NUMERICAL METHODS FOR SOLVING

DELAY-DIFFERENTIAL EQUATIONS

BY

AHMAD NASSIR AL-MUTIB

THESIS SUBMITTED FOR THE DEGREE OF

DOCTOR OF PHILOSOPHY IN SCIENCE AT THE

VICTORIA UNIVERSITY OF MANCHESTER

MAY 1977
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S" Q> & V o
 TO THE MEMORY OF MY FATHER,

TO MY MOTHER; FOR HER SACRIFICE

AND ENCOURAGEMENTS,

TO MY SISTER MAYSOON AND BROTHERS

KHALID, HAMMAD, AND TAWFIEK.

 ACKNOWLEDGEMENTS

I should lik e to express my deep thanks to Professor Joan Walsh *

fo r her useful comments and fo r a ll the help throughout the preparation

o f th is th e s is , and also to a ll the Numerical Analysis s t a f f a t the

U n ive rsity o f Manchester.

In a d d itio n , I would lik e to thank the U n iv e rs ity o f Riyad, Saudi

Arabia, fo r the scholarship which enables me to c a rry out th is research.

My thanks also to Miss Kendal Anderson fo r the e f f ic ie n t typin g

o f th is th e s is .

(iii)
 STATEMENT

No p o rtio n o f the work re fe rre d to in th is the sis has been submitted

in support o f an a p p lic a tio n fo r another degree or q u a lific a tio n o f

th is or any other u n iv e rs ity or other in s titu te o f le a rn in g .

( iv )
 PREFACE

This th e sis is concerned with, the adaptation o f numerical methods

fo r so lving i n i t i a l value problems in ordinary d iffe r e n tia l equations to

the problem o f d e la y -d iffe re n tia l equations.

In chapter I , the d e fin itio n o f delay d if fe r e n tia l equations and

the areas where they a rise are given5 together w ith a b r ie f discussion o f

numerical methods fo r solving i n i t i a l value problems in ODE, a review o f

e x is tin g numerical methods fo r solving DDE w ith th e ir advantages and

lim ita tio n s 3 and a discussion o f recent work on the s t a b ilit y prope rties

o f numerical methods.

In chapter I I , we s ta r t by givin g a review o f the work done on the

theory o f DDEs, then we sta te theorems sp e cifyin g con dition s fo r the

existence and uniqueness o f the s o lu tio n o f DDEs. Then we discuss one

o f the c h a ra c te ris tic s o f DDEs, th a t the d e riv a tiv e o f the so lu tio n may

have delay induced jump d is c o n tin u itie s . F in a lly we consider a n a ly tic a l

methods fo r solving a system o f lin e a r DDEs, and give re s u lts concerning

asymptotic prope rties o f the s o lu tio n .

In chapter I I I , we consider in general the d i f f i c u l t i e s a ris in g in

the adaptation o f numerical methods to solve DDE, and discuss ways to

overcome them. Then, we consider s u ita b le d e fin itio n s fo r s t a b ilit y o f

numerical methods fo r solving DDEs.

In chapter IV, we consider the analysis o f s p e c ific numerical methods

o f Runge-Kutta type fo r solving DDE. In p a r tic u la r , we consider ways o f

approximating the delay term and the e ffe c t o f th is approximation on the

pro p e rtie s o f the numerical methods considered.

F in a lly , in chapter V, a d e s c rip tio n o f algorithm s fo r solving i n i t i a l

fu n c tio n problem in DDE w ith a va ria b le stepsize is given. The p rope rties

o f these methods are v e r ifie d by considering a v a rie ty o f te s t problems.

(V)
 CONTENTS

Page
CHAPTER I INTRODUCTION

1.1 In tro d u c tio n . i

1.2 D e la y -D iffe re n tia l Equations. 1

1.3 Numerical s o lu tio n o f i n i t i a l value ordinary

d iffe r e n tia l equations. 4

1.4 Review o f numerical methods fo r solving DDE. 8

1.5 S t a b ilit y analysis o f numerical methods

fo r so lvin g DDE. 16

1.6 Remarks. 18

CHAPTER I I THEORY OF DELAY-DIFFERENTIAL EQUATIONS

2.1 In tro d u c tio n . 20

2.2 Existence and Uniqueness o f the s o lu tio n

o f DDE. 20

2.3 D is c o n tin u ity o f the d e riv a tiv e o f the

s o lu tio n o f DDE. 23

2.4 Asymptotic prope rties o f the s o lu tio n o f a

lin e a r system o f DDEs. 25

CHAPTER I I I NUMERICAL METHODS FOR SOLVING DELAY-DIFFERENTIAL

EQUATIONS

3.1 In tro d u c tio n . 34

3.2 Numerical d if f i c u l t i e s in solving DDE. -34

3.2.1 D is c o n tin u ity o f the d e riv a tiv e . 35

3.2.2 The evaluation o f the delay term. 36

3.3 D e fin itio n s o f s t a b ilit y p rope rties o f numerical

methods fo r solving DDE. 41

3.4 Some numerical methods fo r solving ODE. 44

(V i)
CHAPTER IV THE ANALYSIS OF SPECIFIC NUMERICAL METHODS FOR DELAY-

DIFFERENTIAL EQUATIONS ■

4.1 In tro d u c tio n . 47

4.2 The adaptation o f numerical methods fo r

so lvin g DDE. 47

4.2.1 Kutta-Merson method fo r so lving DDE. 48

4.2 .2 The trapezium method fo r s o lv in g DDE. 57

4 .2 .3 The im p lic it Runge-Kutta method fo r

so lving DDE. 59

4.3 Local tru n c a tio n e rro r estimate o f methods

fo r so lvin g DDE. 60

4.3.1 LTE estim ate o f Kutta-Merson method

fo r solving DDE. 61

4.3 .2 LTE estim ate o f the trapezium method and

fo r the im p lic it Runge-Kutta method fo r

so lving DDE. 70

4.4 S ta b ility properties o f numerical methods

fo r so lving DDE. 71

4.4.1 Kutta-Merson method fo r so lving DDE. 71

4.4.2 The trapezium method fo r s o lv in g DDE. 73

4 .4 .3 The im p lic it Runge-Kutta method f o r so lving

DDE. 76

CHAPTER V NUMERICAL RESULTS AND ALGORITHMS

5.1 In tro d u c tio n . 82

5.2 D escription o f algorithm s fo r so lving DDE. 83 •

5.3 Test problems and numerical re s u lts . 87

5.4 Concluding remarks. 97

BIBLIOGRAPHY 115

( vi i )
 CHAPTER I

INTRODUCTION

1.1 In tro d u c tio n

In th is chapter, we f i r s t s ta r t by d e fin in g d e la y -d iffe re n tia l

equations, and we describe some o f the areas where they a ris e ; we then

give a b r ie f discussion o f numerical methods fo r solving i n i t i a l value

problems in o r d in a ry -d iffe re n tia l equations. F in a lly we present a review

o f e x is tin g numerical methods fo r solving d e la y -d iffe re n tia l equations w ith

t h e ir advantages and lim ita tio n s ., and we discuss the recent work on

s t a b i l it y p rope rties o f these numerical methods.

1.2 D e la y -D iffe re n tia l Equations.

Many physical systems possess the feature o f having a delayed response

to in p u t c o n d itio n s , so th a t the ra te a t which processes occur depends not

on ly on the cu rre n t sta te o f the system but also on the past s ta te s .

Mathematical models o f such processes commonly re s u lt in d iff e r e n tia l

equations w ith a term in v o lv in g a time delay. Equations o f th is type are

c a lle d D e la y -D iffe re n tia l Equations (DDE).

A general form o f a f i r s t order DDE is

 2;

u '( t ) » f ( t , u ( t ) , u ( t - d ( t , u ( t ) ) ) ) ( 1 -la )

where d ( t 3 u {t)) $ 0 is re fe rre d to as the "Delay11 and t - d ( t s. u ( t ) )

is re fe rre d to as the ‘•'Lag". In general the delay is a fu n c tio n both o f

t and o f the s o lu tio n u (t).

D e la y -D iffe re n tia l Equations arise in a wide v a rie ty o f fie ld s * from

the growth o f in fe c tio n to a model o f a h e a rt-1ung complex, re action to

X-ray treatm ent, and population growth. DDEs also a ris e in con trol theory*

machine to o lin g * and a n a ly tic number theory. A more d e ta ile d study o f the

a p p lic a tio n s o f DDEs can be found in Schmitt (1972), Halanay(1966), and

O guztoreli (1966).

The i n i t i a l con dition s needed to determine the s o lu tio n o f the DDE

( 1 . 1a) f o r t > t , g e nerally involve prescribed values o f u ( t) on an

in te r v a l. The precise nature o f these i n i t i a l conditions depends on the

nature o f the delay and the range o f values o f the argument t. I f the

s o lu tio n o f the problem is defined by an i n i t i a l value a t a s in g le p o in t,

we sh a ll re fe r to the problem, w ith Feldstein (1964), as an i n i t i a l value

d e la y -d iffe re n tia l equation (IVDDE), otherwise we s h a ll c a ll i t an i n i t i a l

fu n c tio n d e la y -d iffe re n tia l equation (IFDDE). In general, i f we seek the

s o lu tio n o f (1.1a) f o r t Q ^ t < T, we require an i n i t i a l fu n c tio n o f the

form

u ( t) = g ( t ) , m in (tQ, t * ) < t s t 0 ( 1 . 1b)

where t* = minffc - d ( t , u ( t ) ) ] , t e [ t Q, T ],

A more general DDE than (1.1a) is one w ith m u ltip le delays o f the

form

u '( t ) = f ( t , u( t ) , u ( t- d 1( t , u( t ) ) , . . . , u ( t-d q( t 9 u ( t ) ) ) ) ( 1 . 2)

where d ^ ( t, u ( t) ) 5 0 fo r i=l,2,...,q. A system o f n DDEs w ith

m u ltip le delays has the form

u * ( t) = f ^ t , . . . , U j(t-d ^ k ( t , ux( t ) , . . . , un( t ) ) ) , . . . ) (1 .3)

where i , j = 1 , . . . , n, k = 0, 1 ........ q, and dj k ^ 9 un^t ^ 5 0

 3.

Before we give some examples o f DDEs, we mention th a t i f the d e riv a tiv e

a t the present time is a fu n c tio n o f the s o lu tio n a t the present time and

the s o lu tio n a t some fu tu re tim e, then we have an A dvanced-D ifferential

Equation o f the form

u * ( t) = f ( t , u ( t ) , u (t+ d (t, u ( t ) ) ) ) » d ( t , u ( t) ) 5 0 ( 1 *4)

Also i f the d e riv a tiv e depends on the s o lu tio n a t the present time and both

past and fu tu re times then we have a N e u tra l-D iffe re n tia l Equation o f the

form

u '( t ) = f ( t , u ( t ) , u f t - d j ( t , u ( t ) ) ) , u(t+d2( t 9 u ( t ) ) ) ) (1 .5 )

where d ^ t , u ( t ) ) , d2( t 9 u ( t ) ) 5 0 .

We sha ll not be concerned w ith these two types, but only w ith DDEs.

Examples o f (1 .1) are as fo llo w s :

Example (1 . 1 ) . A lin e a r IFDDE w ith a constant delay is

u '( t ) = b u (t - d ) , t 5 tQ ( 1 -6)

u ( t) = c tQ - d $ t $ tQ

This example illu s tr a te s many c h a ra c te ris tic s o f more general DDE

problems. Consider the above equation (1.6) in the form of the general

DDE (1 .1 ). The fu n c tio n s , f , d ( t , u ( t ) ) , and g ( t) are a ll a n a ly tic ,

nevertheless, i t is apparent th a t some d e riv a tiv e has d is c o n tin u itie s a t

every p o in t t Q + jd fo r j = 0, 1, 2 , . . . , and i t can be shown th a t a t

each p o in t t Q + jd , the f i r s t j d e riv a tiv e s o f u ( t) are continuous,

but the ( j+ l) s t d e riv a tiv e has a f i n i t e jump d is c o n tin u ity .

Example ( 1 .2 ) . An example o f a lin e a r IVDDE is the problemconsidered

by Fox e t al (1971),

u '( t ) = a u (t) + b u (A t), X is constant (1-7)

u (0) = c,

th is is a DDE only if o < A l < 1.

Example ( 1 . 3 ) . An example o f IFDDE with m u ltip le constant delays is given

by F e ld ste in and Goodman (1973)

 4.

u '( t ) = u ( t - 1) - 3u (t - 72) + u ( t - tt) ( 1 .8)

u ( t) =1 fo r t ^ 0

Example (1 . 4 ) . An example o f a n o n-line ar IFDDE is given by Neves and

F e ldstein (1973)*

u '( t ) = i o ( t ) .u (& n (u (t))> t j 1 (1.9)

u ( t) =1 fo r t s< 1 .

W ithout knowing the s o lu tio n o f th is equation* i t is not possible to p re d ic t

th a t u<P>(t) has jumps a t t = e ( fo r p 5 2) and a t t = e2 ( fo r p 5 3)

The unique s o lu tio n is

t 1 ^ t £ e
u (t) «
e x p (t/e ) e ^ t $ e2

Further examples o f DDEs w ith d iffe r e n t kinds o f delays w ill be given

in chapter V.

1.3 Numerical s o lu tio n o f in . it ia l value ordinary d iffe r e n tia l equations

Since the methods to be considered here fo r forming approximations

to ( 1 . 1) are extensions o f those used fo r o rdina ry d iff e r e n t ia l equations*

i t is in order to discuss b r ie f ly the basic methods fo r i n i t i a l value

problems. A d e ta ile d discussion can be found in Lambert (1973).

Consider the i n i t i a l value problem

u 1( t ) = f ( t * u( t ) ) tQ$ t s T * (1.10a)

u ( t0) = c ( 1 . 10b)

where f is assumed to be L ip s c h itz continuous in u ( t) fo r a ll

t e [ t Q, T ], In a d d itio n * we w ill assume th a t a ll the p a r tia l d e riva tive s

of f up to an a r b itra ry but f i n i t e order e x is t* are continuous and

bounded.

Let y (t) be the numerical approximation to u ( t) * then a class o f

general k-ste p methods which generate the s o lu tio n y ( t n)* n = 0 * 1 , . . . , N*

t = t Q + nh* and Nh = T - t 0» is
 5.

y (tr ) - S (fv} 0 <: r < k, (s ta rtin g values) (1.11a)

Examples o f these methods are

(1) The lin e a r m u ltiste p methods (LMM)

k
( 1 . 12)

(2) The one-step methods o f Runge-Kutta type, k = 1

m
(1.13)

m
kr = f ( t n + hV + hX br1lt1)
1*Hf

r = 1 , 2 , ..., m; 0 ,< a^ ^ 1

The q u a n tity en = y ^ p ) “ u(^ n) 1S c a lle d the global d is c re tiz a tio n

e rro r a t t n- I f th is e rro r tends to zero as' h -»- 0, we say th a t the

method is convergent, hence,

D e fin itio n 1 .1 . A method o f class (1.11) is convergent i f , when applied

to any problem o f class ( 1. 10) , y ( t R) u (t) as h -5- 0 , where n = ( t - t Q)/h

fo r any t e [ t Q, T l .

I f we s u b s titu te the tru e s o lu tio n u (t) in (1.11) then we define

the loca l tru n c a tio n e rro r (LTE) dn by

dr = u ( t r ) - s ( t r ) 0 $ r < k

where p(z)

dn represents the amount by which the tru e s o lu tio n u (t) f a i l s to s a tis fy

(1 .1 1 ). A minimal requirement fo r a convergent method o f class (1.11) is

consistency defined by.

 6.

D e fin itio n 1 .2 . A method o f class (1.11) is said to be co n siste n t i f

max Id I 0 as h ->• 0 .
0$n$N
I f p is the la rg e s t in te g e r fo r which

d „ = 0(hp"KL) (1.15)

then the method ( 1 .11) is said to be o f order p .

To study any p e rtu rb a tio n in the s ta rtin g values o r in the d iffe re n c e

equation ( 1 . 11) as h •* Os nh = t , we have the fo llo w in g d e fin itio n .,

D efinition 1.3. The method (1.11) is said to be zero-sta ble i f no ro o t

o f the polynomial p(z) =

i a.z has modulus greate r than one, and i f
1=0
every ro o t w ith modulus one is simple.

We note th a t con sistent Runge-Kutta methods (1.13) are always zero-

sta b le since the on ly ro o t o f p(z) is 1 .

Now we present the fundamental re s u lt concerning the convergence o f

numerical methods o f class ( 1. 11) .

Theorem 1 .1 . A method o f class (1.11) is convergent i f and only i f i t is

both co n siste n t and ze ro -sta b le .

Theorem (1.1) was f i r s t proved fo r the case o f LMM (1 .1 2 ), by

D ahlquist (1956). A proof fo r the class (1.11) may be found in Isaacson

and K e lle r (1966).

As defined above, z e r o - s ta b ility ensures the stab le propagation o f

the e rro r in the l i m i t as h -> 0 , but in pra ctice we take h as a fix e d

p o s itiv e number, so we are concerned w ith the behaviour o f the global

d is c re tiz a tio n e rro r as n -> « w ith h fix e d . Id e a lly we would lik e a

r e s u lt o f the form: fo r a given fix e d steplength h and fo r a given

i n i t i a l value problem ( 1 . 10), the global d is c re tiz a tio n e r ro r en - y ( t ) - u ( t )

remains bounded as n «. The snag w ith th is requirement is the dependence

on the behaviour o f the s o lu tio n o f (1 .1 0 ). Accordingly a s p e c ific i n i t i a l

value problem o f the form

u '( t ) = a u (t), a is constant (1.16)

is considered as a te s t equation. We now make the assumption th a t when we

s u b s titu te (1.16) in ( 1. 11) , <k~ in ( 1. 11b) becomes lin e a r in y (t .),
t n+i
i = 0 , 1 , . . . , k. S p e c ific a lly , we assume th a t

W =aj 0V haM W e - 17>

where f o r the lin e a r m u ltiste p method ( 1. 12)

Y-j (ha) = e.., i = I,.,., k

and fo r the Runge-Kutta method (1.13)

Yx(ha) = 0; Y0(ha) = P ^ h a)/Qm(ha)

where Pm_^ is a polynomial o f degree a t most m-1 and Q is a polynomial

o f degree a t most m.

A fte r applying the method (1.11) to the IVP (1 .1 6 ), subtractin g.e qua tion

(1.14) from (1.11) and neglecting the local rounding e r r o r , we get

k
I - hayi (ha)>en+i = - / ° ( 0 e t y i + u (1.18)

0 S n ^ N -k

The s o lu tio n o f the d iffe re n c e equation (1.18) is o f the form: Complementary

Function + P a rtic u la r S o lu tio n . The p a rtic u la r s o lu tio n o f (1.18) can be

kept small i f the lo ca l tru n c a tio n e rro rs are s u f f ic ie n t ly sm all, and the

complementary fu n c tio n depends on the roots o f the s t a b ilit y polynomial

k
n ( r , h a ):= \ {a. - h a y ^ h a jlr 1 (1.19)
i =0 1 1

This leads us to the d e fin itio n o f absolute s t a b i l it y .

D e fin itio n 1 .4 . The method (1.11) is said to be a b s o lu te ly stable f o r a

given ha i f , fo r th a t ha, a ll the roots o f the s t a b ilit y polynomial

(1.19) l i e w ith in the u n it c ir c le . A region R(ha) o f the ha-complex

plane is said to be a region o f absolute s t a b ilit y o f ( 1. 11) , i f ( 1. 11) is

a b so lu te ly stable f o r a ll ha e R(ha).

The region o f absolute s t a b ilit y is determined on ly by the

c o e ffic ie n ts o f the method (1. 11) , and the corresponding la rg e s t

value o f h fo r which en w ill decrease is dependent on a, and

 8.

hence on the p a rtic u la r d iffe r e n tia l equation whose s o lu tio n is sought*

For some class o f IVP in (1 .1 0) 3 we would lik e to fin d numericalmethods

whose stepsize h is not re s tric te d by the values o f a*, th is leads to

the fo llo w in g d e fin itio n .

D e fin itio n 1 .5 . A method is defined to be A -stable i f the absolute s t a b ilit y

region includes the h a lf plane Re(ha) < 0.

Here we give Lambert's d e fin itio n , Lambert (1973), o f the class o f

s t i f f d iffe r e n tia l equations, where A-stable methods are useful in s o lv in g .

Consider the lin e a r system o f d iffe r e n tia l equations

j j ' ( t ) = A u(t) + g ( t) (1.20)

where j j ( t ) is an m -dimensional v e c to r, A is an r n x m m a trix , and

£ (t) is a smooth fu n c tio n o f t. Let be the eigenvalues o f

the m a trix A, then

D e fin itio n 1*6 . The lin e a r system (1.20) is said to be s t i f f i f

( i ) Re(Ai ) < 0 , i = 1, 2, . . . , m

( ii) max |Re( A- ) | » min |Re( X- ) I -

Ui$m 1$i$m 1

1.4 Review o f numerical methods fo r solving DDE

I t appears in the lite r a t u r e th a t there is wide in te re s t in the

numerical s o lu tio n o f DDE and many approaches have been adopted fo r solving

p a rtic u la r equations. One o f the best surveys o f these methods is in

Cryer (1972), see also Baker (1976). Here, we give a review of'some o f

the general methods o f s o lu tio n .

Bellman (1961) , developed a technique f o r s o lv in g DDEs very

a ccu ra te ly a t the expense o f increasing the order o f the system. To use

his method we must have a delay o f the form d ( t ) , which must be monotone

decreasing, w ith d ( t) > 0. D efining the sequence { t n> by means o f

V ^ n ’ ^ n -r ' n?1’

the s o lu tio n on t $ t $ t ^ is given by the co n tin u a tio n process in

terms o f previous values on [t -j s t ]. We suppose the s o lu tio n has been

 9.

found fo r tQ$ t $ ts and we define vQ( t ) = t , v x( t ) = t - d ( t ) 9

v n( t ) = v J v J t ) ......... ve( t) = v f v r (t)) - We then form ulate, on

I S

[ t s, t i ]» a system o f d iffe r e n tia l equations; l e t

ys(t) = y(t)

ys_T(* ) = y ( v i ( t ) )
0 - 21)
y s -2^ = y ( v2(t ))

y 0 (t) = y(vs(t))

fo r t s s t < t J+i . As t varie s in [ t s> t , 1» vr ( t ) varie s through

[ t s_r > t r+-| ] atld the o rig in a l equation ( 1. 1) now y ie ld s

dv~~~ {V vs - r ^ } = f (vs - r ^ ’ yr ^ » yr-i

w ith y r ( t s) = y ( t r ) , t s s t s t J+i ,fo r r =0» s. From these

equations we obtain, fo r t e [ts, ]

y ;(t) = f ( t , ys ( t ) , y s_1( t ) ) , y s( t s) = y ( t s)

y ; . - | ( t ) = f ( t , y s_ -|(t), y s_2( t ) ) . v ^ ( t ) , y s-1 ( t s) = y ( t s_1)

: ( 1 - 22 )

y'0W = f (t> y0(t)» y(vs+i ( t ) ) ) . v ^ ( t ) , y0( t s) = y ( t 0)

where y(v +- | ( t ) ) is a given i n i t i a l fu n c tio n defined on [ t * 9 t Q] .

In te g ra tio n o f the system (1.22) may be achieved w ith an automatic program

fo r a system o f the f i r s t order equations, By in te g ra tin g th is system

o f equations, the fu n ctio n s y (t) = ys( t) is determined over the in te rv a l

t s S t s t g+.j which enables us to continue fo r the next in te r v a l.

We observe here th a t an accurate s o lu tio n is obtained only a t the'

expense o f in te g ra tin g a large and growing system. However, the method

has the advantage th a t no storage o f previous fu n c tio n values is re q u ire d ,

only the i n i t i a l conditions need be saved. This technique has another draw

back, th a t the system formed by adding an equation fo r each in te r v a l, as

oaA Ko*u«v\
in (1 .2 2 ), may be unstable. Bellman^(1962) points out th a t t h is i n s t a b i l i t y
 10.

was discovered fo r a c e rta in DDE which arises in number theory.

E l's g o l^ ts (1966) has proposed a method using the E uler formula

fo r solving DDEs w ith va ria b le delay o f the form d (t). He assumes th a t

the g rid can be constructed such th a t f o r each n 5 1 < n <: N+l ,

e ith e r t fi - d ( tn) s t Q (1.23)

or ‘ n " d( V = ^ (n ) q (n ) " n

E u le r's method then takes the form

hnf ( t V y (t n) ’ 9( t n- d ( t n) ) ) , i f V < i ( t n) St 0
(1.24)
y< W - y< V =
hnf ( t „ * y ( V ’ y (t q ( n p ) otherwise

y ( t 0) = g ( t 0) , and 0 S n j «.

This method does not work unless con dition (1.23) is s a tis fie d .

