Maths 4 NOTES

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Module – I Engineering Mathematics - IV 2017
Numerical Solution of Ordinary Differential

Equations of First order and first degree
Introduction
Many ordinary differential equations can be solved by analytical methods
n
discussed earlier giving closed form solutions i.e. expressing y in terms of a
finite number of elementary functions of x. However, a majority of differential
tio
equations appearing in physical problems cannot be solved analytically. Thus it
becomes imperative to discuss their solution by numerical methods.
Numerical methods for Initial value problem:

Consider the first order and first degree differential equations ( )with
the initial condition
problem.
lu ( ) that is
We discuss the following numerical methods for solving an initial value

problem.
and called initial value
So
1. Taylor’s series method
2. Modified Euler’s method
3. Runge - Kutta method of order IV
4. Milne’s Predictor - Corrector Method
5. Adams – Bashforth Predictor - Corrector Method
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Type -1
VT
Taylor’s series method

Consider the first order and first degree differential equations
( ) condition ( ) .
Taylor’s series expansion of ( ) in powers of ( ) is
Dr. A.H.Srinivasa, MIT, Mysore Page 1

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( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
Where
at the point( )
Worked Examples
n
1. Using Taylor’s Series method, find the value of y at x = 0.1, and x = 0.2 for
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the initial value problem ( )
Solution:
Taylor’s Series expansion of ( ) about a point is given by
( )
Here, compare
( )
( )
(
lu )
(
 ( )
)
(
, then
)
( )
( )
and
( )
( )
So
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) [ ( ) ]
Differentiate w.r.t we get,
( ) ( ) ( ) ( )( ) [ ( ) ]

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( ) ( ) ( ( ) ( ) ( ) [( )( ) ( ) ] [ ( ) ]

VT
( ) ( ) ( ) ( ) [( )( )
( )( )] ( ) ( ) ( ) ( ) [ ( ) ]
Substitute the values of ( ) ( ) ( ) ( ) in equation (*)
( )

( )
This is called Taylors series expansion up to fourth degree term.
Put x = 0.1. x = 0.2

( ) ( ) ( ) ( )
n
( ) ( ) ( ) ( )
tio
Solution:
lu
So
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
Here, compare ( )  ( ) , then and
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( )( ) ( ) [ ( ) ]
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( ) ( ) ( ) ( )( ) ( )( ) [ ( ) ]
VT
( ) ( ) ( ) ( ) ( )
( )( ) ( )( ) ( ) [ ( ) ]
( ) ( ) ( ) ( ) ( )
( )( ) ( )( ) ( ) [ ( ) ]


( ) ( ) ( ) ( ) ( )
( )
n
Put x = 0.1 and x = 0.2

( ) ( )
tio
( ) ( )
( ) ( )
( ) ( )
3.
lu
Using Taylor’s Series method, find the value of y at x = 0.1, and x = 0.2, for

So
Solution:
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )

U
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) [ ( ) ]
( )
VT
( ) ( ) ( ) ( ) ( ) [ ( ) ]
(
( ) ( ) ( ) ( ) ( ) ( )
[ ( ) ]


( ) ( ) ( ) ( ) ( ) ( )
[ ( ) ]
( ) ( ) ( ) ( ) ( )
n
( )
tio
Put x = 0.1 and x = 0.2
( ) ( ) ( )
( ) ( )
lu
( ) ( ) ( )
( ) ( )
4. Using Taylor’s Series method, solve the initial value problem
and hence find the value of y at x = 0.1

So
( )
Solution:
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )

U
( ) ( ) ( ) ( ) ( ) ( )
VT
( ) ( ) ( )( ) [ ( ) ]
( ) ( ) ( ) ( )( ) [ ( ) ]
( ) ( ) ( ) ( ) ( )( ) ( ) [ ( ) ]


( ) ( ) ( ) ( ) ( )( ) ( ) [ ( ) ]
( ) ( ) ( ) ( ) ( )
n
( )
tio
Put x = 0.1
( ) ( ) ( )
( ) ( )
Solution:
( )
lu and hence find the value of y at x = 0.1 and 0.2

So
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( )
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( ) ( ) [ ( ) ]

VT
( ) ( ) ( ) ( ) ( )( ) [ ( ) ]
( ) ( )[ ( )] ( ) ( )( ) ( )
[ ( ) ]


( ) ( ) ( ) ( ) ( ) ( )( ) ( )( )
[ ( ) ]
Substitute the values of ( ) ( ) ( ) ( ) in equation (1)
( ) ( ) ( ) ( ) ( )
n
( )
tio
Put x = 0.1 and x = 0.2
( ) ( )
( ) ( ) ( )
lu
( ) ( )
( ) ( ) ( )
Type - 2
So
Modified Euler’s method
dy
Consider the initial value problem  f ( x, y ); y ( x0 )  y0
dx
Suppose we determine solution of this problem at a point xn  x0  nh (where
h is step length) by using Euler's method
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The solution is given by yn  yn 1  hf ( xn 1 , yn 1 ), n  1,2,3,...

p
Here, this will gives approximate solution by Euler’s method. Since the
accuracy is poor in this formula this value
VT
Example. 1 Using modified Euler's method find y(0.2) by solving the equation
dy
with h = 0.1  x  y 2 ; y (0)  1
dx
Solution:- By data
x x0  0 x1  0.1 x2  0.2
y y0  1 y1  ? y2  ?
h  0.1 f ( x, y)  x  y 2


This problem has to be worked in two stages for finding y(0.2)
Stage 1:- First to calculate the y(0.1) y1 From Euler’s formula

y1p  y 0  hf ( x0 , y 0 )

y1p  y 0  h x0  y 02 
 1  0.10  (1)  2
n
y1p
y1p  0.9
tio
By modified Euler’s formula, we have
y1c1  y0 
h
2
 f x , y   f x , y 
0 0 1 1
p
x  y    x  y  
h   2  p 2
y1c1  y0 
y1c1  1
lu 2
0.1
2
0
 1  0.1  0.9 
0
 1  0.05 0.9  0.9    0.9145

2
1
2
1
So
y1c1
The second Modified value of y1
y1c2  y0 
h

2
   
x0  y02   x1  y1c1

2
y1c2  1  0.05 0.9  0.9145   0.9132

2
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The Third Modified value of y1
  
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y1c3  y 0 
h

2
 
x0  y02   x1  y1c2

2
y1c3  1  0.05 0.9  0.9132   0.9133 2
y1  y (0.1)  0.9133

n
tio
Type – 4
lu
Predictor - Corrector Method
In the predictor – Corrector methods, Four prior values are required for finding
the value of y at x. These Four values may be given or extract using the initial
So
condition by Taylors series
A predictor formula is used to predict the value of y at x and then corrector

formula is applied to improve this value.
We describe two such methods namely
1. M ilne’s M ethod
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2. Adams Bashforth M ethod
Milne’s Predictor –Corrector Method

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Working rule:
Consider the initial value problem with a set of four points
y( x0 )  y0 , y( x1 )  y1, y( x2 )  y2 , y( x3 )  y3 , Here x0 , x1, x2 , x3 equally

spaced. To find y4 at the point x4
M ilne’s Predictor formula

4h
y4p  y0  2 f1  f 2  2 f 3 
3
Milne’s Corrector formula
y 4c  y 2 
h
3

f 2  4 f 3  f 4p  where f 4p 
dy
 f ( x4 , y 4p )
n
dx
To improve the accuracy again apply corrector formula by assuming
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y 4c1  y4c
y4c1  y2 
h
3

f 2  4 f 3  f 4c  where f 4c 
dy
dx
 f ( x4 , y 4c )
Worked Examples
lu
1. Using Milne’s method, find y(0.8), given y   x  y given y(0) = 0, y(0.2) =
0.0200, y(0.4) = 0.0795, y(0.6) = 0.1762.
2
So
Solution:- Construct the table by using given values
 f  x, y   x  y 2
dy
x y
dx
x0  0 y0  0 f 0  0  (0) 2  0
x1  0.2 y1  0.0200 f1  0.2  (0.0200) 2  0.1996
x2  0.4 y 2  0.0795 f 2  0.4  (0.0795) 2  0.3937
x3  0.6 y3  0.1762 f 3  0.6  (0.1799) 2  0.5689
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x4  0.8 y4  ?
By M ilne’s Predictor formula

VT
4h
y 4p  y0  2 f1  f 2  2 f 3 
3
4(0.2)
y 4p  0 2(0.1996)  0.3937  20.5689
3
y 4p  0.30488
By M ilne’s Corrector formula

y 4c  y 2 
h
3

f 2  4 f 3  f 4p 
f 4p  x4  y 4p  0.7070
0.2
y 4c  0.0795  0.3937  40.5689 f 3  0.7070
3
y 4c  0.3045
n
c
To improve the accuracy of our results substitute the y 4 in corrector formula
Milne’s Predictor formula
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4 
c1
y2 
h
3

f 2  4 f 3  f 4c  2
 
f 4c  x4  y 4c  0.70723
0.2
y 4c1  0.0795  0.3937  40.5689  0.7072
3
y 4c1  0.3046
lu
2. Compute y(0.4), by applying Milne’s predictor corrector method. Use
corrector formula twice for the differential equation. Given
So
dy
 2e x  y and x 0 0.1 0.2 0.3
dx y 2 2.010 2.04 2.09
 f x, y   2e x  y
dy
x y
dx
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x0  0 y0  2 f 0  2e 0  2  0.0
x1  0.1 y1  2.010 f1  2e 0.1  2.010  0.20034
x2  0.2 y 2  2.04 f 2  2e 0.2  2.04  0.40281
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x3  0.3 y3  2.09 f 3  2e 0.3  2.09  0.60972

x4  0.4 y4  ?

4h
y 4p  y0  2 f1  f 2  2 f 3 
3
4(0.1)
y 4p  2  2(0.20034)  0.40281  20.60972
3
y 4p  2.16231
n
tio
y4c  y2 
h
3

f 2  4 f 3  f 4p f 4p  2e x4  y4p  0.82134
0.1
y4c  2.04  0.40281 40.60972  0.82134
3
y4c  2.1620
h

lu

c
So
y 4c1  y 2  f 2  4 f 3  f 4c
3
f 4c  2e x4  y 4c  0.82155
0.1
y 4c1  2.04  0.40281  40.60972  0.82155
3
y 4c1  2.16211
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It is the required value of y at x = 0.4
dy x y
3. Find y at x = 0.3, using applying Milne’s method. Given  and
2
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dx
x  0.1 0 0.1 0.2
y 0.90878 1 1.11145 1.25253

x y
 f  x, y  
dy
x y y 
dx 2
x0  0.1 y 0  0.90878 f 0  0.40439
x1  0 y1  1.0000 f1  0.5
x 2  0.1 y 2  1.11145 f 2  0.605725
n
x3  0.2 y3  1.25253 f 3  0.72626
x 4  0.3 y4  ? ?
tio
4h
y 4p  y0  2 f1  f 2  2 f 3 
3
4(0.1)
2(0.5)  0.60572  20.72626
y 4p  0.90878 
y 4p  1.15502
3
lu
So
y 4c  y 2 
h
3

f 2  4 f 3  f 4p 
x 4  y 4p
f 4p   0.72751
2
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0.1
y 4c  1.11145  0.60572  40.72626  0.72751
3
y 4c  1.25272
VT
c
y 4c1  y 2 
h
3

f 2  4 f 3  f 4c 
x4  y 4c
f4 
c
 0.77636
2
0.1
y 4c1  1.11145  0.60572  40.72626  0.77636
3
Dr. A.H.Srinivasa, 1.25435
y 41 MIT,
c
Mysore Page 13
4. Find y at x = 4.4 using Milne’s method. Given
x 4.0 4.1 4.2 4.3 5xy  2  y 2  0 and
n
y 1 1.0049 1.0097 1.0143
tio
2  y2
 f  x, y  
dy
x y y 
dx 5x
2  y0 2
x0  4 y0  1 f0   0.05
5 x0
2  y12
x1  4.1 y1  1.0049 f1   0.0485
5 x1
x 2  4.2
x3  4.3 luy 2  1.0097
y3  1.0143
f2 
f3 
2  y2 2
5 x2
2  y3 2
5 x3
 0.0467
 0.0452
So
x 4  4.4 y4  ? ?
4h
y 4p  y0  2 f1  f 2  2 f 3 
3
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4(0.1)
y 4p  1  2(0.0485)  0.0467  20.0452
3
y 4p  1.01876
VT
y 4c  y 2 
h
3

f 2  4 f 3  f 4p 
2  y p 2
4
f 4p   0.04373
5x4
0.1
y 4  1.0097
c
Dr. A.H.Srinivasa, 
MIT,Mysore0.0467  40.0456  0.04373 Page 14
3
y 4  1.00909
c Support
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c
h
f 2  4 f 3  f 4c 
n
y 4c1  y 2 
3
2  y  c 2
tio
4
f 4p   0.04462
5x4
0.1
y 4c1  1.0097  0.0467  40.0452  0.04462
3
y 4c1  1.01877
lu

So
y   xy  y 2 , y (0)  1, y (0.1)  1.1169,
y (0.2)  1.2773, y (0.3)  1.5049
Solution: - Construct the table by using given values
x y y   f x, y   xy  y 2
x0  0 y0  1 f 0  x0 y0  y02  1
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x1  0.1 y1  1.1169 f1  x1 y1  y12  1.3592

x2  0.2 y 2  1.2773 f 2  x2 y 2  y 22  1.887
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x3  0.3 y3  1.5049 f 3  x3 y3  y32  2.7162

x4  0.4 y4  ? ?
4h
y 4p  y0  2 f1  f 2  2 f 3 
3
4(0.1)
y 4p  1  2(1.3592)  1.887  22.7162
3
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p
 1.8352
y 4Support Projects | Technical Seminar Guidance & Support Download our app or visit website
y 4c  y 2 
h

f 2  4 f 3  f 4p 
n
3
f 4p  x 4 y 4  y 4p   2
 4.1020
tio
0.1
y 4c  1.2773  1.887  42.7162  4.102  1.8391
3
c
To improve the accuracy of our results substitute the y 4 in corrector
formula c1 h
y4  y2  c
3
c
f 2
c 2
 4 f3  f 4  f 4  x4 y 4  y 4    4.1179
y 4c1  1.2773 
y 4c1  1.8396 lu 0.1

3
1.887  42.7162  4.1179
So
II . Adams Bashforth Predictor Corrector M ethod
Working rule:
U

VT
Adams-Bashforth Predictor formula

h
55 f 3  59 f 2  37 f1  9 f 0 
y4p  y3 
24
Adams-Bashforth Corrector formula
y4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p  dy
W here f 4p   f ( x4 , y 4p )
dx


y 4c1  y 4c
y4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4c 
n
W here dy
f 4c   f ( x4 , y4c )
dx
tio
Example: 1
xy
Find y(0.4), by applying Adams-Bashforth method given that y  and
2
x 0 0.1 0.2 0.3
lu
y 1 1.0025 1.0101 1.0228

So
 f  x, y  
dy xy
x y
dx 2
x0  0 y0  1 f0  0
x1  0.1 y1  1.0025 f1  0.0501
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x2  0.2 y 2  1.0101 f 2  0.1010

x3  0.3 y3  0.1762 f 3  0.1534
x4  0.4 y4  ?
VT
y 4p  y3 
h
55 f 3  59 f 2  37 f1  9 f 0 
24
0.1
y 4p  1.0228  55(0.1534)  59(0.1010)  37(0.05012)1  9(0)
24
y 4p  1.0408
y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
n
x4 y 4p (0.4)(1.0408)
f 4p    0.2081
2 2
0.1
0.0501  5(0.1010)  19(0.1534)  9(0.2081)
tio
y 4c  1.0228 
24
y 4c  1.0408
lu
Example. 2 Given y  x 2 (1  y), y(1)  1, y(1.1)  1.233, y(1.2)  1.548, y(1.3)  1.979
determine y(1.4) by Adams- Bashforth method

