Ode PDF

Ordinary Differential Equations
Part 1
Ananda Dasgupta
PH3105, Autumn Semester 2017

ODEs in science
ODEs in science
I ODEs are among the most important mathematical structures
in science.
ODEs in science
in science.
I Dynamical systems in physics are described by second order
equations of motion
d 2x

dx
m 2 = F x, , t
dt dt
ODEs in science
in science.
equations of motion
d 2x

dx
m 2 = F x, , t
dt dt
I This can be recast as two coupled first order equations
dx p
=
dt m
dp p
= F x, , t
dt m
ODEs in science
in science.
equations of motion
d 2x

dx
m 2 = F x, , t
dt dt
I This can be recast as two coupled first order equations
dx p
=
dt m
dp p
= F x, , t
dt m
I More generally
∂H
q̇i =
∂pi
∂H
ṗi = −
∂qi
ODEs in science
I ODEs abound in other scientific disciplines as well!
ODEs in science
I In biology, for example, we have the famous predator-prey
model
ODEs in science
model
I also known as the Lotka-Volterra model
ODEs in science
model
I In this prey population x and predator population y obeys
dx
= αx − βxy
dt
dy
= δxy − γy
dt
ODEs in science
model
I In this prey population x and predator population y obeys
dx
= αx − βxy
dt
dy
= δxy − γy
dt
I Reaction rates in chemistry : for example the rate of the
reaction 2H2 + 2NO → N2 + 2H2 O
I
d d
[H2 ] = −k [H2 ] [NO ]2 = [NO ]
dt dt
The initial value problem
First order differential equations
I First order differential equation (Initial Value Problem):
dy
= f (y , t) subject to y (t0 ) = y0
dt
dy
dt
I The Euler algorithm :
y (t + h) ≈ y (t) + hf (y (t) , t)
dy
dt
y (t + h) ≈ y (t) + hf (y (t) , t)
I or more concisely
yn+1 = yn + hf (yn , tn )
where tn ≡ t0 + nh, yn ≡ y (tn ).
dy
dt
y (t + h) ≈ y (t) + hf (y (t) , t)
I or more concisely
Local error (error per step) is O h2 .

I
dy
dt
y (t + h) ≈ y (t) + hf (y (t) , t)
I or more concisely

I
I Global error in this method is O (h).
dy
dt
y (t + h) ≈ y (t) + hf (y (t) , t)
I or more concisely

I
I Global error in this method is O (h).
I For a system of first order ODEs
dyi
= fi (y1 , . . . , yn ; t) , i = 1, 2, . . . n
dt
we have
yi (t + h) ≈ yi (t) + hfi (y1 (t) , . . . , yn (t) ; t)
Improved integration methods
I The Euler algorithm uses the derivative at time tn as an
approximation for the rate of change over the entire interval
from tn to tn + h.
from tn to tn + h.
I Wouldn’t it be better if we used the derivative at the midpoint
tn + h/2?
from tn to tn + h.
tn + h/2?
I Easy to do if the derivative f (y , t) = f (t) depends only on t.
from tn to tn + h.
tn + h/2?
I Then
h
yn+1 ≡ y (tn + h) ≈ y (tn ) + hf tn +
2
from tn to tn + h.
tn + h/2?
I Then
h
yn+1 ≡ y (tn + h) ≈ y (tn ) + hf tn +
2
I This is better:
h˙ 2

RHS = y (tn ) + h f (tn ) + f (tn ) + O h
2
h 2
= y (tn ) + hẏ (tn ) + ÿ (tn ) + O h3

2
= y (tn + h) + O h3
from tn to tn + h.
tn + h/2?
I Then
h
yn+1 ≡ y (tn + h) ≈ y (tn ) + hf tn +
2
I This is better:
h˙ 2

2
h 2
= y (tn ) + hẏ (tn ) + ÿ (tn ) + O h3

2
= y (tn + h) + O h3
Local error O h3 ,

I
from tn to tn + h.
tn + h/2?
I Then
h
yn+1 ≡ y (tn + h) ≈ y (tn ) + hf tn +
2
I This is better:
h˙ 2

2
h 2
= y (tn ) + hẏ (tn ) + ÿ (tn ) + O h3

2
= y (tn + h) + O h3
Local error O h3 , global error O h2 .

I
from tn to tn + h.
tn + h/2?
I Then
h
yn+1 ≡ y (tn + h) ≈ y (tn ) + hf tn +
2
I This is better:
h˙ 2

2
h 2
= y (tn ) + hẏ (tn ) + ÿ (tn ) + O h3

2
= y (tn + h) + O h3
Local error O h3 , global error O h2 .