Condition (1.23) is s a tis fie d i f min d (t) > 0 o r i f t - d ( t ) is s t r i c t l y

t 0$t$T
monotone increasing on [ t 0, T ]. The case where the Euler method (1.24)

does not work is ca lle d by E l's g o lt's the "s in g u la r case" 9 see also

E l's g o lt's and Norkin (1973).

With these d i f f i c u l t i e s in mind., Feldstein (1964) proposed several

m o d ifica tio n s o f the Euler method to solve DDEs w ith a delay o f the form

d (t). His study is re s tric te d to the i n i t i a l value DDEs. We now describe

one o f his methods9 c a lle d EA-1.

Let the g rid be uniform and l e t t fi+-j = t n+h9 d e fin e :

V d< V where [z ] means the in te g e r p a rt o f z.

q(n) ¥

r(n ) = - — p q (n ), so 0 j r(n ) < 1

V d< V = ^q(n) + r (n>h ’

Then., F e ld s te in 's a lg orith m EA-1 is defined as fo llo w s

zo = y ( V

y0 = y ( V
 11.

zn = y ,(n ) + h’ r <">f q(n) <■' ' 24^

fn = f (V V zn>

yn+l = y n + h f n

The order o f c a lc u la tio n is f , y n+^ 3 z ^ and values o f t *f and

yn are kept fo r la te r use9 w ith the p o s s ib ility o f large store requirements

F eldstein analysed (1.24*Ct)and showed th a t i t is convergent o f order one.

To get higher order one-step methods fo r solving DDEs9 Tavernini

(1971) has presented an in te re s tin g th e o re tic a l study o f numerical methods

generating the s o lu tio n in a continuous approximation.

For conveniences we w ill adopt the fo llo w in g n o ta tio n : the problem

considered is

u '( t ) = f ( t 9 u( t)s u ( t - d ( t 9 u ( t ) ) ) ) a F(u9 t ) (1.25)

u ( t) = g ( t ) 3 t e [ t * 9 t Ql

The uniform stepsize h - ( T - tQ)/m fo r some in te g e r m3 and the mesh

po ints are denoted by t^ - t 0+ ih s i = 0 S l s . . . 9 m. Define the sets

S = { ( t 9 s )|t0 $ t * T and 0 < s ,< T - t } ,

T.h = { t n,
os t ll 5 . . . , t m-1i }

Proceeding as in ordina ry d iffe r e n tia l equations., we define the tru e

increment fu n c tio n

( u ( t + S ) - u ( t ) )/<5 s 6 > 0
A (ts 6) = (1.26)
u '( t ) s 6=0

f o r every ( t 9 6) e S. We next approximate a by an increment fu n c tio n

and proceed to approximate the tru e so lu tio n u using the stepsize h by

a fu n c tio n y. To advance the s o lu tio n from tn to t ^*

n = Os I s . . . , m-1s

y ( t n+rh) = y ( t n) + rh ^ fy , t n , h9 r ) s r e [0 9 1] (1.27)

which is a continuous approximation o f the s o lu tio n on the in te rv a l

Lt s t I f the evaluation o f cj> requires the value o f y a t some

n n+1
p o in t other than a mesh p o in t9 say a t s 9 then we have e ith e r s $ t Q and

g(s) is usedj or s > t0 and the re la tio n

y (t+ rh ) = y ( t ) + rh<|)(y9 t , h 9 r ) 9 re [0 , 1 ]

is used w ith t = max(t. < s) and r = —r—.

i ' n
If <p is chosen to be F we obtain E u le r's method:

y (t+ rh ) = y ( t ) + rh F (y 9 t ) 9 r e [0, 139 t e Th (1.28)

The next approximation o f the tru e increment fu n c tio n is obtained byusing

a lin e a r combination o f interm ediate evaluations o f F:

A (t, rh ) = 4>(u9 t 9 h9 r ) = ^ a *(r)F (u , t+ b.h) (1*29)

i= l 1 1

where 0 £ $ 1 and ai ( r ) | e [0, 1] , i = 1, 2, . . . , q.

Suppose we have s p e c ifie d an increment fu n c tio n <|>which y ie ld s a

s o lu tio n o f order q -15 and we have progressed so fa r asto have fo r

t £ Th

y(s) [ t 0, t ]
y * ( S) =
S“ t '
y ( t ) + ( s - t ) f ( y 9 t s h9 —pp~)9 [ t 9 t+ h ]

We now use (1.29) as the increment fu n c tio n 9 to obtain

y (t+ rh ) = y ( t ) + rh ^ (y * 9 t 9 h9 r ) 9 re [0 , 1 ] (1.30)

Assuming th a t the tru e s o lu tio n u (t) is in >(q+l); [ t Q9 T ] and

C'M

u(q+1) is bounded by Y9 then

a ( 1 9. rh ) = ^ j 1 U [ Z) + (q+TyT
. _ (1.31)
rh

fo r t e [ t Q, T -h ] 9 and re [0, 1 ] 9 |x t | < 1. Also

q (b .h )J_1 M . (b .h )q
F(u. t+ b .h ) = ^ ( j- i) ; u (* ) + xi ,

fo r |x i t | $ 1 9 s© t - k a t
j -1
 Therefore i f ^ (u 3 t 3 h3 r ) is to be a qth order approximation to

A ( t 9 rh) the a ^ ( r ) 's must s a tis fy the algebraic system

Bw( t ) = x ( r )
i -1 r ^
where ( B ) ^ = b. 9 w ^ r ) = a . ( r ) 9 v ^ —r—.

The m a trix B is non-singular i f and only i f the Vandermonde

determ inant formed from b 9. . . 9 b is non-zero. Hence fo r any choice o f

i Cj
d is tin c t b 's we can fin d polynomials al9 . . . # a on [0, 1 ] such th a t

,q
||*(u, t , h, r) - A(t, rh)|[ s Y [ l + ( q + 1 ) N ] (1.34)

i . e . the method (1.30) is o f order q 9 <xt t&a-vb ~

Tavernini shows th a t under c e rta in L ip s c h itz co n d itio n s on the

increment fu n ctio n s the above constructions y ie ld methods which are

convergent. A lso, he gives an example of a method o f order 29 then uses

the second order method to generate a th ir d order method and a th ir d order

to generate a fo u rth order method. His fo u rth order method is

y j ( t n+rh) =y ( t p) + rhF(y, t n)

y2( t n+rh) =y ( t p) + rh[(1 - £)F(y, t n)

+ £ F(y 1» t n+l>)]

y 3( t n+rh) =yftp) + rh t(l - §r + §r2)F(y, t„)

+ (2r - | r 2)F(y2, t n + ]h)

+ (- + | r 2)F(y2, t n+h)] •

y ( t n+rh) = y ( t n) + rh[(1 - | r + | r 2)F(y, t n)

+ (2r - | r 2)F(y3, t n + | h )

+ (- + | r 2) F(y3» V hU ( i. 3 5 )

where 0 s< r s< 19 y ( t ) is known fo r t $ t' .

Tavernini (1971) also mentions th a t i t is possible to obtain one-

 14.

step methods by re placing the in te g ra l in the id e n tity

ft+ rh .

u (t + rh) - u (t) - F(u9 s)ds (1.36)

h

by an in te rp o la tio n polynom ial. H ill (1973) has developed a number o f

methods u s in g -d iffe re n t in te rp o la tio n polynomials fo r approximating the

integrand in (1.36) and then in te g ra tin g .

In another work, Tavernini (1969) has described lin e a r m u ltis te p

methods th a t apply to the DDE (1 .1 ) w ith a delay o f the form d (t). The

lin e a r m u lti step methods he studied have the form

k-1
“ ky ( t n+k-l + r h > + 7 0“ i< r >y ( W

= y< W ’

y ( t n+i - d ( t n+1. ) ) ) (1.37)

where 0 < r $ 1 and t^ +-j = t^+h. Conditions are imposed on the

c o e ffic ie n ts a ^ (r) and 3^ ( r ) which ensure th a t the fu n c tio n y (tT -v 'h ’)

is continuous in r.

M u ltiste p methods are also considered by Zverkina (19649 1965) f o r

DDEs which have a non-smooth s o lu tio n as in example 1. The basic idea o f

Zverkina is th a t the lo c a tio n o f jumps <5 in d e riv a tiv e s o f u ( t) can be

computed. Using th is inform ations the modified lin e a r m u lti step method

has the form

X “ l y ( t n + l) = y< W ’ y Ct n + i-d(t n+i)))+Tn<6> t 1 - 38)

where Tn(<5) depends on the jump 6 and is such th a t the order o f the

method is preserved. In p a rtic u la rs Zverkina considers the use o f Adams-

Bashforth methods o f orders 2 S 3S and 4. Numerical re s u lts fo r example (1)

are given fo r several m odified methods (1.38) and also f o r unmodified

methods, which show the s u p e rio rity o f the m odified methods. Hutchison

(1971) has extended the work o f Zverkina. He proved the convergence o f

the m odified m u ltis te p method (1 .3 8 ). Hutchison comments on the p ra c tic a l

 15.

com plexity o f c a lc u la tin g the m o dificatio n T ( 6) to deal w ith jump

d is c o n tin u itie s , and to s im p lify i t he considers re w ritin g the method

(1.38) in terms o f backward differences,, and then m odifying the backward

d iffe re n ce s fo r jump d is c o n tin u itie s in the d e riv a tiv e a t p o in ts in the

in te rv a l o f in te g ra tio n .

Hutchison (1971) also studies a m odified two p o in t method o f the

form

+ y ( k ) ( t n) + «„]

where <$n denotes the jump in the kth d e riv a tiv e o f u ( t) at t . Method

(1.39) is im p lic it and Hutchison suggests various p re d ic to rs f o r use w ith

it. The methods (1.38) and (1.39) carr not be applied i f the p o ints o f

jump d is c o n tin u ity are not known, or i f the problem is s in g u la r as defined

by E l's g o lt 's in ,s e c tio n (1 .4 ).

F e ldstein and Goodman (1973) present a study o f the e ffe c t o f

d is c o n tin u itie s in the s o lu tio n or it s d e riv a tiv e s on the numerical

s o lu tio n , and they conclude th a t to preserve the order o f the numerical

method one should have the points o f d is c o n tin u ity o f the s o lu tio n and i t s

fir s t p+1 d e riv a tiv e s , where p is the order o f the method, as mesh

p o in ts . In another work, Goodman and Feldstein (1973) present a study o f

the propagation o f Round-off e rro r when solving the DDE (1 .1) by E u le r's

method (1 .2 4 ). They obtain by lin e a riz a tio n o f the DDE an estim ate and

bound fo r the accumulated ro u n d -o ff e rro r. Neves and F e ldstein (1973)

give a study o f the ch a ra c te riz a tio n o f the. points o f jump d is c o n tin u itie s

fo r DDE (1 .1 ).

Fox e t al (1971) consider the numerical s o lu tio n o f example (2) using

Chebyshev s e rie s , and give a very d e ta ile d discussion. They also consider

solving example ( 1 . 2) using the trapezium -rule coupled w ith an in te rp o la tio n

polynomial f o r evaluating the delay term. They use lin e a r and Hermite
 16.

in te rp o la tio n and show the lack o f smoothness re s u ltin g from lin e a r

in te rp o la tio n .

F in a lly we mention some more recent Algorithms suggested f o r solving

DDEs. Opplstmp (1973) presented a Fortran program fo r solving DDE (1 .1)

w ith a delay o f the form d (t). His algorithm uses a fo u rth order e x p lic it

Runge-Kutta method w ith e ith e r Hermite in te rp o la tio n or Lagrange in te rp o la tio n

fo r evaluating the delay term y (t-d (t)) w ith the r e s tr ic tio n th a t the

stepsize is always less than the delay d (t) on the in te rv a l [t , t

n n+ i
For estim ating the LTE he uses the technique o f halvin g the step, and

comparing the so lu tio n s a t t +-j when using a stepsize o f h and two

1
steps o f 2h -

Neves (1975) presented a Fortran program which uses the Kutta-Merson

method fo r so lvin g DDE (1 .1 ). For evaluating the delay term y (t-d (t,y (t))),

his ro u tin e c a lls another ro u tin e which uses Hermite in te rp o la tio n i f

h < d ( t, u ( t ) ) , otherwise the in te rp o la tio n ro u tin e c a lls an e x tra p o la tio n

ro u tin e based on T a v e rn in i's fo u rth order method (1.35) to evaluate the

delay term. We note here th a t th is way o f evaluating each delay term may

need a la rg e number o f fu n c tio n evaluations, po ssibly as many as 15 per

step f o r evaluatin g each delay term. Also, Neves' program fo r solving

DDE cannot handle d ir e c tly a system o f DDE w ith m u ltip le delays. He

describes a way to overcome th is by augmenting the system o f DDE before

so lv in g .

1.5 S t a b ilit y an alysis o f numerical methods fo r solving DDE.

The question o f the s t a b ilit y o f numerical methods fo r solving DDEs

was f i r s t discussed by Brayton and Willoughby (1967). They considered

the system o f lin e a r neutral d iff e r e n tia l equations

j j 1( t ) + Au‘ ( t- d ) + B u(t) + Cu^(t-d) = 0 (1.40)

where A, B, and C are symmetric nxn m atrices, d is a constant,

ju ( t) is a vector o f dimension n. Equation (1.40) is a DDE i f A = 0.

Brayton and Willoughby proved th a t u jt) 0 as t -*■ «» i f I ± A and

 17.

B ± C are p o s itiv e d e fin ite . The method they use is a f i n i t e d iffe re n c e

approximation o f the form

y (tn+1> - x (tn) = -A[y(tn. m+1). ♦

~ + ( W ) y ( t n)]

“ hC[v y ( tn_m+1) + ( i “ u ) y ( tn-m) ] ( i. 4 i)

where t ^ = ^ th , h " d/m, ^or some in te g e r m, and p is a constant

in [0 3 1 ]. Then., they show th a t y ( t n) -> 0 as t « provided th a t

(I ± A ), B + C, and (I ± A) - ( | - y)h(B ± C) are p o s itiv e d e fin ite .

Brayton and Willoughby also show by an example th a t i f the terms

in v o lv in g A and C are tre a te d as fo rc in g terms, so th a t the method

becomes

= • hB[>Ji ( ’t n+i') + ( 1 - u ) l( t n)]+ h F (tn) (1.42)

where F is a known fu n c tio n o f t n, th is can lead to an in c o rre c t r e s u lt.

W iederholt (1970, 1976) considers the s t a b ilit y o f several numerical

methods when applied to the lin e a r DDE,

u ( t) = a u (t) + b u ( t - l ) ( 1 .43)

where a and b are real constants. W iederholt defines the s t a b i l it y

region R(a, b) o f the DDE such th a t fo r a ll a, b e R(a, b) the s o lu tio n

u ( t) -> 0as t ^ oo. Ire ttin g h = 1/m, where m is an in te g e r,

W iederholt applies various numerical methods to the DDE (1.43) and gets

the s t a b ilit y polynom ials, then, fo r m = 1, 2, and 3, he determines

num erically the region R Jha, hb) in the (ha, hb)-plane in which a ll the

roots o f the s t a b i lit y polynomial are less than one. He then compares

Rm(ha, hb) w ith the s t a b ilit y region R(a, b) o f the DDE (1 .4 3 ). His

analysis is c a rrie d out fo r the Euler method, and fo r second and th ir d

order lin e a r m u lti step methods. His re s u lts show a change in the s t a b ilit y

region as one moves away from the ha-axis.

Cryer (1973, 1974) adopts a d e fin itio n s im ila r to the A - s ta b ilit y

d e fin itio n (1 .5 ) fo r ODE. He suggests as a te s t equation, the lin e a r DDE

 18.

u1( t ) = b u (t-d ) t 5 0 (1.44)

u (t) = g ( t) -d <' t <: 0

where d is a p o s itiv e constant delay, g ( t) is a given continuous fu n c tio n ,

and b is a real constant. Since the asymptotic s t a b i l i t y properties o f

equation (1.44) are known, Bellman and Cook (1963), Cryer defines a lin e a r

m u ltistep method to be DAQ-sta b le i f the numerical s o lu tio n y ( t n) ->0 as

n -*• » f o r a l l values o f b fo r which the solu tio n o f (1.44) is

asym ptotica lly s ta b le . Cryer remarks th a t he has not considered equation

(1.44) w ith b complex, becausel i t t l e is known to date about the asymptotic

behaviour in t h is case. Cryer introduces several re la te d concepts and

analyses some s p e c ific numerical methods. He shows, via a long and elaborate

proof, th a t the trapezium method is DA0-s ta b le .

BarweYl (1974) fin d s the asymptotic s t a b i l i t y region R(b) o f equation

(1 .44), w ith b a complex constant. Then Barwell (1975) defines the lin e a r

m u ltistep method to be Q-stable i f the numerical, s o lu tio n y ( t ) ->- 0 as

n a. f o r a l l b e R(b). He shows th a t the backward Euler method is

Q-stable.

Barwell (1975) also considers the te s t equation

u ‘ ( t ) = a u (t) + b u (t-d ), t > 0, d > 0

(1.45)
u ( t) = g ( t ) , t E [-d , 0]

where a and b are complex. He proved, in Barwell (1974), th a t there

e x is ts a set o f values R(a, b) such th a t f o r any a, b e R(a, b) the

s o lu tio n o f (1.45) is asym ptotically stable. Using t h i s r e s u lt , he defines

the lin e a r multi step method to be P-stable i f the numerical so lu tio n

y ( t n) -*■ 0 as n « fo r a ll a, b e R(a, b). Then, he shows th a t the

f i r s t and second backward d i f f e r e n t i a t i o n methods are P -stable.

1 .6 Remarks

I t is clea r from the discussion in sections (1.4) and (1.5) th a t

there- is a need f o r d e tailed study o f the adaptation o f standard numerical

methods fo r solving ODEs to the problem o f DDEs. So we shall consider

 19*
d if f e r e n t numerical methods and show how to approximate the delay term, and

the e f f e c t o f t h is approximation on the order o f the method, on the loca l

tru n ca tio n e r r o r , on the LTE estimate, and on the s t a b i l i t y properties of

the method. Then we give a description o f Algorithms f o r solving a system

o f DDE w ith m u ltip le delays and testiWmon a set o f examples.

 CHAPTER I I

THEORY OF DELAY-DIFFERENTIAL EQUATIONS

2.1 In tro d u c tio n

In th is chapter we consider the problem o f solving DDEs from the

a n a ly tic a l p o in t o f view. We s t a r t by giving a short h is t o r ic a l review o f

the work done on the theory o f DDEs, then we state theorems spe cifying

conditions f o r the existence and uniqueness o f the so lu tio n o f DDEs.

Afterwards we discuss one of the c h a ra c te ris tic s o f DDEs, th a t the various

de rivative s o f the s o lu tio n may have lag-induced jump d is c o n tin u itie s .

F in a lly we consider a n a ly tic a l methods f o r solving a system o f lin e a r DDEs,

and give re s u lts concerning the asymptotic properties o f the s o lu tio n .

2.2 Existence and Uniqueness o f the so lu tio n o f DDE

The general form o f a DDE, as defined in chapter I , is

u '( t) = f { t , u (t), u (a (t, u ( t) ) ) ) , t 0 $ t $ T (2.1a)

u ( t) = g ( t ) , m in (t0, t * ) < t < t 0 (2.1b)

where t * = m in {a (t, u ( t ) ) > , f o r t e [ t QS T ], and a (t,u (t))= t-d (t,u (t))$ t

fo r t e [ t 0, T] (2.1c)

As defined e a r l i e r , d ( t , u ( t ) ) is called the delay and a ( t , u ( t )) is

 21.

calle d the lag.

A fu n c tio n u ( t) is said to be a solu tio n to equation (2.1) provided

(i) u ( t) is a continuous extension o f g ( t) on [ t 0, T ],

( i i ) u '( t) s a tis fie s (2.1a) f o r t e [ t 0, T ], where the r i g h t hand

d e riv a tiv e is used a t t - t 0. -

Special cases o f the DDE (2.1) have received much non-numerical

a tte n tio n in the past few decades. See E l 's g o l 't s and Norkin (1973), Hale

(1971), Hajaviay and Yorkee (1971), Myshkis (195.1), Myshkis and E l ' s g o l ' t s

(1967), and Zverkin, e t al (1962), f o r extensive bib lio g ra p h ie s and

comprehensive surveys o f the l i t e r a t u r e . Also the general case o f (2.1)

received considerable a tte n tio n from D river (1961), Hale (1971), and

Halaijay and Yorkee (1971).

Before we state the existence and uniqueness re s u lts o f D river (1961)

we present the fo llo w in g d e f i n i t i o n and a remark.

Definition 2.1

(1) A fun ction W(t) is said to be L ip s c h itz continuous f o r

t e [a, bl i f there e x is ts a constant L 5 0 .su c h .th a t f o r any

t l9 t 2 e [a, b]

|W(tj) - W(t2) U L ltj - t 2 | (2.2)

(2) A fun c tio n V(x, y , z) is said to be uniform ly L ip s ch itz

continuous in i t s second and t h i r d arguments on [a 13 b x ] * [a2 , b2] x

[a3, b3] i f there e x is ts a constant L 5 0 such th a t i f y x , y 2 e [a2 , b2l

and i f - z 2 e [a 3, b3] then

IV(x, yx, zj) - V(x, y2, z2)l s H| yx - y2l +|zx - z2|}

f o r any x e [a i, b j l .

Remark 2.1

Suppose we have a ( t 0, g( t 0)) < t Q, a s t r i c t in e q u a lity . Then by

c o n tin u ity o f a ( t , u ( t ) ) , we can r e s t r i c t ourselves to a domain about

( t Q, g ( t Q)) in which a (t, u ( t ) ) < t Q. Then the fu n c tio n on the r i g h t

hand side o f the DDE (2.1a) becomes a known fun ction o f (t, u (t)). So,
 22.

the theorems o f local existence and uniqueness o f the solu tio n o f ordinary

d i f f e r e n t i a l equations are applicable in th is case.

Theorem 2.1 Extended Existence, (D river (1961)).

Let f ( x , y , z) be defined and continuous over domain

D O [ t o9 T] x C [tQ, T] x C [tQ, T ], and l e t a ( t , u(t )) be defined and

continuous over a domain D*s> [ t Q, T] x C [t0, T ], l e t t * £ a ( t, u (t)) $ t

fo r ( t , u ( t ) ) e D*, and l e t g ( t) e C [t* , t Q] . Then there is a number

h > 0 such th a t a t le a s t one s o lu tio n u( t ) o f (2.1) e x is ts f o r

t* $ t < t Q + h. Moreover, the s o lu tio n can be extended to t * $ t < T,

where t Tx » and f o r any compact set FC D there is asequence of

numbers t Q < t x < t 2 < . . . -> T, such th a t

( t -, u ( t.j) , u (a (t. 9 u ( t . ) ) ) ) e D-F f o r i = 1, 2 ..........

Thus i f T is f i n i t e and cannot be increased, one may conclude th a t as

t T-0, one o f the fo llo w in g occurs:

(i) Tim sup{ | u ( t) | , [u ( a ( t , u { t ) ) ) | } = » ,

(ii) ( t, u (t), u (a (t, u (t)))) comes a r b i t r a r i l y close to the boundary

of D.

Remark 2.2

One cannot assert, in general, th a t u ( t) approaches the boundary o f

D as t -* T, as would be the case f o r ODE. See Myshkis (1951) f o r an

example. D river (1961) points out th a t ( i ) o f theorem (2.1) can be

eliminated i f f is bounded on i t s domain. Theorem (2.1) also holds fo r

t * - - « 9 i f we replace [ t * , t ] , by (t*, t ] where applicab le .

Theorem~2.2 Extended Uniqueness, (D riv e r (1961)).

Consider the DDE (2 .1 ). Let g ( t) be Lip sc h itz continuous on each

f i n i t e in te rv a l o f [ t * , t 0] , l e t f ( t , u ( t ) , u ( a ( t, u ( t ) ) ) ) be uniformly

L ip s ch itz continuous in i t s 2nd and 3rd arguments in i t s domain D. Let

a ( t , u (t)) be L ip s ch itz continuous i n ' i t s 2nd argument on

[ t 0, T] x {range o f u ( t ) [ t e [ t Q, T ] } . Then the s o lu tio n to the DDE (2.1)

is unique over any in te rv a l where a solu tio n e x is ts .

 23.

Remark 2.3

The condition th a t g ( t) be L ip schitz continuous i s not necessary f o r

delays independent o f the s o lu tio n . E l 's g o l 't s and Norkin (1973).

F in a lly , we mention th a t Driver (1961) considers a more general DDE

than (2 .1 ). He considers a system o f DDEs with m u ltip le delays. Also, he

gives re s u lts concerning the dependence o f the s o lu tio n o f (2.1) onthe

i n i t i a l data and on the r i g h t hand side of (2.1a).