So
x y y  f x, y   x 2 (1  y )
x0  1 y0  1 f0  x02 (1  y 0 )  2
x1  1.1 y1  1.233 f1  x12 (1  y1 )  2.702
x2  1.2 y 2  1.548 f2  x22 (1  y 2 )  3.669
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x3  1.3 y3  1.979 f3  x32 (1  y3 )  5.035

x4  1.4 y4  ? ?
VT
y 4p  y3 
h
55 f 3  59 f 2  37 f1  9 f 0 
24
0.1
y 4p  1.979  55(5.035)  59(3.669)  37(2.702)  9(2)
24
y 4p  2.572


y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
f 4p  x42 (1  y 4p )  (1.4) 2 (1  2.572)  7.001
0.1
n
y 4c  1.979  2.702  5(3.669)  19(5.035)  9(7.001)
24
y 4c  2.575
tio
To correct this solution again apply Adams-Bashforth Corrector formula,
Substitute y4c in y4c1

 
y 4c1  y3 
f 4c
h
24
lu f1  5 f 2  19 f 3  9 f 4c
 x4 (1  y 4c )  (1.4) 2 (1  2.575)  7.007

2
y 4c1  1.979 
0.1
2.702  5(3.669)  19(5.035)  9(7.007)
So
24
y 4c1  2.575
Example. 3 Given dy
 2e x y, y(0)  2, y(0.1)  2.4725, y(0.2)  3.1261, y(0.3)  4.0524
dx
determine y(0.4) by Adams- Bashforth method.
x y y   f x, y   2e x y )
U
x0  0 y0  1 f0  4
x1  0.1 y1  2.4725 f1  5.4652
x2  0.2 y 2  3.1261 f 2  7.6364
VT
x 3  0. 3 y3  4.0524 f 3  10.9406
x4  0.4 y4  ? ?
y 4p  y3 
h
55 f 3  59 f 2  37 f1  9 f 0 
24
0.1
y 4p  4.0524  55(10.9406)  59(7.6364)  37(5.4652)  9(4)
24
Dr.yA.H.Srinivasa, MIT, Mysore Page 19
4  5.3749
p
y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
n
f 4p  2 y 4p e x 4  2(5.3749)e 0.4  16.0366
0.1
y 4c  4.0524  5.4652  5(7.6364)  19(10.9406)  9(16.0366)
tio
24
y 4c  5.3835
y4c in y4c1
Substitute
y 4c1  y3 
f 4c
h
24
lu

f1  5 f 2  19 f 3  9 f 4c
 2 y 4 e  2(5.33835)e 0.4  16.06248

c x4

So
0.1
y 4c1  4.0524  5.4652  5(7.6364)  19(10.9406)  9(16.0624)
24
y 4c1  5.3845
Example. 4
Solve the differential equation

dy
 x  y 2 , at x  0.8 given y(0)  0, y(0.2)  0.02, y(0.4)  0.0795, y(0.6)  0.1762
U
dx
Using Adams- Bashforth method

VT
 f  x, y   x  y 2
dy
x y
dx
x0  0 y0  0 f0  0
x1  0.2 y1  0.02 f1  0.1996
x2  0.4 y 2  0.0795 f 2  0.3936
x3  0.6 y3  0.1762 f 3  0.5689
x4  0.8 y4  ? ?


y 4p  y3 
h
55 f 3  59 f 2  37 f1  9 f 0 
24
0.2
y 4p  0.1762  55(0.5689)  59(0.3936)  37(0.1996)  9(0)
24
n
y 4p  0.30495
tio
y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
f 4p  x4  y 4p   2
 0.8  (0.3049) 2  0.70701
0.2
y 4c  0.1762  0.1996  5(0.3936)  19(0.56895)  9(0.70701)
y 4c  0.30457
24
lu
So
y 4c1  y3  
h
24
f1  5 f 2  19 f 3  9 f 4c 
U
f 4c  x4  y  p 2
4  0.8  (0.30457) 2  0.70724
0.2
y 4c  0.1762  0.1996  5(0.3936)  19(0.56895)  9(0.70724)
24
VT
y 4c  0.30459
Example. 5
dy x2
 , at x  1.0 given y (0)  1, y (0.25)  1.0026,
dx 1  y 2
y (0.5)  1.0206, y (0.75)  1.0679
x2
 f  x, y  
dy
x y
n
dx 1 y2
x0  0 y0  1 f0  1
x1  0.25 y1  1.0026 f1  0.0312
tio
x2  0.5 y 2  1.0206 f 2  0.1225
x3  0.75 y3  1.0679 f 3  0.2628
x4  1.0 y4  ? ?

h
y 4p  y3 
24
0.25 lu
55 f 3  59 f 2  37 f1  9 f 0 
55(0.2628)  59(0.1225)  37(0.0312)  9(0)
So
y 4p  1.0679 
24
y 4p  1Corrector
Adams-Bashforth
.1552 formula
y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
x42 12
f 4p    0.4284
 
2
1  1.15522
U
1 y p 4
0.25
y 4c  1.0679  0.0312  5(0.1224)  19(0.2628)  9(0.4284)
24
VT
y 4c  1.154
y 4c1  y3 
h
24

f1  5 f 2  19 f 3  9 f 4c 
2
x4 12
f4 
c
  0.4289
1 MIT,
Dr. A.H.Srinivasa,  
c 2
 yMysore
4
1  1 . 154 2
Page 22
0.25
y 4  1.0679 
c
Online Chat Support 0.|0312
Projects Technical 5(0.Guidance
Seminar 1224)&Support
19(0.2628 ) our
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24
c
Numerical Solution of Ordinary Differential

Equations of First order and first degree
Introduction
n
Many ordinary differential equations can be solved by analytical methods
discussed earlier giving closed form solutions i.e. expressing y in terms of a
tio
finite number of elementary functions of x. However, a majority of differential
equations appearing in physical problems cannot be solved analytically. Thus it
becomes imperative to discuss their solution by numerical methods.
Numerical methods for Initial value problem:
the initial condition

problem.
lu
( ) that is and
(
called initial value
)with
So
We discuss the following numerical methods for solving an initial value
problem.
1. Taylor’s series method

2. Modified Euler’s method
3. Runge - Kutta method of order IV
4. Milne’s Predictor - Corrector Method
U
5. Adams – Bashforth Predictor - Corrector Method

VT
Type -1
Taylor’s series method
( ) condition ( ) .
Taylor’s series expansion of ( ) in powers of ( ) is


( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
Where
at the point( )
Worked Examples
n
tio
Solution:
( )
Here, compare
( )
( )
(
lu )
(
 ( )
)
(
, then
)
( )
( )
and
( )
( )
So
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) [ ( ) ]
( ) ( ) ( ) ( )( ) [ ( ) ]

U
( ) ( ) ( ( ) ( ) ( ) [( )( ) ( ) ] [ ( ) ]

VT
( ) ( ) ( ) ( ) [( )( )
( )( )] ( ) ( ) ( ) ( ) [ ( ) ]
( )

( )
Put x = 0.1. x = 0.2

( ) ( ) ( ) ( )
n
( ) ( ) ( ) ( )
tio
Solution:
lu
So
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( )( ) ( ) [ ( ) ]
U
( ) ( ) ( ) ( )( ) ( )( ) [ ( ) ]
VT
( ) ( ) ( ) ( ) ( )
( )( ) ( )( ) ( ) [ ( ) ]
( ) ( ) ( ) ( ) ( )
( )( ) ( )( ) ( ) [ ( ) ]


( ) ( ) ( ) ( ) ( )
( )
n
Put x = 0.1 and x = 0.2

( ) ( )
tio
( ) ( )
( ) ( )
( ) ( )
3.
lu
Using Taylor’s Series method, find the value of y at x = 0.1, and x = 0.2, for

So
Solution:
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )

U
( ) ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) [ ( ) ]
( )
VT
( ) ( ) ( ) ( ) ( ) [ ( ) ]
(
( ) ( ) ( ) ( ) ( ) ( )
[ ( ) ]


( ) ( ) ( ) ( ) ( ) ( )
[ ( ) ]
( ) ( ) ( ) ( ) ( )
n
( )
tio
Put x = 0.1 and x = 0.2
( ) ( ) ( )
( ) ( )
lu
( ) ( ) ( )
( ) ( )
and hence find the value of y at x = 0.1

So
( )
Solution:
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )

U
( ) ( ) ( ) ( ) ( ) ( )
VT
( ) ( ) ( )( ) [ ( ) ]
( ) ( ) ( ) ( )( ) [ ( ) ]
( ) ( ) ( ) ( ) ( )( ) ( ) [ ( ) ]


( ) ( ) ( ) ( ) ( )( ) ( ) [ ( ) ]
( ) ( ) ( ) ( ) ( )
n
( )
tio
Put x = 0.1
( ) ( ) ( )
( ) ( )
Solution:
( )
lu and hence find the value of y at x = 0.1 and 0.2

So
( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( )
U
( ) ( ) [ ( ) ]

VT
( ) ( ) ( ) ( ) ( )( ) [ ( ) ]
( ) ( )[ ( )] ( ) ( )( ) ( )
[ ( ) ]


( ) ( ) ( ) ( ) ( ) ( )( ) ( )( )
[ ( ) ]
Substitute the values of ( ) ( ) ( ) ( ) in equation (1)
( ) ( ) ( ) ( ) ( )
n
( )
tio
Put x = 0.1 and x = 0.2
( ) ( )
( ) ( ) ( )
lu
( ) ( )
( ) ( ) ( )
Type - 2
So
Modified Euler’s method
dy
Consider the initial value problem  f ( x, y ); y ( x0 )  y0
dx
Suppose we determine solution of this problem at a point xn  x0  nh (where
h is step length) by using Euler's method
U
The solution is given by yn  yn 1  hf ( xn 1 , yn 1 ), n  1,2,3,...

p
Here, this will gives approximate solution by Euler’s method. Since the
accuracy is poor in this formula this value
VT
Example. 1 Using modified Euler's method find y(0.2) by solving the equation
dy
with h = 0.1  x  y 2 ; y (0)  1
dx
Solution:- By data
x x0  0 x1  0.1 x2  0.2
y y0  1 y1  ? y2  ?
h  0.1 f ( x, y)  x  y 2


This problem has to be worked in two stages for finding y(0.2)
Stage 1:- First to calculate the y(0.1) y1 From Euler’s formula

y1p  y 0  hf ( x0 , y 0 )

y1p  y 0  h x0  y 02 
 1  0.10  (1)  2
n
y1p
y1p  0.9
tio
By modified Euler’s formula, we have
y1c1  y0 
h
2
 f x , y   f x , y 
0 0 1 1
p
x  y    x  y  
h   2  p 2
y1c1  y0 
y1c1  1
lu 2
0.1
2
0
 1  0.1  0.9 
0
 1  0.05 0.9  0.9    0.9145

2
1
2
1
So
y1c1
The second Modified value of y1
y1c2  y0 
h

2
   
x0  y02   x1  y1c1

2
y1c2  1  0.05 0.9  0.9145   0.9132

2
U
The Third Modified value of y1
  
VT
y1c3  y 0 
h

2
 
x0  y02   x1  y1c2

2
y1c3  1  0.05 0.9  0.9132   0.9133 2
y1  y (0.1)  0.9133

n
tio
Type – 4
lu
Predictor - Corrector Method
In the predictor – Corrector methods, Four prior values are required for finding
the value of y at x. These Four values may be given or extract using the initial
So
condition by Taylors series
A predictor formula is used to predict the value of y at x and then corrector

formula is applied to improve this value.
We describe two such methods namely
1. M ilne’s M ethod
U
2. Adams Bashforth M ethod
Milne’s Predictor –Corrector Method

VT
Working rule:

M ilne’s Predictor formula

4h
y4p  y0  2 f1  f 2  2 f 3 
3
Milne’s Corrector formula
y 4c  y 2 
h
3

f 2  4 f 3  f 4p  where f 4p 
dy
 f ( x4 , y 4p )
n
dx
tio
y 4c1  y4c
y4c1  y2 
h
3

f 2  4 f 3  f 4c  where f 4c 
dy
dx
 f ( x4 , y 4c )
Worked Examples
lu
1. Using Milne’s method, find y(0.8), given y   x  y given y(0) = 0, y(0.2) =
0.0200, y(0.4) = 0.0795, y(0.6) = 0.1762.
2
So
 f  x, y   x  y 2
dy
x y
dx
x0  0 y0  0 f 0  0  (0) 2  0
x1  0.2 y1  0.0200 f1  0.2  (0.0200) 2  0.1996
x2  0.4 y 2  0.0795 f 2  0.4  (0.0795) 2  0.3937
x3  0.6 y3  0.1762 f 3  0.6  (0.1799) 2  0.5689
U
x4  0.8 y4  ?

VT
4h
y 4p  y0  2 f1  f 2  2 f 3 
3
4(0.2)
y 4p  0 2(0.1996)  0.3937  20.5689
3
y 4p  0.30488

y 4c  y 2 
h
3

f 2  4 f 3  f 4p 
f 4p  x4  y 4p  0.7070
0.2
y 4c  0.0795  0.3937  40.5689 f 3  0.7070
3
y 4c  0.3045
n
c
Milne’s Predictor formula
tio
4 
c1
y2 
h
3

f 2  4 f 3  f 4c  2
 
f 4c  x4  y 4c  0.70723
0.2
y 4c1  0.0795  0.3937  40.5689  0.7072
3
y 4c1  0.3046
lu
2. Compute y(0.4), by applying Milne’s predictor corrector method. Use
corrector formula twice for the differential equation. Given
So
dy
 2e x  y and x 0 0.1 0.2 0.3
dx y 2 2.010 2.04 2.09
 f x, y   2e x  y
dy
x y
dx
U
x0  0 y0  2 f 0  2e 0  2  0.0
x1  0.1 y1  2.010 f1  2e 0.1  2.010  0.20034
x2  0.2 y 2  2.04 f 2  2e 0.2  2.04  0.40281
VT
x3  0.3 y3  2.09 f 3  2e 0.3  2.09  0.60972

x4  0.4 y4  ?

