Modified Patankar–Runge–Kutta Schemes for the

Solution of Positive Production–Destruction

Systems

Stefan Kopecz Andreas Meister

Institute of Mathematics
University of Kassel

Mathematics Meet Pharmacy

23.09.2019
Modified-Patankar-Runge-Kutta Schemes

Advection-Diffusion-Production-Destruction Systems

Pharmaceutical Applications

Summary
Many applications can be modeled by positive and
conservative production-destruction-systems
I Production-Destruction-System (PDS):
XN
yi0 (t) = pij (y(t)) − dij (y(t)), pij (y), dij (y) ≥ 0
j=1

I Vector of state variables:

y = (y1 , . . . , yN )T

I Positivity:
yi (t) > 0 for all t ≥ 0
I Conservation:
XN XN XN
pij (t) − dij (t) = 0 =⇒ yi (t) = yi (0)
i,j=1 i=1 i=1
Nonlinear model problem
12
y1
10 y2
y3
8

y10 = −y1 y2 /(y1 + 1), 6

y20 = y1 y2 /(y1 + 1) − ay2 4

y30 = ay2 2

-2
0 5 10 15 20 25 30
t

I Nonzero production and destruction terms:

p21 (y) = y1 y2 /(y1 + 1) = d12 (y), p32 (y) = ay2 = d23 (y)

I Conservative and positive

I Model based on Michaelis-Menten theory
(nutrients: y1 , phytoplankton: y2 , detritus: y3 )
Modified-Patankar-Runge-Kutta Schemes

Definition
Given an explicit RK scheme with nonnegative parameters, the
scheme
(k)
Xk−1 XN  (ν) yj(k) (ν) yi
(k) 
n
yi = yi + ∆t akν pij (k) − dij (k) ,
ν=1 j=1
πj πi
n+1 n+1 
(k) yj

(k) yi
Xs XN
n+1 n
yi = yi + ∆t bk pij − dij
k=1 j=1 σj σi

is called modified Patankar-Runge-Kutta scheme (MPRK) if

I πi(k) and σi are unconditionally positive
I πi(k) is independent of yi(k) and σi is independent of yin+1
MPRK schemes require the solution of s linear systems

M(k) y(k) = yn , k = 1, . . . , s,
Myn+1 = yn ,
with
(k)
Xk−1 XN (ν) (k)
mii = 1 + ∆t akν d /πi > 0,
ν=1 j=1 ij
(k)
Xk−1 (ν) (k)
mij = −∆t akν pij /πj ≤ 0, i 6= j,
ν=1

and
Xs XN (k)
mii = 1 + ∆t bk d /σi > 0,
k=1 j=1 ij
Xs (k)
mij = −∆t bk pij /σj ≤ 0, i 6= j.
k=1
MPRK schemes are unconditionally positive and
conservative

Lemma
An MPRK scheme applied to a conservative PDS is unconditionally
conservative.

Lemma
An MPRK scheme applied to a conservative PDS is unconditionally
positive. The same holds for all the stages of the scheme.
The MPRK22(α) schemes

Theorem
A two-stage MPRK scheme based on the RK scheme

0
1
α α , α≥
2
1 − 1/(2α) 1/(2α)

with
(2)
πi = yin , σi = (yin )1−1/α (yi )1/α ,
is second order accurate.
MPRK22(1)

(1)
yi = yin ,
(2)
XN  (1) yjn+1 (1) yi
n+1 
yi = yin+ ∆t pij − dij ,
j=1 yjn yin
 n+1   n+1 
(2) yj

∆t XN  (1) (1) (2) yi
yin+1 n
= yi + pij + pij (2)
− dij + dij (2)
2 j=1
yj yi
 
0
I Based on Heun’s method 1 1
1/2 1/2

I Linearly implicit (2 linear systems of size N × N)

I Unconditionally positive and conservative
I Second order convergence
Approximations of the nonlinear model problem by the
MPRK22(1) scheme MPRK
12
y1
10 y2
y3
8 Σ yi
y 1 num
6 y 2 num
y 3 num
4
Σ y i num

-2
0 5 10 15 20 25 30
t
The MPRK43 schemes
Theorem
The MPRK scheme based on an explicit three-stage third order
Runge-Kutta scheme with non-negative weights is of third order, if
we choose
(2) 1/p
!
(1) (2) y
πi = yin , πi = yin i
, p = 3a21 (a31 + a32 )b3 ,
yin
(2) 1/q
!
y
µi = yin i
, q = a21 ,
yin
XN  σ
j
n
σi = yi + ∆t β1 pij (y(1) ) + β2 pij (y(2) )
j=1 µj
 σ 
(1) (2) i
− β1 dij (y ) + β2 dij (y ) .
µi

with β1 = 1 − β2 and β2 = 1/(2a21 ).