2.3 D isc o n tin u ity in the d e riv a tiv e o f the so lu tio n o f DDE

A n a tu r a lly occurring phenomenon in the s o lu tio n o f the DDE (2.1) is

a jump d is c o n tin u ity in the d e riv a tiv e . These d is c o n tin u itie s can occur

even i f f , a, and g are a n a ly tic in t h e i r arguments, as in example (1 .1 ).

J
In general, these jumps occur because the i n i t i a l fun c tio n does not

necessarily s a tis fy the d i f f e r e n t i a l equation. I f there is some le a s t

in te g e r j > 0 such th a t g ^ ( t Q - 0) $ u ^ ( t Q + 0) then g is calle d

j-in c o m p a tib le . T y p ic a lly , the i n i t i a l jumps a t t Q propagatecausing

ad d itio n a l d is c o n tin u itie s whose locations depend on the (unknown) s o lu tio n .

Consider, f o r example, a 1-incompatible i n i t i a l fu n c tio n , and suppose

the value o f the jump in the f i r s t d e riv a tiv e is

<5 = u 1( t Q + 0) - g ' ( t Q - 0).

Let a ( t , u ( t ) ) < t , then d if f e r e n t ia t in g (2.1a) y ie ld s

U<2>(t) = f 1 + f 2 . u ' ( t ) + f 3 .U1( a ( t , u ( t ) ) ) . a ^

where f^ = f . ( t , u ( t ) , u ( a ( t, u ( t ) ) ) ) the p a r tia l d e riv a tiv e w ith respect

to the i t h argument.

a (]) = ^ ( a ( t , U ( t» ) .

Then, a t some p o in t t 1 > t Q, where a ( t x, u ( t x)) = t 0 , we have .

+ 0) - - 0) = f g . S . J O ( 2.5)

a jump in the value o f the second d e riv a tiv e .

In general the i n i t i a l jumps in the d e riv a tiv e a t t0 can produce

 24.

other jumps at subsequent points t^ in [ t Q, T l, defined by

t^ = m in{t > t ^ _ ^ | u ( t 3 u ( t ) ) = t^ f o r some j s a tis fy in g 0 ^ j $ i - 1 } (2.6)

To f in d the value o f higher d e riv a tiv e jumps a t t. one must obtain

approximations to values o f higher order d e riv a tiv e jumps a t e a r l i e r points

and develop in c re a sin g ly elaborate recursion formulae. Even i f the

evaluation o f jump d is c o n tin u itie s is possible, in general i t i s not possible

to obtain a p r io r i knowledge o f the exact loca tion o f the jump points

w ithout knowing the true s o lu tio n .

A recent study by Neves and Feldstein (1973) o f the c h a ra cte riza tio n

o f jump d is c o n tin u itie s leads to the fo llo w in g theorem,

Theorem 2.3

Consider the DDE (2 .1 ), which s a tis fie s the hypotheses o f theorem

(2 .2 ). Suppose a has i t s f i r s t p ^ 1 and f has i t s f i r s t p-1

p a r tia l de riv a tive s continuous over the appropriate domains. Let

g ( t) s C ^ ^ t * , t Q
j . Let t ^ e [ t Q, T) and k be an in te g e r in [1 , p ],

such th a t u ^ (t) is continuous at t = t fo r 0 ^ q ^ k-1 . Let

X#"" I
u ^ (t) be continuous on the in te rv a ls ) anc*

(t ^9 t -J + £] f o r some £ > 0. Assume there e x is ts a le a s t number

t e( t -j 9T) such th a t t is a zero o f integer m u l t i p l i c i t y m of

„ a ( t,u ( t) ) - t -= 0. Then u ^ (t) is continuous a t t - t fo r a ll q

1 &
where

(i) 0s q $ p if m is even,

( ii) 0 $ q $ min(p, m.k), i f m is odd.

Remark 2.4
/ '
Even i f k is maximal, u ( t) may have more continuous d e riv a tie s than

guaranteed by theorem (2 .3 ). If k is the lowest order d e riv a tiv e o f

u ( t) w ith a jump d is c o n tin u ity at t = t , , then theorem (2.3) implies

Xr“ *
th a t u ^ (t) is continuous at t = t , th a t i s , k+1 is the lowest order
X*

d e riv a tiv e o f u ( t) th a t can possibly have a jump d is c o n tin u ity at t = t .

If a ( t , u (t)) is s t r i c t l y increasing in t then t h is process is c a lle d

smoothing. If a is not s t r i c t l y increasing, smoothing need not occur.

 25.

When a i s dependent on u ( t ) , the degree of smoothness and the loca tion o f

d e riv a tiv e jump points cannot be determined w ithout knowing the solution

u(t).

2.4 Asymptotic properties o f the solution o f a lin e a r system o f DDEs

Here we consider a system of lin e a r DDEs o f the form

JJ' ( t ) = Au(t) + B u (t-d ), t $ t (2.7)

t) = g ( t ) , -d s t $ t

where d is a p o s itiv e constant, A and B are constant nxn real

matrices, and _u is an n-dimensional vector.

One o f the basic a n a ly tic a l methods f o r fin d in g thesolu tion o f the

DDE (2.7) is "the continuation method" or "the method o f steps", see

Bellman and Cook (1963), E l 's g o l 't s and Norkin (1973). The idea o f the

continuation method is based on extending the s olu tion from in te rv a l to

in t e r v a l. For the in te rv a l [ t 0, t 0+d), the DDE (2.7) y ie ld s

u '( t) = Au(t) + B g (t-d ), t e [ t n,t n+d)

" ( 2.8)
U(t0) =l ( V

which is an i n i t i a l value ordinary d i f f e r e n t ia l equation; then by in te g ra tin g

(2.8) we can f in d the solu tio n in the form

u ( t) “ I j W te [ t 0, t 0+d) (2.9)

By re q u irin g the solu tio n o f the DDE to be continuous fo r t ^ t Q,

s u b s titu tin g (2.9) in (2.7) y ie ld s

u‘ ( t ) = Au(t) + B g .( t - d ) , t e [ t n+d, t n+2d)

“ o o
u (t„+d) =5x(t0+d).

and by solving (2.10) we can extend the solution to the next in te rv a l

[ t 0+d, t 0+2d) and so on, the solu tio n can thus be found fo r any required

f i n i t e value o f t. A de tailed in v e s tig a tio n o f the continuation method

f o r solving (2.7) is given in Tsoi (1975).

The continuation method is not helpful when one wants to study the
 26.

behaviour o f the s o lu tio n f o r t i n d e f in it e ly larg e. A second fundamental

method f o r fin d in g the solu tio n o f (2 .7 ), which uses an approach s im ila r to

the one used in ODEs, is to b u ild up the s olu tion as a sum o f simple

exponential terms. For the system of lin e a r ODEs o f the form

y 1( t ) = A y(t) t 5 t (2.11a)

l ( t 0) (2.11b)

where K is a constant vector o f dimension n, we assume the s o lu tio n o f

Xt#
(2.11) to be o f the form y ( t ) = ce , where Ais a constant and _c an

n-dimensional constant vector. S u b stitu tin g y ( t ) in (2.11) y ie ld s

(A - A l ) y ( t ) 0 (2.12)

then y (t) is a n o n - tr iv ia l s o lu tio n of (2.11) i f and only i f A is a

ro o t o f the c h a ra c te ris tic equation

det(A - Al ) = 0 (2.13)

which has n roots x , A2 , . . . , x . So any s o lu tio n o f the form

A •t
y ( t ) = c^e , where is a constant vector, is a s o lu tio n o f (2.11).

Also, since the sum o f two solutions is a s olu tion o f (2 .1 1 ), assuming th a t

a l l the {A^} are d i f f e r e n t , the general solution o f (2.11) is

n A• t
lit) = .1 £ i e

By adopting the same approach fo r solving (2 .7 ) , we assume a solution

o f the form

u(t) = c es t , (2.15)

where s is a constant, can n-dimensional constant vector. S u b stitu tin g

jj(t) in (2.7) y ie ld s

(Is - A - Be'sd)u(t) = 0 (2.16)

Hence, jj(t) =£ e is a solution of (2.7) i f and only i f the number s

is a zero o f the transcendental function

H(s) = det(Is - A - Be'sd) (2.17)

Equation (2.17) is called the c h a ra c te ris tic equation o f ( 2 .7 ) 9 and i f sr

is a zero o f (2.17) 9 then s^ is called a c h a ra c te ris tic ro o t. To

summarize the r e s u l t s 9 we state the follo w in g theorems which is given in

Bellman and Cook (1963).

Theorem 2.4

The equation (2.7) is s a tis fie d by

c ■{*
l £ r (t> e r ( 2 . 18 )
r

where { s ^ } 9 r = 19 2 9. . . 9 is any sequence o f c h a r a c te r is tic roots o f

(2 .1 7 )9 £ r ( t ) is a vector polynomial

of degree
^ -JUtn'k
n less than the m u l t i p l i c i t y o f s^s and the sum (2.18) is

e ith e r f i n i t e or i n f i n i t e 9 with suita b le conditions to ensure convergence.

Although the r e s u lt o f th is theorem is s im ila r to th a t fo r the lin e a r

ODE (2 .1 1 )s there is one very important diffe re n ce . As we shall see l a t e r 9

there are in general i n f i n i t e l y many c h a ra c te ris tic roots of (2 .1 7 )9 and

therefore i n f i n i t e l y many exponential solutions o f DDE ( 2 . 7 ) 9 whereas

there are only a f i n i t e number o f roots fo r the ODE (2 .11).

From the re s u lts o f the la s t theorem i t is c le a r ly necessary, to have

a good idea o f the lo c a tio n o f the zeros o f H(s). F i r s t we discuss the

d is t r ib u t io n o f the zeros o f the c h a ra c te ris tic equation o f a single lin e a r

DDE o f the form

u1( t ) - au ( t ) + bu (t-d )
(2.19)
u ( t) = g ( t ) 9 -d ^ t ^ 0.

The c h a ra c te ris tic equation has the form

h(s) - s-a-be c*s ( 2 . 20 )

Since we can w rite

h(.s) - s{1 +e( s) } - be~sd ( 2 . 21 )

 28.

where e(s) ->- 0 as |s| » 5 i t is reasonable to suppose the zeros of

h(s) and the zeros of

TT(s) = s - be"sd (2.22)

are close together f o r |s| large. A c tu a lly a change o f va ria ble converts

one function in to the other with a d if f e r e n t b. Assume s' - s-a, then

(2.20) y ie ld s

h(s) = s' - b 'e 's ' d (2.23)

_ a
where b* = be . Equation (2.23) is s im ila r to (2.22).

The zeros o f the fun ction TT(s) s a tis fy the re la tio n s

|sesd| = | b | , |b| f 0 (2.24)

or

Re(s) + ~ £ n |s | = ^ n | b | (2.25)

So, the zeros o f h(s) lie asym ptotically along the curve defined in (2.25)

and are o f the form given in fig u re (2 .1 ). Using the asymptotic form

(2 .2 5 )a i t is shown in Bellman and Cook (1963)’ th a t the roots sr of

(2.20) have the fo llo w in g prope rties:

(i) In general, equation (2.20) has an i n f i n i t e number o f roots in the

complex plane.

(ii) A ll the complex roots s^ occur in conjugate p a irs .

( iii) A ll the roots s^ l i e in the l e f t h a lf plane Re(s) < c , . f o r some

constant c.

(iv ) For Is | s u f f i c i e n t l y large, the zeros are spacedalong the curve

in fig u r e (2 .1 ), a t an asymptotic distance o f 2ir/d apart.

(v) If bd e^+ad j- 1 then a l l the roots are simple.

Remark 2.5

Property ( i i i ) o f the roots sr is c h a ra c te ris tic o f DDEs with a

constant delay, and is used in Bellman and Cook as an a lte rn a tiv e

d e f in it io n o f DDE. Also they show, i f the deviation o f the arguments of

 29.

Im (s )

Fig. 2.1 The asymptotic d is t r ib u t io n of the .roots o f equation (2 .22).

the advanced and neutral d if f e r e n t i a l equations9 given in equation (1.4)

and (1.5) re s p e c tiv e ly , are constant, then fo r a lin e a r advanced d i f f e r e n t i a l

equation, a l l the roots s^ o f i t s c h a ra c te ris tic equation l i e in the

h a lf plane

Re(s) > c, c is a constant,

and f o r a lin e a r n e u tr a l- d if f e r e n t ia l equation, a l l the roots o f i t s

c h a ra c te ris tic equation l i e asym ptotically along a v e r tic a l lin e

Re(s) = c, c is a constant.

For the c h a ra c te ris tic equation, H(s) = 0, in (2 .1 7 ), o f a system of

lin e a r DDEs, i t is shown in Bellman and Cook th a t the zeros o f H(s) appear

in "chains", each chain being o f the type encountered f o r h (s ).

Before we consider the concept o f s t a b i l i t y o f a DDE,.we have the

fo llo w in g remark.
 30.

Remark 2.6

Using the lin e a r transformation t - t ' d 3 equation (2.7) becomes

j j ' ( t ' . d ) - A u ( t'. d ) + B_u( d(t 1 - 1))

Let t 1) = u ( t 1.d ) 9 then

v ' ( t ' ) = d .A v ( t ') + d . Bv ( t 1 - 1) (2.26)

So5 the asymptotic properties o f the solu tion o f (2.26) as t ‘ -> ® are

the same as f o r (2 .7 ). I f the solu tio n o f (2.7) is required on the in te rv a l

[ t Q9 T ] s then the s o lu tio n o f (2.26) is required on the in te rv a l [ t Q/ d 9 T /d ],

D e fin itio n 2.2

The DDE (2.7) is ,d e fin e d to be stable i f f o r any s u f f i c i e n t l y small

i n i t i a l fun c tio n the s o lu tio n jj(t) approaches zero as t approaches

i n f i n i t y 3 i . e . f o r a small constant 6 > 09 lim ||_ u(t)|| - 0 , f o r

t-Ko

IIJdl(t) 11 < S9 -d ,< t ,< t 0>

This type o f s t a b i l i t y is commonly referred to as asymptotic

s ta b ility . To f in d the conditions whether the DDE (2.7) is stable o r n o t9

we have the fo llo w in g r e s u lt .

Theorem 2.5

A necessary and s u f f ic i e n t condition f o r a l l continuous solutions of

equation (2.7) to approach zero as t ~ is th a t a l l the c h a ra c te ris tic

roots have negative real parts.

In a way s im ila r to the one used f o r a system of lin e a r ODEs, using

a s i m i l a r i t y transformations the m atrix A can be w ritte n in the form

A = S_1Da5 (2.27)

where D^ = d ia g(x1#. . . 9 X^), the {X^} are eigenvalues o f the m atrix Aa

assumed to be d i f f e r e n t , and S is an nxn m a trix 3 i t s columns being the

eigenvectors corresponding to the eigenvalues fx ^ }- We have two cases:

(i) If AB = BA.

Then the matrices A and B have the same set o f eigenvectors, and

the matrix B can be w ritte n as

 31.

‘ B = S^DgS (2.28)

where Dg = d ia g(ul 3 . . . *!.yn) 3 are d iffe r e n t eigenvalues of B. So

the c h a ra c te ris tic equation has the form

H(s) = d e t(s l - A - Be~Sc*) = 0

n -sd
= n (s - A, - y.e iU ) = 0 (2.29)
i=l 1 1

since d e tfS "1).d et(S ) = 1. Equation (2.29) leads us to

s - X - uesd = 0 (2.30)

where x and y are particular eigenvalues of A and B respectively,

(ii) If AB ^ BA,

The DDE (2.7) yields .

ju'(t) = S_:LD„Sju(t) + Bu(t - d)

Su'(t) = DASu(t) + SBS-1Su(t - d)

Let y ( t) = S_u(t) and SBS”1 = [pi -1, and assume the solution has the
'J
form y ( t ) = c:es t or y ..(t) = c ^ e s t 0 since c = [c l9 c2 , . . . , cn] T . Then,

se.es£ = A .c.es t + £ B ..c .e st_st*

1 1 "i aZi ij J

. e rl
or s = xi + b^e :>u (2.31)

. • l / i j Cj
fo r i = I , . . . , n, where b. = ,c. ^0.
i c-. i '

From the re s u lts o f equations (2.30) and (2.31) the best model f o r

studying s t a b i l i t y is the DDE

u1( t ) = a u (t) + bu(t - d) (2.32)

where a and b are, in general, complex numbers. The c h a ra c te ris tic

equation o f (2.32) is

h(s) = s - a - be"sd (2.33)

We now give re s u lts which specify conditions on a and b in ($.32) such

th a t the roots o f h(s) = 0 have negative real p a rts .

 X? /

Fig. 2.2 The asymptotic s t a b i l i t y region o f the DDE (2.19).

(1) a and b are re a l.

This case is discussed in Bellman and Cook and t h e i r re s u lt is

Theorem 2.6

A ll roots o f equation (2.33) have negative real parts i f and only i f

(i) a < 1

(ii) a < -b < ''e2 +a2

where 0 is the ro o t o f 9 = a tan(ed) such th a t 0< ed < tt. If a ~ 0

we take 0 =
/
Figure (2.2) i l l u s t r a t e s the region o f the ( a 3 b) plane in which

the roots o f ($,.33) have negative real parts. The region in which -a > |b[

is the region o f s t a b i l i t y which does not depend on the delay d, while

the curve -b = J 02 + a2is a function o f the delay d. Wenotice here if

d 0 the s t a b i l i t y region tends to the h a lf plane a+b < 0.

(2) a — 0 and b complex.

This case has been considered by Barwell (1974) and his re s u lt is

 33.
Theorem 2.7
T (j)
Let b = re % then a s u f f ic i e n t condition th a t a l l theroots o f

(2.33) have negative real parts is

( i ) Re(b) < 0 ( | < 4, < 4p ),

( ii) 0 < rd < min( f 4

(3) a and b are complex.

This i s also considered by Barwell (1974) and his r e s u lt is

Theorem 2.8

A s u f f ic i e n t condition th a t a l l the roots o f (2.33) have negative

re al parts is

Re(a) < “ | b [ .
 CHAPTER I I I

NUMERICAL METHODS FOR SOLVING DELAY-DIFFERENTIAL

EQUATIONS

3.1 Intro d u ctio n

We mentioned in chapter I th a t our main concern is the adaptation of

numerical methods f o r solving ordinary d i f f e r e n t i a l equations to solve

d e la y - d if fe r e n tia l equations (DDE). In th is chapter we s t a r t by considering

in general the d i f f i c u l t i e s a r is in g in the adaptation o f numerical methods

to solve DDE5 and discuss ways to overcome them. Thens we consider

s u ita b le d e fin itio n s fo r the s t a b i l i t y o f a numerical method f o r solving

DDE. F i n a l l y 9 we describe some o f the popular methods f o r solving ODE

which w i l l be considered in d e ta il in the next chapter f o r solving DDE.

3.2 Numerical d i f f i c u l t i e s in solving DDE

The general form o f a DDE is

u ' ( t ) = f ( t , u ( t ) , u ( t-d ( ta u ( t ) ) ) ) a t Q < t $ T (3.1)

u ( t) = g ( t ) , m in(t* 9 t Q) $ t $ t Q

where t * - m in lt - d ( t , u ( t )) ], t e [ t Q, T] and g ( t) is the i n i t i a l

fu n c tio n .
 35.

Here9 we assume th a t the DDE (3.1) s a tis fie s the conditions o f

theorems (2 . 1) and ( 2. 2) which guarantee the existence o f a unique solu tion

U(t) £ T].

Comparing the DDE (3.1) w ith an 0DE9 we have an a d dition al term

u(t - d ( t 9 u (t))) which needs to be evaluated f o r some values o f

t e [ t n9 t -j ] and u (t). We w i l l re fe r to the term u ( t - d ( t 9 u ( t ) ) )

a:s, the delay term. The main d i f f i c u l t y in adapting numerical methods f o r

solving ODE to DDE is the evaluation o f the delay term. The other d i f f i c u l t y ,

discussed in chapter I I 9 is the d e riv a tiv e d is c o n tin u itie s at some points

in the range [ t Q9 T] f o r DDE w ith certain i n i t i a l conditions.

3.2.1 D is c o n tin u ity o f the d e riv a tiv e

In the d e riv a tio n o f a numerical method o f order p 9 we assume th a t

the solu tion u ( t) has continuous derivatives up to p+1.

If u '( t) is L ip sc h itz continuous, then

u ( t n + h) = u ( t n) + h u ' ( t n) + 0(h*) (3.2)

So9 i f the d is c o n tin u ity is in the d e riv a tiv e u ^ ( t ) , where k <. p+19

and t e (t , t + h) 9 there is no guarantee th a t the order o f the method is

preserved. But since k $ 1, and the function f ( t 9 u (t) 9 u (t-d (t9 u ( t))))

in the DDE (3.1) is Lip sc h itz continuous in i t s second and t h i r d arguments,

we get a t le a s t a f i r s t order approximation o f the s o lu tio n .

Because o f th is in h e rite d property o f d is c o n tin u ity in the kth

d e riv a tiv e , we consider the adaptation of one-step methods ra th e r than

m u ltistep methods f o r solving DDE, since i f the d is c o n tin u ity is a t the

p o in t t or t n+h then the order o f the method is preserved on the

in te rv a l ( t 9 t n+h) •

Hence, in using a one-step method fo r solving DDE (3.1) the best

strategy fo r preserving the order is to fin d the points o f d is c o n tin u ity in

advance9 then to use them as mesh po in ts . But t h i s stra teg y is not possible

in general because the lo c a tio n o f a jump d is c o n tin u ity is not known ap r i o r i

f o r the case where the delay i s dependent on the s o lu tio n . So the best we

can hope f o r in a numerical method is th a t the local tru n c a tio n e rro r

 36.

estimate o f the method w i l l detect the occurrence o f a d e riv a tiv e

d is c o n tin u ity , and w i l l then decrease.the stepsize so th a t the point o f

d is c o n tin u ity becomes a mesh p o in t.

3.2.2 The evaluation o f the delay term

Following the discussion o f the la s t section, we shall consider the

adaptation o f one-step methods o f Runge-Kutta type, described in chapter I ,

f o r solving DDE. We assume th a t the solu tion is s u f f i c i e n t l y d iffe r e n tia b le

in any required in t e r v a l, and th a t the points o f d e riv a tiv e d is c o n tin u ity

are always a t mesh po ints.

Suppose we have solved the DDE (3.1) up to the p o in t t , and l e t the

numerical s o lu tio n be y (t). We want to advance the solu tio n to the p o in t

using the Runge-Kutta method (1.13). Each time we evaluate the

fu n c tio n , the delay term must also be evaluated a t some p o in t. In the

fo llo w in g , we f i r s t discuss ways o f approximating the delay term, and then

we consider in general the e ff e c t of approximating the delay term on the

lo ca l tru n c a tio n e rro r and the order o f the Runge-Kutta method (1 .13).

3.2.2.1 Ways o f evaluating the delay term

Assume th a t the delay term needs to be evaluated a t the point s,

where

s - t - d ( t , u ( t ) ) , f o r some t e [t * t -j] .

The lo c a tio n o f the p o int s depends on the size o f the delay as fo llo w s :

(1) Small delay.

i.e . s g ( t n, t^^-j ] (3.3)

Here the method has to use extra p o la tio n f o r the evaluation o f the

delay term at s. One method o f e xtrapo lation is to make use o f the

s o lu tio n values at e a r l i e r mesh po ints, but th is approach has two d is ­

advantages, f i r s t th a t we lose the s e lf - s t a r t in g property o f the one-step

method, e sp e c ia lly f o r i n i t i a l value DDE where the delay at the s ta r tin g

p o in t is zero. The other disadvantage is th a t the s o lu tio n might have a

discontinuous d e riv a tiv e a t some o f the mesh p o in ts, and the extrapolation
 37.

from one in te rv a l to another w i l l not be v a lid in general.

(2) Large delay.

i .e . (3.4)

If s £ t Q9 where t0 is the i n i t i a l p o in t, we use the i n i t i a l

fu n c tio n to evaluate the delay term. Otherwise t Q < s $ t , le t

s = t . + rH, 0 ,< j %
< n-1 (3.5)

where H= t - t ., and 0 < r « 1,

and we make use o f the s o lu tio n values at the mesh points t ^ , where

0 £ i £ j , to approximate the delay term. Hence the need arises to store

the previous s o lu tio n values and possibly the values o f the d e riv a tiv e ,

depending on the method o f approximation, f o r a s u f f ic i e n t back distance

depending on the nature o f the delay and the range o f in te g ra tio n , but at

most the back distance needed at the point

r tn is tn ■ to
n,

Because the so lu tio n may have discontinuous d e riv a tive s a t some o f

the mesh p o in ts, i t is recommended th a t the method o f approximating the

delay term at the point s should use only inform ation in the in te rv a l

[ty Another reason f o r not using an approximation method which

needs inform ation on more than one in te rv a l is t h a t, i f j = 0 in (3.5)

then f o r i n i t i a l value DDE, the only available information is on [ t Q, t x].