4h
y 4p  y0  2 f1  f 2  2 f 3 
3
4(0.1)
y 4p  2  2(0.20034)  0.40281  20.60972
3
y 4p  2.16231
n
tio
y4c  y2 
h
3

f 2  4 f 3  f 4p f 4p  2e x4  y4p  0.82134
0.1
y4c  2.04  0.40281 40.60972  0.82134
3
y4c  2.1620
h

lu

c
So
y 4c1  y 2  f 2  4 f 3  f 4c
3
f 4c  2e x4  y 4c  0.82155
0.1
y 4c1  2.04  0.40281  40.60972  0.82155
3
y 4c1  2.16211
U
dy x y
3. Find y at x = 0.3, using applying Milne’s method. Given  and
2
VT
dx
x  0.1 0 0.1 0.2
y 0.90878 1 1.11145 1.25253

x y
 f  x, y  
dy
x y y 
dx 2
x0  0.1 y 0  0.90878 f 0  0.40439
x1  0 y1  1.0000 f1  0.5
x 2  0.1 y 2  1.11145 f 2  0.605725
n
x3  0.2 y3  1.25253 f 3  0.72626
x 4  0.3 y4  ? ?
tio
4h
y 4p  y0  2 f1  f 2  2 f 3 
3
4(0.1)
2(0.5)  0.60572  20.72626
y 4p  0.90878 
y 4p  1.15502
3
lu
So
y 4c  y 2 
h
3

f 2  4 f 3  f 4p 
x 4  y 4p
f 4p   0.72751
2
U
0.1
y 4c  1.11145  0.60572  40.72626  0.72751
3
y 4c  1.25272
VT
c
y 4c1  y 2 
h
3

f 2  4 f 3  f 4c 
x4  y 4c
f4 
c
 0.77636
2
0.1
y 4c1  1.11145  0.60572  40.72626  0.77636
3
Dr. A.H.Srinivasa, 1.25435
y 41 MIT,
c
Mysore Page 35
x 4.0 4.1 4.2 4.3 5xy  2  y 2  0 and
n
y 1 1.0049 1.0097 1.0143
tio
2  y2
 f  x, y  
dy
x y y 
dx 5x
2  y0 2
x0  4 y0  1 f0   0.05
5 x0
2  y12
x1  4.1 y1  1.0049 f1   0.0485
5 x1
x 2  4.2
x3  4.3 luy 2  1.0097
y3  1.0143
f2 
f3 
2  y2 2
5 x2
2  y3 2
5 x3
 0.0467
 0.0452
So
x 4  4.4 y4  ? ?
4h
y 4p  y0  2 f1  f 2  2 f 3 
3
U
4(0.1)
y 4p  1  2(0.0485)  0.0467  20.0452
3
y 4p  1.01876
VT
y 4c  y 2 
h
3

f 2  4 f 3  f 4p 
2  y p 2
4
f 4p   0.04373
5x4
0.1
y 4  1.0097
c
Dr. A.H.Srinivasa, 
MIT,Mysore0.0467  40.0456  0.04373 Page 36
3
y 4  1.00909
c Support
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c
h
f 2  4 f 3  f 4c 
n
y 4c1  y 2 
3
2  y  c 2
tio
4
f 4p   0.04462
5x4
0.1
y 4c1  1.0097  0.0467  40.0452  0.04462
3
y 4c1  1.01877
lu

So
y   xy  y 2 , y (0)  1, y (0.1)  1.1169,
y (0.2)  1.2773, y (0.3)  1.5049
Solution: - Construct the table by using given values
x y y   f x, y   xy  y 2
x0  0 y0  1 f 0  x0 y0  y02  1
U
x1  0.1 y1  1.1169 f1  x1 y1  y12  1.3592

x2  0.2 y 2  1.2773 f 2  x2 y 2  y 22  1.887
VT
x3  0.3 y3  1.5049 f 3  x3 y3  y32  2.7162

x4  0.4 y4  ? ?
4h
y 4p  y0  2 f1  f 2  2 f 3 
3
4(0.1)
y 4p  1  2(1.3592)  1.887  22.7162
3
Online Chat
p
 1.8352
y 4Support Projects | Technical Seminar Guidance & Support Download our app or visit website
y 4c  y 2 
h

f 2  4 f 3  f 4p 
n
3
f 4p  x 4 y 4  y 4p   2
 4.1020
tio
0.1
y 4c  1.2773  1.887  42.7162  4.102  1.8391
3
c
To improve the accuracy of our results substitute the y 4 in corrector
formula c1 h
y4  y2  c
3
c
f 2
c 2
 4 f3  f 4  f 4  x4 y 4  y 4    4.1179
y 4c1  1.2773 
y 4c1  1.8396 lu 0.1

3
1.887  42.7162  4.1179
So
II . Adams Bashforth Predictor Corrector M ethod
Working rule:
U

VT

h
55 f 3  59 f 2  37 f1  9 f 0 
y4p  y3 
24
y4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p  dy
W here f 4p   f ( x4 , y 4p )
dx


y 4c1  y 4c
y4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4c 
n
W here dy
f 4c   f ( x4 , y4c )
dx
tio
Example: 1
xy
Find y(0.4), by applying Adams-Bashforth method given that y  and
2
x 0 0.1 0.2 0.3
lu
y 1 1.0025 1.0101 1.0228

So
 f  x, y  
dy xy
x y
dx 2
x0  0 y0  1 f0  0
x1  0.1 y1  1.0025 f1  0.0501
U
x2  0.2 y 2  1.0101 f 2  0.1010

x3  0.3 y3  0.1762 f 3  0.1534
x4  0.4 y4  ?
VT
y 4p  y3 
h
55 f 3  59 f 2  37 f1  9 f 0 
24
0.1
y 4p  1.0228  55(0.1534)  59(0.1010)  37(0.05012)1  9(0)
24
y 4p  1.0408
y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
n
x4 y 4p (0.4)(1.0408)
f 4p    0.2081
2 2
0.1
0.0501  5(0.1010)  19(0.1534)  9(0.2081)
tio
y 4c  1.0228 
24
y 4c  1.0408
lu
Example. 2 Given y  x 2 (1  y), y(1)  1, y(1.1)  1.233, y(1.2)  1.548, y(1.3)  1.979
determine y(1.4) by Adams- Bashforth method

So
x y y  f x, y   x 2 (1  y )
x0  1 y0  1 f0  x02 (1  y 0 )  2
x1  1.1 y1  1.233 f1  x12 (1  y1 )  2.702
x2  1.2 y 2  1.548 f2  x22 (1  y 2 )  3.669
U
x3  1.3 y3  1.979 f3  x32 (1  y3 )  5.035

x4  1.4 y4  ? ?
VT
y 4p  y3 
h
55 f 3  59 f 2  37 f1  9 f 0 
24
0.1
y 4p  1.979  55(5.035)  59(3.669)  37(2.702)  9(2)
24
y 4p  2.572


y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
f 4p  x42 (1  y 4p )  (1.4) 2 (1  2.572)  7.001
0.1
n
y 4c  1.979  2.702  5(3.669)  19(5.035)  9(7.001)
24
y 4c  2.575
tio

 
y 4c1  y3 
f 4c
h
24
lu f1  5 f 2  19 f 3  9 f 4c
 x4 (1  y 4c )  (1.4) 2 (1  2.575)  7.007

2
y 4c1  1.979 
0.1
2.702  5(3.669)  19(5.035)  9(7.007)
So
24
y 4c1  2.575
Example. 3 Given dy
 2e x y, y(0)  2, y(0.1)  2.4725, y(0.2)  3.1261, y(0.3)  4.0524
dx
determine y(0.4) by Adams- Bashforth method.
x y y   f x, y   2e x y )
U
x0  0 y0  1 f0  4
x1  0.1 y1  2.4725 f1  5.4652
x2  0.2 y 2  3.1261 f 2  7.6364
VT
x 3  0. 3 y3  4.0524 f 3  10.9406
x4  0.4 y4  ? ?
y 4p  y3 
h
55 f 3  59 f 2  37 f1  9 f 0 
24
0.1
y 4p  4.0524  55(10.9406)  59(7.6364)  37(5.4652)  9(4)
24
Dr.yA.H.Srinivasa, MIT, Mysore Page 41
4  5.3749
p
y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
n
f 4p  2 y 4p e x 4  2(5.3749)e 0.4  16.0366
0.1
y 4c  4.0524  5.4652  5(7.6364)  19(10.9406)  9(16.0366)
tio
24
y 4c  5.3835
y4c in y4c1
Substitute
y 4c1  y3 
f 4c
h
24
lu

f1  5 f 2  19 f 3  9 f 4c
 2 y 4 e  2(5.33835)e 0.4  16.06248

c x4

So
0.1
y 4c1  4.0524  5.4652  5(7.6364)  19(10.9406)  9(16.0624)
24
y 4c1  5.3845
Example. 4

dy
 x  y 2 , at x  0.8 given y(0)  0, y(0.2)  0.02, y(0.4)  0.0795, y(0.6)  0.1762
U
dx
Using Adams- Bashforth method

VT
 f  x, y   x  y 2
dy
x y
dx
x0  0 y0  0 f0  0
x1  0.2 y1  0.02 f1  0.1996
x2  0.4 y 2  0.0795 f 2  0.3936
x3  0.6 y3  0.1762 f 3  0.5689
x4  0.8 y4  ? ?


y 4p  y3 
h
55 f 3  59 f 2  37 f1  9 f 0 
24
0.2
y 4p  0.1762  55(0.5689)  59(0.3936)  37(0.1996)  9(0)
24
n
y 4p  0.30495
tio
y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
f 4p  x4  y 4p   2
 0.8  (0.3049) 2  0.70701
0.2
y 4c  0.1762  0.1996  5(0.3936)  19(0.56895)  9(0.70701)
y 4c  0.30457
24
lu
So
y 4c1  y3  
h
24
f1  5 f 2  19 f 3  9 f 4c 
U
f 4c  x4  y  p 2
4  0.8  (0.30457) 2  0.70724
0.2
y 4c  0.1762  0.1996  5(0.3936)  19(0.56895)  9(0.70724)
24
VT
y 4c  0.30459
Example. 5
dy x2
 , at x  1.0 given y (0)  1, y (0.25)  1.0026,
dx 1  y 2
y (0.5)  1.0206, y (0.75)  1.0679
x2
 f  x, y  
dy
x y
n
dx 1 y2
x0  0 y0  1 f0  1
x1  0.25 y1  1.0026 f1  0.0312
tio
x2  0.5 y 2  1.0206 f 2  0.1225
x3  0.75 y3  1.0679 f 3  0.2628
x4  1.0 y4  ? ?

h
y 4p  y3 
24
0.25 lu
55 f 3  59 f 2  37 f1  9 f 0 
55(0.2628)  59(0.1225)  37(0.0312)  9(0)
So
y 4p  1.0679 
24
y 4p  1Corrector
Adams-Bashforth
.1552 formula
y 4c  y3 
h
24

f1  5 f 2  19 f 3  9 f 4p 
x42 12
f 4p    0.4284
 
2
1  1.15522
U
1 y p 4
0.25
y 4c  1.0679  0.0312  5(0.1224)  19(0.2628)  9(0.4284)
24
VT
y 4c  1.154
y 4c1  y3 
h
24

f1  5 f 2  19 f 3  9 f 4c 
2
x4 12
f4 
c
  0.4289
1 MIT,
Dr. A.H.Srinivasa,  
c 2
 yMysore
4
1  1 . 154 2
Page 44
0.25
y 4  1.0679 
c
Online Chat Support 0.|0312
Projects Technical 5(0.Guidance
Seminar 1224)&Support
19(0.2628 ) our
Download 9(app
0.4289 )
or visit website
24
c
n
tio
lu
So
U
VT

Dr Shivalingappa Sangappa Benchalli

Professor,
n
Department of M athematics,
Basaveshwar Engineering college, Bagalkot-587102
Karnataka State, India.
Email: sbenchalli@gmail.com, (M ): +918762644634,
tio
Tel.: +918354-234060, Fax.: +918354-234204, 233905,
web.: http://www.becbgk.edu
Syllabus:
lu
So
U
Learning outcomes:
VT
Upon successful completion of Numerical solution of second order ordinary differential

equations, by Runge Kutta method and Milne’s method, it is expected that a student will be
able to do the following.
Familiar with Fourth order Runge-Kutta method and Milne’s method.
Find the numerical solutions of second order ordinary differential equations, using
Runge_kutta method and Milne’s method.
e_notes: EDUSAT Programme-22,Engineering Mathematics-IV Module-II, by: Dr S S Benchalli,BEC,BGK Page 1

Introduction:
Is it necessary to study Numerical Analysis: or
Why it is necessary to study Numerical analysis:
In the real world, no system behaves in a linear manner. There is no ideal

material, ideal support condition and a perfect structure. Due to imperfections (defect)
the behavior can always be described by a set of non-linear equations only. These
equations cannot be solved analytically except in some trivial cases, and one has to
n
resort to numerical analysis to find solutions. Nava day’s it has become an important
tool to solve a wide spectrum of nonlinear problems that arise in many practical
situations.
tio
What is Numerical Analysis?.
Numerical analysis is the development and study of procedures for solving

problems with a computer.
Advantages:
even when a problem has “no analytical” solution.

lu
1. A major advantage for numerical analysis is that a numerical answer can be obtained
2. Numerical results can be plotted to show some of the behavior of the solution.
So
3. Another important distinction is that result from numerical analysis is an
approximation, but results can be made as accurate as desired. (There are limitations
to the achievable level of accuracy, because of the way that computers do arithmetic).
Second order differential equation:

d2y  dy 
Consider the second order differential equation dx
 f  x, y ,


dx 
2 by writing dy/dx = z, it can
be reduced to two first order simultaneous differential equations.
U
dy dz
 z,  f ( x, y , z )
dx dx
These two equations can be solved using fourth order Runge-Kutta method.
VT
d y 2
Example1: Using Runge - Kutta method, solve  xy 2  y2 for x = 0.2 correct to 4
dx 2
decimal places. Initial conditions are x = 0, y = 1, y’ = 0.
dy dz
Solution: Let  z  f ( x , y , z ), Then  xz 2  y 2  ( x , y , z )
dx dx
We have x0 = 0 , y0 = 1, z0 = 0 , h = 0.2. Using k1, k2, k3, k4 for f(x, y, z) and l 1 , l 2, l 3 for (x,
y , z) Runge - Kutta formulae become
k1  hf x 0 , y 0 , z 0   0.2(0)  0 l1  hx 0 , y 0 , z 0   0.2( 1)  0.2
 1 1 1 
k 2  hf  x 0  h, y 0  k1 , z 0  l 1   0.2(-0.1)  -0.02 ,
 2 2 2 
 1 1 1 
l 2  h x 0  h, y 0  k1 , z 0  l 1   0.2( 0.999 )  0.1998
 2 2 2 
 1 1 1 
k 3  hf  x 0  h, y 0  k 2 , z 0  l 2   0.2(-0.0999)  -0.02 ,
 2 2 2 
 1 1 1 
l 3  h x 0  h, y 0  k 2 , z 0  l 2   0.2( 0.9791)  0.1958
 2 2 2 
k 4  hf x 0  h, y 0  k 3 , z 0  l 3   0.2(-0.1958)  -0.0392.
l 4  hx 0  h, y 0  k 3 , z 0  l 3   0.2( 0.9527 )  0.1905
1
y 1  y 0  k 1  2k 2  2k 3  k 4   1 - 0.0199  0.9801
6
n
1
y  z1  z 0  l1  2l 2  2l 3  l 4   0  0.1970  0.1970
6
Example 2: Given y  xy  y  0 y(0) = 1 y’(0) = 0, obtain y for x = 0, 0.1, 0.3 by any
tio
method. Further, continue the solution by Milnes method to calculate y(0.4).
Solution: put y’ = z , the given equation reduces to the simultaneous equations
z  xz  y  0 , y  z
y n 2  xy n1  ny n  y n  0
at x  0
y n2 0  n  1y n 0
lu
We use Taylor’s series method to find y, differentiating the given equation n times, we get
So
 y(0)  1 gives y2 ( 0)  1, y 4 ( 0)  32, y 6 ( 0)  15,....
and y1 (0)  1 yields y3 ( 0)  0, y 5 ( 0)  0, y 7 ( 0)  0,....  0
Expanding y(x) by Taylor’s series, we have
x2 x3
y ( x )  y ( 0)  xy 1 ( 0)  y 2 ( 0)  y 3 ( 0)  ....
2! 3!
x2 x 4 5x 3 6
y(x)  1  3  x  ...... - - - - - - - -(2)
2! 4! 6!
U
1 1
and z(x)  y(x)  -x  x 3  x 5  ......  xy - - - - - - - -(3)
2 8
From (2) y(0.1)  0.995 , y(0.2)  0.9802, y(0.3)  0.956
From (3) we have , z(0.1)  - 0.0995, z(0.2)  - 0.196, z(0.3)  - 0.2863
VT
Also from (1) z (x)  - (xz  y)

z (0.1)  0.985, z (0.2)  0.941, z (0.3)  0.87.
Applying Milne’s predictor formula, first to z and then to y, we obtain
4
z 0.4   z( 0)  ( 0.1)( 2z ( 0.1)  z ( 0.2)  2z ( 0.3))
3
0.4
0 ( 1.97  0.941  1.74)  0.3692
3
4
y 0.4   y ( 0)  ( 0.1)( 2 y ( 0.1)  y ( 0.2)  2 y ( 0.3))
3
0.4
0 ( 0.199  0.196  0.5736)  0.9231
3
Also z (0.4)  ( x(0.4) z(0.4)  y(0.4))  (0.4(0.3692)  0.9231)  0.7754.