Approximations of the nonlinear model problem by the
MPRK43I(1,1/2) scheme MPRK43I(1,1/2)
12
y1
10 y2
y3
8 Σ yi
y 1 num
6 y 2 num
y 3 num
4
Σ y i num

-2
0 5 10 15 20 25 30
t
The Robertson problem

y10 (t) = 104 y2 (t)y3 (t) − 0.04y1 (t),

y20 (t) = 0.04y1 (t) − 104 y2 (t)y3 (t) − 3 · 107 y2 (t)2 ,
y30 (t) = 3 · 107 y2 (t)2 ,

I Initial values:

y1 (0) = 1, y2 (0) = 0, y3 (0) = 0

I Time interval:
10−6 ≤ t ≤ 1010
I Time stepping:
∆ti = 4i−1 10−6
I Stiff problem!
Approximations of the Robertson problem
MPE MPRK22(0.500)
1 1
y1 y1
10000 y 2
10000 y 2
0.8 0.8
y3 y3
Σ yi Σ yi
0.6 y 1 num 0.6 y 1 num
10000 y 2
num 10000 y 2
num
y 3 num y 3 num
0.4 Σ y i num 0.4 Σ y i num

0.2 0.2

0 0
10 -5 10 0 10 5 10 10 10 -5 10 0 10 5 10 10
t MPRK43I(1.000, 0.500) t
1
y1
10000 y 2
0.8
y3
Σ yi
0.6 y 1 num
10000 y 2
num
y 3 num
0.4 Σ y i num

0.2

0
10 -5 10 0 10 5 10 10
Advection-Diffusion-Production-Destruction Systems

∂ui ∂ui ∂ 2 ui XN
+ ai − di 2
= (pij (u) − dij (u)) , i = 1, . . . , N
∂t ∂x ∂x j=1

I Spatial discretization: Upwind + central differences + periodic

boundary conditions
I Strang splitting (advection-diffusion and reaction)
I Explicit integration of advection-diffusion

∆x 2
 
∆t = CFL min
i 2di + ai ∆x
I Reactions are “hard to solve”
I Aim: Integrate reactions with ∆t and capture the basic dynamics
NPZD Model
y1 y2
y10 = 0.01y2 + 0.01y3 + 0.003y4 − ,
0.01 + y1
y1 y2
y20 = − 0.01y2 − 0.5 1 − exp(1.21y22 ) y3 − 0.05y2 ,


0.01 + y1
0
y3 = 0.5 1 − exp(1.21y22 ) y3 − 0.01y3 − 0.02y3 ,

y40 = 0.05y2 + 0.02y3 − 0.003y4

I Model for basic studies of the marine ecosystem

I Non-negative and conservative

[Burchard et. al., Application of modified Patankar schemes to stiff biogeochemical

models for the water column, Ocean Dynamics, 2005]
NPZD Model
Reference solution

10

y1
6
y2
y
3
4 y4

0 1 2 3 4 5
t

I y1 : Nutrients, y2 : Phytoplankton, y3 : Zooplankton, y4 : Detritus

Test configuration
I Maxmium time step for advection-diffusion:

∆x 2
 
∆t = 0.9 min = 0.8824
i 2di + ai ∆x
I Time step for reactions:

∆treaction = ∆t

I Time integration schemes for reaction part:

I Heun: Explicit two-stage RK
I MPRK22(1): Linearly implicit two-stage MPRK
I ROS2: Linearly implicit two-stage Rosenbrock scheme, L-stable
I SDIRK2: Implicit two-stage SDIRK scheme, L-stable
Numerical Simulations with MPRK22(1) at t = 0s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK22(1) at t = 8.82s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK22(1) at t = 17.65s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK22(1) at t = 26.47s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK22(1) at t = 35.29s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK22(1) at t = 44.12s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK22(1) at t = 50s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with SDIRK2 at t = 0s
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with SDIRK2 at t = 8.82s
0 12000 100
600
90
-2000
10000
80
500
-4000 70
8000
400
60
-6000
6000 50
300
-8000 40
4000
30 200
-10000
20
2000 100
10
-12000
0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with SDIRK2 at t = 17.65s
× 10 7 × 10 7 × 10 6
0 15 8
10000
-2 7
9000

-4 8000 6

10 7000
-6 5
6000
-8 4
5000

-10 4000 3
5
3000
-12 2
2000
-14 1
1000

-16 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with SDIRK2 at t = 26.47s
× 10 11 × 10 11 × 10 5 × 10 9
0
12

