  f ( xi , yi )
2

yi 1  yi  f ( xi 1/ 2 , yi 1/ 2 )h

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 Runge-Kutta Methods (RK)
• Runge-Kutta methods achieve the accuracy of a Taylor series approach
without requiring the calculation of higher derivatives.

yi 1  yi   ( xi , yi , h)h
  a1k1  a2 k 2    an k n Increment Function

a ' s ar e constants
k1  f ( xi , yi )
k 2  f ( xi  p1h, yi  q11k1h) p ’ s and q ’ s are constants
k3  f ( xi  p3h, yi  q21k1h  q22k 2 h)

k n  f ( xi  pn 1h, yi  qn 1k1h  qn 1, 2 k 2 h    qn 1,n 1k n 1h)
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 Runge-Kutta Methods (cont.)

• Various types of RK methods can be devised by employing different number

of terms in the increment function as specified by n.

• First order RK method with n=1 and a1 =1 is in fact Euler’s method.

yi 1  yi   ( xi , yi , h)h
  a1k1  a2 k 2    an k n

k1  f ( xi , yi )

choose n  1 and a1  1, we obtain

yi 1  yi  f ( xi , yi )h (Euler's Method)

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Runge-Kutta Methods (cont.)

Second-order Runga-Kutta Methods:

yi 1  yi  (a1k1  a2 k 2 )h
k1  f ( x i , yi ) k 2  f ( xi  p1h, yi  q11k1h)

• Values of a1, a2, p1, and q11 are evaluated by setting the above equation
equal to a Taylor series expansion to the second order term. This way, three
equations can be derived to evaluate the four unknown constants (See Box
25.1 for this derivation).
a1  a2  1
1
a 2 p1 
A value is assumed for one of the 2
unknowns to solve for the other three. 1
a2 q11 
2
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yi 1  yi  (a1k1  a2 k 2 )h a1  a2  1
k1  f ( x i , yi ) k 2  f ( xi  p1h, yi  q11k1h) 1
a 2 p1 
2
• Because we can choose an infinite number of values for a2,
1
there are an infinite number of second-order RK methods. a2 q11 
2
Three of the most commonly used methods are:
– Huen’s Method with a Single Corrector (a2=1/2)

– The Midpoint Method (a2=1)

– Ralston’s Method (a2=2/3)

Huen’s Method (a2 = 1/2)  a1 = 1/2 p1 = 1 q11 = 1

1 1
yi 1  yi  (a1k1  a2 k 2 )h  yi  ( k1  k 2 )h
2 2
k1  f ( x i , yi ) k 2  f ( xi  h, yi  k1h)
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yi 1  yi  (a1k1  a2 k 2 )h a1  a2  1
k1  f ( x i , yi ) k 2  f ( xi  p1h, yi  q11k1h) 1
a 2 p1 
2
1
The Midpoint Method (a2 = 1) a2 q11 
2
 a1 = 0 p1 = 1/2 q11 = 1/2

yi 1  yi  (a1k1  a2 k 2 )h  yi  ( k 2 ) h
1 1
k1  f ( x i , yi ) k 2  f ( xi  h, yi  k1h)
2 2

h h
yi 1  yi  ( k 2 )h  yi  f ( xi  , yi  f ( x i , yi ))h
2 2

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 Comparison of Various
• Three most commonly used Second-Order RK Methods
methods:

– Huen Method with a Single

Corrector (a2=1/2)

– The Midpoint Method (a2=1)

– Ralston’s Method (a2=2/3)

Ralston’s Method (a2=2/3)

1 2
yi 1  yi  (a1k1  a 2 k 2 )h  yi  ( k1  k 2 )h
3 3
3 3
k1  f ( x i , yi ) k 2  f ( x i  h, yi  k1h)
4 4
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 Systems of Equations
• Many practical problems in engineering and science require the solution of a
system of simultaneous ordinary differential equations (ODEs) rather than a
single equation:
dy1
 f1 ( x, y1 , y2 ,  , yn )
dx
dy2
 f 2 ( x, y1 , y2 ,  , yn )
dx

dyn
 f n ( x, y1 , y2 ,  , yn )
dx
• Solution requires that n initial conditions be known at the starting value of x.
i.e. (x0, y1(x0), y2(x0), …, yn(x0))

• At iteration i, n values (y1(xi), y2(xi), …, yn(xi)) are computed.

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