3.2 .2.2 The order o f approximating the delay term

Assume th a t the delay term is approximated by z(s) such th a t

u(s) - z(s) = e(s) (3.6)

where e(s) is the loca l tru ncatio n e rro r in approximating z(s) at

the p o in t s, and the order o f approximating the delay term is

e(s) = 0(Hq+1) (3.7)

where q i s an in te g e r, H/h = 0(1), and h = t n+-j - t . The Runge-Kutta

method (1,13) adapted fo r solving DDE (3.1) becomes

y ( t n+1) = y ( t n) + N>(tn , y , h) (3.8)

 38.

where

m
* { t , y , h) = I'c .k .
0=1 J J

and

m
. > A + ' l“ j ) * y ( t n, + hi J y i ( 3- 9a)

kj = f ( t n + haj ’ V S ) + haJ>-

z ( t n + haj ' d(tn + haj ’ yj ( t n + haj U ) ) (3.9b)

fo r .j = 1, 2, . . . , m.
Ct v / f i l S £ lt\A -i pC ^C C L'-^, 6-jS C ^C ovv c £& & <J •s-mP'CT cK^jy^L-cJC - t i < ^U . ,^>-©£c<Tur

Consider the e f f e c t o f approximating the delay term on the local

tru n ca tio n e rro r and the order o f the method. By s u b s titu tin g the tru e

s o lu tio n in both sides o f equation (3 .8 ), the local tru ncatio n e r ro r o f the

method (3.8) is defined by

LTE = u ( t n+1) - u ( t n ) - h<J>(tn , u, h) (3.10)

where

m
* ( t n. U, h) = f Ic j k . j
o=i
m
yj ( t n +haj> = U( V + h I bj i ki (3.11a)

k. = f ( t + ha., y . ( t „ + h a .),
j v n j n j ' 9

z ( t n + ha^ - d ( t n + ha^, y ..( tn + h a p ) ) ) (3.11b)

fo r j = 1, 2 , . . . , m.

For the pth order Runge-Kutta method(3 .8 ), i f the delay term is

evaluated e x a c tly , the LTE is given by

^ = u( t n+-j) - u ( t n) - h f ( t n, u, h) (3.12)

= # ( t n. u ( t n))h p+1 + 0(hp+2)

where ij>(t, u ( t ) ) is a fu n ctio n o f the solu tio n and i t s d e riv a tiv e s , and
 39.
_ m
* ( t , u, h) = I c X
j= l

m
yj ( t n + haj> = u<t n^ + \ l * j f i (3.13a)

kj = + hajS y p t n + h a p ,

u ( t n + haj ' d ( t n + haj ’ yj ( t n + haj n ) ) (3.13b)

Let £■ = ¥ i - ki , i = 1 ,..., m (3.14)

__ m
(3.15)
Ej = T [.bj 1 Ei ’ 3 = 1s- ” » m

and Sj = t n + haj - d ( t n + ha j . y p t H + t a p ) . (3.16)

j *"* 1 3 * * * grn
Subtracting (3.11) from (3.13) y ie ld s

y 3( t n + haj> = y j ( t n + haj> + S (3.17a)

and Ej = f ( l n + ha., y p i n + h a p ,

u( t n + h3j - d ( t n+ h a j, y j ( t n + h a j) ) ) )

- f(tn + h a j, y j ( t n + h a j) ,

z ( t n + haj - d ( t n+ haj, y j ( t n + h a j) ) ) ) (3.17b)

Then

d ( t n + h a j, y j ( t n + h a j)) = d ( t n + h a j, y j ( t n + h a j))

+ hK, X .
I 9J J

where l< = 3d(*> u ( t ) )

19j au(t)

fo r c [ y j ( t p + h a j) , y j ( t n + haj) + hEj]

and

« ( t n + haj - d ( t n + haj, y j ( t n + h a j)))

 (3.18)
- U<S.i> + h K2.3-E3

where K .K, •
2 ,j dt n 1 jJ
2 ,j

fo r
n2,j e [Sj s Sj ' hl<l , j Ej 3

Using the assumption (3.6) fo r approximating the delay term, equation

(3.18) becomes

u(tn + haj - d(tn + haj, y j ( t n + haj)))

= z(Sj) + e(Sj) +h.K 2jjFj (3.19)

Using the re s u lts o f (3 .19), equation (3.17b) y ie ld s

Ej " hK5 ,j f j + K4,j e( sP j 1 , . . . , m. (3.20)

where

K5,3 _ K3 ,j + K4 ,3 ’K2,3

K = 3 f(t» u ,z )
3»J 3u ^ n ^? ± ^ s ) * frts j')
3 9j

for -<n3 .1 e t y j ( V ha3 ’ y . ( t +hap + hE ]

and if = d f ( t ^u>z )
4,j " 9Z
^ 4 ,j > & ~ +"4.

fo r e £u( sj) > u( sj ) + £ ( sj ) +

Using (3 .1 5 ), equation (3.20) can be w ritte n in the form

(I - hKB)E = e (3.21)

where K = diag(Kg -j, K5,m^

 41.

Assuming th a t (I-hKB) /a non-singular, which is always true fo r

s u f f i c i e n t l y small h, then w ith the assumption (3 .7 ), equations (3.21)

y ie ld :-

Ej = K4 s j . £ ( sj ) + ° ( hq+2) (3.23)

fo r j - 1, 2, . . . , m.

Subtracting (3.12) from (3.10) y ie ld s

LTE - LTE = h [ ^ ( t n » u, h) - <f>( t n3 u, h)]

m
= h I c.E. (3.24)
j= l J J

Then, using the re s u lts o f (3 .2 3 ), the LTE o f the method (3.8). is

LTE = t ( t n, u( tn))hP+1 + 0(hP+Z)

m ~
+ h.I cj K4 , j e( sj ) + ° ( h ) ^3' 25)
J

Equation (3.25) shows th a t the order of the method is min(p, q-f-1).

So in order to preserve the order o f themethod we must have q 5 p -1 .

If q > p-1 then approximating the back values has no e f f e c t on the order

o f the method, and the p rin c ip a l pa rt of the LTE remains the same. The

case q > p-1 is useful f o r the estimation o f LTE, since we do not need to

evaluate the e r ro r o f approximating the back values in order to get an

estimate o f the p rin c ip a l LTE o f the method.

3.3 D e fin itio n s o f s t a b i l i t y properties of numerical methods f o r solving

DDE

In chapter I the d e fin itio n s o f absolute s t a b i l i t y and A - s t a b i l it y o f

numerical methods f o r solving ODE are given, and i t i s mentioned th a t they

are based on the -test equation (1.16), a lin e a r ODE. Here we consider the

extension o f these d e fin itio n s fo r a numerical method adapted f o r solving

DDE.

Assume th a t a numerical method is applied to the DDE (3.1) with a

fix e d stepsize h, then the global e rro r is defined by

 42.

en = Y ( t n) - u ( t n) (3.26)

where t = t Q + nh, y ( t ) is the numerical solu tio n and u (t) is the

.exact s o lu tio n a t t.

In the s t a b i l i t y analysis o f a numerical method one is concerned not

w ith the source o f the e rro r but only w ith the behaviour o f the global

e r ro r as t » a f t e r some e rro r has been introduced. Since the

behaviour o f the global e rro r (3.26) depends on the behaviour o f the s o lu tio n

of the DDE (3 .1 ), we adopt a model DDE in order to study the s t a b i l i t y

properties o f a numerical method. In chapter I I , i t is shown th a t a

representative lin e a r DDE is

u1( t ) - a u (t) + b u ( t - l ) , t $ t (3.27)

u ( t) = g (t) -1 i t s t 0

where a and b are complex, and g ( t) is a continuous fu n c tio n .

Since the d e f in it io n o f absolute s t a b i l i t y is only concerned with

the case where the s o lu tio n u ( t) s a tis fie s

u ( t) -*■ 0 as t -*• «, ' (3.28)

we need to know the asymptotic s t a b i l i t y properties o f the solu tio n o f

(3 .27). In chapter I I , we give recent re s u lts about conditions on a and

b such th a t the s o lu tio n s a tis fie s (3.28).

For a numerical method f o r solving. (3.27) we expect the global e rro r

en -*■ 0 as n » i f the solution s a tis fie s (3 .2 8 ), which leads us to adopt

the fo llo w in g d e f i n i t i o n ,

D e fin itio n 3.1

A numerical method applied to the DDE (3.27) is said to be absolutely

stable f o r the stepsize h ? i f f o r any problem whose so lu tio n s a tis fie s

(3.28) the numerical solu tio n at step h s a tis fie s y ( t n) 0 as t

I f the absolute s t a b i l i t y o f a method is independent o f h, then we

get the fo llo w in g d e f in it io n s im ila r to the A - s t a b i l i t y d e f in it io n f o r ODE.

 43.

D e fin itio n 3.2

A numerical method is said to be DA-stable i f f o r any s o lu tio n o f

(3.27) which s a tis fie s (3.28)* the numerical so lu tio n y (t ) + 0 as

t f o r anij h> 0 .

The d e f i n i t i o n o f D A -s ta b ility depends on knowing the necessary and

s u f f ic i e n t conditions on a and b such th a t the s o lu tio n s a tis fie s

(3 .2 8 ). Special cases o f D A -s ta b ility are discussed here. By assuming:

mh = .1* m£ I+ (3.29)

Cryer (19733 1974) considers a d e f in it io n o f D A -s ta b ility f o r lin e a r

m u ltis te p methods when using the model equation (3.27) w ith a = 0 and

b r e a l. Later* Barwell (1975) generalizes Cryer's d e f i n i t i o n byconsidering

the model equation (3.27) w ith a = 0 and b- complex. His d e f in it io n is

adopted here f o r one-step methods*

D e fin itio n 3.3

Let b = re 1^ and a = 0 in (3.27,). A numerical method is said to

be Q-stable i f under the conditions

( i ) Re ( b) < 0

( i 1) 0 < r < mi n(4^ “ <i>» <t>- J)

the numerical s o lu tio n y ( t ) *> 0 as t -* «» f o r a l l h s a tis fy in g (3.29).

Barwell (1975)* a f t e r g e ttin g a s u f f ic ie n t con dition on a and b in

(3.27) such th a t u ( t) 0 as t -> °°* considers the fo llo w in g d e f in it io n

D e fin itio n 3.4

A numerical method* applied to (3.27) is said to be P-stable i f under

the condition

Re(a) < - |b|

the numerical so lu tio n y ( t n) ->0 as t ->■ « fo r a ll h s a tis fy in g (3.29).

I t is c le a r from the d e fin itio n s (3.3) and (3.4) th a t i f the method

is P-stable then i t is A-stable* but i f i t is Q-stable then i t is not

necessarily A -stable.
 44.

For a d e f i n i t i o n o f the absolute s t a b i l i t y region, we introduce

the fo llo w in g :

D e fin itio n 3.5

For the stepsize h, then

(1) If a and b are real in (3.27), theregion RP(a, b) in the

a,b-plane is calle d the P - s t a b i l it y region i f fo r any a, b e RP(a, b) the

numerical s o lu tio n o f (3.27) s a t is f ie s y (t ) + 0 as t 00.

(2) If a = 0 and b is complex in (3 .27), the region RQ(b) in

the b-plane is c a lle d the Q - s t a b ilit y region i f f o r any b e RQ(b) the

numerical s o lu tio n y ( t n) ^ 0 as t ^

3.4 Some numerical methods fo r solving ODE

Consider the i n i t i a l value problem in ODE o f the form

u ' ( t ) = f ( t , u(t ) ) , t 0s< t s< T (3.30)

u ( t 0) - c, c constant,

where u (t) is continuous and s u f f i c i e n t l y smooth. One o f the popular

methods f o r fin d in g the numerical solution o f (3.30) is the e x p l i c i t fo u rth

order Kutta-Merson method. Suppose we have the s o lu tio n o f (3.30) up to

the point t 9 and l e t y (t) be the numerical s o lu tio n a t t , then to

advance the s o lu tio n to the p o int t ^ , the Kutta-Merson method uses the

fo llo w in g :

Let h = t n+1 - t n.

y i =y 0 n) + -3h f ( v y ( V ) »

yz = y(tn) +l hf( V y ^ p U + ihf(£n + yi)>

y 3 = y(tn)+ lhf( V y t y ) + | hf(tn + '3h> yz )>

yk = y ( t p) + | h f ( t n, y ( t n)) - | h f ( t n + -gh, y2)

+ 2hf(tn + y 3)»

y5 = y(£n) + ]jhf( y y(£n)) + |hf(tn + y 3)

+ ^ h f(tn + h, y k ) ,
 45.

the so lu tio n is taken to be

y (V |):= y s (3.3i)

This method uses f iv e function evalutionsper step. By s u b s titu tin g

the tru e s o lu tio n u( t n) the formulae, the LTE is

LTE = u ( t n+1) - y ( t n+1)

= iK y U(tn))h5 + 0(h6) (3.32)

The fun c tio n ^ ( t , u (t)) is in general a non-linear fu n c tio n in u { t) and

i t s d e riv a tiv e s . We notice here th a t the Kutta-Merson method y ie ld s two

values o f the s o lu tio n at the point t -j, y 5 and y^. Suppose th a t the

method is applied to the lin e a r ODE

u ' ( t ) = a u (t) + bt + c (3.33)

where a, b, and c are constants. I f we s u b s titu te the true s o lu tio n

u ( t ) , then

u( t n+-|) - y H = ^ <t n =. u ( t n) , h) (3.34)

= m hSu(5)( V + °<h6)
and

u ( t n+d ' y 5 = u( V ) h5 + ° ( h6) ( 3- 35)

= 720h5u(5)< V + ° ( h6)

Then, f o r the estim ation o f the p rin c ip a l part o f the LTE, we use

ITF a —3 h5 u (^)(t )
720 u ' n'

“ ^•(ys - y , ) • (3.36)

The estimate o f the LTE given in (3.36) holds exa ctly i f the equation is

o f the form (3 .3 3 ). For a small in te rv a l [ t ^ , t n+-j ] , one can assume th a t

f ( t , u( t )) in general behaves lin e a r ly .

One o f the disadvantages o f the Kutta-Merson method is the smallness

o f the absolute s t a b i l i t y region. Suppose we apply the method to the

d i f f e r e n t i a l equation
 46.

u1( t ) = a u (t) a < 05 (3.37)

then the stepsize must s a tis fy

I ha| 2.78 (3.38)

Condition (3.38) is very r e s t r i c t i v e fo r c e rta in classes o f ODE.

To overcome the r e s t r i c t i o n on the stepsize, one can use A-stable

methods. Examples o f such methods are:

(1) The trapezium method.

The trapezium method is a second order i m p l i c i t one-step method o f

the form

y ( t n+1) = y(tn) + £ [ f ( t n. y ( t n)) + f ( t n+1, y ( t n+1) ) ] (3.39)

The LTE o f the method is

LIE = - + 0(li1>) (3.40)

(2) The fo u rth order i m p l i c i t Runge-Kutta method.

The method is

IS ■ f ( t n. y ( t n))

k2 = f ( £n + y< V + -27(5ki + Sk2 - k 3 »

k 3 = f ( t n + hs y O n) + f ( k i + 4k2 + k 3))

y< W + | ( k l + 4k2 + k3) (3.41)

The LTE has the form

LTE = «2( t n. u(tn))h 5 + 0(h6) (3.42)

where ijJ2( t , u( t )) is in general a non-linear fun c tio n o f u ( t) and i t s

d e riv a tiv e s . I f the method is applied to the lin e a r d i f f e r e n t i a l equation

(3 .37), then the LTE w i l l have the form

(3.43)

The main d i f f i c u l t y in using the methods (3.39) and (3.41) is t h e i r

im p lic itn e s s , so th a t we have to solve a system o f n o n-line ar equations at

each tim e-step. For the LTE estimate, a technique o f halving the stepsize

is often used.
 CHAPTER IV

THE ANALYSIS OF SPECIFIC NUMERICAL METHODS

FOR DELAY-DIFFERENTIAL EQUATIONS

4.1 In tro d u c tio n

We'gave in the la s t chapter examples o f three one-step methods f o r

solving ODE, and we also mentioned the d i f f i c u l t i e s th a t numerical methods

should cope w ith when adopted to solve DDE. In th is chapter we study ways

o f approximating the delay term and the e ffe c t o f th is approximation on

the properties o f each o f the numerical methods considered. We continue

to w rite u ( t) f o r the exact so lu tio n and y ( t ) f o r the numerical s o lu tio n

a t the p o in t t.

4.2 The adaptation o f numerical methods fo r solving DDE

Before we consider any numerical method we assume th a t the s o lu tio n

is s u f f i c i e n t l y smooth on the range [ t Q, T ]. Weassume th a t the solu tio n

is approximated a t the mesh points t x, t 2, . . . , t and needs to be advanced

to the p o int t +-| w ith the stepsize h = t +-j - t • In general the

stepsize is not constant unless otherwise stated.

I t is mentioned in the la s t chapter th a t the delay term needs to be

evaluated each time there is a fun ction evaluation. The evaluation o f the
delay term depends on whether i t f a l l s in the in te rv a l [ t n, t +-j ] or not.

For each o f the fo llo w in g methods, we consider ways o f approximating the

delay term f o r the two cases o f small and large delay,

4.2.1 Kutta-Merson method f o r solving DDE

We stated in equation (3.31) the Kutta-Merson method f o r solving ODE.

We now consider using th is method fo r solving the DDE (3 .1 ) .

4.2.1.1 Small delay

The delay term has to be evaluated a t some p o int s, where

s = t - d (t, u ( t )) , t&-.(tn, t n+1] (4.1)

= t + rh , 0 < r < 1
n

Here we use an extension o f the idea suggested by Tavernini (1971) and

described in chapter I . Using t h is approximation we f in d a continuous

approximation to the intermediate values o f the s o lu tio n y J9 y 2 , y 3, y 4,

and y 5 in (3 .31).

In the in te rv a l (*tn , t ] we assume

ra
u(t + rh). “ u(t ) + rh I w . ( r ) u ' ( t + b.h) (4.2)
i= l

where 0 < r s< ] s 0 ^ b, <b„ < . . . < b $ 1 9 and w . ( r ) , i = 1, 2 , . . . , m ,

■*- m i
are functions o f r.

Assuming th a t the solu tio n is s u f f ic i e n t l y smooth, then

u (tn + rh) = u( j ) ( t n) + -([qh^ u(q+1)( t J + 0(hq+2) (4.3)

3=0
and

q-l (b.h)J (b.h)q , ^

|J ( 1 + 1 ) (bi h' q
u' ( t n + ^h) = I T ,—
—u^J
u<J+1) ((ttn)) + ■
—“l y - u (q+1)( t p) +0(hq+1)
— (4.4)
j =0 j: U ^

i = 1 , 2 , . . .,Tn

By s u b s titu tin g (4.4) in (4.2) and comparing i t w ith ( 4 .3 ) , we get

are d i s t i n c t .

By s u ita b le choice o f the we can adapt th is approach to the

Kutta-Merson method in the case o f condition (4.1) as fo llo w s :

( 1) q = 1 ■

bi = 0

Then W j( r ) = i , W j(l) = ) >

y i ^ n + rh) - u ( t n) + rh u1(vt ny
■
■ ) (4.6)

and

u(t rh) - y i ( t n + rh) = i l bi ^ u( 2 ) ( t n) + 0 ( h 3) (4.7)

n

( 2) q = 2 -
1
b2 = 0, b
2 3*

Then w j ( r ) = 1 - 3r Wj( 3) - 2>

2 Wl ^ = 4

w2 ( r ) = i21
r s
W2^ = 2’ «2(?) = I

y 2^bn + rh) = u ( t n ) + r h [ ( l - | r ) u ' ( t n) + f r u ' ( t n + ^ h) ] (4.8)

and

u(tn + rh) - y2( t n + rh) = -gh3r2(r - ^)u^3h t n) + 0(h1*) (4.9)

(3) q = 3

bl = b2 = "3’ b3 = 2

Then w ^r) = 1 - | r + 2r2 , Wl ( l ) = i

w2( r ) =| r * 6l"2 , w2(1) = - |

w3( r ) “ 4r2 - 2r , w3( l ),= 2-

ylf( t n + r h ) = u ( t n) + r h [ ( l - ~ r + 2r z ) u ' ( t )
(4.10)
6r 2 ’I u 1f t + - * ■ i n*# - 1
 50.
(4) q = 3

bl = b2 = ~ Z ’ b3 = ^

Then wx( r ) = 1 - -|r + | r 2s wx( l ) = ^

w2( r ) = 2r - | r 2, w2( l ) = |

w3( r ) = - ^ r + | r 2, w3( l ) = 1

y 5( t n + r h ) = U( V + r h [ ( 1 " f r + | rZ ) u' ( t n)

+ (2 r - ^ r 2 ) u' ( t n + I h ) + (- | r + § r 2) u ' ( t n + h )] (4.12)

and

u ( t n + rh) - y 5( t n + rh) = ^ r 2( r - l ) 2u ^ ( t n) + 0(h5) (4.13)

Assuming th a t the s o lu tio n value is known f o r t $ t whenever i t

is required in the evaluation o f the d e riv a tiv e f , the modified. Kutta-

Merson method has the form:

ki =f < V y ( V ’ y (tn " d ( t n’

y x( t n +r h ) = y (t n) + r h A i

k2 = f ( t n + ] h , y x( t n + lh ),

y x( t n + ^h - d ( t n + l h , y x( t n + l h ) ) ) )

y 2(t n + r h ) = y ( V + rh [(l - | r ) k x + | r k 2]

k3 = f ( t n + 3 h’ y 2( t n+ 3h >’

y 2( kn + "311 " d( kn + ’3b ’ y 2^ n + '3,in ) )

y 3( t n + rh) = y ( t n) + r h [(1 - | r ) k x + | r k 3]

^ ” ^^bn + "2^ 3 y 3^kn

• y s (t n + l h “ d(kn + -Zht y 3 ^ n + I hn ) )

Y ^ n + rh) = y ( t n) + r h [(1 - | r + 2 r2)k x

+ ( ^ r - 6 r2)k + (4r2 - 2 r)kl[]

ks =^ n + h * y -t('fcn + h) ’
 51

y4( t n + h " d(tn + h> y4( t n + h ) )) )

ys( t n + rh) = y ( t n) + r h l 0 - | r + | r 2)k1

+ (2r - 3 ^ ) ^ + (- + -|r2) kg]

and then

y ( t „ + h) = y 5( t n + h)

= y(tn) + h[^kj + fk, + lk5] (4.14)

We notice th a t the modified Kutta-Merson method (4.14) becomes the standard

Kutta-Merson method i f the delay is zero.