Now Applying Milne’s corrector formula, we get
h
z 0.4   z ( 0.2 )  ( z ( 0.2 )  4 z ( 0.3)  z ( 0.4 ))
3
0.1
 0.196  ( 0.941  3.48  0.7754 )  0.3692
3
h
y 0.4   y ( 0.2 )  ( y ( 0.2 )4 y ( 0.3)  y ( 0.4 ))
3
0.1
 0.9802  ( 0.196  01.1452  0.3692 )  0.9232
n
3
Hence y 0.4   0.9232, and z 0.4   0.3692.
Additional Resources: Please visit
tio
http://numericalmethods.eng.usf.edu/topics/runge_kutta_4th_method.html
http://numericalmethods.eng.usf.edu
Special Functions:
Introduction: lu
We are familiar with the solution of linear differential equations with Constant
coefficients. The solution involves elementary functions such as eax , sin(ax), cos(ax) etc.
So
However, linear differential equations with variable coefficients, which arise from physical
problems, do not permit such solutions. Such equations can be solved by numerical methods,
But in many cases it is easier to find a solution in the form of an infinite converge series. The
series solution of certain differential equations give rise to special functions such as Bessel’s
function, Legendre’s polynomial, Hermite’s polynomial, Chebyshev polynomial. These
special functions have many applications in Engineering.
Series solution of differential equation:

U
d2 y dy
p0 (x)  p1 ( x )  p2 (x)y  0
To solve the equation of the form dx 2 dx
Where p0 (x), p1 (x), p2 (x) are polynomials in x, in terms of infinite convergent series.
VT
Validity of series solution:

d2y dy
Every differential equation of the form p0 (x)
dx 2
 p1 ( x )
dx
 p 2 ( x ) y  0    (1)
Does not have series solution. As such we find the conditions under which the above equation
admits of the series solution.Dividing equation (1) by p0 (x), we have
d2y dy
 p( x )  q( x ) y  0
dx 2
dx
p (x) p (x)
where p(x)  1 and q(x)  2
p0 (x) p0 (x)

Ordinary point:
x = 0 is called an ordinary point of (1) if p 0 (x) ≠ 0, otherwise it is called a singular point.
When x = 0 is an ordinary point of (1) its every solution can be expressed as a series of the
form

y  a 0  a1x  a 2 x 2         a k x k
k 0
Singular point: When x = 0 is called a singular point of (1) if p 0(0) = 0. If x p(x) and x 2 q(x) possess
n
derivatives of all orders in the neighborhood of x = 0 , then x = 0 is called a regular singular point of
(1)
When x = 0 is a regular singular point of (1) at least one of its solution can be expressed as
tio
 

y  x m a 0  a1x  a 2 x 2         a k x mk
k 0
Where m may be a positive or negative integer or a fraction.

lu
When x = 0 is an irregular singular point of (1) , then the differential equation of (1) has no
series solution of the form

y  x m a 0  a1x  a 2 x 2         a k x mk

So
k 0
Series solution When x = 0 is an ordinary point of the equation:
d2y dy
p 0 (x)  p1 ( x )  p 2 ( x ) y  0      1
dx 2
dx

Let y  a 0  a1x  a 2 x 2         a k x k      2
U
k 0
be the solution of (1) then find dy/dx , d2 y / dx2 Substitute the values of
dy d2y
y, , and 2 in (1)
VT
dx dx
equate to zero the coefficients of various powers of x and find a2 , a3 ,a4 …… in terms of a0
and a1 .Equate to zero the coefficient of xn . The relation so obtained is called the recurrence
relation. Give different values to n in the recurrence relation to determine various a i’s in
terms of a0 and a1 .
Substitute the values of a2 , a3 , a4 , …. In equation (2) to get the series solution of (1)
having a0 and a1 as arbitrary constants.

Examples : To solve the equation d2y

 xy  0 - - - - - - - - (1)
dx 2
Solution: since x = 0 is an ordinary point of (1)


Let its series solution be y  a 0  a1x  a 2 x         a k x      2

2 k
k 0
Then find first and second derivative of (2) we get
dy
 a1  2a 2 x  3a 3x 2  ......... na n x n1
n
dx
d2 y
tio
 2.1a 2  3 2a3x  4.3a 4 x 2 ......... n( n  1)a n x n2  ........
dx 2
Substituting these values in the given equation we get

2.1a 2  3 2a 3x  4.3a 4 x 2 ......... n( n  1)a n x n2  ........ x(a 0  a1x  a 2 x 2  ...... a n x n )  0
lu
2.1a 2  (3 2a 3  a 0 )x  ( 4 3a 4  a1 )x 2  (5 4a 4  a1 )x 3  ...  [(n  2)(n  1)a n 2  a n 1 ]x n   0
Equating to zero the coefficients of the various powers of x we get

So
a2  0
a0
3 2a3  a0  0 i.e a3  
3!
2a
4 3a 4  a1  0, i.e a 4   1
4
a
5 4a 5  a 2  0, i.e a 5   2 and so on..
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54
a n-1
In general, (n  2)(n  1)a n  2  a n-1  0, i.e a n  2  
(n  2)(n  1)
which is the recurrence relation
VT
put n  4,5,6.....in the recurrence relation we get

a 4a a 5 2 a1
a6  - 3  0 ; a7  - 4  ; and so on....
65 6! 76 7!
substituting these values in (2) we get
x 3 1 4x 6 1 4 7 x 9 2x 4 2 5 x 7
y  a 0 (1 -  - ...)  a 1 (x -   - - -)
3! 6! 9! 4! 7!

Example2: To solve the equation d2y

2
 x 2 y  0 - - - - - - - - (1)
dx


2 k
k 0
Then find the first and second derivatives of (2) we get
dy 
 a1  2a 2 x  3a 3x 2  ......... nan x n1   kak x k 1
dx k 1
n
d2y 
dx 2
 2.1a 2  3 2a 3 x  4.3a 4 x 2
......... n ( n  1) a n x n2
 ........  
k 2
k ( k  1)a k x k 2
tio
Substituting the values of y and d2 y/dx2 in the given differential equation (1) we get
 
 k(k  1)ak x k2  x 2  ak x k  0

k 2 k 0
lu
[2.1a 2  3 2a 3x  4.3a 4 x ......... ( n  2)(n  1)a n2 x n  ........]
2
 x 2 ( a 0  a1x  a 2 x 2  ......  a n2 x n2  ...)  0

2.1a 2  ( 3 2a 3 )x  ( 4 3a 4  a 0 )x 2  (5 4a 4  a1 )x 3  ..
.....  [(n  2)(n  1)a n 2  a n 2 ]x n  ...  0
So
Equating to zero the coefficients of the various powers of x we get
a2  0 a 3  0 and so on..
In general, (n  2)(n  1)a n  2  a n -2  0,
a n -2
i.e a n  2  
(n  2)(n  1)
which is the recurrence relation
U
put n  2,3, 4,5,6.....in the recurrence relation we get

VT
a 4a 0 a
a4  - 0  ; a 5  - 1 ; and so on....
34 6! 45
substituting these values in (2) we get
x4 x8 x5 x9
y  a 0 (1 -  ...)  a 1 (x -   - - -)
34 3478 4 5 4 58 9

2
Examples3: To solve the equation (1  x 2 ) d y2  x dy - y  0 - - - - - - - - (1)
dx dx


2 k
k 0
then dy 
 a1  2a 2 x  3a 3x  ......... nan x   kak x k 1
2 n 1
dx k 1
d2y 
dx 2
 2.1a 2  3 2a 3 x  4.3a 4 x 2
......... n ( n  1) a n x n2
 ........  
k 2
k ( k  1)a k x k 2
n
Substituting the values of y, dy/dx and d 2 y/dx2 in the given differential equation (1)
and equating the various powers of x obtain a2 = (a0 /2) , a3 = 0
tio
(n  1)
Equating to zero the coefficients of xn , we get a n 2   an
(n  2)
Put n = 2,3,4,5…successively we get
(1) a (2)
a4   a2   0 ; a 5   a 3  0;
(4) 8 (5)
a6  
(1)
(2)
a
a 4  0 ........
16
lu
substiting the values of a i ' s in the assumed solution we get
So
 x 2 x 4 x 6 5x 2 
y  a 0 1      ....... required equation
 2 8 16 128 
Probenius method:
Series solution when x = 0 is a regular singularity of the equation
d2 y dy
p0 (x)  p1 ( x )  p 2 ( x ) y  0          (1)
dx 2
dx
U
 

Let y  x m a 0  a1x  a 2 x 2      a n x n  .....   a k x mk    ( 2)
k 0
be the solution of (1) then

VT
dy 
  m  k a k x mk 1
dx k 0
d2y 
  m  k m  k  1a k x mk 2
dx 2 k 0
dy d2y
substiting the values of y, and 2 in (1)
dx dx

Equate to zero the coefficient of lowest power of x. This gives a quadratic equation in
m which is known as the indicial equation. Equate to zero the coefficients of other powers of
x to find a1 ,a2 ,a3 ……in terms of a0 .Substitute the values of a1 , a2 , a3 …..in (2) to get the series
solution of (1), since the complete solution must have two independent arbitrary constants.
The method of complete solution depends on the nature of roots of the indicial equation.
Case 1:
When the roots m1 and m2 of the indicial equation are distinct and not differing by an integer.
The complete solution is
n
y = c1 (y)m1 + c2 (y)m2
tio
Case 2: When the roots m1 and m2 of the indicial equation are equal the complete solution is
y = c1 (y)m1 + c2 (y/ m)m1
Case 3: When the roots m1 and m2 (m1 < m2 ) of the indicial equation are distinct and differ
by an integer. Let some of the coefficients of y series become infinite when m = m1 ( smaller
of the two roots ). Replace a0 by b0 ( m - m1 ) in the series for y.
The complete solution is lu

y = c1 (y)m1 + c2 (y/ m)m1
The solution corresponding to m = m2 ( greater of the two roots ) is a constant multiple of the
solution corresponding to m = m1 .
So
d2 y dy
Example : solve in series the equation 2x 2  ( 2x 2  x ) y0
dx 2
dx
Solution : since x = 0 is a regular singular point of the given equation. Let its series solution
be
 

y  x m a 0  a1x  a 2 x 2          a k x mk
k 0
U
Then
dy 
  m  k a k x mk 1
dx k 0
VT
d2y 
  m  k m  k  1a k x mk 2
dx 2
k 0
dy d2y
substiting the values of y, and 2 in the given equation, we get
dx dx
  
2x 2  m  k m  k  1a k x mk 2  ( 2x 2  x ) m  k a k x mk 1   a k x mk  0.
k 0 k 0 k 0

  
2x 2  m  k m  k  1a k x mk 2  ( 2x 2  x ) m  k a k x mk 1   a k x mk  0.
k 0 k 0 k 0
m 2 m1
2x [m( m  1)a 0 x
2
 ( m  1)(m)a1x  ( m  2)(m  1)a 2 x  ( m  3)(m  2)a 3x m1  ...] 
m
 ( 2x 2  x )[(m)a 0 x m1  ( m  1)a1x m  ( m  2)a 2 x m1  ( m  3)a 3x m2  ....]

 a 0 x m  a1x m1  a 2 x m2  .......  0.
The lowest power of x is xm. Equating to zero the coefficient of xm, we get 2m (m-1)a0 - ma0
+ a0 = 0. Or (2m2 -3m + 1) a0 = 0 or (2m -1) (m -1) = 0 since a0 ≠ 0 . Which is the indicial
equation. Its roots are m = ½ , 1.Equating to zero the coefficient of xm+1 , we get
2m(m+1)a1 + 2ma0 - (m+1)a1 + a1 = 0 or
n
(2m2 +m) a1 + 2ma0 = 0 or m [(2m+1)a1 +2a0 ] = 0 or
tio
(2m+1) a1 + 2a0 = 0 since m ≠ 0 or
a1 = - (2 / (2m+1) ) a0
Equating to zero the coefficient of x m+2
2 (m+2) (m+1) a2 + 2 (m+1) a1 – (m+2) a2 + a2 = 0. or
(2m2 + 5m + 3)a2 + 2 (m + 1)a1 = 0
(2m + 3) (m + 1) a2 + 2 (m + 1) a1 = 0
lu or
So
(2m+3) (m+1) a2 + 2 (m+1) a1 = 0
[(2m+3) a2 + 2 a1 ] (m+1) = 0 or
(2m+3) a2 + 2 a1 = 0 since (m+1) ≠ 0 or
a2 = - (2 / ( 2m +3) ) a1 = - (4/ (2m+1) (2m+3)) a0
Equating to zero the coefficient of xm+3 , we get

U
2 (m+3) (m+2) a3 + 2 (m+2) a2 – (m+3) a3 + a3 = 0 or
(2m2 + 9m + 10 ) a3 + 2 ( m+2) a2 = 0 or
VT
(2m + 5 ) ( m+2) a3 + 2 ( m+2) a2 = 0 or
(2m + 5) a3 + 2 a2 = 0 since (m+2) ≠ 0
a3 = - (8 / (2m+1) (2m+3) (2m+5) ) a0 and so on….
When m = ½ : a1 = - a0 , a2 = - (a0 /2), a3 =- (a0 /6) etcThe first solution is

1  x2 x3 
y1  a0 x 2

 1  x       

 2 6 

Therefore the second independent solution is
 2 22 x 2 23 x 3 
y 2  a 0 x
 1  x         

 3 35 357 
Hence the complete solution is y = c1 y1 + c2 y2
n
Example1: Home work
d 2 y dy
Solve in series the equation  x y0
dx 2 dx
tio
Hint: Since x = 0 is a regular singular point of the given equation. And roots are m = -2 and 2.
Example 2 : solve in series the equation

d 2 y dy
x   xy  0
dx 2 dx
Hint: Roots are m = 0, 0
Hint: Roots are m = 0,2

lu
Example 3: Obtain the series solution of the equation x(1  x )
d2y
dx 2
 (1  3x )
dy
dx
y 0
So
Bessel’s equation:
The second order differential equation given as
d2 y dy
x 2
x  ( x 2  n 2 ) y  0        (1)
dx 2
dx
is known as Bessel’s equation. Where the solution to Bessel’s equation yields Bessel’s
functions of the first kind and second kind as follows y = A Jn (x) + B Yn (x) Where A and B
U
are arbitrary constants.
Bessel function :
1. First kind: Jn(x) is the solution to Bessel’s equation is referred to as a Bessel’s

VT
function of the first kind.
2. Second kind: Yn(x) in the solution to Bessel’s equation is referred to as a Bessel’s

function of the second kind or sometimes the Weber function or the Neumann
function.
Equation (1) is often encountered when solving boundary value problem, such as separable
solutions to Laplace’s equation or the Helmholtz equation, especially when working in
cylindrical or spherical coordinates. The constant n determines the order of the Bessel's
function found in the solution to Bessel's differential equation and can take on any real
number value. For cylindrical problems the order of the Bessel function is an integer value n

while for spherical problems the order is of half integer value n+1/2. Since Bessel's
differential equation is a second order equation there must be 2 linearly independent
solutions.
Example:
d2 y dy
Solve x2 x  ( x 2  n 2 ) y  0        (1)
dx 2
dx
Since x = 0 is a regular singular point of the given equation, Let its series solution be
 

y  x m a 0  a1x  a 2 x 2          a k x mk
n
k 0
Differentiate above equation w.r.t. x two times then substitute these values in the equation
(1).
tio
dy 
  m  k a k x mk 1
dx k 0
d2y 
  m  k m  k  1a k x mk 2
dx 2
k 0
dy d2y
k 0
dx dx
lu
substiting the values of y, and 2 in the given equation, we get

x 2  m  k m  k  1a k x mk 2  ( x ) m  k a k x mk 1  ( x 2  n 2 ) a k x mk  0.
k 0

k 0
So
  
x 2  m  k m  k  1a k x mk 2  ( x ) m  k a k x mk 1  ( x 2  n 2 ) a k x mk  0.
k 0 k 0 k 0
   
 m  k m  k  1a k x mk   m  k ak x mk  x 2  a k x mk  n 2  a k x mk  0.

