1

Numerical Solution
of Ordinary Differential Equation
A first order initial value problem of ODE may be written
in the form


Example:



Numerical methods for ordinary differential equations
calculate solution on the points, where h is
the steps size

0
) 0 ( ), , ( ) ( ' y y t y f t y = =
0 ) 0 ( , 1 ) ( '
1 ) 0 ( , 5 3 ) ( '
= + =
= + =
y ty t y
y y t y
h t t
n n
+ =
1
2
Numerical Methods for ODE
Euler Methods
Forward Euler Methods
Backward Euler Method
Modified Euler Method

Runge-Kutta Methods
Second Order
Third Order
Fourth Order
3
Forward Euler Method
Consider the forward difference approximation for first
derivative

Rewriting the above equation we have

So, is recursively calculated as
n n
n n
n
t t h
h
y y
y =

~
+
+
1
1
, '
) , ( ' , '
1 n n n n n n
t y f y hy y y = + =
+
n
y
) , (
) , (
) , ( '
1 1 1
1 1 1 2
0 0 0 0 0 1

+ =
+ =
+ = + =
n n n n
t y f h y y
t y f h y y
t y f h y hy y y

4
Example: solve

Solution:










etc
25 . 0 , 1 0 , 1 ) 0 ( , 1 '
0
= s s = = + = h t y y ty y
1.25 1) 1 * 0.25(0 1
) 1 (
' , 25 . 0 for
0 0 0
0 0 1 1
= + + =
+ + =
+ = =
y t h y
hy y y t
1.5781 1) 1.25 * 0.25(0.25 1.25
) 1 (
' , 5 . 0 for
1 1 1
1 1 2 2
= + + =
+ + =
+ = =
y t h y
hy y y t
1 ) 0 ( , 0 for
0 0
= = = y y t
5
Graph the solution
6
Backward Euler Method
Consider the backward difference approximation for first
derivative

Rewriting the above equation we have

So, is recursively calculated as
1
1
, '

~
n n
n n
n
t t h
h
y y
y
) , ( ' , '
1 n n n n n n
t y f y hy y y = + =

n
y
) , (
) , (
) , ( '
1
2 2 1 2
1 1 0 1 0 1
n n n n
t y f h y y
t y f h y y
t y f h y hy y y
+ =
+ =
+ = + =

7
Example: solve

Solution:
Solving the problem using backward Euler method for
yields




So, we have

25 . 0 , 1 0 , 1 ) 0 ( , 1 '
0
= s s = = + = h t y y ty y
n
n
n
n n n n
n n n n n n
ht
h y
y
h y y ht y
y t h y hy y y

+
=
+ =
+ + = + =

1
) 1 ( '
1
1
1 1
n
y
333 . 1
25 . 0 * 25 . 0 1
25 . 0 1
1
, 25 . 0 for
1
0
1 1
=

+
=

+
= =
ht
h y
y t
8
8091 . 1
5 . 0 * 25 . 0 1
25 . 0 333 . 1
1
, 5 . 0 for
2
1
2 2
=

+
=

+
= =
ht
h y
y t
5343 . 2
75 . 0 * 25 . 0 1
25 . 0 8091 . 1
1
, 75 . 0 for
3
2
3 3
=

+
=

+
= =
ht
h y
y t
7142 . 3
1 * 25 . 0 1
25 . 0 5343 . 2
1
, 1 for
4
3
4 4
=

+
=

+
= =
ht
h y
y t
9
Graph the solution
10
Modified Euler Method
Modified Euler method is derived by applying the
trapezoidal rule to integrating ; So, we have


If f is linear in y, we can solved for similar as
backward euler method
If f is nonlinear in y, we necessary to used the method
for solving nonlinear equations i.e. successive
substitution method (fixed point)
) , ( ' t y f y
n
=
) , ( ' ), (
2
' '
1 1 n n n n n n n
t y f y y y
h
y y = + + =
+ +
1 + n
y
11
Example: solve

Solution:
f is linear in y. So, solving the problem using modified Euler
method for yields




25 . 0 , 1 0 , 1 ) 0 ( , 1 '
0
= s s = = + = h t y y ty y
h y
t
h
t
h
y
h t
h
y t
h
y
y t y t
h
y
y y
h
y y
n
n
n
n
n n n n
n n n n n
n n n n
+

+
=
+ + =
+ + + + =
+ + =

1
1
1 1
1 1 1
1 1
)
2
1 (
)
2
1 (
)
2
1 ( )
2
1 (
) 1 1 (
2
) ' ' (
2
n
y
12
Graph the solution
13
Second Order Runge-Kutta Method
The second order Runge-Kutta (RK-2) method is derived
by applying the trapezoidal rule to integrating
over the interval . So, we have





We estimate by the forward euler method.
) , ( ' t y f y =
] , [
1 + n n
t t
( ) ) , ( ) , (
2
) , (
1 1
1
1
+ +
+
+ + =
+ =
}
+
n n n n n
t
t
n n
t y f t y f
h
y
dt t y f y y
n
n
1 + n
y
14
So, we have



Or in a more standard form as
( ) ) ), , ( ( ) , (
2
1 1 + +
+ + + =
n n n n n n n n
t t y hf y f t y f
h
y y
( )
) , (
) , ( where
2
1
1 1 2
1
2 1 1
+
+
+ =
=
+ + =
n n
n n
n n
t k y hf k
t y hf k
k k y y
15
Third Order Runge-Kutta Method
The third order Runge-Kutta (RK-3) method is derived by
applying the Simpsons 1/3 rule to integrating
over the interval . So, we have





We estimate by the forward euler method.
) , ( ' t y f y =
] , [
1 + n n
t t
( ) ) , ( ) , ( 4 ) , (
6
) , (
1 1
1
2
1
2
1
1
+ + + +
+
+ + + =
+ =
}
+
n n n n n n n
t
t
n n
t y f t y f t y f
h
y
dt t y f y y
n
n
2
1
+ n
y
16
The estimate may be obtained by forward difference
method, central difference method for h/2, or linear
combination both forward and central difference method.
One of RK-3 scheme is written as






( )
) , 2 (
)
2
, (
) , ( where
4
6
1
1 2 1 3
1 2
1
2
1
3 2 1 1
+
+
+ =
+ + =
=
+ + + =
n n
n n
n n
n n
t k k y hf k
h
t k y hf k
t y hf k
k k k y y
1 + n
y
17
Fourth Order Runge-Kutta Method
The fourth order Runge-Kutta (RK-4) method is derived
by applying the Simpsons 1/3 or Simpsons 3/8 rule to
integrating over the interval . The
formula of RK-4 based on the Simpsons 1/3 is written as






) , ( ' t y f y =
] , [
1 + n n
t t
( )
) , (
)
2
, (
)
2
, (
) , ( where
2 2
6
1
3 4
2 2
1
3
1 2
1
2
1
4 3 2 1 1
h t k y hf k
h
t k y hf k
h
t k y hf k
t y hf k
k k k k y y
n n
n n
n n
n n
n n
+ + =
+ + =
+ + =
=
+ + + + =
+
18
The fourth order Runge-Kutta (RK-4) method is derived
based on Simpsons 3/8 rule is written as






( )
) , 3 3 (
)
3
2
, (
)
3
, (
) , ( where
3 3
8
1
3 2 1 4
2 3
1
1 3
1
3
1 3
1
2
1
4 3 2 1 1
h t k k k y hf k
h
t k k y hf k
h
t k y hf k
t y hf k
k k k k y y
n n
n n
n n
n n
n n
+ + + =
+ + + =
+ + =
=
+ + + + =
+