The f i r s t question a ris in g is "what is the order o f the modified

Kutta-Merson method (4.14)?". To fin d the order we need the fo llo w in g

r e s u lt . Let y -(t) be an approximation to u ( t) a t the p o in t t,

and l e t

e. j( t ) = u ( t) - y n.( t ) (4.15)

then

d ( t , y x- ( t ) ) = d ( t , u ( t ) ) - Dx( 5i ) -ei ( t )

where D ,(e .) ■ »& * . " ( * ) > .

l^ V 3U(t) (i|=g.

fo r e t u ( t ) , u ( t) + e ^ t ) ] ,

y .(t - d (t, y1(t))) = y ^ t - d (t, u (t))) - D2 ( n i , E p . e i(t)

d y .(t)
where D2(r,i , 5.) =
n -’W *
1

for ni e [t - d (t, u (t)), t - d (t, u (t)) - D1 ( 5 i ) . e i ( t ) ]

and

y n* ( t - d ( t 9 y i ( t ) ) ) = u ( t d ( t9 u (t))) £ i ( t - d ( t s u ( t ) ))

- D2(T1i 5 ^ i ) ,ei (t )

Then
 52

f ( t , y ^ t ) , y .( t - d (t9 yi (t))))

- f ( t 9 u( t ) 9 u( t - d ( t , u (t ) ) ) ) -=*• Ei ( t )

= u* ( t ) - E.. ( t ) (4.16)

where E ^ t ) = K ^ e ^ t ) + K2 > i . e . ( t - d ( t , u ( t ) ))

’ K2j ¥ V si (4.17)

K = 3 f ( t » u »z >
< ? 1sir e (u (t). U (t) + e.(t)]
1 9i 3U

S’, , ;
K = 3 f ( t 9U-,Z)
2 ,i ~ 3z

I f e [u ( t - d ( t, u ( t ) ) ) j. u ( t - d ( t 9 u ( t ) )) + ( t - d ( t , u ( t ) ))

By making use o f the r e s u lt (4.16) together with the re s u lts we had

e a r l i e r f o r the intermediate values o f the solu tion y ( t ) 9 we now fin d the

order o f the method. Assume th a t we have the true s o lu tio n and i t s

d e riv a tiv e a t any p o int t $ t , le t t = t + r h 9 then:

£i(t) - u ( t ) - y x( t )

= + o(h3) (4.18)

= 0(h2)

£2 ( t ) - u ( t ) - y 2( t )

=^ - ^ (3)(tn) - j ! rE I(tn+>)

+ 0 ( h1*)

= 0(h3)

e 3( t ) = u ( t ) - y 3( t )

= . ^)u < 3> ( tn) + 0(hlt) (4.19)

= 0 ( h3)

ek {t ) = u ( t ) - y (t)
 + r h ( | r - 6 r2)E2( t n + l h ) + rh(4r2 - 2r)E3( t n + £) + 0(h=)

= 0(h**-) (4.20)

es( t ) = u ( t) - y5( t )

(4.21)

Thus the order o f the LTE o f the modified Kutta-Merson method (4.14)
is

es ( t n + h) - 0(h*») (4.22)

The r e s u lt o f (4.22) shows th a t, in general, the modified Kutta-Merson

method (4.14) is a t h ir d order method while the standard Kutta-Merson method

is a fo u rth order method. To overcome t h is problem of g e ttin g lower order

because o f the delay term, we go back to equation (4.5) and make use o f i t

to derive the intermediate value y 0( t + rh) as fo llo w s :

3' n '
For q = 2

le t b1 = 0, b2 = g f 0,

y 3( t n + r h ) = u ( t n) + r h [(1 - ^ ) u ' ( t n) + ^ u ' ( t n + fs)]

and

u ( t n + rh) - y 3( t n + rh) = rh(-^J-^- - w2( r ) - ^ P- - ]u ( 3) ( t n)

+ 0(hl>)

= I r ^ r " + (4.23)

If 3 = -3 we get the same r e s u lt as in (4.8) and (4 .9 ). By l e t t i n g

 54.
= - |r , then

M r) = }

w2( r )

y 3( t n + rh) = u ( tn) + r h [ l u ' ( t n) + | u ' ( t n + | r h ) ] (4.24)

and

u ( tn + rh) - y 3( t n + rh) = 0(h1+) (4.25)

Using equation (4.24) the modified Kutta-Merson formulae (4.14) have the
form,

k i = f < V y ( V ’ y ( t n ‘ d ( t n’ y ^ n ^ ) )

y 1( t n + rh) = y ( t n) + rh kj

k2 = f ( t n+ ^ h » y i ^ n + ■3h>>

^ i^ n - d<t n + 3h’ y x ^ n + -3h>)))

y 2( t n + rh) = y ( t n) + r h [(1 - | r ) k j + | r k 2]

k3 = + 3 h, y 2( t n +.-ih),

y a ^ n + ! h ' d ( t n + l h - y a ^ n + 3 h ))))

k 3 <r) = f ( t n + | r h , y 2( t n + § rh ),

y a ^ n + l rh ' d<t n + f r h ’ y 2(t n + f ^ ) ) ) )

y 3 (tn + rh> = y^n) + rh[l ki + | k3 (r))

kK = f ( t n + j )1’ + | h>>

y 3( t n + | h - d( t n + ^h, y s( t n + ^ h ) ) ) )

y 4( t n + rh) = y ( t n) + r h [(1 - | r + 2r2)k1

+ ( | r - 6r2) k 3 + (4r2 - 2r)kH]

k5 = f ( t n + h, y ^ ( t n + h),

y^n + h ■ d^ n + h’ y i.( t n +

y s l ^ + rh) = y ( t n) + r h [(1 - | r + | r z)kj

 55.

+ ( 2r - + {- l r + § r 2)k5l

Then

y ( t „ + h):= y 5( t n + h) (4.27)

Using the same approach as above f o r the order o f (4.14) we can

show th a t the modified Kutta-Merson method (4.27) is o f fo u rth order. The

method (4.27) uses* in general* s ix function evaluations per step while

the standard Kutta-Merson method uses f iv e function evaluations per step.

The method (4.27) reduces to the standard Kutta-Merson method i f the delay
1
is zero* and then kgOg) - k 3.

4 .2 .1 .2 Large delay

Assume th a t the delay term needs to be evaluated at the p o int s,

where

s = t - d ( t , u ( t ) ) , and t Q < s g t n, t E [ t n, t n+1] (4.28)

Let s = t . + rHi 9 0 $ j < n, 0 < r s 1* and H. - t . , - t . .

J u j J +i j
Following the re s u lts o f section (3 .3 ), we consider methods of

approximating the delay term which are of t h ir d order or higher, and which

use inform ation on a single in te rv a l [t^ ,

(1) Kutta-Merson method with Hermite in te rp o la tio n of the t h i r d degree.

Hermite in te rp o la tio n o f the t h i r d degree uses the s o lu tio n and i t s

d e riv a tiv e at t. and t

(4.29)

where P1 = ( l - r ) 2( l + 2 r ) , P2 = r 2(3-2r)

P3 - r ( l - r ) 2, P4 = - r 2( l - r )

I f we s u b s titu te the true solu tio n and i t s d e riv a tive in (4.29) the LTE

o f Hermite in te rp o la tio n is

e(s) = u(s) - y (s )

(4.30)

One o f the a lte rn a tiv e s to Hermite in te rp o la tio n (4.29) is to use

equation (4.12), which y ie ld s

y5(s) = y(tj) + - | r + |i"2)y'(tj)

+ (2r - | r 2) y ' ( t j + (- ^r+ | r 2)y ■( tj+ 1 ) ] (4.31)

which has the same LTE as in (4.30). I t can be shown th a t equation (4.31)

is equivalent to Hermite in te rp o la tio n in (4.29), since

H. ,
y ( t j +1) = y ( t j ) + ~ f f [ y '( t j ) + 4 y '( t j + £H..) + y ' ( t J+1) ] (4.32)
1
By e lim in a tin g y ' ( t . + pH.) between (4.31) and (4 .32), we get equation
J ^ J

(4.29).

(2) Kutta-Merson method with modified Hermite in te rp o la tio n o f the fo u rth

degree.

To get the modified Hermite in te rp o la tio n o f the fourth degree, we need

more inform ation on the in te rv a l [ t . , t .,,1 than the s o lu tio n and i t s

J
d e riv a tiv e values a t t^ and t - +^. Suppose the d e riv a tiv e value is given

at t . + b H., where 0 < b < 1, and l e t

J J

u ( t . + rH.) * w0( r ) u ( t . + H.) + w4( r ) u ( t . )

J J J j h J (4.33)
+ Hj [ w ^ r j u ' f t j ) + w2( r ) u ' ( t j + bH^) + w3( r ) u ' ( t j + H . ) ]

where w ^ (r), i ~ 0, 1 , . . . , 4, are functions o f r.

Assuming th a t the solu tio n is s u f f i c i e n t l y d if f e r e n t ia b le , then s u b s titu tin g

Taylor expansions a t the p o int t . f o r u ( t.+ r H . ) , u ( t- + H .) , u '( t.+ b H . ) 9

J J J J J J O
and u '( t.+ H .) in equation (4.33) and comparing the c o e ffic ie n ts o f H^,
J J

q = 0, 1 , . . 4 , y ie ld s

w0( r ) + “ l . M =1

w„(r) + w ^ r ) + w2( r) + w3(r) =r

TjW0(r) + bw2(r) + w3(r) = -^r2 (4.34)

^w0( r ) + b2w2(r ) + w3( r ) =| r 3

1 1
■^w0( r ) + b3w2(r ) + w3(r ) =^

I t can be shown th a t the system o f lin e a r equations (4.34) is

1
inco nsisten t i f b =^ so we can not use the d e riv a tiv e value at
 57.

tj + t0 99t a fou rth de9ree Hermite in te rp o la tio n . I f we choose a

value o f b f then there is a unique solution o f the system (4 . 34).

Any choice o f b ^ 7^ w i l l cost us one more fun ction evaluation per step.
•j
Let b = ^ then the solu tion o f (4.34) is

w0( r ) = - 6r 2 + 16r3 - 9r4

wi ( r ) = r - 2r 2 + r 3

w2(r ) = ' T r2 " T r3 + T rh ‘ (4 -35)

w3(r) = | r 2 - |r 3 + - 1^

w4( r ) = 1 + 6r 2 - 16r3 + 9r4

And the local tru n ca tio n e rro r in the in te rp o la tio n formula (4.33) is

e(s) = - | r [ i "5 - w0( r ) - -^-w2( r ) - 5w3( r ) ] u % j i ?^j i [ v , t it-+J (4 .3 6 )

To use the modified Hermite in te rp o la tio n in (4.33) w ith (4 .3 5 ), we

need to store the so lu tio n and i t s d e rivative a t t-,n and the d e riv a tiv e
•j J
at t . +-^H.sa t each step.
J J

4.2.2 The trapezium method f o r solving DDE

Assume th a t the so lu tio n is advanced to the p o in t t , and the

fu n c tio n value is known at the point t , then the trapezium method has the

form,

y ( t n+1) = y ( t n) + J [ [ f ( t n, y ( t n), y(t„ - d(tn, y ( t n) ) ) ) .

+ f(V l- y(W ’ y< V l ' d ( t n+1 * y < W )))] ( 4 -37)

So, as well as solving a non-linear equation to f i n d the s o lu tio n

we neec* to evaluate the delay term at the point

s ■ t n+1 - d ( t n+1, y ( t n+1)) (4.38)

which depends on the value of the s olu tion at t ^. Whatever the method

we usef o r solving the non-linear equation, we need to evaluate the delay

term each time there is a function evaluation.

Since the trapezium mebhodis o f the second order, then from the r e s u lt

of (3.25) we can use lin e a r in te rp o la tio n or higher f o r approximating the

 58

delay term.

4.2.2.1 Trapezium mdtiodwith lin e a r in te rp o la tio n

The approximation o f the delay term by lin e a r in te rp o la tio n depends

on the size o f the delay.

(1) Small delay.

Let s = t + rh 9 t n < s $ 11 , 0 < r ,< 1 (4.39)

Here we take advantage o f the im plicitn ess o f the m e th o d b y making

use o f the so lu tio n values a t t and t ,, to obtain

n n+1

z(s) = ( l - r ) y ( t n) + r y ( t n+1) (4.40)

The loca l e rro r in t h is approximation is

e(s) = ^ r ( r l ) h 2u<Z)(en). 5n e [tn» t n+1 ] (4.41)

(2) Large delay.

Let s = t . + rH ., 0 N < r < 1, 0 $ j < n, and H. = t . , n - t . .

J 0 0 J+l J
The lin e a r in te rp o la tio n y ie ld s

z(s) - ( l - r ) y ( t j ) + r y ( t ^ +1) (4.42)

w ith

e(s) = | r ( r - l ) H ? u(2) (S,)

4 .2 .2 .2 The trapezium method w ith Hermite in te rp o la tio n

We now consider using Hermite in te rp o la tio n based on the values o f

the solu tion and i t s d e riv a tiv e at two po ints.

(1) Small delay.

Let s = t n + rh , 0 < r ,< 1, t n < s t ^

Assume th a t the s o lu tio n and i t s d e riva tiv e are known a t the points

tn and t .j5 then Hermite in te rp o la tio n y ie ld s

z(s) = P,y(tn) + P2y ( t n+1) + P3h y ' ( t n) + P^hy1( t n+1) ( 4 .4 3 )

where Pl9 P2, Pgs and P^ have the same form as in (4 .2 9 ). Using the

trapezium method to get y ' ( t +-j)s since

y '^ n + P = " + § y (t n+f ’ y'^ V ^4 ’ 44^

 59.

s u b s titu tin g (4.44) in (4.43) y ie ld s

z(s) = ( P l - ZPk M t n ) + (P2 + ■2Plt) y ( t n+1)

+ h(P3 - Ptf) y ’ ( t n) (4.45)

and

e(s) = X h3u(3)(t n) +

(2) Large delay.

Let s = t . + rH - 9 0 ^ r < l s 0 ^ j < n 3 and H- = t . - t..

J J J J T* » J

The form o f Hermite in te rp o la tio n is the same as described f o r Kutta

Merson method in equation (4.29).

4 .2 .3 The I m p l ic i t Runge-Kutta method fo r solving DDE

We described a fo u rth order i m p l i c i t Runge-Kutta method f o r solving

ODE in equation (3 .4 1 ). Here we consider i t s a p p lic a tio n to the DDE (3.1)

The i m p l i c i t method has the form

l<! = f ( V y ( V ’ y ( t n ' d(V y(V >)>

k2 = + y (t n) 8k2 ~ k3)>

y (tn + |h - d ( t n + } h , y ( t n) + ^ ( 5 k j + 8k2- k3) ) ) ) (4.46)

k 3 = f ( t n + h ’ yCtp) + ^ ( k l + 4 k 2 + k 3)>

y ( t n + h - d ( t n + h, y ( t n) + ^ ( k j + 4k2 +k3) ) ) ) (4.47)

y ( t n+P = y(V + ¥ (ki + 4k2 + k3) (4 -48)

So as well as solving a system o f non-linear equations, we need to

evaluate the delay term a t the p o in ts,

s i = kn + I h " d^ n + I*1’ y ( t n) + ^ - ( 5 ^ + 8k2 - k3) )

and

s2 =\ + h ' d ( t n + h’ y(V + F(ki + 4k2 + k3n

each time we evaluate the functions in (4.45) and (4.47) re s p e c tiv e ly .

The evaluation o f the delay term depends on the lo ca tio n o f s1 and s2 .

 60.

(1) Small delay.

Assume th a t the delay term needs-to be evaluated a t the p o int s,

where

s = s 1 or s29 and s = t + rh 9 0 < r < 1

Using the s o lu tio n and i t s d e riv a tiv e values at the points tn and t .js

Hermite in te rp o la tio n y ie ld s

z(s) = P1y ( t n) + P2y ( t n+1) + hP3k 1 + hP^kj (4.49)

where P , P2, pg9 and P^ are defined in (4.29). Using the solu tio n value

from (4 .4 8 )9 (4.49) becomes

z(s) = (Pj + P2) y ( t n) + h(P3 + l p 2)kx

+ |hP2k2 + h(P,, + ^P2)k3 (4.50)

and

e(s) = ^ 2(1 - r ) W 4 ) ( t n) + 0(h5).

(2) Large delay.

s = s. or s99 such th a t s = t . + rH ., 0 ^ r < l , 0 ^ j < n ,

1 ^ J J
and - t j+1 - t j .

Since the i m p l i c i t Runge-Kutta method (4.4$) and the Kutta-Merson

method are o f the same order., the method given in section (4 .2 .1 .2 ) f o r

approximating the delay term w ith large delay can be used here. Hence3

we can use Hermite in te rp o la tio n o f the t h i r d degree (4.29) or the modified

Hermite in te rp o la tio n o f the fo u rth degree (4.33) to approximate the delay

term at s.

4.3 Local tru ncatio n e r ro r estimate o f methods f o r solving DDE

We have considered in the la s t section the adaptation o f s p e c ific

numerical methods f o r solving DDE. Here we consider the e ff e c t o f the

m o dificatio n o f each o f the methods on i t s LTE estimate. A ll the analysis

is considered when the method is applied to the lin e a r DDE

u ' ( t ) = a u (t) + bu (t-d ) (4.51)

 61.

where a, b, and d are constant.

The use o f the lin e a r DDE (4.51) is reasonable, since a general DDE

behaves li n e a r l y on a small in t e r v a l.

4.3.1 LTE estimate o f Kutta-Merson method fo r solving DDE

Since the form o f the LTE o f Kutta-Merson method depends on the

lo c a tio n o f the delay, we consider the two cases o f small andlarge delay

separately.

4.3.1.1 Small delay

We assume th a t d < which implies th a t we need to evaluate the

delay term in the in te rv a l [ t n, t -j ] f o r a l l the fu n c tio n evaluations

required by the modified Kutta-Merson method (4 .27).

Since we are interested in the e ffe c t o f approximating the delay term

on the LTE and i t s estimate, f o r convenience we only consider the analysis

f o r the DDE

u ' ( t ) a bu (t - d) (4.52)

In order to f i n d the LTE} we assume th a t we have the exact solu tio n

and i t s d e riv a tiv e at the p o in t t , then we f in d the numerical s olu tion

at ■tp+i w^en the method is applied to (4.52), and compare i t with the

Taylor series expansion o f the exact solution u ( t n+-j).

We s t a r t from the Taylor series expansion o f u ( t n+^ ) 9

“( V P = U( V + hu‘ ( V + ! h2u(2>< V + ! h3u(3)(t n)

+ ^ fh -u (4) { t n) + + 0(h6) (4.53)

Using the DDE (4.52) and the Taylor expansion, we get:

u ( 5 > ( t n ) = b5u ( t n - 5d)

= b5 u ( t n ) + Dx

u ^ ( t n ) = b4 u ( t n - 4d)

= b^(l - 4bd)u(tn) + D2

u ^ 3 ) ( t n ) = b 3u ( t n - 3d)
 62

= b3(l - 3bd + J | b 2d2) u ( t ) + D3

u^2) ( t n) = b2u( t n " 2d)

= b2(l - 2bd + 4b2d2 - - y b 3d3) u ( t ) + D

and

u ^ p t n) = b u (tn - d)

= b ( l - bd + | b 2d2 - | b 3d3 + ^ V d * * ) u ( t n) + Ds (4.54)

where

Di = K ^ n -J d 1. f o r some n . e [ t n> V , ] , i = 1, 2 , . . . , 5 (4.55)

and K^.(n^)s i - 1, 2S. . , 9 5, is a fu n ctio n of the s o lu tio n and i t s

d e riv a tiv e evaluated at n^. Then (4.53) becomes

“( V P = u( V + bhu( bn) + b2h24 ' « )“(*„)

+ b3h3(-g- - a + ^a2) u ( t )

+ b^h1* ^ - + 2a2 - ^ a 3 ) u ( t ^ )

+ b 5h 5 ( y j Q - + |a 2 - — a3 + -^ a '*)u (tn)

+ D + 0(h6) (4.56)

where <* = £ ( 4 .57)

and

V l = hD5 + + l h3D3 + A hl*D2 + W h5Dl <4 - 5 8 )

The modified Kutta-Merson method (4.27) applied to the DDE (4.52)

y ie ld s

ki = u‘ ( V

y x( t n + rh) = u ( t n) + r h u ' ( t n)

k2 = bu( V + (3 ' a) bhu' ( t n)

y2( t n + rh) = u ( t p) + r h [ (1 - | i " ) u ' ( t ) + | r k 2l

k3 = + (3 - « ) b)

= [b + b2h(-g- - a + 3a2) ] u (t ^ )
 63.

+ [bh(-g- - Ja2) + b2h2( ^ j - -ja + ^a2 - ^aa)]u' (t n)

4 (1") = by2( t n + | r h - d)

y 3( t n + rh) = u ( t n) + r h [ l u ' ( t n) + | k ^ ( r ) ]

IS = b u (tn) + ( j - a ) b h [ | u ' ( t n) + - | k 3( l - a ) ]

= [b + b2h ( f - £ ) + b3h2( i - |» + « , 2

- f » 3) ) u ( t n) + [bh(-g - |a ) + b2h2( ^ - -ga

25 2 + -25
- -yga2 p .33W h3h3/( 1
) + b3h3 _ . 5 + ^172 o . ^1853 o

+ § a ‘t ) ] W ( t n) (4.59)
Then

y k ( t n + h) = u ( t n) + h [ l u ' ( t n) - | k 3 + 2k4 ]

=Cl + -^bh + b2h2( l - -^a2 ) + b3h3(-g- -

+ f a 2 - f a 3) ] u ( t n) + [lh + bh2 ( - l a + | a 2 )

+ b2h3( ^ r + b - i t *2 + • ^ a3) + b3hIt( 2^ - !<*

+ fa 2 - f p a 3 +f a 11) l u 1( t n) (4.60)

S u b s titu tin g u '( t ) from equation (4.54) y ie ld s

+ h) = [1 + bh +b2h2( l - a) + b3h3( l - a + -|a2 )

+, utfuij./
b h 1 - 2gd +23
-g^ 2p - 53
^ 3 3 + ^ 94h.\
)

+ b5h5( - -^a + ]Ia 2 - ^ , 3 + 4 3 ^ +^ 5 ) ] u ( t ^)

+ D6,2 (4.61)

where

D692 = ^ + bb2( ” I p + I " 2) + b2b3^2^ + I 01

_ -11,2
qu 4- l l y 3)) +13H
+ b3hl+T-l
(^4 -1 ++ -Q-az
ga llv 2- 3

+ ^ a ‘*)]D5 + b3h*»[|b2d2 - |b 3 d 3 + J J [ W m .

C^F ~ ^ ~ a^ + -I + b2h3 [- -|b3d3

+ ^ 1 r 1 i1 43 5 .34 ^ -i
+ ~2qTb “ J• 2° ~ TT T ® ■*
 64.

+ - ^ b 5hd5(- 1 + | a ) (4.62)

Subtracting (4.61) from (4.56) y ie ld s

u^ n + f ' V f i + f = b‘,h‘, ('5“ ' T “ 2 " f z " 3

- ■gcl‘* ) L,( t n) + bShs (Tgo " F + W * 2 " TZ“ 3

7q -i
+ ^ - 2«5 ) u ( t n) + (D6 j1 - D6 ( 2 ) + 0(h 5) (4 .6 3 )

Nows we fin d y ( t + h) 9
5 n

y i,(tn + rh) = u ( t n) + r h [ ( l - | r + 2r 2)k 3

+ {-|r - 6r 2) k 3 + (4 r2 - 2 r)k H]

ks = b y ^ (tn + h - d)

= [b + b2h(Jj- + a - -^a2 + 2a3) + b3h2{-g-

- -|a - - ^ a 2 + 19a3 - -^ a 1* + 9a5) + b^h3^

U (tn) + [b h (-l - 2a + | a 2 - 2a3) + b2h2( ^ a 2 - ^ a 3

+ • ^ a '1 - 9a5 ) + b 3h 3(-2^- + -ja - 9a2 + -y ? ra 3

- ^ + ^ | 4 5 - 4£»6) + b - h M ^

_ 19 73 j 293 , , 1325 u 1687 *

W + 12° T T * + " 2 4 ^ ■ -STT*
, 140 6 25 7, - i ,. .
+ - y ^ b - ^ a 7) ] u ' ( t n) (4.64)

y 5( t n + b) = U(tp) + h l l k j + | k ^ + | k 5]

= [1 + |bb + b2h2(-j - ^a - "j^a2 + -^a3)

+ b3h 3(~ - | a + | a 2 + j| a 3 - -^ a 1* + | a 5)

+ h^h^f—1— -1 4- ^ 2 73,3 449 ij.

^48 3a 24a ' T 2 a + T f T 1

- f | a 5 + -j|a 6) ] u ( t n) + [^h + h2b ( i - -la

+ - ^ a 2 - ] a 3) + b2h3( ^ - - ] a 2 - ±a 3

+ ■ J a 1* - J a 5 ) + b3hi( ( ^ L ~ -got - -g*2 + 4j~a3

_ 515-a k ^ 89..s 43 R. , ukuI/ 1 19

4 8 “ + T “ 5 ' T?*6 ) + " T44
 - ’j f a 7) l u' (tp ) (4.65)

S u b s titu tin g f rom (4.54) in to (4.65) y ie ld s

y 5 ( t n + h) = [1 + bh + b2h2( | - a ) + b3h3( | - a + | u2 )

+ b ^ h 1^ - ^ “ |c t + 2a2 - '^a 3 ) + b 5h 5 (—j

n
144 i f
, 301 ? 307 q , 157 u 79 q
+ “ 48^ " " 48^ + " TS r

+ " f * 7^ U( V + °6,3 (4.66)

where

ds #3 = + h2b( f " i p + j p 2 “ p 3)
1 3 + 85 ^
- | a 5)
“ 2° 2A0,

+ b3h4( - ^ - l a
37 3 _ 515 b + J§iL,5
- | a 2 + -g-a
43 ,
48 a + -g-a " TP
1 kl+UfW 1 __ 19 | 73 r,2 _ 293a 1325 , 1687
<144 144 75“ 72 a 3 +
144 a 144 a

+ - ^ a 6 - | | a 7)]D5 + bl,h5(-bd + | b 2d2 - | b 3d3

* 1 19 , 73 2293 3 .1325 „
24 ' '144 T44^ 7 ? IT 1 TTT*

- ~^ ^ a5 + ~ Y ja 7) + b3h^(-^b2d2 - ^ b 3d3

, 125.,,,,,,, 1 1. 3 2 , 37 3 515 4
24 ^ 4 8 - l a - ^a "T“ ‘ " ¥ “

+ ^ c *5 - | f a 6) + b2h3(- §b3d3 + J | [ W ) -

(■jf " t V _ ' j 0' 2 ' y 13 + f f 0*1* _ | “ 5) +

125u5u2rl4^ ^ r 7 2 1 3\ (4.67)
24 (g 201 "i "2a ” 3^ )

Thens the LTE o f the method when applied to the lin e a r DDE (4.52) is

LTE = u ( t n+1) - y 5( t n + h)

_ r 1 1 241 2 , 7 3 4 i*
720 If* "4801 I f 1 “ 301

+ | | a 5 - y | | a 6 + | a 7 ] b 5h 5 u ( t n )

+ (D6s1 - D6 j3 ) + 0(h6) (4.68)

And the LTE estimate o f the method y i e l d s 5

 66.