k 0 k 0 k 0 k 0
    
 m  k m  k a k x mk   m  k a k x mk   m  k a k x mk  n 2  a k x mk  a k x mk 2  0.

k 0 k 0 k 0 k 0 k 0
 (m  k ) 
 
2
 ( m  k )  ( m  k )  n 2 a k x mk   a k x mk 2  0.
U
k 0 k 0
 (m  k ) 
 
2
 n 2 a k x mk   a k x mk 2  0.
k 0 k 0
m
The lowest power of x is x corresponding to k = 0. Equating to zero, the coefficient of xm,
VT
we get indicial equation
m2 – n2 = 0, (since a0 ≠ 0) implies m =n
Equating to zero the coefficient of next term i.e. xm+1 we get
[(m+1)2 – n2 ]a1 = 0 implies a1 = 0, since [(m+1)2 – n2 ]a1 ≠ 0 for m=n.
Equating to zero the coefficient of x m+k+2 we get the recurrence relation
[(m+k+2)2 – n2 ]aK+2 +ak = 0 or

ak
a k 2 
( m  n  k  2)(m  n  k  2)
ak
a k 2 
( m  n  k  2)(m  n  k  2)
put k  1,3,5,....... we get a 3  a 5  a 7  ....  0.
put k  0, 2 ,4,......we get
n
a0
a2 
( m  n  2)(m  n  2)
a2
tio
a4  
( m  n  4)(m  n  4)
a0

( m  n  4)(m  n  4)(m  n  2)(m  n  2)
and so on ......,

 y  a0 x m 1 
x2
 ( m  2)  n
2 2

x4

( m  2)  n ( m  4)  n
2 2 2 2
lu
substituting all the values values in the assumed solution, we get

..............      (a)

 
So
Depending upon the values of n , we get different types of solutions
Case I : When n ≠0 or n ≠ an integer . In this case , we get two independent solutions for m =
n and m = - n.
For m = n we get
 x2 n x4 x6 
 y1  a0 x 1   2  3 ..............  ( 2)
 4( n  1) 4 2! ( n  1)n  2 4 3! ( n  1)n  2n  3 
U
For m = -n we get
n  x2 x4 x6 
 y 2  a 0 x 1   2  3 ..............  (3)
 4( n  1) 4 2!( n  1) n  2 4 3!( n  1) n  2 n  3
VT

1
If we take a0  n
2 ( n  1)
Then the solution given by (2) is called the Bessel function of the first kind of order n and is
denoted by Jn(x). Thus ( WKT nn = (n+1) )
n
x  
2 4 6
1 1 x 1 x 1 x
 J n (x)              ......, ( n  0)
 2   ( n  1) 1! ( n  2)  2  2! ( n  3)  2  3! ( n  4)  2  
n2r
r x 1

i .e. J n ( x )    1  
r 0 2 r! ( n  r  1)
     ( 4)
n 2r

x 1
  1  2 
r
J n ( x )       (5)
r 0 r! (  n  r  1)

Which is called the Bessel’s function of the first kind of order –n. Hence complete solution of
the Bessel’s equation ( 1 ) may be expressed in the form y = A J n (x) + B J-n (x). Where A
and B are arbitrary constants.
Case 2: When n = 0, the Bessel’s equation takes the form
 x2 x4 x6 
 y  x m 1     ..............
 ( m  2)
2 2

( m  2) ( m  4) 2
  
( m  2) ( m  4) ( m  6)
2 2 2

  
n
If m = 0 the first solution is given by
tio
2k

x 1
J 0 ( x )    1  
k
,
k 0 2 k!2
in equation (4) put n  0 , r  k, ( k  1)  k!

Which is Bessel function of the kind of order zero.
We know that

y  a 0 x m 1 
x2

x4

lu 
..............      (a)
 
So
 ( m  2)  n ( m  2)  n ( m  4)  n
2 2 2 2 2 2

Now differentiate above equation with respect to m , we get
y  x2 x4 
  x m log x 1   .............. 
m  ( m  2)
2

( m  2) ( m  4)
2 2
  
 x2 2 x4  2 2  
 xm      ....
 2 

 ( m  2) ( m  2) ( m  2) ( m  4)  ( m  2) ( m  4) 
2 2
 
U
y 
The second independent solution is given by   .
 m  m0
VT
The complete solution of the Bessel equation of order zero is y = AJ 0 (x) + B y0 (x) , where
y0 (x) is called Bessel function of the second kind of order zero or Neumann function.
Case 3 : When n is an integer , the two functions Jn (x) J-n (x) are not independent but are
connected by the relation
J n ( x )   1 J n ( x )
n
n 2r
kx 1

w.k .t . J n ( x )    1  
k 0 2 k! ( n  k  1)

Since ( a negative integer or zero) tends to  , each term in the summation is zero as long as
–n+k+1 ≤ 0 i.e k ≤ n-1. and (-n+k+1) is finite when k  n.
Put k = n+r , we observe that when k = n , r = 0, k tends to  , r tends  .
J n ( x )  

 1nr x
n 2r
 
r 0 ( n  r )! (r  1)  2 
 ( 1)  n

 1r x
n 2r
 
r 0 ( n  r )! (r  1)  2 
n
sin ce r and n are integer (r  1)  r! and (n  r)!  (n  r  1)
J n ( x )  ( 1)  n

 1r x
n2r
 
tio
r 0 ( r )! ( n  r  1)  2 
 ( 1) n J n ( x ).
Now , when n is an integer , y2 fails to give a solution for positive values of n and y1 fails to
give a solution for negative values of n.Let us find an independent solution of Bessel’s
equation (1 ) when n is an integer. Let y = u(x) Jn (x) be a solution of equation (1) , n is
integer. Then differentiate y two times we get
dy
dx
d2y
 u' J n ( x )  u J 'n lu
 u' ' J n ( x )  u' J 'n  u' J 'n  u J 'n'
So
dx 2
 u' ' J n ( x )  2u' J 'n  u J 'n'
Substituting the values of y , dy/dx , d2 y/dx2 in equation (1) we get

   
x 2 u' ' J n ( x )  2u' J 'n  u J 'n'  x u' J n  uJ 'n  ( x 2  n 2 )uJ n  0
or
 
u x 2 J 'n'  xJ 'n  ( x 2  n 2 )J n  x 2 u' ' J n ( x )  2x 2 u' J 'n  xu' J n  0
or
U
x 2 u' ' J n ( x )  2x 2 u' J 'n  xu' J n  0  J n is a solution of equation (1).

x 2 u' ' J n ( x )  2x 2 u' J 'n  xu' J n  0
dividing throughout by x 2 u' J n we get
VT
u' ' J 'n 1

2  0
u' Jn x
d
i.e. log u'  2 d log J n   d log x   0
dx dx dx
d
or log u'2 log J n  log x   0
dx
d
or
dx
 
log u' J n2 x  0
Integratin g w. r. t. x we get
B dx
 
log u' J n2 x  log B  u'  2 or u  B 2  A
J nx J nx
Substituting the value of u in the assumed solution y = u(x) J n (x)
 dx 
y   B 2  A  J n ( x )
 J nx 
dx
or y  A J n (x)  By n (x), where y n (x)  J n (x) 
J 2n x
The function y n (x) is called Bessel function of the second kind of order n or Neumann
function.
n
Find the value of J1/2 (x):
n 1
x 1k n2 K
tio
w.K.T. J n ( x )    
k 0 k! ( n  k  1)  2 
1
put n  we get and w.k.tn  (n - 1) (n - 1)
2
J1/ 2 ( x )  
n 1
 1k x
1 / 2 2 K
 
k 0 k! ( k  3 / 2 )  2 

1 x
 
(3/2)  2 
x
1/ 2

1/ 2
1

1 x
 
(5/2)  2 
1
5/ 2
x

2
lu
1 x
 
2! (7/2)  2 
1
7/2
 ........
x
4

So
          ..
2  1 / 2 (1/2) 3 / 2 1 / 2 (1/2)  2  25 / 2 3 / 2 1 / 2 (1/2)  2  
x  2 2x 2 2x 4 
J 1/2 (x)  1!  3!  5!  ..
2 (1/2)  
x 2  x x3 x5 
     ......
2 x 1! 3! 5! 
2
 (sin x ).
U
x
2
 J 1/2 (x)  (sin x ).
x
VT
Find the value of J- 1/2 (x): n 1

w.K.T. J n ( x )  
 1k
x
 n2 K
 
k 0 k! (  n  k  1)  2 
1
put n  we get and w.k.tn  (n - 1) (n - 1)
2
n 1
J 1 / 2 ( x )  
 1k x
1 / 2  2 K
 
k 0 k! ( k  1 / 2 )  2 
1 / 2 3/ 2 7/2
1 x 1 x 1 x
          ........
(1/2)  2  (3/2)  2  2! (5/2)  2 
1 / 2
x  1 1 x
2
1 x
4

          ..
2  (1/2) 1 / 2 (1/2)  2  23 / 2 1 / 2 (1/2)  2  
2  x2 x4 
J -1/2 (x)  1  2!  4!  ..
x (1/2)  
2  x2 x4 
 1   ......
x  2! 4! 
2
 (cos x ).
x
n
2
 J -1/2 (x)  (cos x ).
x
Recurrence relation of Bessel functions:
tio
The following recurrence relations connect Bessel functions of different orders and are very
helpful in the solution of problems involving Bessel functions.
1.Prove that :
d n
dx
 
x J n ( x )  x n J n1 ( x )
Proof : W.K.T. J n ( x )  
x n J n (x)  
n 1
n 1
x
 
k 0 k! ( n  k  1)  2 
 1k
 1k x 2n2k
lu n2 K
So
2 n 2 k k! ( n  k  1)
k 0
differenti ate both sides we get
d n

n 1
 1 ( 2n  2k )x 2 n 2 k 1
x J n ( x )   n2 k 
k
dx k 0 2 k! ( n  k  1)
 xn 
n 1
 1k ( n  k )x n2 k 1
k 0 2 n 2 k 1 k! ( n  k ) ( n  k )
n 1
 x  n 2 k 1
n  1k
x
n  2 k 1
 
U
k 0 2 k! ( n  1  k  1)  2 
 x n J n1 ( x )

d n
 
x J n ( x )  x n J n1 ( x )
VT
dx
2.Prove that :
d n
dx
 
x J n ( x )  x n J n1 ( x )
Proof : W.K.T. J n ( x )  

x  1k n2 K
 
k 0 k! ( n  k  1)  2 
x J n (x)  
-n

 1k x 2 k
k 0 2 n 2 k k! ( n  k  1)

d -n


x J n ( x )   n2 k
 1 ( 2k )x 2 k 1 k
dx k 1 2 k ( k  1)! ( n  k  1)

 1k 1 x n2 k 1
 x n
2
k 1
n  2 k 1
( k  1)! ( n  k  1)

d -n


 1 x n2r 1
x J n ( x )  x n  n2r 1
r
where r  k - 1
dx k 1 2 r! ( n  r  2)
 x  n2r 1 n

 1r x
x
n  2 r 1
 
r 0 2 r! ( n  1  r  1)  2 
 x n J n1 ( x )

d -n
dx
 
x J n ( x )  x n J n1 ( x ).
n
In particular , when x  0 we have
d
J 0 ( x )  J1 ( x ) or J '0  J1
dx
tio
3. Pr ove that : 2nJ n ( x )  xJ n1 ( x )  J n1 ( x )
J n (x)  

 1k
x
n2 K
 
k 0 k! ( n  k  1)  2 

 1k 2n  2k  2k  x  n2 K
2nJ n ( x )  

k 0
k 0
k! ( n  k  1)
 1k 2( n  k )  x  n2K 
 
k! ( n  k  1)  2 
 
2 lu 

 1k 2kx
 
k 0 k! ( n  k  1)  2 
n2 K
So


 1k 2( n  k )
x
n2 K


 1k 2k x
n2 K
   
k 0 k! ( n  k ) ( n  k )  2  k 0 k ( k  1)! ( n  k  1)  2 
n  2 K 1 n  2 K 1
 1k x x   1k 1 x x 

2 2
 
 
k 0 k! ( n  k ) k 0 ( k  1)! ( n  k  1)
n 1 2 K n 1 2 r
 kx r x

  1    1   
U
2 2

 x    where r  k - 1
 k 0 k! ( n  1  k  1) r 0 r! ( n  1  r  1) 
 
 
 xJ n1 ( x )  J n1 ( x )
VT
 2nJ n ( x )  xJ n1 ( x )  J n1 ( x )

1
4. Prove that : J 'n ( x )  J n1 ( x )  J n1 ( x ) (similar t o previous proof)
Example1: Prove that xJn (x)  xJ 2 ( x)  nJ ( x).
n1 n
Proof: From the recurrence relation (1) d n

dx
 
x J n ( x )  x n J n1 ( x )      (1)
x J (x)  nx
n
J n ( x )  x n J n1 ( x )
n
n 1

n-1
Dividing by x we get xJ( x)  xJ n1 ( x)  nJ n (x)      (3) Which is the required
equation

Example2: Prove that xJ ( x)  nJ n ( x )  xJ n1 (x )  (1)

 
Proof: From recurrence relation (2) we get d x n J n ( x )   x n J n 1 ( x )      ( 2 )
dx
n+1
x n

J n ( x )  nx  n1J n ( x )  x  n J n1 ( x )
Multiplying by x we get
xJn ( x)  nJ n ( x)  xJ n1 ( x)      ( 4) Which is the required equation.
Example3: Prove that 4Jn ( x)  J n2 (x)  2J n ( x)  J n1 ( x)
n
Proof: W.K.T from recurrence relation (4) 2J ' ( x )  J ( x )  J ( x )    (1)
n n 1 n 1
tio
Differentiate (1) , we get 2J  ( x )  J  ( x )  J  ( x )    ( 2)
n n1 n1
Changing n to (n-1) and (n+1) in equation (1) we get 2J 'n-1 ( x )  J n2 ( x )  J n ( x )
2J 'n 1 ( x )  J n ( x )  J n2 ( x )
 
Subtracting ,we get 2 J 'n-1 ( x )  J 'n 1 ( x )  J n2 ( x )  2J n ( x )  J n2 ( x )
Using equation (2) , the above equation can be written as
2  3  x2 3 
lu
4J n  J n2 ( x )  2J n ( x )  J n2 ( x )
So
Example 4: show that J 5/2 ( x )   2 sin x  cos x 
x  x x 
Solution: From recurrence relation (3) 2nJ ( x )  xJ ( x )  J ( x )
n n1 n1
It can be written as 2n
J n1 ( x )  J n ( x )  J n1 ( x )
x
Put n  3/2 in the above equation we get
3
J 5 / 2 ( x )  J 3 / 2 (x )  J1/ 2 ( x )
x
U
3 1 
 J 5 / 2 ( x )   J 1 / 2 ( x )  J 1 / 2 ( x )  J 1 / 2 ( x )
x x 
 3  3
  2  1J 1 / 2 ( x )  J 1 / 2 ( x )
VT
x  x
 3 - x2  2 3 2
  2  sin x  cos x
 x  x x x
2  3 - x 2  3 
  2  sin x  cos x 
x  x  x 