3
2
-0.5 10
2.5

1.5 8
-1
2

6
1 1.5
-1.5

4
1

-2 0.5
0.5 2

-2.5 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with SDIRK2 at t = 35.29s
× 10 11 × 10 11 × 10 5 × 10 10
0 3
4.5
5
-1 4 2.5

3.5
4
-2 2
3

3 2.5
-3 1.5

2
2
-4 1.5 1

1
-5 1 0.5
0.5

0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with SDIRK2 at t = 44.12s
× 10 11 × 10 11 × 10 5 × 10 10
0
6
4.5 3
-1
5 4
2.5
3.5
-2
4
3 2
-3
2.5
3
1.5
-4 2

2 1.5 1
-5
1
1 0.5
-6 0.5

0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with SDIRK2 at t = 50s
× 10 11 × 10 11 × 10 5 × 10 10
0 12
6
6
-2 10
5
5
-4
8
4
4
-6
6
3 3

-8
4 2
2

-10
2 1 1

-12
0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Approximations of the NPZD model with ∆t = 0.02
Heun MPRK22(1)
20 20

15 15

10 10

5 5

0 0

-5 -5

-10 -10
0 1 2 3 4 5 0 1 2 3 4 5
t
ROS2 t
SDIRK2
20 20

15 15

10 10

5 5

0 0

-5 -5

-10 -10
0 1 2 3 4 5 0 1 2 3 4 5
t t
Comparison with other Schemes
I Set ∆treaction to “largest” value, which avoids negative
approximations (execpt for MPRK22(1))
I Impact on efficiency:

Heun MPRK ROS2 SDIRK

∆treaction 0.005 0.8824 0.008 0.008
Elapsed time 57.2s 0.95s 152.62s 297.86s
Comparison with adaptive time integrators
I ode45:
Abs
1 10−1 10−2 10−3 10−4
Rel
1 – – – – –
10−1 – – – –
10−2 – – –
10−3 17.69s 18.12s
10−4 18.27s

I ode23s:
Abs
1 10−1 10−2 10−3 10−4
Rel
1 – – – – –
10−1 – – – –
10−2 – – –
10−3 17.75s 18.09s
10−4 18.52s
Comparison with adaptive time integrators
I ode15s without non-negativity feature:

Abs
1 10−1 10−2 10−3 10−4
Rel
1 – – – – –
10−1 – – – –
10−2 – 9.49s 9.79s
10−3 9.90s 10.18s
10−4 11.88s

I ode15s with non-negativity feature:

Abs
1 10−1 10−2 10−3 10−4
Rel
1 11.29s 11.38s 11.6s 11.68s 11.6s
10−1 11.46s 11.68s 11.83s 14.84s
10−2 12.58s 12.50s 13.26s
10−3 12.86s 13.59s
10−4 14.44s
MPRK22(1) applied to the NPZD model with ∆t = 1
y1
10
y2
y3
8
y4
Σ yi
6
y 1 num
y 2 num
4 y 3 num
y 4 num
2 Σ y i num

0 10 20 30 40 50 60
t
MPRK43I(1,1/2) applied to the NPZD model with ∆t = 1
y1
10
y2
y3
8
y4
Σ yi
6
y 1 num
y 2 num
4 y 3 num
y 4 num
2 Σ y i num

0 10 20 30 40 50 60
t
Numerical Simulations with MPRK43I(1,1/2) at t = 0s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK43I(1,1/2) at t = 8.82s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK43I(1,1/2) at t = 17.65s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK43I(1,1/2) at t = 26.47s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK43I(1,1/2) at t = 35.29s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK43I(1,1/2) at t = 44.12s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10 10

9 9 9 9

8 8 8 8

7 7 7 7

6 6 6 6

5 5 5 5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Numerical Simulations with MPRK43I(1,1/2) at t = 50s
Nutrients Phytoplankton Zooplankton Detritus
10 10 10
10
9 9 9
9
8 8 8
8
7 7 7
7
6 6 6
6
5 5 5
5

4 4 4 4

3 3 3 3

2 2 2 2

1 1 1 1

0 0 0 0
0 0.5 1 0 0.5 1 0 0.5 1 0 0.5 1
Comparison with other Schemes
I Set ∆treaction to “largest” value, which avoids negative
approximations (execpt for MPRK schemes)
I Impact on efficiency:

Heun MPRK ROS2 SDIRK MPRK43I

∆treaction 0.005 0.8824 0.008 0.008 0.8824
Elapsed time 57.2s 0.95s 152.62s 297.86s 1.34s
Rifampicin model

u10 = d − a1 u1 + a1 u2 ,
u20 = a1 u1 − a1 u2 − a2 u2 (a3 − u3 ) − a4 u5 u2 + a5 u3 ,
u30 = a2 u2 (a3 − u3 ) − a5 u3 ,
u40 = a6 u3 − a7 u4 + a8 ,
u50 = a9 u4 − a10 u5

I Models PXR mediated xenobiotic metabolizing enzyme induction

I u1 : Xext , u2 : Xint , u3 : PXR, u4 : mRNA, u5 : CYP3A4
I Initial values:

u(0) = (0.6, 0, 0, 2.83 · 10−7 /0.04, 283/4320)T

I (Modified) Patankar-Trick can be applied to integrate destruction

and conservative terms
Approximation of the rifampicin model with ∆t = 30
MPRK43I(1.000, 0.500)
35
y1
30 y2
20000000 y
3
25 10000 y
4
y5
20
y 1 num

15 y num
2
20000000 y num
3
10 10000 y num
4
y 5 num
5

0
0 200 400 600 800 1000
t
Approximation of the rifampicin model with ∆t = 30
MPRK43I(1.000, 0.500)
35

30

25

20

15

10

0
0 0.5 1 1.5 2 2.5 3
t 4
×10
Approximation of the rifampicin model (adap. time step.)
MPRK43Iadap(1.000,0.500)
35
y1
30 y2
20000000 y
3
25 10000 y
4
y5
20
y 1 num

15 y num
2
20000000 y num
3
10 10000 y num
4
y 5 num
5

0
0 200 400 600 800 1000
t
Approximation of the rifampicin model (adap. time step.)
MPRK43Iadap(1.000,0.500)
35

30

25

20

15

10

0
0 0.5 1 1.5 2 2.5 3
t 4
×10
VEGF model

u10 = −410 · 10−5 u1 u2 − 149.26 · 10−9 u1 − 10−9 u1

u20 = −410 · 10−5 u1 u2 + 1.22 · 10−14

I Models aflibercept transport in the vitreous humor

I u1 : aflibercept concentration, u2 : VEGF concentration
I Initial values:

u1 (0) = 0.003, u2 (0) = 1.31 · 10−7

I Time interval:

0 ≤ t ≤ 31536000 (= 1 Year)

I Patankar-Trick can be applied to integrate destruction terms

Solution of the VEGF model
×10 -3 Reference solution
3
y
1
2.5 10000 y 2

1.5

0.5

0
0 0.5 1 1.5 2 2.5 3
t ×10 7
Solution of the VEGF model
Reference solution
10 -2

10 -4

10 -6

10 -8

10 -10 y1
y2
-12
10
0 0.5 1 1.5 2 2.5 3
t ×10 7
Approximation of the VEGF model with ∆t=1 week
MPRK43I(1.000, 0.500)
10 -2

10 -4

10 -6

10 -8
y
1
y
2
10 -10 y 1 num
y num
2
-12
10
0 0.5 1 1.5 2 2.5 3
t ×10 7
Approximation of the VEGF model (adaptive time stepping)
MPRK43Iadap(1.000,0.500)
10 -2

10 -4

10 -6

10 -8
y
1
y2
10 -10 y 1 num
y 2 num
-12
10
0 0.5 1 1.5 2 2.5 3
t ×10 7
Approximation of the VEGF model (adaptive time stepping)
ODE45
10 -2

10 -4

10 -6

10 -8
y
1
y2
10 -10 y 1 num
y 2 num
-12
10
0 0.5 1 1.5 2 2.5 3
t ×10 7
Approximation of the VEGF model (adaptive time stepping)
ODE15s
10 -2

10 -4

10 -6

10 -8
y
1
y2
10 -10 y 1 num
y 2 num
-12
10
0 0.5 1 1.5 2 2.5 3
t ×10 7
Summary

I Conditional positivity may lead to severe time step restrictions

I MPRK schemes are unconditionally positive and conservative

I MPRK schemes can enable the efficient numerical solution of

(stiff) problems for which positivity is essential

[K, Meister: On order conditions for modified Patankar–Runge–Kutta schemes,

APNUM, 2018]

[K, Meister: Unconditionally Positive and Conservative Third Order Modified

Patankar-Runge-Kutta Discretizations of Production-Destruction Systems, BIT, 2018]

[Huang, Shu: Positivity-Preserving Time Discretizations for Production–Destruction

Equations with Applications to Non-equilibrium Flows, J Sci Comp, 2018]