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Class 11th Dec
Class 11th Dec
1 h t
Z i
u(t) = µ(s)q(s)ds + u(t0 )
µ(t) t0
Nonlinear case
The idea is to construct a sequence of “approximate” solutions
and then if we can show that this sequence (or a subsequence)
converges to something, that limit might be an exact solution.
For more details, see [1] or [2].
Uniqueness
To garantee that there is a unique solution, it is necessary to
require a certain amount of smoothness for f (u, t). For that
we need to define Lipschitz continuity.
Lipschitz continuity
The function f (u(t), t) is Lipschitz continuous in u over a
domain
D = {(u, t) : |u − η| ≤ a, t0 ≤ t ≤ t1 }
Note that this is the maximum modulus of the slope that the
solution u(t) can attain in this time interval, so that it remains
in the domain D where the Lipschitz continuity holds.
Lipschitz continuity
Example 1:
Consider the IVP
(
u 0 (t) = (u(t))2 , t ∈ (t0 , t]
u(0) = η > 0
∂f
f (u, t) = u 2 , ∂u
= 2u
because
|u − η| ≤ a ⇐⇒ −a + η ≤ u ≤ a + η
So f is Lipschitz continuous.
Lipschitz continuity
Example 2:
Consider the IVP
( p
u 0 (t) = u(t) , t ∈ (t0 , t]
u(0) = η > 0
√ ∂f 1
f (u, t) = u, ∂u
= √
2 u
−→ ∞ as u −→ 0.
So f is not Lipschitz continuous.
Numerical Methods for IVP’s
U n ≈ u(tn )
Numerical Methods for IVP’s
U n+1 − U n
= f (U n ) , n = 0, 1, 2, ...
k
or, U n+1 = U n + kf (U n )
Numerical Methods for IVP’s
Backward Euler
U n+1 − U n
= f (U n+1 ) , n = 0, 1, 2, ...
k
or, U n+1 = U n + kf (U n+1 )
This is an equation that must be solved for U n+1 and in
general f is a nonlinear function.
It is possible to use Newton’s Method to find the zero of the
function g given by
g (u) = u − kf (u) − U n
U n+1 − U n 1
= [f (U n+1 ) + f (U n )] , n = 0, 1, 2, ...
k 2
or, U n+1 = U n + k2 [f (U n+1 ) + f (U n )]
This is also an implicit method and we must solve for U n+1 .
Multistep Methods
U n+1 − U n−1
= f (U n )
2k
or, U n+1 = U n−1 + 2kf (U n ).
Backward Differentiation Formula (BDF)
3U n+1 − 4U n + U n−1
= f (U n+1 )
2k
Multistep Methods
Runge-Kutta
A two-stage Runge-Kutta method is given by:
1
U∗ = U n + kf (U n )
2
U n+1 = U n + kf (U∗)
U n+1 = U n + kf (U n + kf (U∗))
Local Truncation Errors (LTE)
u(tn+1 ) − u(tn )
τn = − f (u(tn ))
k
We write u(tn+1 ) using Taylor polynomial around tn :
k 2 00
u(tn+1 ) = u(tn ) + ku 0 (tn ) + u (tn ) + o(k 3 )
2
k
τn = u 0 (tn ) + u 00 (tn ) + o(k 2 ) f (u(tn ))
2 | {z }
=u 0 (tn )
u(tn+1 ) − u(tn )
τn = − f (u(tn+1 ))
k
We write u(tn ) using Taylor polynomial around tn+1 :
k 2 00
u(tn ) = u(tn+1 ) + ku 0 (tn+1 ) + u (tn+1 ) + o(k 3 )
2
Definition (convergence):
A IVP numerical method is said to be convergent if applying
the method to any ODE with f (u, t) Lipschitz continuous in
u, and with any set of starting values satisfying (**), we
obtain convergence in the sense of (*) for every fixed time
T > 0 at which the ODE has a unique solution.
Global Error (GE)
Example: Euler’s method on linear problems
Consider the IVP u 0 (t) = λu(t) + g (t) with u(t0 ) = η.
If we apply the forward Euler method to it,
For the Euler’s method applied to the linear IVP we get the
difference equation:
|E n | ≤ e |λ|T (|E 0 + T kτ k∞ )
|E n | ≤ e |λ|T T kτ k∞ = o(k) as k −→ 0