LTE * | [ y 5( t n + h) - yit( t n + h)]

= b ^ f^ a - ^7,2 . 1 ^ 3 -

+ b5h5[72ff ' 45“ + fn “ 2 ■ I? 0 “ 3 + T lV 1*

' T l0 “ S + TZO" 6' 20“ 7] u (t n) + ^°6,3 ~ D6, 2^ + ° ( h6^ (4.69)

Hence, f o r small delay such th a t d ^ and assuming th a t the

s o lu tio n and i t s d e riv a tive s are bounded in the in te rv a l [ t , t n] , then

n n+i
equations (4 .5 5 ), (4 .58), (4 .62), and (4.67) y ie ld :

l D6, J s M! h6> l D6 >2l < M2h6> I b6 931 « M3h6 ( 4 - 70>

. . . . . . .

f o r some constants Mj9 M2, and M3. Since we are in te ste d in estimating

the p rin c ip a l p a rt o f the LTE, we can neglect the terms (D. D_ „) and
0 ,1 ° , O

(D6 g - D6 2) in (4.68) and (4.69) re s p e c tiv e ly . The s ig n if ic a n t p o int

in the LTE estimate (4.69) is the presence o f a term o f order 0(hh ) fo r

a ^ 0while the LTE o f the method is of order 0(h5) . So f o r small delay,

the LTE estimate tends to estimate a term o f order 0(h4) which is an

over estimate o f the p rin c ip a l p a rt of the LTE. If a = 0 then the LTE

estimate is equivalent to the p rin c ip a l part o f the LTE in (4 .68).

Consider the asymptotic behaviour o f the LTE and i t s estimate as

h + 0 in (4.68) and (4.69) re s p e c tive ly , since d is constant, then once

the stepsize is less than d, the formula which gives the LTE and i t s

estimate is d if f e r e n t . The case when h $ d is tre ate d in the fo llo w in g .

4 .3 .1 .2 Large delay

Assume th a t we have the solu tio n and i t s d e riv a tiv e a t the point t s

also assume th a t the delay term can be evaluated e x a c tly fo r any point s

such th a t s $ t , then we can tr e a t equation (4.51) as an ODE, and the

Kutta-Merson method y ie ld s

*1 = U< V + -3hu' ( t n)

y 2 = u ( t n) + ( jh u '( t n) + |h a y 1 + ^h b u (tn + | - d)

y 3 = u ( t n) + j j h u ' ( t n) + | h a y 2 + |h b u ( t p + -lh - d)
 67.

yi,,u =(1 + ha + I *12®2 + I 11333 + 2^ h‘*a', ) u(t n)

+ l h b (1 + ^ i 2a2 + ^ L h 3a3) u ( t - d)

- -|hb(l - ih a - ^ 2a2) u ( t n + -jh - d)

+ 2hbu(tn + -jh - d) (4.71)

y 5,.U = (1 + ha + I h 2a2 + I h 3a3 + ^ h V +

+ ^ ( 1 + ha + ih 2a2 + ^h3a3 + ^ a 1* ) ^ - d)

+ -~h3ba2 ( l + -lh a )u (tn + -|h - d)

+ -^hb(l + ^h a)u (tn + -i-h - d)

+ ^ h b u (tn + h - d) (4.72)

From the re s u lts fo r the Kutta-Merson method given in (3.34) and

(3.35) 9

u ( t n + h) - y ^ u = ^ ( t n9 u ( t n) 9 h) (4 . 73)

and the LTE o f the method y ie ld s

LTE(u) = u ( t n + h) - y5jU

= ’K V Li(tn))hs + 0(h6) (4.74)

For the LTE estim ates we assume

’H V u(t n^ ) h5 = i M V u( V ’ h> + °(h 6) (4.75a)

which leads to

LTE(u) “ ^ (y5 - y j + 0(h6 ) (4.75b)

Now consider the e ff e c t of approximating the delay term on the LTE

and i t s estimate. Assume th a t the delay term in (4.51) is approximated by

z(s) at the point s such th a t

z(s) = u(s) + e(s) (4.76)

Thens the Kutta-Merson method applied to the DDE (4.5T) w ith the exact

s o lu tio n and i t s d e riv a tiv e at the point t , and using (4.76) f o r the

delay term, y ie ld s
 68

y t+,z “ ^ + ha + l ^ 2 + ^ h3a3 + ) u ( t n)

+ -^hb(l + ygh2a2 + *y~h3a3) u (t^ - d)

- -?|hb.(l - --ha - -j^h2a2)z { t^ + i h - d)

+ 2hb z(tn + ^h - d)
(4.77)
and

y s,z = (1 + ha + ¥ 2a2 + ^ 3a3 + 2l hlfalf + m h5a5) u( t n5 '

**" 6 ^ 0 + ha + -^h2a2 + -gh3a3 + -^h^a^ )u (t^ - d)

+ l h 3ba2 (l + i h a ) z ( t n + ~h - d)

+ -|hb(l + ~ h a )z (tn + -~h - d)

+ <jhbz(tn + h - d)
(4.78)

By comparing (4.77) and (4.78) with u(t ^) we get

u^ n + l ^ y^ 9z ^u^ n + l^ y*+siP + ^y4 su ~ y^ 5z^

HW u( t n^ s h) • •

- ^h b (l - -|ha - ^

+ 2hbe(t^ + -^h - d) (4 . 79)

and

LTE(z) - u ( t n+1) - y ^

^ S i+ l^ y 5,u^ + *-y5,u ys 9z^

= * ( t n, u ( tn))h 5 + 0(h6)

+ gh3ba2(1 + ^ a^G(^p ^ "5^ ”*

+ -^-hb(1 + -^ha)e(tn + -^-h - d)

* +-g-hbs(tn + h - d) (4.80)

In the adaptation o f the Kutta-Merson method f o r solving DDE in

section ( 4 .2 .1 .2 ), we mentioned th a t the tru ncatio n e r ro r in approximating

the delay term s a tis fie s
 69.

e(s) = 0(Hq+^ ) , where H/h = 0(1) (4-.81)

and q = 3 i f we use Hermite in te rp o la tio n (4.29) or q = 4 i f we use

the modified Hermite in te rp o la tio n (4.33).

If q = 4 then (4.79) and (4.80) reduce to the standard form o f

Kutta-Merson method, and so the LTE estimate is not affected by the

approximation o f the delay term.

If q = 3, then (4.79) and (4.80) reduce to

u ( t n+1) - y ,,j2 = ^ ( t , u ( t ) , h)

+ h b [ - . | e ( t n + l h - d) + 2 e (tn + - d )] + 0(h6) __ (4.82)

and

UTE(z) = u ( t n+1) - y S)Z

= * ( t n. u ( t n))h 5

+ h b [ | e ( t n + | h - d) + £ e ( t n + h - d) 1 + 0(h6 ) (4.83)

Equations (4.82) and (4.83) used w ith (4.75) y ie ld

LTE(z) = l ( y 5>z - y ^ ) + l h b i | c ( t n + ] h - d)

+ 3s O n + -jh " d) "■'5E:(tri + h - d)] + 0(h6 ) (4.84)

Equation (4.84) shows th a t to get an estimate o f the LTEof the method we

must estimate the e r ro r in approximating the delay term e( s) . Let us

consider an approach s im ila r to the one used f o r estim ating the LTE o f

Kutta-Merson method, l e t

s = t . + rH, 0 £ r < 1, and H ~t . . n - t -

3 3+1 3

then f o r the Kutta-Merson method (4.27) another estimate o f the delay term

is given by

y „ ( s ) = y ( t j ) + rH[(1 - | r + 2r 2) y ' ( t J.)

+ ( | r - 6r 2) y ' ( t j + -jH) + (4r2 - 2 r ) y '( t. +^ H) ] (4.85)

And the LTE f o r y 4(s) when the method (4.27) is applied to the lin e a r

ODE (3.37) is
 70.

u ( t j + rH) - + rH) = -^H I+r 2( l - r )2u ^ ( t n) + 0 (H5) (4.86)

Equation (4.86) shows th a t the p rin c ip a l p a rt o f the LTE in y ^ (t + rH)

is equivale nt to the p rin c ip a l p a rt o f the e rro r in approximating the

delay term given in (4 .3 0 ), so th is approach can not be used here.

Since the purpose o f g e ttin g a LTE estim ate is to use i t fo r c o n tro llin g

the stepsize in va ria b le step alg orith m . So, i f e rro rs o f 0(h5) have been

c o n tro lle d a t e a r lie r stages, then they can be ignored in la te r in te rp o la tio n ,

unless the c o e ffic ie n t o f the e rro r term is very la rg e . Hence we can

assume th a t in general the e rro r introduced by the approximation o f the

delay term is small and the dominant pa rt in the LTE (4.83) is

* ( t n. u ( tn)) h 5

which depends on the present stepsize h. The stepsize h can be changed

to give the required accuracy.

4.3 .2 LTE estim ate fo r the trapezium method and fo r the im p lic it Runge-

Kutta method.

The technique o f halving the stepsize may be used fo r estim ating the

LTE fo r both the trapezium method and the im p lic it Runge-Kutta method, so

we give the treatm ent in general terms.

For a pth order method, to estim ate the LTE, we assume th a t i t has

the form

LTE = u ( t n))h p+1 + 0(hp+Z) (4.87)

Let the method o f approximating the delay term be o f order q. We have

shown in the la s t chapter th a t in order to preserve the order o f the method,

q must s a tis fy q 5 p,

For small delay, then the LTE always has the same form as in (4.87)

fo r q 5 p -1.

For large delay, i f q > p then the LTE o f the method has the same

form as (4 .8 7 ). If q = p-1, the LTE (3.25) o f a numerical method fo r

solving DDE is a combination o f two p a rts , the f i r s t o f the form (4.87)

 71.
and the other depending on the e rro r in approximating the delay term. Hence,

to use step -ha lving in a va ria b le step alg orith m , when the c o e ffic ie n t of

the second p a rt o f the LTE (3.25) is not very la rg e , we assume th a t the

dominant p a rt o f the LTE is the one o f the form (4 .8 7 ), and neglect the

other p a rt introduced by the approximation o f the delay term.

In chapter V, we give re s u lts o f methods fo r so lving DDE w ith d iffe re n t

methods fo r approximating the delay term, and show th e ir e ffe c t on the LTE

estim ate o f the method.

4.4 S ta b ility pro p e rtie s o f numerical methods fo r so lving DDE

We discussed in the la s t chapter the d e fin itio n s o f s t a b ilit y of

methods fo r so lving DDE. The te s t equation used is the lin e a r DDE,

u '( t ) = a u (t) + b u ( t- l) t ^ t (4 . 88)

u ( t) = g (t)

where a and b are complex constants.

We now consider the s t a b ilit y properties o f the methods given in

section (4 .2 ). Assume th a t f o r each method, the numerical s o lu tio n o f

(4.88) is calcu la ted up to the p o in t t w ith a fix e d stepsize h such

th a t

t = t Q + nh, and mh = 1, m e I + (4.89)

Since the purpose o f in tro d u cin g P - s ta b ilit y and Q - s ta b ility , in

d e fin itio n s (3.3) and (3 .4 ), is to fin d methods which can be used in

p ra ctice w ith no r e s tr ic tio n on the stepsize because o f s t a b i l it y , and since

•j
h = —, then as m increases, h decreases. Hence, the im portant case is

to show th a t the method is Q-stable or P-stable fo r small values o f m.

For each o f the fo llo w in g methods fo r solving DDE, we give the re s u lts

fo r m = 1, 2, 3, and 4. Let z(s) be the approximation o f the delay

term a t s.

4.4.1 Kutta-Merson method fo r solving DDE

To advance the numerical s o lu tio n o f the DDE (4.88) to the p o in t

 72.

S i+ l9 Kutta-Merson method y ie ld s ,

y x - y ( t n) + V ( t n) _

y 2 = y ( t n) + ^ h y '(tn) + l h a y x + |hbz(tn + ±h - 1)

ys = y ( V + + + f hbz( t n + | h - o

y^ = (1 + ha + gh2a2 + ~h3a3 + ^ h V * ) y ( t n)

+ ghb(1 + -ygh2a2 + ^ h 3a3) z ( t n - 1)

- |hb(1 - lha - i y , z a2) z ( t n + -lh - 1)

+ 2hbz(tn + gh - 1)

Then

y ^ H + l) - (1 + ha + “ h2a2 + -i-h3a3 + -^h ^a4 + -pp;h5a5) y ( t n)

+ gg(l + ha + ^ h 4 a4 )z (tn - 1)

+ gh3ba2(1 + I h a ) z ( t n + gh - 1)

+ ghb(1 + gha)z(tn + gh - 1)

+ ^hbz(tn + h - 1) (4.90)

Using co n d itio n (4 .8 9 ), and assuming th a t the values o f the s o lu tio n and

i t s d e riv a tiv e are stored at e a r lie r mesh p o in ts , then using Hermite

in te rp o la tio n fo r evaluating the delay term, we get

z ( t n + i h - 1) = z ( t n_n + | h )

= + ^ ha)y ('t'n-m^

+ 4j - ^ a ) y ( t n. m+1) + ^ h b y ( t n_zJ

" 27hby(t n-2m+l) ( 4 -91)

z ( t n + | h -1*1) = z ( t n_m + lh ) ' -

= ( g + ^ h a ) y ( t n_in) + ( g - g h a ) y ( t n_m+i )

+ X y ^t n-2m^ - ^k'y t ‘t n-2m+l^ (4 .9 2 )

Then (4.90) becomes

 73.

y (tn+1) = (1 + ha + ^ + lh 3a3 + t T| ^ s a5)y(t n)

+ hb(l + yjha - ^ h 2a2 - yjgg^a3 - |$gh‘ta‘*)y(t n_m+l ^

+. hb(? + -J2*18 + T O h2a2 + T23ffh3aS + T Z g S ^ ^ ^ V m )

- h2b2( ^ + ^ha + - j ^ a 2 +. 6TOh3a3)y (tn_2ni+l>

+ h2b2(T2- + T^+ia + -^-h2a2 + ^ • h3a3)y(t n_Zm) (4.93)

A ll the so lu tio n s o f the d iffe re n ce equation (4.93) tends to zero as n ■* »

i f a ll the roots o f the c h a ra c te ris tic equation are in the u n it c ir c le .

The c h a ra c te ris tic equation is

s2m+1 - (1 + ha + -|jh2a2 + lh 3a3 + ^ a 1* + ^ S a S ^ m

- ^ (1 + ih a - p fh 2a2
o 648h a

- > + |h a +
W h2a2 + T O h3a3 +
^ h2b2
+ -gh2a2 + 55h3a3)S
+ 12 0 + I ha

- + -jha + |h 2a2 + ^ M a 3) = 0 (4.94)

When a and b are re a l, we give in fig u re (4 .1) the P - s ta b ilit y

regions fo r m = 19 2, 3, 4, and compare i t w ith the s t a b ilit y region o f

the DDE (4.88) in the a,b-plane. A ll the P - s ta b ility regions are closed

regions, they in te rs e c t w ith the a-axis a t the p o in t a = 3.54.m. The

in te rv a l on the a-axis gives the absolute s t a b ilit y in te rv a l fo r ODE

according to d e fin itio n (3 ,1 ).

If a - 0 and b is complex, we give in fig u re (4 .2 ) the Q - s ta b ility

region fo r m - 1, 2, 3, 4, and compare i t w ith the s t a b i l it y region o f the

DDE (4.88) in the b-plane.

4.4.2 The trapezium method fo r solving DDE

To advance the s o lu tio n from the p o in t t to the p o in t t , t , the

n n+ i
trapezium method y ie ld s

y ( t n+1) = y ( V + ^ t n + i))

+ - r ( z ( t n - 1) + z ( t n + h - 1)) ' (4.95)

 74.

Vw

V n =* L

F ig . 4.1 P - s ta b ilit y regions o f the Kutta-Merson

method fo r solving DDE., w ith the s t a b ilit y

region o f the DDE (4 . 88)5 a and b re a l.

 o . 1+

-l.k -a. 0. 6

--Q -z.

F ig . 4.2 Q - s ta b ility regions o f the Kutta-Merson

method fo r solving DDE, w ith the s t a b ilit y

region o f the DDE (4 .8 8 ), a = 0 and b

complex.
Using condition (4 .8 9 ), i t is cle a r th a t we get the same s o lu tio n a t t n+^

in (4,95) whether we use lin e a r or Hermite in te rp o la tio n fo r approximating

the delay term, then

y< W = y(V + ir< y (V + y< W >

+ T ( y ( t n-m) + <4-95)

Then the c h a ra c te ris tic polynomial is

(T - ^ ) 5 m+1 - (1 + ^ ) 5 m - ^ m- ^ = 0 (4.97) |

When a and b are re a l, we give in fig u re (4,3) the P - s ta b ilit y

region fo r tn = 1} 2 S 3, 4, and the s t a b ilit y region o f the DDE (4.88) in

the (a ,b )-p la n e .

When a = 0and b is complex, we give in fig u re (4 .4 ) the Q - s ta b ility

region o f the method fo r m =» 1, 2, 3, 4, and compare i t w ith the s t a b ilit y

region o f the DDE (4 .8 8 ),in the b-plane.

We mention here th a t Cryer (1973) proved th a t the method is Q-stable

fo r b re a l.

4 .4 .3 The im p lic it Runge-Kutta method fo r so lvin g DDE

By applying the im p lic it Runge-Kutta method to advance the s o lu tio n

o f the lin e a r DDE (4.88) from the p o in t tn to t -j» we get

1 + Iba +-rU zaz i£(1 + 3 .)

y(t ) = ------ 1 ------ E ------y ( t ) + ----- 6--------- f -------z ( t - 1)
1 - |h a t - ^ a 2 1 " ^ ha + T ^ 2®2

ih b hbf l ha. (4.98)

+ . lu . T (l T ‘
z ( t n + ■jh - 1) + r T T T T z ( t n + h " 1)
1 - ^ha + " 2 ' 1 - -£ha + ^ h 2a2

Using the assumption (4 .8 9 ), then i f we use Hermite in te rp o la tio n o f the

th ir d degree fo r approximating the delay term, z ( t + Jyh - 1) has the same

form as in (4 ,9 2 ), then (4.98) becomes

 77.

Fig . 4.3 P - s ta b ilit y regions of the trapezium method,,

w ith the s t a b ilit y region o f the DDE (4 .8 8 ),

a and b are r e a l.
 0-C

a -a .

- f -2.

F ig . 4.4 Q - s ta b ility region o f the trapezium

method, w ith the s t a b ilit y region o f

the DDE (4 .8 8 ), a = 0 and b complex.

 79.

hb
6
+ (3 + h a )y (tn_m) + (3 - h a j y f t ^
ha h2az L

+ ^ V z m 5 " 2hby( V 2m+l>

(4.99)

Then the c h a ra c te ris tic polynomial is

(4.100)

For a and br e a l, we give in fig u re (4 .5) the P - s ta b ilit y regions

fo r m = 1, 2, 3, 4, and the s t a b ilit y region o f the DDE (4 .8 8 ).

If a ~ 0S b complex., the Q -s ta b ility c h a ra c te ris tic equation o f the

im p lic it Runge-Kutta method is the same as th a t o f the Kutta-Merson method

fo r so lvin g DDE (4 .9 4 ). Hence the Q -s ta b ility region fo r the im p lic it

Runge-Kutta is the same- as in fig u re (4.2) fo r m = 1, 2, 3, and 4.

Remark 4.1

I t is c le a r from the fig u re s (4.2) and (4.4) th a t the regions o f

Q - s ta b ility fo r m = 1, 2S 3, and 4 are a ll greater than or equal to the

s t a b ilit y region o f the DDE (4.88) in the b-plane fo r a ll the methods

considered. Also in fig u re s (4 .3 ) and (4.5) the P - s ta b ilit y regions fo r

the trapezium method and the im p lic it Runge-Kutta method are greater than

the s t a b ilit y region o f the DDE (4.88) in the a, b-plane, and so the

stepsize is not re s tric te d by the s t a b ilit y pro p e rtie s o f the method. For

the Kutta-Merson method, fig u re (4.1) shows the e ffe c t o f choosing a c e rta in

stepsize on the P - s ta b ilit y region. We w ill give numerical re s u lts in the

next chapter to show the e ffe c t o f the s t a b ilit y p ro p e rtie s o f the method

on the choice o f the stepsize.

Remark 4.2

The way we ca lcu la te the s t a b ilit y region, fo r example fig u re (4 .1 ),

is by ta kin g d iffe r e n t values o f (a, b ), the v e r tic a l and h o rizo n ta l axes,

 80.

■m= l .

F ig . 4.5 P - s ta b ility regions of the im p lic it

Runge-Kutta method. With the s t a b ilit y

region o f the DDE (4 .8 8 )s a and b re a l.

 81.

and fin d in g the roots o f the s t a b ilit y polynomial using the NAG lib r a r y

ro utine C02ADA. I f a ll the roots have magnitude less than one then we

accept the value o f (a 9 b) as p a rt o f the s t a b ilit y region. For the

P - s ta b ilit y regions we change, the values o f a and b by 0.25 each tim e,

and fo r the Q - s ta b ility region by 0.1 each tim e. I f i t appears in some o f

the fig u re s th a t the curves are id e n tic a l, th is is not e x a c tly so, but

they are the same f o r the accuracy we are using.

Remark 4.3

I t is not easy to prove P - s ta b ility o r Q - s ta b ility re s u lts fo r general

m. Our conjecture is th a t a ll the methods we have considered are Q -stable,

and the trapezium method and the im p lic it Runge-Kutta method fo r s o lvin g

DDE are also P -stable.

 CHAPTER V

NUMERICAL RESULTS AND ALGORITHMS

5.1 In tro d u ctio n

The evaluation o f a numerical method fo r the s o lu tio n o f d iffe r e n tia l

equations depends on many fa c to rs includ ing

( i ) lo ca l tru n c a tio n e rro r,

( i i ) s t a b ilit y c h a ra c te ris tic s ,

( i i i ) e rro r propagation.

Mathematical analysis can u su ally give an evaluation o f these fa c to rs , as

in section (4.3) and (4 .4 ). However mathematical re s u lts fo r d iffe r e n t

methods may be incomplete or d i f f i c u l t to compare and they often re q u ire

s im p lify in g assumptions fo r any n o n -tr iv ia l problem. Thus numerical re s u lts

are fre q u e n tly used to te s t and compare d iffe r e n t methods.

For te s tin g and comparing numerical methods fo r so lv in g i n i t i a l

value ODE, Krogh (1970) presents a guide to the steps required when

producing a set o f re s u lts which should give a reasonably complete evaluation

o f a method. Hull e t al (1972) present a v a rie ty o f i n i t i a l value problems

fo r te s tin g a numerical method, also they suggest a basis fo r comparing

numerical methods based on how w ell they can handle r e la t iv e ly ro u tin e

 83.

in te g ra tio n under a v a rie ty o f accuracy requirements.

Since any ODE is a special case o f DDE, every method fo r solving DDE

is also a method fo r solving ODE, so we w ill not be concerned w ith the

pro p e rtie s o f numerical methods fo r solving i n i t i a l value ODE. This is

in ve stig a te d very thoroughly in the lite r a tu r e , we mention here in p a rtic u la r

E nright e t al (1974a) fo r the evaluation o f Kutta-Merson as a general purpose

method fo r the numerical so lu tio n o f n o n - s tiff i n i t i a l value problems.

For the evaluation o f numerical methods fo r s t i f f i n i t i a l value problems,

where good s t a b ilit y p rope rties o f the method are u s e fu l, E nrig ht e t al (1974b)

discuss concepts fo r measuring the cost and r e l i a b i l i t y o f numerical

methods, and give p re lim in a ry re s u lts o f evaluating some im p lic it one-step

methods.

In th is chapter a fte r describing the p ra c tic a l considerations in

using a pth order one-step method fo r solving DDE, we present a s e le c tio n

o f te s t problems designed to show:

(1) the performance o f the method w ith a v a ria b le stepsize under

d iffe r e n t accuracy requirements,

(2) the e ffe ctive n e ss o f the local tru n c a tio n e rro r estim ate,

(3) the r e s tr ic tio n on the stepsize by the s t a b ilit y p ro p e rtie s o f

the method,

(4) the e ffe c t o f having d e riv a tiv e d is c o n tin u itie s a t points in

the range o f in te g ra tio n and the a b ilit y o f the method to cope

w ith them,

(5) the e ffe c t o f approximating the delay term.

5.2 D escription o f algorithm s fo r solving DDE

The implementation o f any numerical method fo r s o lv in g DDE in a

v a ria b le step alg orith m must co n sist o f the fo llo w in g :

( i) a formula fo r computing the next approximation to the s o lu tio n and

estim ating the local tru n c a tio n e rro r,

( i i ) a stra te g y fo r accepting the s o lu tio n and choosing the next stepsize.