Example5: Show that  48 8   24  3

J 4 ( x )   3   J 1 ( x )  1  2  J 0 ( x )
x x  x x
Solution: From recurrence relation (3) 2nJ n ( x )  xJ n1 ( x )  J n1 ( x)
2n
It can be written as J n1 ( x )  J n ( x )  J n1 ( x )    (1)
x
Put n  1 in the above equation we get
2
J 2 ( x )  J 1 ( x )  J 0 ( x )      ( 2)
x
Put n  2 in eqn(1) we get
n
4
J 3 ( x )  J 2 ( x )  J 1 ( x )      ( 3)
x
6
tio
put n  3 : J 4 ( x )  J 3 ( x )  J 2 ( x )
x
6 4 
  J 2 ( x )  J 1 ( x )  J 2 ( x ) using (3)
x x 
 24  6
 2 J 2 ( x )  J 1 ( x )
 x 1 x
 24 
 2
 x  1
J 2 ( x ) 
6
x
J1 (x )
lu
So
 24   2  6
 2   J 1 ( x )  J 0 ( x )  J1 (x )
 x  1  x  x
 48 2 6  24 
 3    J 1 ( x )  1  2  J 0 ( x )
 x x x   x 
 48 8  24 
 3   J 1 ( x )  1  2  J 0 ( x )
 x x   x 
Example6: Prove that

d
dx

xJ n ( x )J n1 ( x )  x J n2 ( x )  J n2 1 ( x ) 
U
Pr oof . :
LHS 
d
dx

xJ n ( x )J n1 ( x )  d x n J n ( x )x n1J n1 ( x )
dx

VT
 x n J n ( x )
d
dx
 
x n1J n1 ( x )  x n1J n1 ( x )
dx
d n

x J n ( x )  (1) 
Now
d n
dx
 
x J n ( x )  x n J n1 ( x )
changing n to (n  1), we have

d n 1
dx
 
x J n 1 ( x )  x n 1 J n ( x )
Also w.k.t.
d n
dx
 
x J n ( x )  x n J n 1 ( x )
d
From equation (1) we have xJ n (x)J n1 (x) 
dx
  
 x n J n ( x ) x n1J n ( x )  x n1J n1 ( x )  x n J n1 ( x ) 
 
 x J 2n ( x )  J 2n1 ( x ) .
Example7: Pr ove that

d 2
dx
 n
J n ( x )  J 2n1 ( x )  2  J 2n ( x )  n 1 2 
J n1 ( x )
x x 
Proof : LHS 
d 2
dx
 
J n ( x )  J 2n1 ( x )  2J n ( x )J n ( x )  2J n1 ( x )J n1 ( x )  (1)
From example 1 we have (using example 2) J  ( x )   n J ( x )  J ( x )      ( 2 )

n n n 1
x
n 1
Replace n by (n+1) in equation (2) we get J n1 ( x )  
J n1 ( x )  J n ( x )      ( 4)
n
x
Substituting the values of J n ( x ) J n1 ( x )from equation (2) and (4) in equation (1)
d 2
  n   n 1
J n ( x )  J 2n1 ( x )  2J n ( x )  J n ( x )  J n1 ( x )  2J n1 ( x )  

J n1 ( x )  J n ( x )
tio
dx x   x 
n n 1 2 
 2 J 2 n (x)  J n1 ( x ).
x x 
Generating Function for Jn (x):
We shall now show that Bessel functions of various orders can be derived as co-efficient of
various powers of t in the expansion of the function x 1
 t 
e 2 t 
lu
So
x 1  
 t 
i.e. to prove that e 2 t 
 t
n 
n
J n ( x ).
x x2 x3 xn
W.K .T. e x  1     ....... ,....
1! 2! 3! n!
x 1 xt x
( t )
e 2 t
e e 2 2t
  xt  1  xt  2 1  xt  3 xntn x n 1 t n 1 x n2 t n2 

U
 1           ...  n  n 1  n2 ... x

  2  2!  2  3!  2  2 n! 2 ( n  1)! 2 ( n  2)! 
  x  1  x 2 1  x 3 xn ( 1) n 1 x n1 ( 1) n  2 x n  2 
x 1           ...  ( 1) n n n  n1 n 1  n2 n2 ...
  2t  2!  2t  3!  2t  2 t n! 2 t ( n  1)! 2 t ( n  2)! 
VT
The coefficient of tn in the product

x 1 xt x n n 2 n4
( t ) 1 x 1 x 1 x
e 2 t
e e
2 2t
          ...  J n (x )
n!  2  (n  1)!  2  2! (n  2)!  2 
Similarly the coefficient of t-n in the product

e
x 1
 t 
2 t 
e e
xt
2
x
2t

 1  x 
n n

 1  x 
n 1 n2

 1
n2
x
n4
...
     
n!  2  ( n  1)!  2  2! ( n  2)!  2 
 1  x n 1 x
n2
1 x
n4

  1    
n
     ...
 n!  2  ( n  1)!  2  2! ( n  2)!  2  
  1 
n

 1k
x
n2 k
 
k 0 k! ( n  k  1)  2 
n
  1 J n ( x )  J n ( x )
n
Thus we have proved that Jn (x) and J-n (x) are respectively the coefficients of tn and t-n in the
tio
x 1
expansion of the function ( t )
e2 t
x 1
 t 
t
e 2
 J 0 ( x )  tJ1 ( x )  t 2 J 2 ( x )  ...  t n J n ( x )  ...
............  t 1J 1 ( x )  t 2 J 2 ( x )  ...  t n J n ( x ) 

t

n - 
n
J n (x)
lu
This shows that Bessel functions of various orders can be derived as coefficient of different
powers of t in the expansion of
So
x 1
( t )
e2 t
For this reason, it is known as the generating function of Bessel function.
Integral form of Bessel Function:


1
Prove that cos(n  x sin ) d, for all integral values of n
 0
J n (x) 
x 1 
 t 
w .k . t . e 2 t 
 t n
J n (x)
U
n - 
 J 0 ( x )  tJ1 ( x )  t 2 J 2 ( x )  ...  t n J n ( x )  ...

....... t 1J 1 ( x )  t 2 J 2 ( x )  ...  t n J n ( x )  ....
VT
1 1 1
 J 0 ( x )  ( t  )J 1 ( x )  ( t 2  2 )J 2 ( x )  ( t 3  3 )J 3 ( x )  .....(1)
t t t
Put t = cos  + i sin  , By De Movier’s theorem

1
t n  cos n  i sin n and  cos n  i sin n
tn
1 1
t n  n  2 cos n and t n  n  2i sin n
t t

Substituting these values in (1), we have
e i x sin   J 0 ( x )  2 i sin J 1 ( x )  2 cos 2J 2 ( x )  3 i sin3 J 3 ( x )...  ......(2)

since e i x sin   cos( x sin )  i sin(x sin )
Equating the real and imaginary parts in (2), we get

cos( x sin )  J 0 ( x )  2 [ J 2 ( x ) cos 2  J 4 ( x ) cos 4  .....]   ( 3)
sin(x sin )  2 [ J 1 ( x ) sin   J 3 ( x ) sin 3  .....]   ( 4)
n
These are known as Jacobi series.
Multiplying both sides of (3) by conn and integrating w.r.t  between. The limits 0 to 
tio
(when n is odd, all terms on the RHS vanish; when n is even, all terms on the RHS except the
one containing cos n  vanish).
we get  0 , when n is odd
0 cos(x sin ) cos n d  J n (x) , when n is even    (5)
Similarly, multiplying (4), by sinn  and integrating w.r.t. 
between the Limits 0 to  we get
0

J n (x), when n is odd
lu
So
sin(x sin  ) sin n d      ( 6)
0 , when n is even
Adding (5) and (6) we get

 cos(x sin ) cos n  sin(x sin ) sin n d  J

0
n (x)

1
 J n (x)   cos( n  x sin ) d, for all integral values of n
0
U
Orthogonality of Bessel functions :

1 0 , when   

we shall prove that  x J n (x) J n (x) dx   1
 2 J n 1 ( ) , when   
2
0
VT
where ,  are the roots of J n (x)  0.

We know that the solution of the equation
x 2 u  xu  (  2 x 2  n 2 )u  0      (1)
x 2 v   xv   ( 2 x 2  n 2 ) v  0      ( 2)
v u
are u  J n ( x) and v  J n (x) respectively, Multiplyi ng equation (1) by and (2) by
x x
n 2 uv
we obtain xvu  vu   2 uvx   0 and
x
n 2 uv
xuv   uv    2 uvx  0
x

On subtracting we obtain xuv  uv   uv  uv    2   2 uvx  0  

d
i.e. xuv  uv    2   2 uvx
dx
 
Now integrating both sides w.r.t x between o and 1
1
xuv  uv10   2   2  uvxdx
0
1
i.e.uv  uv x 1  0   2   2   uvxdx    (3)
n
0
since u  J n ( x)
 u 
d
J n (x)  d J n (x) dx   J n (x)
tio
dx d x  dx
Similarly v  J n (x)
 v 
d
J n (x)  d J n (x) dx   J n (x)
dx d x  dx
Substituting these values in (3), we get
1
i.e.  xJ n ( x)J n (x)dx 

J n (  )J n ( ) - J n (  )J n ( )   2   2
1
 xJ
0
lu n ( x)J n (x)dx
J n (  )J n ( ) - J n (  )J n ( )
2  2
 ( 4 )
So
0
If  and  are distinct roots of J n (x)  0 then J n (  )  J n ( )  0

1
and (4) reduces to  xJ n ( x)J n (x)dx  0    (5)
0
This is known as the orthogonality relation of Bessel functions when

 =  , the right side of equation (4) is of (0 / 0 ) form. Its value can
 be found by considering  as a root of Jn (x) = 0 and  as a variable
U
Approaching , then equation (4) gives

1
J n ()J n ()
lim  xJ n (x)J n (x)dx  lim

0
 2  2
VT
By L’Hospitals rule the numerator and denominator are differentiated Separately w.r.t. .
Thus we have
1
 xJ  J n ()J n () 1

 J n ()    (6)
2
2
n (x) dx  lim
0
 2 2
From the recurrence relation
n
J n ( x )  J n ( x ) - J n 1 ( x )
x
n
 J n (  )  J n (  ) - J n 1 (  )

 J n (  )  J n 1 (  ), since J n (  )  0

Equation (6) becomes

1
 xJ  1
2
n ( x) dx  J n 1 ()2
0
2
Solution of Legendre differential Equation:

d2y dy
Consider 1 - x 2  2  2x  nn  1y  0    (1)
dx dx
d2y
The coefficien t of i.e (1 - x 2 )  0 at x  0
dx 2
n

Assume series solution in the form y  a x
r 0
r
r
,    ( 2)
tio
dy 
d2y 
   a r r x r -1 ,  a r r(r - 1)x r -2
dx r 1 dx 2 r 2
Equation (1) becomes
1 - x  a r(r - 1)x
  
2
r
r -2
 2x  a r r x r -1  nn  1 a r x r  0
r 2 r 1 r 0
   
  a r r(r - 1)x
r 2
r -2
r 2
r
r 1
The first two terms of the above vanishes when r = 0, 1 and third term vanishes when r = 0 ,
we can write the above equation in the form
lu
  a r r(r - 1)x  2a r r x  nn  1 a r x r  0r
r 0
So
   
 a r(r - 1)xr
r -2
  a r r(r - 1)x  2 a r r x  nn  1 a r x r  0
r r
r 2 r 2 r 1 r 0
Equate the coefficient of xr to zero i.e in the first term replace r by r + 2 we get
ar+2 (r + 2) (r + 1) – ar ( r ) (r-1) – 2 ar ( r ) + n (n+1) ar = 0
i.e ar+2 (r + 2)(r + 1) = ar [r (r - 1) + 2 r – n (n + 1)]
ar 2 
r 2
 r  2r  n( n  1
ar

U
r  2r  1
ar 2  
n(n  1)  r
r
a    ( 3)
2

r  2r  1 r
put r  0 , 1,2,3...n in equation (3)
VT
- n(n  1)
a2  a0 ,
2
- (n 2  n  2)  ( n  1)(n  2)
a3  a1  a1
6 6
2
- (n  n  6)  ( n  2)(n  3)  n( n  1)
a4  a2  x a0
12 12 2
n( n  1)(n  2)(n  3)
 a0
24
- (n 2  n  12)  ( n  3)(n  4)  ( n  1) ( n  2)
a5  a3  x a1
20 20 6
( n  1)(n  2)(n  3)(n  4)
 a1 etc.
120Module-II, by: Dr S S Benchalli,BEC,BGK
e_notes: EDUSAT Programme-22,Engineering Mathematics-IV Page 25
Obviously a0 , a1 ≠ 0 , otherwise we get a trivial solution y = 0. Substitute above values in the

assumed solution (2).
i.e y = a0 + a1 x + a2 x2 + a3 x3 + a4 x4 + a5 x5 +…….
i.e y = (a0 + a2 x2 + a4 x4 +….) + (a1 x + a3 x3 + a5 x5 …..)
Because a2 , a4 , --- are in terms of a0 and a3 , a5 … are in terms of a1 , we obtain
 n( n  1) 2 n( n  1)(n  2)(n  3) 4 
y  a 0 1  x  x  ....... 
 2! 4! 
 (n - 1)(n  2) 3 ( n  1)(n  2)(n  3)(n  4) 5 
 a 1 x - x  x  ....  ( 4)
n
 3! 5! 
Let y1 (x) , y2 (x) respectively represent the two infinite series in (4)
tio
i.e y = a0 y1 (x) + a1 y2 (x) is the series solution of the Legendre’s differential equation.
Legendre Polynomials:
If n is a positive even integer, a0 y1 (x) reduces to a polynomial of degree n.

If n is a positive odd integer a1 y2 (x) reduces to a polynomial of degree n
1.3.5....(n  1)
Take a 0  (-1)n/2 .
2.4.6...n
and a 1  (-1)
lu
Otherwise these will give infinite series called Legendre functions of second kind
n -1
2
1.3.5....n
2.4.6...(n  1)
So
equation (4) becomes
1.3.5....(n  1)  n( n  1) 2 n( n  1)(n  2)(n  3) 4 
p n (x)  (-1)n/2 . 1 x  x  .......
2.4.6...n  2! 4! 
when n is even
n -1 1.3.5....n  (n - 1)(n  2) 3 ( n  1)(n  2)(n  3)(n  4) 5 
p n (x)  (-1) 2
 x- x  x  ....
2.4.6...(n  1)  3! 5! 
when n is odd.
Particular cases : put n  0, 1,2,3,4,5......
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1 1
 
p 0 (x)  1, p1 (x)  x , p 2 (x)  3x 2  1 , P3 (x)  5x 3  3x ,
2 2
 
1

p 4 ( x )  35x 4  30x 2  3 , 
VT
8
1

p 5 ( x )  63x 5  70x 3  15x
8

Example: Express f(x) = x4 + 3x3 –x2 + 5x-2 in terms of Legendre polynomials
1 35  4 8 15 2 8 3  35  4 6 2 3 
 
Solution :w.k.t. p 4 ( x )  8 35x  30x  3  8 x  35 4 x  35 8   8 x  7 x  35 
4 2
   
8 6 3
x4  p4 (x)  x 2 
35 7 35

1 5 3 
P3 (x) 
2
 2

5x 3  3x  x 3  x 
5 
2 3 2 1
 x3  P3 (x)  x, similarly x 2  P2 (x)  .
5 5 3 3
8 6 3
 f ( x )   p 4 ( x )  x 2    3x 3  x 2  5x  2
 35 7 35 
8 1 73
 p 4 ( x )  3x 3  x 2  5x 
35 7 35
8 2 3  1 2 1 73
 p 4 ( x )  3 p 3 ( x )  x    P2 ( x )    5x 
n
35 5 5  7 3 3 35
8 6 2 34 224
 p 4 ( x )  p 3 ( x )  P2 ( x )  x
35 5 21 5 105
tio
8 6 2 34 224
 p 4 ( x )  p 3 ( x )  P2 ( x )  P1 ( x )  P0 ( x ),  x  P1 ( x ), 1  P0 ( x )
35 5 21 5 105
Generating Function for Pn (x):
In the expansion (1 – 2 x z + z2 )-1/2 in powers of z, it can be shown the coefficient of Zn is

Pn (x).
lu
Hence (1 – 2 x z + z2 )-1/2 is called generating function for pn (x).

