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of
Ordinary Differential Equations
Chapter 25
Swinging pendulum
d 2 g
2
sin 0
dt l
A second-order
nonlinear ODE.
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:
then,
y i 1 y i f ( x i , y i )h
4
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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 ( n1) ( xi , yi ) n
h O( hn1 ) Ea h O(h 2 )
2! n! 2!
EULER Local Truncation ERROR
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
– Heun’s Method
– The Midpoint (or Improved Polygon) Method
7
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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
Predictor : yi01 yi f ( xi , yi )h
f ( xi , yi ) f ( xi 1 , yi01 )
Corrector : yi 1 yi h
2
8
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Heun’s method (improved)
Original Huen’s:
Predictor : yi01 yi f ( xi , yi ) h
f ( xi , yi ) f ( xi 1 , yi01 )
Corrector : yi 1 yi h
2
Note that the corrector can be iterated to improve the
accuracy of yi+1.
Predictor : yi01 yi f ( xi , yi )h
f ( xi , yi ) f ( xi 1 , yij11 )
Corrector : y ij1 yi h j 1,2,...
2
h
yi 1/2 yi f ( xi , yi )
2
yi 1 yi f ( xi 1/ 2 , yi 1/ 2 )h
10
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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 IncrementFunction
yi 1 yi ( xi , yi , h)h
a1k1 a2 k 2 an k n
k1 f ( xi , yi )
yi 1 yi f ( xi , yi )h (Euler's Method)
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Runge-Kutta Methods (cont.)
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 13
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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)
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:
1 2
y i 1 y i ( a1k1 a 2 k 2 )h y i ( k1 k 2 )h
3 3
3 3
k1 f ( x i , y i ) k 2 f ( x i h, y i 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))