I
I What if f (y , t) depends explicitly on y (as it usually would)?
The Midpoint Euler method (explicit version)
I Slope at beginning : pn = f (yn , tn )
I Slope at beginning : pn = f (yn , tn)
I Approximate f y tn + h2 , tn + h2 by

h h
qn = f yn + pn , tn +
2 2

h h
2 2
I Taylor series in several variables says that

h ∂f ∂f
qn = f + pn +
2 ∂y ∂t
2
2
∂2f ∂ 2 f

h ∂ f 2
+ O h3

+ 2
pn + 2 pn + 2
8 ∂y ∂y ∂t ∂t (yn ,tn )

h h
2 2

h ∂f ∂f
qn = f + pn +
2 ∂y ∂t
2
2
∂2f ∂ 2 f

h ∂ f 2
+ O h3

+ 2
pn + 2 pn + 2
8 ∂y ∂y ∂t ∂t (yn ,tn )
But
ẏ (t) = f (y , t)
∂f ∂f
ÿ (t) = ẏ +
∂y ∂t
... ∂2f 2 ∂2f ∂f ∂2f ∂2f
y (t) = ẏ + ẏ + ÿ + ẏ +
∂y 2 ∂t∂y ∂y ∂y ∂t ∂t 2

h h
2 2

h ∂f ∂f
qn = f + pn +
2 ∂y ∂t
2
2
∂2f ∂ 2 f

h ∂ f 2
+ O h3

+ 2
pn + 2 pn + 2
8 ∂y ∂y ∂t ∂t (yn ,tn )
But
ẏn = f (yn , tn ) = pn

∂f ∂f ∂f ∂f
ÿn = ẏ + = pn +
∂y ∂t
(yn ,tn ) ∂y ∂t (yn ,tn )
∂2f 2 ∂2f ∂ 2 f

... ∂f
yn = p +2 pn + ÿn + 2
∂y 2 n ∂y ∂t ∂y ∂t (yn ,tn )

h h
2 2
h2 ...

h ∂f
+ O h3

qn = ẏn + ÿn + y n− ÿn
2 8 ∂y (yn ,tn )
But
ẏn = f (yn , tn ) = pn

∂f ∂f ∂f ∂f
ÿn = ẏ + = pn +
∂y ∂t (yn ,tn ) ∂y ∂t (yn ,tn )
∂2f 2 ∂2f ∂ 2 f

... ∂f
yn = p +2 pn + ÿn + 2
∂y 2 n ∂y ∂t ∂y ∂t (yn ,tn )

h h
2 2
h2 ...

h ∂f
+ O h3

2 8 ∂y (yn ,tn )
I On the other hand,

h2 h3
ÿn + ÿn + O h4

yn+1 ≡ y (tn + h) = yn + hẏn +
2! 3!

h h
2 2
h2 ...

h ∂f
+ O h3

2 8 ∂y (yn ,tn )

h2 h3
ÿn + ÿn + O h4

yn+1 ≡ y (tn + h) = yn + hẏn +
2! 3!
= yn + hqn
h3 ...

∂f
+ O h4

+ y n+3 ÿn
24 ∂y (yn ,tn )

h h
2 2
h2 ...

h ∂f
+ O h3

2 8 ∂y (yn ,tn )

h2 h3
ÿn + ÿn + O h4

yn+1 ≡ y (tn + h) = yn + hẏn +
2! 3!
= yn + hqn
h3 ...

∂f
+ O h4

+ y n+3 ÿn
24 ∂y (yn ,tn )
3 - global

I The midpoint method has a local error of O h
error O h2 .

Generalization : the Runge-Kutta method
I Instead of the derivative at midpoint, we could use
pn + qn 1 1
= f (yn , tn ) + f (yn + hpn , tn + h)
2 2 2
- aka the modified Euler method.
pn + qn 1 1
= f (yn , tn ) + f (yn + hpn , tn + h)
2 2 2
I A more general approximation
β1 pn + β2 qn
where pn = f (yn , tn ) = ẏn and q = f (yn + αhpn , tn + αh).

pn + qn 1 1
= f (yn , tn ) + f (yn + hpn , tn + h)
2 2 2
β1 pn + β2 qn

I Taylor series says
α2 h 2
fyy pn2 + 2fyt pn + ftt (yn ,tn )

qn = pn + αh (fy ẏn + ft )(yn ,tn ) +
2
pn + qn 1 1
= f (yn , tn ) + f (yn + hpn , tn + h)
2 2 2
β1 pn + β2 qn