  Pn (x).zn
So
i.e. (1 - 2xz  z ) 2 -1/2
n 0
n n( n  1) 2 n( n  1)(n  2) 3
Proof : w.k.t.1 - t 
n
t
1 t  t  ....
1! 2! 3!
put n  1/2 in the above formula
1 (3 ) 1 ( 3 )( 5 )
1 - t 1/ 2  1  1 t  2 2 t 2  2 2 2 t 3  ....
2 2! 3!
1 13 2 135 3 135 7 4 1 3 5 7....(2n - 1) n
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1 t  t  t  t  ....  t  ...

2 24 246 2 468 2 4 6 8......2n
i.e. (1 - 2xz  z 2 ) -1/2  1  z2x  z 

1 / 2
VT
w.k.t.
1 - t 1/ 2  1  1 t  1 3 t 2  1 3 5 t 3  1 3 5 7 t 4  ....  1 3 5 7....(2n - 1) t n  ...

2 24 246 2 468 2 4 6 8......2n
1 13 2 135 3 135 7 4
 1  z2x  z   z 2x  z   z 2x  z   z 2x  z  
2 3 4
2 24 246 2 468
135 7 9 5 1 3 5 7 9..(2n - 5) n2
z 2x  z   ...........  z 2x  z  
5 n2

2 4 6 8 10 2 4 6 8 10...(2n - 4)
1 3 5 7 9..(2n - 3) n1 1 3 5 7 9..(2n - 1) n
z 2x  z   z 2x  z   ..
n 1 n

2 4 6 8 10...(2n - 2) 2 4 6 8 10...(2n)

Expansion of the nth term using the following formula


w.k.t.x - a    - 1
n r n
c r x nr a r we get
r 0
1 3 5 7 9..(2n - 1) n 1 3 5 7 9..(2n - 1) n   
z 2x  z   z  - 1
n r n
 c r ( 2 x ) n r z r 
2 4 6 8 10...(2n) 2 4 6 8 10...(2n)  r 0 
1 3 5 7 9..(2n - 1) n n

2 4 6 8 10...(2n)

z c 0 ( 2x ) n  n c1 ( 2x ) n1 z  n c 2 ( 2x ) n2 z 2  .... 
Collect the coefficient of zn from the above equation, we get
n
1 3 5 7 9..(2n - 1) n 1 3 5 7 9..(2n - 1)
2 4 6 8 10...(2n)
c 0 ( 2x ) n 
2 4 6 8 10...(2n)
1 2n x n  
tio
1 3 5 7 9..(2n - 1) n n 1 3 5 7 9..(2n - 1) n
 2 x  x
2 n n! n!
Expansion of the (n-1)th term using the following formula


x - a n   - 1r n
c r x nr a r is

r 0
1 3 5 7 9..(2n - 3) n1
2 4 6 8 10...(2n - 2)
z 2x  z  
1 3 5 7 9..(2n - 3) n1 n1

n 1

2 4 6 8 10...(2n - 2)
lu
1 3 5 7 9..(2n - 3) n1  
z  - 1
 r 0
r n 1 
c r ( 2x ) n1r z r  


So
 z c 0 ( 2x ) n1  n1 c1 ( 2x ) n2 z  n1 c 2 ( 2x ) n3 z 2  ....
2 4 6 8 10...(2n - 2)
Collect the coefficient of zn from the above equation, we get
1 3 5 7 9..(2n - 3) 1 3 5 7 9..(2n - 3)
2 4 6 8 10...(2n - 2)

 n1 c1 ( 2x ) n2   
2 4 6 8 10...(2n - 2)

n - 1 2 n-2 x n-2  
1 3 5 7 9..(2n - 3)

2 n  1!
n -1

n - 1 2 n-2 x n-2 
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multiplyin g both N r and D r by n (2n - 1) we get

1 3 5 7 9..(2n - 3) n (2n - 1)

2 n n  1! (2n - 1)
n -1

n - 1 2 n-2 x n-2 
1 3 5 7 9..(2n - 3) n (2n - 1)

n - 1 2 n-1 2 -1 x n-2 
VT

2 n-1 n ! (2n - 1)
1 3 5 7 9..(2n - 3) n (2n - 1)

n ! (2n - 1)

n - 1 2 -1 x n-2 
1 3 5 7 9..(2n - 3) (2n - 1) n n - 1

n! 2(2n - 1)
x n -2  
1 3 5 7 9..(2n - 5) n2
Similarly the coefficient of zn in z 2x  z 
n 2
2 4 6 8 10...(2n - 4)
Is

1 3 5 7 9..(2n - 1) n( n  1)(n  2)(n  3) n-4

x
n! 2 4 (2n - 1)(2n - 3)
The coefficien t of z n in (1  2xz  z 2 ) -1/2 is given by
1 3 5 7 9..(2n - 1)  n n( n  1) n-2 n( n  1)(n  2)(n  3) n-4 
n! x  2( 2n  1) x  2 4 ( 2n  1)(2n  3) x ...  Pn ( x )
 
Thus in the expansion of (1  2xz  z 2 ) -1/2 , p1 (x), p 2 (x), p 3 (x)...Pn (x) are the
coefficien ts of z , z , z ....z respectively.
1 2 3 n
(1  2xz  z 2 ) -1/2  1  p1 (x)z  p 2 (x)z 2  p3 (x)z 3  ...  Pn (x) z n  .....


  Pn (x) z n .
n
n 0
Example 1: Show that Pn (1) = 1.
tio

w.k.t. z n p n (x)  (1 - 2xz  z 2 ) -1/2    (1)
n 0
put x  1 in equation (1) we get
 
 
2 1 / 2
z p n (1)  (1 - 2z  z 2 ) -1/2  1 - z   1 - z   1  z  z 2  z 3  ...  z n  ......   z n
n 1
n 0
equating the coefficien ts

Example 2 : Show that Pn (-x) = (-1)n Pn (x) .

of z n
lu we get Pn (1)  1.
n 0
So
w.k.t. z n p n (x)  (1 - 2xz  z 2 ) -1/2    (1) replace x by (-x) in equation (1) we get
n 0

z
n 0
n
p n (-x)  (1  2xz  z 2 ) -1/2  ( 2) again replace z by - z in (1)
 
  z  p   1 z
n n
n (x)  (1  2xz  z 2 ) -1/2 or n
p n (x)  (1  2xz  z 2 ) -1/2  ( 3)
n 0 n 0
Fron (2) and (3)

 
U
 z n p n (-x)   1 z n p n (x) Equating the coefficient of z n we have

n
n 0 n 0
p n (-x)   1 p n (x)
n
1 d 2 n
 
VT
Rodrigue’s formula : Show that x 1 Pn ( x ) 

2 n! dx n
2 th
Let u = (x -1) , First find the n derivative of u i.e. un is a solution of the Legendre’s
differential equation
 
1  x 2 y   2xy   n( n  1) y  0    (1)
Differentiating u w.r.t. x
du
dx
 
n 1
 u1  n x 2  1 2 x
 nx  1 x 
n 1
2 2
1 2x
nx  1 2x
2 n

x  1 2

  
u1 x 2  1  n x 2  1 2 x n
 2nxu, differenti ating w.r.t.x again

x 2

 1 u 2  2xu1  2nxu1  u 
Differentiating n times above equation using Leibnitz' s rule
uv n  u v n  n u1v n-1  n( n  1) u 2 v n-2  ...... u n v.

2!
n n
dn
d
 d
 
 n x 2  1 u 2  2 n xu1   2n n xu1   2nu n
dx dx dx
n
n( n  1)

 
i.e  x 2  1 u n2  n 2x u n1 
2

2 u n   2x u n1  n 1 u n  
 
 2nx u n1  n 1 u n   2 n u n
tio
  
i.e x 2  1 u n2  2n x u n1  n 2  n u n  2xu n1  2nu n  
 2 n x u n1  2n 2 u n  2 n u n
 
i.e. x 2  1 u n2  2xu n1  n 2 u n  n u n  0
i.e. x  1u  2xu  nu ( n  1)  0
2
n2
1  x u  2xu  n(n  1)u  0    (2)

2
n n
n 1
n 1
or 1  x u  2xu  n( n  1)u  0, This can also be written as

2
n2
n
n
lu
n
So
Pn (x) satisfies Legebdre’s differential equation is also a polinomial of degree n and hence un
must be same as Pn (x) but for some constant factor k.
dn 2
i.e. Pn (x)  k u n  k n x  1
dx
n
 
 
n
d
i.e. Pn (x)  k n x  1 x  1 Apply Leib nitz' s rule for RHS
n n
dx
 
x  1 x  1n n  n n x  1n 1 x  1n n 1 
n
  
U

 k n(n - 1)   (3)

 2!

n( n  1)x  1 x  1 n 2  ...  x  1 n x  1
n2 n n n

  
if z  x  1 , z 1  nx  1 , z 2  n( n  1)x  1
n n 1 n2
.....
VT
....z n  n( n  1)( n  2 )....2 1 x  1

nn
 n! x  1
0
 n!
 x  1  n
n  n!
put x  1 in (3) and all the terms in RHS becomes zero
except the reducing to n ! (1  1) n  n ! 2 n
i.e Pn (1)  k n ! 2 n but p n (1)  1
1
1  k n ! 2n  k 
n ! 2n
since Pn (x)  k u n
Pn (x) 
1
n ! 2n
x 2
1  n

n 
1 dn
n ! 2 n dx n
x 2

1
n

REFERENCE:
Higher Engineering Mathematics By B S Grewal

Numerical Methods for Engineers and scientists by Joe D. Hoffman
You tube channel BECMAT16
Internet
n
tio
lu
So
U
VT

MODULE – IV
PROBABILITY AND JOINT PROBABILITY
Probability = The total number of favourable outcomes

The total number of outcomes
Example
If we toss a coin we get either head or tail
n
S = {H , T}
Probability of getting head = 1/2
tio
Probability of getting tail = 1/2
Example
If we throw a die we get S = {1,2,3,4,5,6}
lu
Probability of getting one =1/6
Probability of getting an odd number = 3/6
Probability of getting an even number= 3/6

So
Random Variable
A variable whose value is determined by the outcome of a random experiment is called a
random variable. A random variable is also known as a stochastic variable.
Random Variable example
Consider tossing of two coins
We get S = {HH,HT,TH,TT}
U
Heads (X) 0 1 2 Total out comes
Number of 1 2 1 4
VT
occurrence
P(x) 1/4 2/4 1/4
Random Variable example
Consider tossing of three coins
We get S = {HHH,HTT,THH,TTH,HHT,HTH,THT,TTT}
Heads (X) 0 1 2 3 Total out
n
comes
tio
Number of 1 3 3 1 8
occurrence
P(x) 1/8 3/8 3/8 1/8
lu
There are two kinds of random variables
1. Discrete random variables

So
2. Continuous random variable
If the random variable takes on the integer values such as 0,1,2,3------ then it is called
discrete random variable.
Example : The number of telephone calls received by a person.
If the random variable takes on all values in a certain interval then it is called continuous
random variable.
U
Example : Height of the students in a class
Probability distribution function

VT
If X is a discrete random variable which takes the values x1, x2, x3,----- with probabilities p1,
p2, p3, -----. Then pi is called the probability function which satisfies the following conditions
1. pi ≥ 0 for all i
2. pi = 1
i =1
For discrete random variable
Mean = µ = E(X) = x p (x)
Variance = σ2 = x 2 p ( x) − µ 2
Standard deviation = √Variance = σ
1. The probability density function of a variate X is Find k, p( X 5), p(3 < X 6),
n
Mean, Variance
X 0 1 2 3 4 5 6
tio
P(X) k 2k 5k 7k 9k 11k 13k
(Answer:1/49, 24/49, 33/49, 202/49,6824/2401)
X 0
lu
2. The probability density function of a variate X is Find k, p( X < 6), p (X
1 2 3 4 5 6 7
6), p(3 < X 6)
So
P(X) 0 k 2k 2k 3k k2 2k2 7k2+k
(Answer: 1/10, 81/100, 19/100, 33/100)
3. The probability density function of a variate X is Find k, Mean, Variance, SD
X -2 -1 0 1 2 3
U
P(X) 0.1 k 0.2 2k 0.3 k

VT
(Answer: 0.1, 0.8, 2.16, 1.47)
Important points to be remember

Exactly : Exactly 3 means P(X = 3)
At least : At least 3 means P(X 3)
= 1 – P(X < 3)
At most : Ai most 3 means P(X 3)
n
Binomial Distribution
tio
The probability distribution function is P(x) = ncx px qn – x with p + q = 1
n
(p + q )n i.e.
n
cx p x q n− x = 1
x =0
1. Let x be a binomial distributed random variable with mean 2 and standard deviation 2/√3.
Find the corresponding probability density function.
x 6− x
Answer : P(x) = 6 c 1 2
x
3
lu 3
2. Let x be a binomial distributed random variable based on 6 Bernoullian trails. If p = 0.3

So
evaluate P(x = 3), P(x 3), P(x = 4) and P( x > 4)
Answer : P(x) = 6 c x (0.3)x (0.7 )6 − x
0.1852, 0.9295, 0.0595, 0.011
3. Six fair coins are tossed. Find the probability of getting (i) exactly 3 heads (ii) at least 3
heads (iii) at least one head
c x (0.5) (0.5)
6 x 6− x
Answer : P(x) =
U
0.3125, 0.6563, 0.9844
4. In a consignment of electric lamps 5% are defective. If a random sample of 8 lamps are

inspected what is the probability that one are more lamps are defective.
VT
Answer : P(x) = 8 c x (0.05)x (0.95)8 − x
0.3366
5. The probability that a person aged 60 years will live up to 70 is 0.65. what is the
probability that out of 10 person aged 60 at least 7 of them will live up to 70
c x (0.65) (0.35)
10 x 10 − x
Answer : P(x) =
0.5139
6. The number of telephone lines at an instant of time is a binomial variate with probability
0.2 that a line is busy. If 10 lines are chosen at random , what is the probability that (i)no
line is busy (ii) 5 lines are busy (iii)at least one line is busy(iv)at most 2 lines are busy
(v)all lines are busy
c x (0.2 ) (0.8)
10 x 10 − x
Answer : P(x) =
(i) 0.1074, (ii) 0.02642, (iii) 0.8926, (iv) 0.6778, (v) 1.024x10 – 7
n
7. In a large number of parts manufactured by a machine, the mean number of defective in a
sample of 20 in 2. Out of 1000 such samples how many would be expected to contain at least
3 defective parts.
tio
Answer : P(x) = 20 cx (0.1) (0.9 )
x 20 − x
0.323 1000 x 0.323 = 323
X 0 1 2 3 4
f 5
lu 29 36 25 5
So
8. In 256 sets of 12 tosses of an honest coin, in how many sets one can expect 8 heads and 4
tails.
c x (0.5) (0.5)
12 x 12 − x
Answer : P(x) = 0.1208 256 x 0.1208 = 31
9. Fit a binomial distribution for the frequency distribution. Also calculate the theoretical
frequencies
Answer : P(x) =
U
cx (0.49 ) (0.51)
4 x 4− x
Theoretical frequencies =
(
100 4 c x (0.49 ) (0.51)
x 4− x
)
( f ) p (x)
VT
=
x=0 c0 (0.49) (0.51) = 6.76
4 0 4
x =1 c1 (0.49 ) (0.51) = 26
4 1 3
f = 5 + 29 + 36 + 25 + 5 =100
x=2 c2 (0.49 ) (0.51) = 37.47
4 2 2
fx = 0 + 29 + 72 + 75 + 20 = 196
x =3 c3 (0.49 ) (0.51) = 24
4 3 1
fx
Mean = np = = 1.96
x=4 c4 (0.49 ) (0.51) = 5.76
4 4 0
f
1.96
p= = 0.49
4
10. Fit a binomial distribution for the frequency distribution. Also calculate the theoretical
frequencies
X 0 1 2 3 4 5
f 2 14 20 34 22 8
n
Answer : P(x) = 5 c (0.57 )x (0.43)5 − x 1.5, 10.45, 26, 34.2, 22.48, 5.91
x
Poisson’s Distribution
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The probability distribution function is
e − λ λx
P(x) = x>0
x|
1. Find the Poisson’s probability distribution which has mean 2. Also find P(X = 4).
Ans: p(x) = e −2 2 x P(x=4) = 0.0902