Assume th a t the s o lu tio n is evaluated a t the p o in t t and i t is required

 84.

to advance the s o lu tio n to the p o in t t ^ w ith the stepsize h = t .j - t .

One o f the basic requirements fo r any. numerical method fo r computing the

next approximation a t t +-j is the storage o f s u ffic ie n t back inform ation

so th a t the method can evaluate the delay term when i t is required a t

some p o in t t £ t n- The amount o f inform ation to be stored at each time

step depends on the method fo r approximating the delay term, but the in te rv a l

on which the info rm a tion is to be stored and the number of q u a n titie s to

be stored on th a t in te rv a l should be fle x ib le and adaptable fo r each problem,

depending on the nature o f the delay and the required accuracy re s p e c tiv e ly .

I f the delay term needs to be evaluated a t some p o in t t £ t Q, where tQ

is the i n i t i a l p o in t, then the i n i t i a l fun ction must be used.

For a stra te g y fo r accepting the so lu tio n and choosing the next

ste p size , assume th a t we are given a required e rro r tolerance e, and th a t

the lo ca l tru n c a tio n e rro r is estimated by E, then we make the fo llo w in g

te s ts :

(a) I f E > s, then re je c t the computed s o lu tio n . For choosing the next

ste p size , we have to take account o f the p o s s ib ility o f a p o in t o f jump

d is c o n tin u ity in the kth d e riv a tiv e o f the s o lu tio n , where k $ p+1.

Hence we re g is te r the p o in t t* - t + h as a possible p o in t o f d is c o n tin u ity

and then we choose the next stepsize as h /2 . Using the stepsize h/2

and the s o lu tio n and it s d e riv a tiv e values a t tn we c a lc u la te the next

approximation o f the s o lu tio n and the LTE estimate E, and repeat the

te s t in ( a ) .

(b) I f E$ e then accept the next approximation to the so lu tio n and le t

the next mesh p o in t ' be t Rjj= t n + h. For choosing the next stepsize

we make the fo llo w in g te s ts :

( i) I f E ^ e/2p+^ , keep the same stepsize and go to ( i i i ) .

( ii) I f E < e /2 ^ then: I f t * $ t n tthen double the stepsize

otherwise keep the same stepsize and go to ( i i i ) .

( iii) If t n+h > T, where T is a p o in t where the s o lu tio n is re quire d,

then we take the next stepsize to be h = T - t . Using the

 85.

stepsize h and the s o lu tio n and i t s d e riv a tiv e values we

c a lc u la te the next approximation and repeat the te s t in (a ).

Remark '5 J

The stra te g y o f halving and doubling to get the next stepsize is

a rb itra ry ., and one can choose other fa c to rs fo r decreasing and increasing

the ste p size , but because o f the p o s s ib ility o f d e riv a tiv e jump d is c o n tin u ity

o f the s o lu tio n one should always have upper and lower lim its on the

choice o f the next ste p size , say h/2 and 2h, so th a t the stepsize w ill

not flu c tu a te w ild ly .

Following th is general discussion, we now describe the way we

implemented the method developed in section (4.2) f o r solving DDE.

5.2.1 Kutta-Merson method fo r solving DDE

We implemented the Kutta-Merson method (4.27) in an Algol program

f o r so lving a general system o f i n i t i a l fu n ctio n DDEs w ith m u ltip le delays

o f the form:

u '( t ) = f ( t , u ( t ) , . u ( t - d j ( t , u ( t ) ) , . . . , u ( t - d j t , u ( t ) ) ) ) ,

t0 S t S T (5.1)
and

U (t) = g ( t ) s t E [ t * , t 03 (5.2)

where

t * = min [ t - d j t , u ( t ) ) 9— , t- d ( t , u ( t ) ) ] ,
t 0*t$T ~ m "
d.|(t, jj ( t ) ) £ 0, i = 1 , o . . 3 tn5

and u^t) is an n dimensional ve c to r. The s o lu tio n is required on the

in te rv a l [ t Q, T ], The program requires three procedures depending on the

problem to be solved,

(1) a procedure to evaluate the s o lu tio n fo r t $ t , using the i n i t i a l

fu n ctio n (5 .2 ), o f the form:

INIFUN(TNp Y);

where Y is an n dimensional a rra y , which contains the so lu tio n value

a t the p o in t TN on e x it.

(2) a real procedure to evaluate the it h delay, o f the form:

D(TN, Y, I ) ;

where Y is an n dimensional array which contains the s o lu tio n value a t

the p o in t TN.

(3) a procedure fo r evaluating the d e riv a tiv e o f the form:

FUN(TN, Y, YD, F ) s

where TN is the value o f the dependent v a ria b le , Y is an n dimensional I

array which contains the value o f the s o lu tio n a t the p o in t TN, and YD

is an n x m array which contains the value o f the delay term which is a

ve cto r o f dimension n evaluated at the p o in t TN - D(TN, Y, I ) fo r

X 1, 2 , . * . , m. I

The other inform ation needed by the program is the size o f the system n,

the number o f delays m, the in te rv a l fo r the required inform ation to be j

sto re d , and the number o f q u a n titie s to be stored on th a t in te r v a l. The

main program consists o f three p a rts:

(1) a procedure fo r lo c a tin g and evaluating the delay term , j

(2) a procedure fo r advancing the s o lu tio n a t the p o in t t +-j,

(3) a procedure fo r s to rin g the required inform ation a t each in te r v a l.

5 .2 .2 . The trapezium method and the im p lic it Runge-Kutta method fo r

so lvin g DDE

Since we are in te re s te d in the good s t a b ilit y p ro p e rtie s o f the

trapezium method and the im p lic it Runge-Kutta method fo r solving DDE discussed

in section (4 .4 ), we implemented them only fo r a system o f lin e a r DDE o f

the form

u / ( t ) •== A jj(t) + B u (t-d ), t 5 tQ (5.3)

H (t ) = 9 ( t ) 9 t s [-d , t Q]

where jj( t) is an n dimensionalv e c to r, A and B are n * n matrices

and d is a constant.

The s tru c tu re o f the program fo r solving the system (5 .3 ) using the

trapezium method or the im p lic it Runge-Kutta method is b a s ic a lly the same

as the one described in section (5 .2 .1 ). The only d iffe re n c e here is th a t,

since these methods are im p lic it , we need to solve a system o f lin e a r

equations, fo r which we use two procedures. The f i r s t is to fa c to riz e a

m a trix in to a lower and upper tria n g u la r m atrices, interchanging the rows I

i f necessary, and te s t fo r s in g u la rity . The second is to solve a system

o f lin e a r equations using the re s u lts o f the f i r s t procedure. The f i r s t

procedure is used only when the stepsize is changed, and the second is

used a t each step.

5.3 Test problems and numerical re s u lts

The fo llo w in g te s t problems are chosen from a v a rie ty o f DDE, w ith

so lu tio n s e ith e r smooth or having d e riv a tiv e d is c o n tin u itie s a t some points

in the range o f in te g ra tio n . For each o f the problems solved on a given

range and fo r a required accuracy, we present the maximum global

d is c re tiz a tio n e rro r on the range o f in te g ra tio n as a measure o f the

r e li a b i l i t y o f the method and the number o f d e riv a tiv e evaluations on th is

in te rv a l as a measure o f the e ffic ie n c y of the method.

The f i r s t problem is chosen to show the meaning o f s tiffn e s s fo r

DDE, and the advantage o f having methods which have no r e s tr ic tio n on the.

stepsize because o f s t a b ilit y prope rties o f the methods. The remaining

examples are solved w ith the Kutta-Merson method fo r DDE. To show the

e ffic ie n c y o f the method in coping w ith points o f d is c o n tin u ity , we give

the re s u lts f i r s t by le t t in g the method choose the mesh points and then

comparing them w ith the re s u lts when the points o f d e riv a tiv e d is c o n tin u ity

are forced to be mesh p o in ts . To show the e ffe c t o f approximating the

delay term on the e ffic ie n c y and r e l i a b i l i t y o f the methods we solve a ll

the problems w ith the delay term evaluated e xa ctly and then compare i t

w ith the re s u lts when the delay term is approximated by one of the methods

given in section (4 .2 .1 .2 ).

In a ll the problems solved we use the s ta rtin g stepsize h = 0.1 and

 88.

we use an absolute e rro r te s t unless otherwise s ta te d . A ll the c a lc u la tio n s

are performed on the CDC 7600 computer which has a 4 8 -b it mantissa

(equivalent to approximately fifte e n decimal d ig it s ) .

The fo llo w in g notation is used in the tables

e = the required e rro r tolerance,

ND = number o f d e riv a tiv e evaluations,

GE = the maximum global d is c re tiz a tio n e rro r on the in te rv a l

o f in te g ra tio n ,

* = the in te g ra tio n was terminated w ith stepsize very sm all.

Problem 5.1

u '( t ) = a u (t) + b u (t - d ), 0 < t £ T (5.4)

s •t
u (t) = E-e 1 , t e [-d , 0] (5.5)

where s* are some o f the real roots o f the c h a ra c te ris tic equation

h(s) = s - a - be"ds (5 .6 )

Equation (5 .4 ) is a lin e a r DDE w ith constant delay, and has a smooth

s o lu tio n o f the form

s.t
u (t) = e e 1 3 t $ 0

We have mentioned in section (2.4) th a t the c h a ra c te ris tic equation

(5.6) has an in f in it e number o f ro o ts . Also i t is c le a r from the form o f

equation (5.6) th a t i t has a t most two real ro o ts . Here we are going to

in v e s tig a te num erically the e ffe c t o f choosing d iffe r e n t values o f the

roots on the s t a b ilit y prope rties o f the method considered. The choice

o f the values o f a and b is such th a t a ll the roots have negative

real p a rts .

In a v a ria b le stepsize algorithm , fo r small values o f t the

stepsize is re s tric te d by re q u irin g small local tru n c a tio n e rro r, and fo r

large values o f t the stepsize is re s tric te d by the absolute s t a b ilit y

consideration s. Since the s o lu tio n is smooth, the method should take

successively la rg e r steps as t increases u n til the boundary o f the

s t a b ilit y region is reached, when i t should continue the in te g ra tio n

w itho ut in tro d u cin g s ig n ific a n t o s c illa tio n s in to the s o lu tio n . Also the

numerical re s u lts should show the effectiveness o f the loca l tru n ca tio n

e rro r estim ate in c o n tro llin g the stepsize and i t s re la tio n w ith the

absolute s t a b i l it y requirement. We give the numerical re s u lts fo r the

s o lu tio n on d iffe r e n t ranges; fo r the la rg e r ranges o f in te g ra tio n the

stepsize should get progress!vely la rg e r t i l l i t a rriv e s a t the boundary

o f the s t a b ilit y region o f the method, and i f any e rro r is introduced a t

e a rly stages o f the in te g ra tio n i t should not grow as the in te rv a l o f

in te g ra tio n gets la rg e r.

5.1-a

a = - 105

b - 1

d = &n(105 - 1)

_4-
The s o lu tio n : u ( t) = e , t 5 0.

The re s u lts are given in tables (5.1) and (5.2) when using the

trapezium method w ith lin e a r in te rp o la tio n and the trapezium method w ith

Hermite in te rp o la tio n re s p e c tiv e ly . In tab le (5 .5 ) the re s u lts are given

fo r the im p lic it Runge-Kutta fo r solving DDE w ith Hermite in te rp o la tio n .

These re s u lts show th a t the methods have achieved the required accuracy,

apart from e = 10" 10 in table (5.5) fo r the im p lic it Runge-Kutta method.

Also the re s u lts show th a t fo r the la rg e r in te rv a ls o f in te g ra tio n a

bigger stepsize is used. Table (5.1) and (5.2) show th a t there is no

s ig n ific a n t gain in using a higher in te rp o la tio n polynomial fo r approximating

the delay term w ith the trapezium method. In these ta b le s , changing the

required accuracy from 10“ 2 to 10"6 makes no d iffe re n c e to the re s u lts ;

th is is because the s ta rtin g stepsize is small and although the method

 90.

increases i t successively i t a rriv e s a t the end o f the in te g ra tio n in te rv a l

before g e ttin g the optimal s te p s iz e .. In tables (5.3“)» (5 J£)5 and (5.6)

we give the re s u lts fo r th is problem using the same methods as before

but w ith the s ta rtin g stepsize equal to the in te rv a l o f in te g ra tio n ;

these re s u lts show th a t we need the same number o f d e riv a tiv e evaluations

on the d iffe r e n t in te g ra tio n in te rv a ls fo r the required accuracies 10~2

and lO "4 .

When we attempted to solve th is problem w ith the Kutta-Merson method

fo r so lvin g DDE., the stepsize was very s m a ll9 about 5 x 10~5 9 and the

global e rro r kept o s c illa tin g . This problem is an in te re s tin g one which

shows the kind o f s tiffn e s s encountered w ith DDE and the usefulness o f

having methods w ith good s t a b ilit y p ro p e rtie s .

5.1-b

a = -10

b = 1

d = an(9)

si

The s o lu tio n : u ( t) = e~^9 t $ 0.

In tables (5 .7 ) and (5.8) the re s u lts are given when the trapezium

method w ith lin e a r in te rp o la tio n and the trapezium method w ith Hermite

in te rp o la tio n are used re s p e c tiv e ly . In tab le (5.9) the re s u lts are

given when using the im p lic it Runge-Kutta method w ith Hermite in te rp o la tio n s

and in (5.10) the re s u lts fo r the Kutta-Merson method w ith Hermite

in te rp o la tio n . A ll the re s u lts showth a t we have achieved the required

accuracy., and ta b le (5 .8) shows th a t there is no s ig n ific a n t gain in

using Hermite in te rp o la tio n w ith the trapezium method. Table (5.10) shows

th a t fo r a low accuracy requirement ( e = 10“ 2) 9 the method needs almost

twice the number o f d e riv a tiv e evaluations when the in te rv a l o f in te g ra tio n

is doubled. Also the stepsize o s c illa te s between two values which shows
 91.

the r e s tr ic tio n imposed by the s t a b ilit y requirement o f the method.

5.1-c

a - -0.54557126968

b = -0.45397452872

d = 10“ 3

s x = -1 , s2 = -10000

The s o lu tio n : u (t) = e_ t + t $ 0.

This is an in te re s tin g problem* where one would encounter s tiffn e s s

.Conipl<£

fo r an ODE w ith a^funheition s im ila r to the one above. In ta b le (5.11)

and .(5.12) the re s u lts are given fo r the trapezium method w ith lin e a r

in te rp o la tio n and the trapezium method w ith Hermite in te rp o la tio n

re s p e c tiv e ly . In ta b le (5.13) the re s u lts are given fo r the im p lic it

Runge-Kutta method. The poor re s u lts fo r high accuracy requirement are

m ainly due to the u n r e lia b ilit y o f the LTE estimate in c o n tro llin g the

stepsize a t an e a rly stage o f the in te g ra tio n * the stepsize gets progressively

la rg e r fo r large in te r v a l. Also in tables (5.11) and (5.12) there is no

s ig n ific a n t improvement when using a higher in te rp o la tio n formula w ith

the trapezium method.

In ta b le (5.14) we give the re s u lts when using the Kutta-Merson method

fo r so lvin g th is problem. The re s u lts show th a t the method performs very

w ell in achieving the required accuracy and the stepsize gets progressively

bigger fo r large in te r v a l.

5.1-d

a = 0

b =-1

d = 1CT3

Sjl = -1 .001001502672

s2 = -9118.006470403
 92.
Sjt s2t
The s o lu tio n : u (t) = e + e , t ^ 0.

Since a ll the methods considered are Q -stable, there should be no

s t a b ilit y problem in solving th is problem. In tab les (5.15) and (5.16)

we give the re s u lts fo r the trapezium method w ith lin e a r in te rp o la tio n

and fo r the trapezium method w ith Hermite in te rp o la tio n re s p e c tiv e ly . In

ta b le (5.17) we give the re s u lts when using the im p lic it Runge-Kutta method

w ith Hermite in te rp o la tio n , and in ta b le (5.18) we give the re s u lts when

using Kutta-Merson method fo r solving DDE w ith Hermite in te rp o la tio n . For

high accuracy requirements the Kutta-Merson method and the im p lic it

Runge-Kutta achieve the required accuracy, but the trapezium method does

not because o f the .low order o f the method. Also in tables (5.15) and

(5.16) show th a t there is no s ig n ific a n t improvement in using higher order

in te rp o la tio n formula fo r approximating the delay term w ith the trapezium

method.

Remark 5.2

One w ill encounter s tiffn e s s s im ila r to th a t fo r a system o f lin e a r

ODE when the eigenvalues o f the matrices A or B in equation (5 .3)

d if f e r w idely re la tiv e to the time scale. From the case considered fo r

problem (5 .1) we suggest the fo llo w in g d e fin itio n o f s tiffn e s s f o r DDE:

"The lin e a r DDE (5 .4) is c a lle d s t i f f i f |a |d or |b |d is large r e la tiv e

to the time sca le ".

Problem 5.2

u 1( t ) = - u ( t - 1) , t 5 0

u(0) = 1

u ( t) = 0, -1 t < 0

Results to be given fo r t e [0, 6 ].

The delay: d = 1

Inform ation needs to be stored fo r a back distance = 1.

The s o lu tio n :
D is c o n tin u ity a t t = j 9 j = 0 9 1, 2, . . . 9 in the j t h d e riv a tiv e .

In ta b le (5.19) the re s u lts are given when the method is l e f t to

choose the mesh points and in ta b le (5.20) the re s u lts when the points o f

d e riv a tiv e d is c o n tin u ity are forced to be mesh p o in ts . In both cases we

considered three ways fo r approximating the delay term., by using the

tru e s o lu tio n to evaluate the delay-term , by using Hermite in te rp o la tio n

o f the th ir d degree3 and by using the modified Hermite in te rp o la tio n o f ;

the fo u rth degree (described in. section (4 .2 .1 .2 )) . These re s u lts show: j!

th a t there is no gain in using the modified Hermite in te rp o la tio n , though j
i t is more expensive in d e riv a tiv e evaluations and in the amount o f

info rm a tion needed a t each step, so we w ill not consider th is method fo r

oth er problems. Also the re s u lts o f ta b le (5.19) show th a t the method is

successful in choosing s u ita b le mesh points to achieve the required

accuracy, though i t uses a s lig h t ly la rg e r number o f d e riv a tiv e evaluatio ns.

Problem 5.3

u '( t ) = -u (e xp (l - 1/ t ) ) + 1, 0 < a $ t $ b

u ( t) = £ n ( t) , 0 < t $ a

Results to be given fo r t s [1 , 10].

The delay: d ( t) = t - exp(l - 1 / t ) .

Inform ation to be stored only fo r t e [1 , e ].

The s o lu tio n : u ( t) = £ n ( t) , t 5 a.

For th is problem the s o lu tio n is smooth and i t s d e riv a tiv e depends

only on inform ation in the in te rv a l [ 1, e ], and the delay is zero at the

s ta rtin g p o in t t = 1. In tab le (5.21) the re s u lts are given fo r th is

problem when using the Kutta-Merson method fo r solving DDE w ith f i r s t

the delay term evaluated e x a c tly and then w ith Hermite in te rp o la tio n to

approximate the delay term. The re s u lts show th a t there is not much

d iffe re n ce in the accuracy achieved and the number o f d e riv a tiv e evaluations
 94.

is not a ffe cte d by approximating the delay term.

Problem 5.4

u '( t ) = - u ( t - 1 + e "t ) + s in (t - 1 + e“ t ) + c o s t,

t 5 0

u (t) = s in ( t ) , t ^ 0

Results to be given fo r t £ [0, 10 ].

The delay: d ( t) - 1 - e^

Inform ation needs to be stored fo r a back distance » 1.

The s o lu tio n : u ( t) = s in ( t ) .

This problem has a smooth p e rio d ic s o lu tio n * and the delay is zero

a t the s ta r tin g p o in t. In tab le (5.22) the re s u lts are given when the

problem is solved w ith the Kutta-Merson method fo r DDE* f i r s t w ith the

delay term evaluated e xa ctly and then w ith Hermite in te rp o la tio n fo r

approximating the delay term.

Problem 5.5

u 1( t ) = + [u (t/(l + 2 t ) 2 ) f 1+2t)\ t * 0

u(0) = 1

Results to be given fo r t e [0* 10].

The delay: d ( t) = t -------- — -

v 1 ( l+ 2t )2
1
Inform ation needs to be sotred only fo r t e [0* -g].

The s o lu tio n : u ( t) = e+ t .

Since the s o lu tio n o f th is is increasing very fa s t* we use a

r e la tiv e e rro r te s t. In ta b le (5.23) we give the maximum r e la tiv e global

e rro r and the number o f fu n c tio n evaluations when the problem is solved

by Kutta-Merson method fo r DDE, w ith the exact s o lu tio n fo r evaluating

the delay term and Hermite in te rp o la tio n fo r eva lu a tin g the delay term.

Problem 5.6

u '( t ) - c o s (t) . u (u (t) - 2), t £ 0

u ( t) = 1, t $ 0
 95

Results to be given fo r t e [0, 10],

The delay: d ( t 9 u ( t) ) = t - u (t) + 2

The s o lu tio n : u (t) = s in ( t ) + 1, t 5 0.

By knowing the solu tion^ we notice th a t there is no need to store

any in fo rm a tio n 9 since d ( t 9 u ( t) ) ^ t 9 and so the method always uses the

i n i t i a l fu n c tio n fo r evaluating the delay term. The re s u lts are given in

ta b le (5.24) using the Kutta-Merson method f o r DDE.

A ll the fo llo w in g problems are solved by using the m odified Kutta-

Merson method fo r so lving DDE w ith Hermite in te rp o la tio n fo r approximating

the delay term and w ith the exact s o lu tio n fo r evaluating the delay term.

Problem 5.7

u1( t ) = ~r e x p (u (u (t) ~ Jtn(2).+ 1)) 9 t ^ l

u ( t) = 0, t * 1

Results to be given fo r t e [1 9 3 ].

The delay: d ( t 9 u ( t) ) = t - u ( t) + zn(2) - 1

The s o lu tio n :

Jin(t) 1 ^ t $ 2
u (t)
| + £n{2) - 19 2 ,< t ,< 3

The s o lu tio n has d e riv a tiv e d is c o n tin u itie s a t the po ints t = 1

and 2 in the f i r s t and second d e riv a tiv e re s p e c tiv e ly . Notice th a t the

back distance o f inform ation needed and the lo c a tio n o f points o f

d e riv a tiv e d is c o n tin u ity are not known a p r io r i . The re s u lts are given

in ta b le (5.25) and (5 .2 6 ).

Problem 5.8

u '( t ) = ^ u ( t ) . u ( £ n ( u ( t ) ) ) 9 t ^ 1

u ( t) = 19 t ^ 1

Results to be given fo r t e [1 9 e2] .

The delay: d ( t 9 u ( t) ) = t - n n (u ( t)).

The s o lu tio n :
 96

1 s t ^ e
u(t) =
e x p (t/e ) e £ t £ e2

W ithout knowing the s o lu tio n o f th is problem one cannot determine

the po ints o f d e riv a tiv e d is c o n tin u itie s a t t - 1 and t = e in the

f i r s t and second d e riv a tiv e re s p e c tiv e ly . Also i t is not possible to

know the back distance fo r s to rin g the required in fo rm a tio n . The re s u lts

are given in tables (5.27) and (5 .28).

Problem 5.9

u ' ( t) = u2(t)

U ^(t) = -u2(exp(l-u2( t ) ) . [ u , ( t ) ] 2 .exp(t-u2( t ) ) ,

w ith

ux ( t ) = a n (t)

u2 ( t ) = 1 / t

Results to be given fo r t e [1, 10]

The delay; d ( t, jj( t )) = t - exp(l - u2( t ) )

The s o lu tio n :

ux (t ) = Jin(t)
t $ a > 0
u2 ( t ) = 1 / t

This problem is a system o f f i r s t order DDE w ith a smooth s o lu tio n .

The back distance fo r the inform ation to be stored is not known a p r io r i .

Results are given in tab le (5 .2 9 ).

Problem 5.10

For te [0, 1]

u j( t ) = u5( t - l ) + u3( t - l )

u * ( t) = U j f t - l ) + u2(t- 0 .5 )

Ug(t) = u3( t - l ) + u1(t-0 .5 )

u ^ (t) - u5 ( t - 1 ) .u ^ ( t- 1 )
 97.

u j(t) = (t-1)

with f o r t e [-1 , Ol

U i( t) = \ ( t ) = us ( t ) = e x p (t+ l)

u2( t ) = exp(t+0.5)

u3( t ) - s in ( t + l)

The delays: dx « 0 .5 ; d2 = 1.

Inform ation to be stored fo r a back distance = 1.