I Taylor series says
α2 h 2
fyy pn2 + 2fyt pn + ftt (yn ,tn )

qn = pn + αh (fy ẏn + ft )(yn ,tn ) +
2
α2 h2 ...
[ y n − fy ÿn ](yn ,tn ) + O h3

= ẏn + αhÿn +
2
I The approximation
y (tn + h) = yn + h (β1 pn + β2 qn )
I The approximation
y (tn + h) = yn + h (β1 pn + β2 qn )
h2
+ (1 − β1 − β2 ) hẏn + (1 − 2αβ2 ) ÿn
2
h3 h ... ... i
y − 3α2 β2 ( y n − fy ÿn )(y ,t ) + O h4

+
6 n n
I The approximation
y (tn + h) = yn + h (β1 pn + β2 qn )
h2
+ (1 − β1 − β2 ) hẏn + (1 − 2αβ2 ) ÿn
2
h3 h ... ... i
y − 3α2 β2 ( y n − fy ÿn )(y ,t ) + O h4

+
6 n n
I Minimizing error requires

β1 + β2 = 1
2αβ2 = 1
giving a local error of O h3 .

I The approximation
y (tn + h) = yn + h (β1 pn + β2 qn )
h2
+ (1 − β1 − β2 ) hẏn + (1 − 2αβ2 ) ÿn
2
h3 h ... ... i
y − 3α2 β2 ( y n − fy ÿn )(y ,t ) + O h4

+
6 n n

β1 + β2 = 1
2αβ2 = 1

I Possibilities :
I The approximation
y (tn + h) = yn + h (β1 pn + β2 qn )
h2
+ (1 − β1 − β2 ) hẏn + (1 − 2αβ2 ) ÿn
2
h3 h ... ... i
y − 3α2 β2 ( y n − fy ÿn )(y ,t ) + O h4

+
6 n n

β1 + β2 = 1
2αβ2 = 1

I Possibilities :
I α = 21 , β1 = 0, β2 = 1 - the midpoint formula.
I The approximation
y (tn + h) = yn + h (β1 pn + β2 qn )
h2
+ (1 − β1 − β2 ) hẏn + (1 − 2αβ2 ) ÿn
2
h3 h ... ... i
y − 3α2 β2 ( y n − fy ÿn )(y ,t ) + O h4

+
6 n n

β1 + β2 = 1
2αβ2 = 1

I Possibilities :
I α = 1, β1 = β2 = 12 - the corrected Euler method, aka Heun’s
method.
I The approximation
y (tn + h) = yn + h (β1 pn + β2 qn )
h2
+ (1 − β1 − β2 ) hẏn + (1 − 2αβ2 ) ÿn
2
h3 h ... ... i
y − 3α2 β2 ( y n − fy ÿn )(y ,t ) + O h4

+
6 n n

β1 + β2 = 1
2αβ2 = 1

I Possibilities :
I α = 1, β1 = β2 = 12 - the corrected Euler method, aka Heun’s
method.
I α = 32 , β1 = 14 , β2 = 34 - Ralstone’s method.
The 4th order Runge-Kutta algorithm
I Approximate the derivative in the interval (tn , tn + h) by the
weighted average
1
(pn + 2qn + 2rn + sn )
6
weighted average
1
(pn + 2qn + 2rn + sn )
6
I The approximants are
pn = f (yn , tn )

h h
2 2

h h
rn = f yn + qn , tn +
2 2
sn = f (yn + hr , tn + h)
weighted average
1
(pn + 2qn + 2rn + sn )
6
pn = f (yn , tn )

h h
2 2

h h
2 2
I Thus
h
yn+1 ≈ yn + (pn + 2qn + 2rn + sn )
6
weighted average
1
(pn + 2qn + 2rn + sn )
6
pn = f (yn , tn )

h h
2 2

h h
2 2
I Thus
h
yn+1 ≈ yn + (pn + 2qn + 2rn + sn )
6
This has a local error of O h5 and global error of O h4 .

I
weighted average
1
(pn + 2qn + 2rn + sn )
6
pn = f (yn , tn )

h h
2 2

h h
2 2
I Thus
h
yn+1 ≈ yn + (pn + 2qn + 2rn + sn )
6
This has a local error of O h5 and global error of O h4 .

I
I Both simple and accurate - arguably the most widely used
method.
How big should the step size be?
The local error in RK4 is O h5 .

I

I
I How big must h be for a desired accuracy ?


I

I One approach - the step size can be changed depending on
the error at each step.

I

I But ... how to estimate the error?

I

I Use one RK4 step with step-size h and two RK4 steps with
step-size h2 to get two estimates for y (tn + h) - y(1) and y(2) ,
respectively.