The s o lu tio n :

ux ( t ) = je x p (t) - c o s (t) + e9 0 s t s 1

2exp(t) + exp(0.5) - 2, 0 $ t £ 0.5

u ,( t ) = e x p (t) + 2exp(t - 0.5) + t.e x p (0 .5 )

- 2t + 1.5exp(0.5) - 39 0.5 $ t £ 1

exp(t+0.5) - c o s (t) + 1 - exp(0,5)

+ s in ( l) 5 0 ^ t s< 0.5
u,(t) =
-c o s (t) + e x p (t-0 .5 ) - s in (t-0 .5 )

+ (t+ 0.5 )e - exp(+0.5) + s i n ( l ) , 0.5 < t £ 1

u4( t ) = 0.5exp(2t) - 0.5 + e a 0 ^ t £1

u5 ( t ) = e x p (t) + e - 1, 0 $ t $ 1

The re s u lts fo r th is problem are given in tables (5.30) and (5 .3 1 ).

5.4 Concluding Remarks

I t is c le a r from the numerical re s u lts o f the m odified Kutta-Merson

method fo r so lvin g DDE th a t i t performs very w ell and g e nerally achieves

the required accuracy. Also the LTE estimate o f the method succe ssfu lly

co n tro ls the stepsize to cope w ith the points o f d e riv a tiv e d is c o n tin u ity ;,

and there is no need to know these points in advance. The e ffe c t o f

approximating the delay term on the LTE estim ate o f the method is n e g lig ib l

and i t is s u ff ic ie n t to use the th ir d degree Hermite in te rp o la tio n w ith

the fo u rth order Kutta-Merson method fo r solving DDE.

 98.

We mention here th a t the approach used in section (4 .2 .1 ) to modify

the Kutta-Merson' method to solve DDE can be used fo r any one-step method

o f Runge-Kutta type* the only consideration being the e ffe c t o f th is

m o d ific a tio n on the order o f the method. Also there is no advantage in

using a higher order in te rp o la tio n formula than necessary, and i t is

s u ff ic ie n t to use an in te rp o la tio n formula o f degree one less than the

order o f the method.

The s t a b il it y p ro p e rtie s o f numerical methods f o r solving DDE need

fu r th e r in v e s tig a tio n . I t would be in te re s tin g to know necessary and

s u ffic ie n t con dition s on a lin e a r DDE w ith constant delay and complex

c o e ffic ie n t such th a t the s o lu tio n is a s ym p to tica lly s ta b le , and then one

could use the more general d e fin itio n o f D A -s ta b ility suggested in section

(3 .3 ). I t would also be in te re s tin g to know the re la tio n between the

ro ots o f the c h a ra c te ris tic equation o f the lin e a r DDE and the roots o f

the s t a b i l it y polynomial o f the numerical method fo r solving DDE.

A& C &U TW C3 . 2 . 2 . 2 y ,
In te r v a l: [0 , 10] [0 S 20] [0 , 401'

£ GE ND GE ND GE ND

10“ 2 2.1201xl0“ 7 22 2.5467xl0"7 25 2.5467xl0~7 31

1 0 - 4 2.1201xl0-7 22 2.5467xl0"7 25 2.5467x]0"7 31

10"6 2.1201xl0"7 22 2.5467xl0“ 7 25 2.5467xl0“ 7 31

10"8 4.3247x10“ 9 121 5 .5272x]0~9 130 5.5272x10-9 136

TO-10 4.2721xlO "11 763 6.6280x10-11 808 6.6280xl0“ n

"•J
CO
Table 5.1 Problem (5 .1 -a ). Using the trapezium

method fo r DDE., w ith lin e a r in te rp o la tio n .

S ta rtin g stepsize h = 0 .1 .

I n te r v a l: [0 9 10] [0, 20] [0 S 40]

£ GE ND GE ND GE ND

10-2 2.1201x!0~7 22 2.2288xl0"7 25 2.2288xl0~7 31

10-4 2.1201x1 O’ 7 22 2.2288xl0"7 25 2.2288x10“ 7 31

10"6 2.1201xl0"7 22 2.2288xl0“ 7 25 2 .2288x]0~7 ' 31

1 0 '8 4.3247x10 "9 121 4.3443x10 "9 130 5.1801xl0~9 136

10"10 4.2721x]O^11 763 4.4023x!0-n 808 4.6652xl0_11 817

Table 5.2 Problem (5 .1 -a ). Using the trapezium

method fo r DDE., w ith Hermite in te rp o la tio n .

S ta rtin g stepsize h = 0.1 .

In t e r v a l: , [ 0 9 10] [ 0 , 2 0] [ 0 . 4 0]

e GE ND GE ND GE ND

10-2 6 .0 5 3 2 x 1 0 " 6 4 9 .5 1 1 3 x l 0 “ 6 4 9 .0 0 0 0 x1 0 -8 4

TO-4 6 .0 5 3 2 x l0 "6 4 9 . 5 1 1 3 x l0 - 6 4 9 . 0 0 0 0 x l0 " 8 4

1 cr>

1 .1 2 61 x1 0-6 17 1 .7 6 5 2 x ]0 “ 6 31 1 .7 6 5 2 x1 0 -8 57
o
00
l
r—
o

4 . 8 8 5 1 x l0 -9 . 205 1 . 1 4 9 2 x l0 - 8 399 1 .1 4 9 2 x 1 0 -8 476

1
O
O

4 .2 5 5 1 x l O " 11 733 7 .0 4 4 9 x l0 "u 780 7 .0 4 4 9 x 1 0” 11 791

Table 5.3 Problem (5 .1 -a ). Using the trapezium

method fo r solving DDE w ith lin e a r in te rp o la tio n .

S ta rtin g stepsize equal to the in te rv a l o f

in te g ra tio n .

In te r v a l: [0 , 10] [ 0 , 20] [ 0 , 40]

£ GE ND GE ND GE ' ND
N>

2.0 4 49 x1 0-8
oi

6.0532x1 O '6 4 4 5 .2 9 6 9 x l0 -5 4

TO-*1 6 .0 5 3 Z x l0 -6 4 2 .0449x10-8 4 5 .2 9 6 9 x l0 -5 4

1CT6 1 .1261x10-8 17 1 .1 2 6 1 x l0 -5 31 1 .1 2 6 1 x 1 0 -8 57
CD
I—

10-8
CO
CO
ln

205 4 .8 8 5 1 x 1 0 -9
1

4 .8 8 5 1 x l0 -9 399 482
X

1 0 - l °
4 .2 5 6 1 X 1 0 "11 733 4 .4 0 0 6 x l0 -n 780 6 .9 8 1 5 X 1 0 -11 788

Table 5.4 Problem (5 .1 -a ). Using the trapezium

method fo r solving DDE w ith Hermite

in te rp o la tio n . S ta rtin g stepsize equal

to the in te rv a l o f in te g ra tio n .
 101.

In te r v a l: [0? 1 0 ] [ 0 , 20] [ 0 , 4 0]

£ GE ND GE ND GE ND

10“ 2 5 .7 6 8 2 x 1 0 “ 8 43 7 .4 5 9 3 x 1 0 " 8 49 5 .9 2 9 0 x ]0 “ 8 61

10” 4 5 .7 6 8 2 x l0 "8 43 7 .4 5 93 x1 0-8 49 5 .9 2 9 0 x l0 "8 61

1 0-6 5 . 7 6 8 2 x l0 “ 8 43 7 .4 5 9 3 x l0 -8 49 5 .9 2 9 0 x l0 -8 61

It) - 8 2 . 3 9 2 8 x l0 ” 8 61 2 .4 9 4 9 x 1 0” 8 73 2 .8 6 7 4 x l0 -8 73

00
t"-
10” 10 1 . 8 8 9 1 x l0 ” 9 169 1 ,9 1 7 8 x l0 “ 9 1 .9 8 7 2 x l0 -9 193

Table 5.5 Problem (5 .1 -a ). Using the im p lic it

Runge-Kutta fo r DDE9 w ith Hermite

In te rp o la tio n . S ta rtin g stepsize h = 0.1.

In te r v a l:
o

o
10, 20]

1
1
£ GE ND GE ND GE ND

10-2 3 .2 1 3 5 x ] 0 " 6 7 1 . 1 3 2 4 x ]0 “ 5 7 2 . 0 8 7 0 x l0 “ G 7

10 -1* 3 .2 1 3 5 x l0 ” 6 7 1 .1324x10-5 7 2 .0 8 7 0 x1 0 -6 7

TO-6 3 . 2 1 3 5 x l0 ” 5 7 1 . 1 3 2 4 x l0 ” 5 7 1 .1 4 7 4 x lQ - 5 17

io -8 8 .2 0 1 7 x l0 -8 49 8 . 3 6 8 5 x l0 “ 8 59 1 .3 9 9 5 x l0 "7 69
J—
1'
o

2 .0 0 9 x l0 “ 9 187 2 . 1 6 1 9 x l0 “ 9 203 2 .0 3 7 8 x l0 -9 213

o

Table 5.6 Problem (5 .1 -a ). Using the im p lic it

Runge-Kutta method fo r DDE* w ith Hermite

in te rp o la tio n . S ta rtin g stepsize equal to

the in te rv a l o f in te g ra tio n .
In te r v a l:

Io—
to, 10]

o 1
[0, 203

Hf
J

j
e GE ND GE ND GE ND

10"2 9.8359x10“ 4 22 9.8369x10"^ 25 9.8369x10"^ 31

1G"4 6.7366xl0“ 5 52 6.7366xl0” 5 58 6.7366x10-5 61

lO” 6 4.0378xl0"6 234 4.0378x10” 5 243 4.0378xl0"8 249

10-8. 1.5294xl0"7 1203 1.5294xl0“ 7 1239 1.5294xl0"7 1248

10"10 6.0019x10" 9 5695 6 „ 0019x10“ 9 5883 6.0019x10" 9 5907

Table 5.7 Problem (5 .1 -b ). Using the trapezium

method fo r solving DDE5 w ith lin e a r

in te rp o la tio n .

1------- 1
In te r v a l: [0, 10] [Q, 203

0
e GE ND GE ND GE ND

10"2 2.9208x10-^ 22 7.9526X10"11 25 9.2664x10"4 31

10"4 - 6.7366x10 "5 52 6.7366xl0"5 58 6.7366xl0"5 61

10"6 4.0378xl0"5 234 4.0378xl0"6 243 4.0378x10 "6 249

10"8 1 .5294xl0-7 1203 1.5294X10” 7 1239 1.5294xl0"7 1248

10“ 10 6 .0019x10 ” 9 5695 6 o0019xl0"9 5883 6.0019xl0"9 5907

Table 5.8 Problem (5 .1 -b ). Using the trapezium

method/for solving DDE3 w ith Hermite

in te rp o la tio n .
 103.

In te r v a l: [0, 10] [0, 20] [0, 40]

£ GE ND GE ND GE ND

io -2 1.0070x10” ^ 43 1.0070x10 -4 49 1.0070x10-^ 61

IO-1* 2.4753xl0“ 5 55 2.4753x!0~5 67 2.4753x]0“ 5 67

io -6 6.7754x]0“ 7 121 6.7754x]0“ 7 133 6.7754x10 "7 139

1 0 -8 1.1398x10-8 307 1.1398xl0“ 8 337 1 .1398x10-8 349

IO” 10 3.5629xlO“ 10 795 3.5629xlO“ 10 891 3.5629x10” 10 909

Table 5.9 Problem (5 .1 -b ). Using the im p lic it

Runge-Kutta fo r solving DDE.

r—

In te r v a l:
o

t0, 20]

O
o
^
""I

:
i
£ GE ND GE ND GE ND

IO” 2 1.1365x10” 2 191 1.2277x10” 2 381 1 .2796x10"2 771

10“ ^ 1.4535x10” ^ 291 1 .5798xl0” 4 481 1 .7157X10” 4 866

IO "6 4.8387xl0"7 796 1.5523x10-8 976 1.5523x1O"6 1366

io -8 1.9454x10” 9 2181 1.1704x10-8 2441 1.5409xl0-8 2831

i—>
o

4.1740x]0“ n 7232 4.5500xl0-n 7871 1 .5266xlO” 10 8231

i
o

Table 5.10 Problem (5 .1 -b ). Using the Kutta-Merson

method fo r solving DDE.

In te r v a l: [0 , 10] [0, 20) [0, 40]

! ^ e GE ND GE ND GE ND
■ <M
2,3138xl0"2 84 2.3138x10 -2 87 2.3138x]0~2 90

; i o - 1* 1.3729xl0"3 177 1.3729xl0“ 3 183 1.3729x10“ 3 186

10 6 7.1458x10*5 589 7.1458x10 -5 604 7.1458xl0~5 610

io-® 3.4293x1 O'6 2597 3.4293xl0“ 6 2645 3.4293x10 "6 2654

10-10 *

Table 5.11 Problem (5 .1 -c ). Using the trapezium

method fo r solving DDE w ith lin e a r

in te rp o la tio n .

In te r v a l: [0 3 10] [0 S 20] [0 , 40]

e GE ND GE ND GE ND

10-2 2.3136x]0“ 2 84 2.3136x10 -2 87 2.3136x]0“ 2 90

10-^ 1.3729xl0-3 177 1.3729xl0-3 183 1.3729xl0-3 186

IO "6 7 .1455xl0-5 586 7.1455x10 -5 601 7.1455xl0-5 607

10-® 3 .4 2 9 )xl0 "5 2552 3.4291x)0-6 2600 3.4291xl0-6 2606

o1

*
t-l
o

Table 5.12 Problem (5 .1 -c ). Using the trapezium

method fo r solving DDE w ith Hermite

in te rp o la tio n .
 105.

In te r v a l: [0 , 10] [0, 20] [0, 40]

e GE ND GE ND GE ND

10” 2 4.5458x!0-3 135 4.5458xl0“ 3 141 4.5458x10-3 147

10-* 7 .2317xl0-5 173 7.2317X10"5 179 7.2317xl0-5 185

10“ 6 4.8718xl0“ 6 261 4.8718xl0“ 5 279 4.8718xl0“ 6 291

IO "8 5.1782xl0"6 475 5.1782xl0"6 505 5.1782*10 "6 517

ilO “ 10 5.2048x10 "6 1065 5.2048x10” 6 1137 5.2048x10“ 6 1155

Table 5.13 Problem (5 .1 -c ). Using the im p lic it

Runge-Kutta method fo r s o lv in g DDE.

1—1

t~*
O
In te r v a l: [0, 20]
o

o
e GE ND GE ND GE ND

10-2 8.6411xlO“ It 181 8.6411xlO "4 193 6.3 79 1xl0"3 235

10“ ^ 3.1097xl0-5 256 3.1097xl0-5 274 7.8425xl0-5 316

10“ 6 1 .0375xl0“ 6 510 1 .0375xl0-6 540 1 .0375xl0-6 576

10“ 8 2.5686x10~8 1360 2.5686xl0“ 8 1426 2.5686xl0“ 8 1456

IO” 10 2.8114xlO-10 4100 2.8114xlO-10 4250 2.8114xlO-10 4280

Table 5.14 Problem (5 .1 -c ). Using the Kutta-Merson

method fo r solving DDE.

 106.

In te r v a l: [0 , 10] [0 S 20] [0, 40]

£ GE ND GE ND GE ND

10” 2 2.0227x]0-2 84 2.0227x]0"2 87 2 .0227xl0~2 90

io - 1* 1.5528x10-3 172 1.5528xl0-3 178 1.5528xl0“ 3 181

IO'6 7.4131x10-5 589 7.4131xl0” 5 604 7.4131xl0-5 610

10-8 3 .4522xl0-6 2648 3.4522xl0“ 6 2696 3.4522xl0“ 6 2705

IO-10 *

Table 5.15 Problem (5 .1 -d ). Using the trapezium

method fo r solving DDE w ith lin e a r

in te rp o la tio n .
r“—

5_o 1
i

In te r v a l: [ 0 , 20] [ 0 9 4 0]
o

£ GE ND GE ND GE ND

10~2 2 .0 2 2 3 x l0 -2 84 2 . 0 2 2 3 x l0 " 2 87 2 .0 2 2 3 x]Q “ 2 90

10~4 1 .5 5 2 8 x 1 0 -3 172 1.5 5 28 x1 0-3 178 1 .5528x10-3 181

1Q"8 7 .4 1 2 2 x 1 0 " 5 582 7 .4 1 2 2 x l0 -5 598 7 .4 1 2 2 x1 0 -5 604

IO "8 3 . 4 5 1 7 x l0 ” 6 2555 3 .4 5 1 7 x l0 “ 6 2603 3 . 4 5 1 7 x l0 ” 6 2609

1 0 " 10 *

Table 5.16 Problem (5 .1 -d ). Using the trapezium

method fo r so lving DDE w ith Hermite

in te rp o la tio n .
 107.

In te r v a l: [0, 10] [0, 20] [0, 40]

£ GE ND GE ND GE ND

TO'2 4.0057x]0"2 125 4.0057x10 "2 131 4.0057x10 "2 137

io - 1* 2.2729x10“ ^ 163 2.2729x10"^ 169 2.2729x10'* 175

IO '6 2.8902x]0“ 6 255 2.8902x10” 6 273 2.8902x1O"6 285

TO'8 1.0867xl0“ 7 475 1.0867xl0"7 505 1.0867xl0"7 517

O1
o

3.1965xl0“ 9 1059 3.1965x10"9 1131 3.1965x]0"9 1155

Table 5.17 Problem (5 .1 -d ). Using the im p lic it

Runge-Kutta fo r solving DDE.

In te r v a l: [ 0 , 10] [ 0 , 20] [ 0 S 40]

£ GE ND GE ND GE ND

10“ 2 3 . 3 6 3 2 x l0 “ 3 171 3 .3 6 3 2 x ]0 '3 183 6 .2 6 2 3 x l0 "3 225

•F
oi

2 .2 6 2 2 x ]0 “ 5 261 2 .2 6 2 2 x ] 0 “ 5 279 7 .6 8 8 3 x 1 0“ 5 321

10“ 6 1 . 0 3 1 4 x l0 “ 6 532 1.0 3 14 X 1 0"6 562 1 .0 3 1 4 x l0 "6 598

TO’ 8 1 .2 2 1 6 x 1 0-8 1431 1 .2 2 1 6 x ]0 ~ 8 1497 1 .2 2 1 6 x l0 "8 1533

f—i
o
O
1

1 .2 1 8 1 x lO “ 10 4459 1 .2 1 8 1 x ]0 “ 10 4621 1 .2 1 8 1 x lO “ 10 4657

Table 5.18 Problem (5 .1 -d ). Using the Kutta-Merson

method f o r solving DDE.

 Delay term evaluated Modified Hermite
e xa ctly Hermite in te rp o la tio n
£ in te rp o la tio n

GE ND GE ND GE ND

10"3 4.1667xl0’ 3 151 4.1667xl0"3 151 4.1667xl0~3 173

IO"6 4.0690x10“ 6 411 4,0690x10"6 411 4.0690xl0“ 6 471

•jq-9 3.9737xl0"9 871 3.9737x10“ 9 871 3 .9737x]0-9 ion

Table 5.19 Problem (5 .2 ). Using the Kutta-Merson

method fo r solving DDE, w ith mesh

points chosen by the method.

Delay term evaluated M odified Hermite

e x a ctly Hermite in te rp o la tio n
£ in te rp o la tio n

GE . ND GE ND GE ND

10“ 3 3.1467xl0"3 156 3.1250xl0“ 3 136 3.1250x]0“ 3 158

10“ 6 3.0865x10 -6 361 3.0518xl0"6 376 3.0518xl0"6 434

10“ 9 3.0746xl0“ 9 976 2.9802x10~9 836 2.9802x10 "9 974

Table 5.20 Problem (5 .2 ). Using the Kutta-Merson method

fo r solving DDE, w ith d e riv a tiv e d is c o n tin u ity

points forced to be mesh p o in ts .

 Del ay term evaluated
e xa ctly Hermite in te rp o la tio n
e
GE ND GE ND

10” 3 7.6724xl0~5 59 6.3382x10” * 59

IO” 6 2.4269xl0"7 209 2.5214 x l0 "7 209

IO"9 2.7417xlO“ 10 1163 8.6987xlO“ 10 1163

Table 5.21 Problem (5 .3 ). Using the K utta-

Merson method fo r solving DDE.

Delay term evaluated

e xa ctly Hermite in te rp o la tio n
£
GE ND GE ND

10“ 3 2.3406x10“ * 77 8.9346x10-* 77

IO"6 1.3794x10“ 7 492 3.6375xl0-7 492

10“ 9 3.3881xlO“ 10 1998 8.7088xl0"10 1998

Table 5.22 Problem (5 .4 ). Using the K utta -

Merson method fo r s o lv in g DDE.

 no.

Delay term evaluated

e xa c tly Hermite in te rp o la tio n
E

GE+ ND GE+ ND

1 0 “ 3 8.8459xl0-6 175 4.6002xl0"5 175

1 0 - 6
3.4708xl0” 8 602 5.3247xl0“ 5 602
1 0 “ 9 1 .3762xlO“ 10 2421 1.3480x1 O’ 7 2421

Table 5.23 Problem (5 .5 ). Using the K utta-

Merson method fo r solving DDE.

t R elative global d is c re tiz a tio n e rro r.

e GE ND

10"3 2.3514x10” ^ 91

10” 6 1.3793x10” 7 584

10“ 9 3.3881x1 O'*10 2389

Table 5.24 Problem (5 .6 ). Using

the Kutta-Merson method

fo r solving DDE.
 Delay term evaluated
Hermite in te rp o la tio n
e
e xa ctly

GE ND GE ND

IO "3 5 ,1 3 4 0 x 1 0 “ ^ 31 5 .2 5 4 3 x 1 0 “ 5 31

ID "6 2 .9 8 4 3 x 1 0 " 7 71 6 . 5 4 8 9 x l0 ~ 7 71

IO "9 1 . 3 3 7 0 x lO " 10 391 1.6096x1 CT10 391

Table 5.25 Problem (5 .7 ). Using the K utta -

Merson method f o r s o lvin g DDE. Mesh

points are chosen by the method.

Delay term evaluated

Hermite in te rp o la tio n
e xa ctly
£
GE ND GE ND

10~3 2.2431xlO“ 5 31 3.4644x10“ 5 31

10-6 2.9843x10“ 7 71 6.5489xl0“ 7 71
l 0-9 1.3370xl0“ 10 391 1.6096xl0~10 391

Table 5.26 Problem (5 .7 ). Using the K utta-

Merson method fo r solving DDE.

D eriva tive d is c o n tin u ity po ints are

forced to be mesh p o in ts .
 Delay term evaluated
Hermite in te rp o la tio n
e e xa ctly

GE ND GE ND

10-3 2.5977xl0“ 2 71 2.6668xl0“ 2 71

IO "6 2 .6197xl0-5 316 2.6214xl0-5 316

IO "9 1.0635x10 "8 1076 1.0637xl0-8 1076

Table 5.57 Problem (5 ,8 ). Using the K utta-

Merson method fo r solving DDE.

Mesh points are chosen by the method.

Delay term evaluated

Hermite in te rp o la tio n
£ exa ctly

GE ND GE ND

IO "3 1 .1733x10" 3 67 1 . 1733xlG-3 56

IO "5 4.7077x10” 6 185. 4.7077xlQ“ 6 156

10-9 1 .0678xl0“ 9 1083 1.0678xT0“ 9 906

Table 5.28 Problem (5 f 8J . . ..Using the K utta -

Merson method fo r so lvin g DDE.

D e riv a tiv e d is c o n tin u ity p o in ts are

forced to be mesh p o in t? .
 Delay term eveil uated
exa ctly Hermite in te rp o la tio n
e
. GE ND GE ND

IO’ 3 i.4 0 7 ix io - 1+ 59 1 .9658x10~^ 59

■JO-6 6.3735xl0“ 7 215 6.3735xl0"7 215

10~9 5.1470xlO™10 1148 3.7861xlO“ 10 1148

Table 5.29 Problem (5 .9 ). Using Kutta-Merson

method fo r solving DDE.

 Delay term evaluated
e x a c tly Hermite in te rp o la tio n
£
GE ND GE ND

10“ 3 2.1790xl0“ 5 31 2.1790xl0” 5 31

10“ 6 1 .1089x10“ 7 106 1.1089x10” 7 106

10-9 1.4035x10“ 10 616 1.4035xl0"10 616

Table 5.30 Problem (5 .1 0 ). Using K utta-

Merson method fo r so lvin g DDE.

Mesh points are chosen by the

method„

Delay term evaluated

e xa ctly Hermite in te rp o la tio n
e
GE ND GE ND

IO” 3 2.1790xl0“ 5 ' 31 2.1790xl0“ 5 31

10“ 6 1.1089xl0"7 111 1.1089xl0“ 7 111

10“ 9 1 .4035xl0“ 10 621 1.4035x1O"10 621

Table 5.31 Problem (5 .1 0 ). Using K utta -

Merson method f o r so lvin g DDE.

D e riva tive d is c o n tin u ity po ints

are forced to be mesh p o in ts .

 115.

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