I

respectively.
I The difference ∆ = y(2) − y(1) is an estimate for the error.

I

respectively.
I The difference ∆ = y(2) − y(1) is an estimate for the error.
I In fact, this also yields a better estimate for y (tn + h),
∆
namely y(2) + 15 !
I If |∆| < , accept the step.
I If |∆| > , change the step-size to
1/5

h
|∆|
and repeat.
1/5

h
|∆|
and repeat.
I Warning : guard against the step-size becoming too small!
1/5

h
|∆|
and repeat.
I Once the step size decreases, it stays small - may make the
method very slow.
1/5

h
|∆|
and repeat.
method very slow.
I A modification by Press et al - at each step,
1/5

h
|∆|
and repeat.
method very slow.
I accept the result if |∆| < .
1/5

h
|∆|
and repeat.
method very slow.
I accept the result if |∆| < .
I In each step , define the new step-size as
η

Rh
|∆|
where R ∼ 0.9, and
(
0.25 where ∆ >
η=
0.20 where ∆ <
Second order ODEs : The Runge-Kutta-Nystrom method
For the second order equation
ÿ = f (y , ẏ , t)
ÿ = f (y , ẏ , t)
we can use

h
yn+1 = yn + h ẏn + [An + Bn + Cn ]
3
1
ẏn+1 = ẏn + [An + 2Bn + 2Cn + Dn ]
3
ÿ = f (y , ẏ , t)
we can use

h
yn+1 = yn + h ẏn + [An + Bn + Cn ]
3
1
ẏn+1 = ẏn + [An + 2Bn + 2Cn + Dn ]
3
where
h
An = f (yn , ẏn , tn )
2
h h h An
Bn = f yn + βn , ẏn + An , tn + , where βn = ẏn +
2 2 2 2

h h
Cn = f yn + βn , ẏn + Bn , tn +
2 2
h
Dn = f (yn + δn , ẏn + 2Cn , tn + h) , where δn = h (ẏn + Cn )
2
ÿ = f (y , ẏ , t)
we can use

h
yn+1 = yn + h ẏn + [An + Bn + Cn ]
3
1
ẏn+1 = ẏn + [An + 2Bn + 2Cn + Dn ]
3
where
h
An = f (yn , ẏn , tn )
2
h h h An
Bn = f yn + βn , ẏn + An , tn + , where βn = ẏn +
2 2 2 2

h h
Cn = f yn + βn , ẏn + Bn , tn +
2 2
h
Dn = f (yn + δn , ẏn + 2Cn , tn + h) , where δn = h (ẏn + Cn )
2

System of equations
I A system of differential equations
ẏi (t) = fi (y1 , . . . yn ; t) , i = 1, 2, . . . , n
can be handled by the RK4

I However care has to be used to evaluate all the derivatives
together.
I The n initial slopes p1 , . . . pn must be evaluated at the values
of y1 , . . . , yn at the beginning of the interval
I These values must be used to predict the values of all the yi
at the middle of the interval to get the q1 , . . . , qn
I and so on ...
I Using numpy helps greatly here!

Ode PDF

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Ode PDF

Uploaded by

Copyright:

Available Formats

Ordinary Differential Equations

PH3105, Autumn Semester 2017

I On the other hand,

I On the other hand,

I On the other hand,

where pn = f (yn , tn ) = ẏn and q = f (yn + αhpn , tn + αh).

where pn = f (yn , tn ) = ẏn and q = f (yn + αhpn , tn + αh).

where pn = f (yn , tn ) = ẏn and q = f (yn + αhpn , tn + αh).

I Minimizing error requires

I Minimizing error requires

I Minimizing error requires

I Minimizing error requires

I Minimizing error requires

The local error in RK4 is O h5 .

The local error in RK4 is O h5 .

I How big must h be for a desired accuracy ?

The local error in RK4 is O h5 .

I How big must h be for a desired accuracy ?

The local error in RK4 is O h5 .

I How big must h be for a desired accuracy ?

The local error in RK4 is O h5 .

I How big must h be for a desired accuracy ?

The local error in RK4 is O h5 .

I How big must h be for a desired accuracy ?

The local error in RK4 is O h5 .

I How big must h be for a desired accuracy ?

I A system of differential equations

ẏi (t) = fi (y1 , . . . yn ; t) , i = 1, 2, . . . , n

can be handled by the RK4

You might also like

I How big must h be for a desired accuracy ?

I How big must h be for a desired accuracy ?

I How big must h be for a desired accuracy ?

I How big must h be for a desired accuracy ?

I How big must h be for a desired accuracy ?

I How big must h be for a desired accuracy ?