x|
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2. If 1% of switches manufactured by a firm are found to be defective. Find the probability
that a box contains 200 switches (i) no defective (ii) 3 or more defective switches.
(ANS.0.0183, 0.7621)
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3. Ten percent of the tools produced in a certain manufacturing process turn out to be
defective. Find the probability that in a sample of 10 tools chosen at random, exactly 2 will
be defective.
(ANS.0.18)
4. If the probability that an individual will suffer a bad reaction from injection of a given
serum is 0.001, determine that out of 2000 individuals (i) exactly 3 (ii) more than 2
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individuals will suffer a bad reaction.
(ANS. 0.18, 0.323)
5. In a certain factory manufacturing razor blades there is a small chance 1/50 for any blade
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to be defective the blades are placed in pockets each containing 10 blades. Calculate the
approximate number of pockets containing (i) no defective (ii) one defective (iii) two
defective blades in a consignment of 10000 pockets. Also calculate the approximate number
of pockets containing not more than 2 defective blades in a consignment of 10000 pockets.
(ANS. 8187,1637,163, 12)
6. The number of accidents in a year to taxi drivers in a city follows a poisson’s distribution
with mean 3. Out of 1000 taxi drivers find approximately the number of drivers with (i) no
accidents (ii) more than 3 accidents in a year.
(ANS. 50,350)
7. Fit a Poisson distribution for the frequency distribution. Also calculate the theoretical
frequencies
X 0 1 2 3 4
f 122 60 15 2 1
f =122 + 60 + 15 + 2 + 1 = 200
n
fx = 0 + 60 + 30 + 6 + 4 = 100
fx
Mean = np = = 0.5
tio
f
λ = 0.5
e −0.5 0.5 x
Answer : P(x) = x|
( f ) p (x) = 200 e 0.5
−0.5 x
Theoretical frequencies =
x = 0 200
e −0.5 0.50
0|
e −0.5 0.51
=121.3
lu x|
x = 3 200
e −0.5 0.53
3|
= 2.527
So
x =1 200 = 60.65
1| e − 0 .5 0 . 5 4
− 0 .5 2 x = 4 200 = 0.3159
e 0.5 4|
x = 2 200 =15.1625
2|
Continuous Random Variable
P(x) ≥ 0
∞ b
P(-∞ < x < ∞) = f ( x ) dx = 1 P(a ≤ x ≤ b) = f (x ) dx

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−∞ a
∞
Mean = x f ( x ) dx
−∞
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∞
Varience = (x − µ )2 f (x ) dx
−∞
kx 2 0 ≤ x ≤ 3
1. A random variable x has the density function p ( x ) =
0 elsewhere
Find k, P(x 1), P(1 x 3), P(x 2), P(x > 1) and P(x > 2)
(Answers 1/9, 1/27, 7/27, 8/27, 26/27, 19/27)
kx 2 0 ≤ x ≤ 3
2. A random variable x has the density function p ( x ) =
0 elsewhere
Find k, Mean, Variance, Standard deviation
(Answers 9/4, 27/80, 0.5809)

kx 0 ≤ x ≤ 5
3. A random variable x has the density function p ( x ) = 0 elsewhere
Find k, P(x 3), P(1 x 3), Mean, Variance, Standard deviation
n
(Answers 2/25, 8/25, 9/25, 4/3, 7/9, 0.554)
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4. A random variable x has the density function p ( x ) = 1 + x 2
x
−∞ < x<∞
Find k, P(x ≥ 0), P(0 x 1),
(Answers 1/π, ½, ¼)
Exponential Distribution
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The PDF of Exponential distribution is p ( x) =
0
α e −αx0≤ x ≤∞
elsewhere
1. If x is an exponential variate with mean 5 evaluate the following P( 0 < x < 1), P(
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x 0 or x ≥ 1), P(-∞ < x < 10)
Answers 0.1812, 0.8646, 0.8187
2. If x is an exponential variate with mean 4 evaluate the following P( 0 < x < 1), P( x > 2),
P(-∞ < x < 10)
Answers 0.2212, 0.6065, 0.9179
3. In a certain town the duration of a shower is exponentially distributed with mean equal to 5
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minutes, What is the probability that a shower will last for (i) less than 10 minutes (ii) 10
minutes or more
Answers 0.8647, 0.1353,

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4. The length of a telephone conversation has been exponentially distribution with mean of 3
minutes. Find the probability that a call (i) ends in less than 3 minutes and (ii) takes between
3 and 5 minutes
Answers 0.6321, 0.179
5. At a certain city bus stop three buses arrive per hour on an average. Assuming that the time
between successive arrivals is exponentially distributed, find the probability that the time
between the arrival of successive buses is (i) less than 10 minutes and (ii) at least 30 minutes
Answers 0.3935, 0.2231,
6. The daily turnover in a medical shop is exponentially distributed with Rs.6000 as the
average with a net profit of 8%. Find the probability that the net profit exceeds Rs.500 on a
randomly chosen day.
Let x denote the random variable denoting the turnover per day.
1 1
Given = 6000 α=
α 6000
Let A be the turnover in rupees for which the net profit is Rs.500. Then since net profit is 8%
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of the turnover we have 8
× A = 500 A = 6250
100
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Since the profit exceed Rs.500 the turnover has to exceed Rs.6250. Hence the probability that
the net profit exceeds Rs.500 is given by
P(x > 6250) =1 − P( x ≤ 6250)

6250
=1 − p ( x) dx
=1 −
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= 0.353
0
6250
0
1 −1/ 6000 x
6000
e dx
So
7. The length of a telephone conversation has been exponentially distribution with mean of 3
minutes. Find the probability that a call (i) ends in more than 1 minutes and (ii) takes less
than 3 minutes
Answers 0.71655, 0.63212
8. The daily turnover in a departmental store is exponentially distributed with Rs.10000 as the
average with a net profit of 8%. Find the probability that the net profit exceeds Rs.300 on a
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randomly chosen two consecutive days.
Answer 0.00553
Normal Distribution
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−
( x − µ )2
The PDF of Normal distribution is P (x ) =
1
e 2σ 2
−∞< x< ∞
σ 2π
Normal Distribution Key Points
x−µ
z=
σ
P(−∞ < x < ∞ ) = P(−∞ < z < ∞ )
P( z ≤ 0) = A(−∞,0) = A(0, ∞ ) = 0.5
A( z )is the area of the curve
1.P(0 z 1.45) = A(1.45) = 0.4265
2.P (-2.60 z 0) = P (0 z 2.60) = A(2.60)= 0.4953
3.P(-3.40 z 2.65)
= P(-3.40 z 0) + P(0 z 2.65)
= P(0 z 3.40) + P(0 z 2.65)
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= A(3.40) + A(2.65) = 0.49966+0.4960
= 0.99566
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4.P(1.25 z 2.1) = A(2.1)-A(1.25) = 0.0877
5.P (-2.55 z -0.8) = P (0.8 z 2.55) = A(2.55)-A(0.8)= 0.2065
6.P(z 1.7) =0.5 – P(0 z 1.7) = 0.5 – A(1.7) = 0.0446
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7.P(z -3.35) = P(z 3.35)
= 0.5 – P(0 z 3.35)
= 0.5 – A(3.35)
So
= 0.0004
8. P(|z| 1.85) = P( -1.85 z 1.85)
= 2 A(1.85)
= 2(0.4678)
= 0.9356
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9. For the normal distribution with mean 2 and standard deviation 4 evaluate the following
probabilities
(i) P( -6 < x < 3) (ii) P( 1 < x < 5) (iii) P(x 5)

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(iv) P(|x| < 4) (v) P( |x| > 3) (vi) P(|x – 2| >1
(0.5759, 0.3721, 0.2266, 0.6247, 0.5069, 0.4013)
10. The weekly wages of workers in a company are normally distributed with mean of Rs.700
and standard deviation Rs.50. Find the probability that the weekly wage of a randomly
chosen worker is (i) between Rs.650 and Rs. 750
(ii) more than Rs.750
Answer : 0.6826, 0.1587
11. In a certain city the number of power breakdowns per week is normal variate with mean
11.6 and standard deviation 3.3. Find the probability that there will be at least eight
breakdowns in any week.
Answer: 0.8925
12. The I.Q. of students in a certain college is assumed to be normally distributed with mean
100 and variance 25. If two students are selected randomly find the probability that have I Q
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between 102 and 110.
Answer 0.54
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13. The mean weight of 500 students at a certain school is 50 kgs and the standard deviation
is 6 kg. Assuming that the weights are normally distributed, find the expected number of
students weighing (i) between 40 and 50 kgs. And (ii) more than 60 kgs given that
A(1.6667) = 0.4525
Answer 0.4525, 0.0475, 226, 24
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14. The life of a certain type of electrical lamp is normally distributed with mean of 2040
hours and standard deviation 60 hours. In a consignment of 2000 lamps find how many
would be expected to burn for (i) more than 1950 hours (ii) less than 1950 hours (iii) between
1920 hours and 2160 hours, given that A(1.5) = 0.4332 A(1.83) = 0.4664.
So
Answers: 0.0336, 0.0668, 0.9544, 67, 134, 1909
15. In an examination taken by 500 candidates the average and SD of marks obtained are
40% and 10% respectively. Assuming normal distribution find (i) how many have scored
above 60% (ii) how many will pass if 50% is fixed as the minimum marks for passing (iii)
how many will pass if 40% is fixed as the minimum marks for passing (iv) what should be
the percentage of marks for passing so that 350 candidates pass. Answers: 0.0228,0.1587,
0.5, 11, 79, 250, 35
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16. In a normal distribution 31% of the items are under 45 and 8% are over 64. Find the mean
and standard deviation, given that A(0.5) = 0.19 and A(1.4) = 0.42 where A(z) is the
area under the standard normal curve from 0 to z > 0.
Answers : Mean = µ = 50 and SD = σ =10

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17. In a normal distribution 7% are under 35 and 89% are under 63. Find the mean and
standard deviation, given that A(1.23) = 0.39 A(1.48) = 0.43 in the usual notations.
Answers : Mean = µ = 50.29 and SD = σ =10.33
18. An analog signal received as a detector (measured in microvolt's) may be modeled as a

normal random variable with mean 200 and variance 256 at a fixed point of time. What is the
probability that the signal will exceed 240 microvolt's.
Answer: 0.0062
19. A certain machine makes electric resistors having a mean of 40 ohms and standard
deviation of 2 ohms. Assuming that the resistance follows a normal distribution. What is the
percentage of resistors will have the resistance that exceeds 43 ohms.
Answer: 0.0668, 6.68%
20. Fit a normal distribution for the following frequency distribution
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x 2 4 6 8 10
f 1 4 6 4 1
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f =1 + 4 + 6 + 4 + 1 =16
x f = 96 x 2 f = 640
xf 96
X= = =6
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σ =
2
P (x ) =
1
f
x2 f
−
f
16
− X =4
2
( x −6 )2
So
e 8
− ∞< x<∞
2 2π
Joint Probability Distribution

Mean of X = µ X = E ( X ) = x p(x )
Mean of Y = µY = E (Y ) = y p( y )
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E ( XY ) = x y p ( x, y )
x y
X and Y are independent if

E ( XY ) = E ( X )E (Y )
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Variance of X = σ X = E (X 2 )− [E ( X )]
2 2
Variance of Y = σ Y = E (Y 2 ) − [E (Y )]
2 2
S tan dard Deviation of X = σ X = Variance
S tan dard Deviation of Y = σ Y = Variance

CoVariance of X and Y = Cov( X , Y )
= E ( XY ) − E ( X )E (Y )
Downloaded from VTUSOLUTION.IN Corelation
NOTES |Coefficien
INTERNSHIP ρ ( X , YLECTURE
t =| VIDEO ) Like us on FB for regular updates
Cov( X , Y )
=
σ X σY
X and Y are independent if Cov( X , Y ) = 0
1. The joint probability distribution of two random variables X and Y is given by the
following table. Determine the individual or marginal distributions of X and Y. Also verify X
and Y are stochastically independent.
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X/Y 2 3 4
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1 0.06 0.15 0.09
2 0.14 0.35 0.21
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Answers Means = 1.7 and 3.1 E(XY) = 5.27
2. The joint probability distribution of two random variables X and Y is given by the
following table. Determine the individual or marginal distributions of X and Y. Also verify X
and Y are stochastically independent.
So
X/Y 1 3 6
1 1/9 1/6 1/18
3 1/6 1/4 1/12
6 1/18 1/12 1/36

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Answers E(X) = 2.833 = E(Y) E(XY) = 8.026 Cov(X,Y) = 0

VT
3.The joint distribution of two random variables X and Y is given below. Find the marginal
distributions of X and Y. Also determine µX and µY and the covariance and correlation
coefficient of X and Y.
X/Y -2 -1 4 5
1 0.1 0.2 0.0 0.3
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2 0.2 0.1 0.1 0.0
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Answers E(X) = 1.4 E(Y) = 1.0 E(XY) = 0.9 Variance of X =0.24 Variance of Y = 9.6
Cov(X,Y) = -0.5 ρ (X,Y) = -0.3294
4. The joint distribution of two random variables X and Y is given below. Find the marginal
X/Y 1
lu 3 9
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2 1/8 1/24 1/12
4 1/4 1/4 0
6 1/8 1/24 1/12

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Answers : E(X) = 4 E(Y) = 3 E(XY) = 12 Cov(X,Y) = 0.0 ρ (X,Y) = 0.0
5. The joint distribution of two random variables X and Y is given below. Find the marginal
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X/Y -3 2 4
1 0.1 0.2 0.2
3 0.3 0.1 0.1
Answers: E(X) = 2 E(Y) = 1.05 E(XY) = 0.9 Variance of X =1 Variance of Y = 9.24
Cov(X,Y) = -1.2 ρ (X,Y) = -0.3947
6. The distributions of two stochastically independent random variables X and Y defined on

the sample space are given by the following tables. Find the joint distribution.
X 0 1
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P(X) 0.2 0.8
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Y 1 2 3
P(Y) 0.1 0.4 0.5
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7.The distributions of two random variables X and Y defined on the sample space are given
by the following tables. Find the joint distribution. Also find correlation coefficient.
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X 1 2
P(X) 0.7 0.3
Y -2 5 8
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P(Y) 0.3 0.5 0.2

VT
8. The joint distribution of two random variables X and Y is defined by the function
P(X,Y) = c(2x+y) where X and Y assume the integer values 0,1,2. Find the marginal
distributions of X and Y. Are they independent?
9. Two independent random variables X and Y are such that X takes values 2,5,7 with the
probabilities ½,1/4,1/4 and Y takes values 3,4,5 with probabilities 1/3,1/3,1/3. Find the joint
probability distribution of X and Y. Also calculate the correlation coefficient.
10. A fair coin is tossed thrice. The random variables X and Y are defined as follows: X = 0
or 1 according as head or tail occurs on the first toss. Y = number of heads. Determine the
marginal distributions and hence find the correlation coefficient.
Answers: E(X) = ½ E(Y) = 3/2 E(XY) = ½ Variance of X =1/4 Variance of Y = 3/4
Cov(X,Y) = -1/4 ρ (X,Y) = -0.577
11. A fair coin is tossed thrice. The random variables X and Y are defined as follows: X = 0
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or 1 according as tail or head occurs on the first toss. Y = number of tails. Determine the
marginal distributions and hence find the correlation coefficient.
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Answers: E(X) = ½ E(Y) = 3/2 E(XY) = ½ Variance of X =1/4 Variance of Y = 3/4
Cov(X,Y) = -1/4 ρ (X,Y) = -0.577
THE DERIVATION OF MEAN AND VARIENCE OF FOUR
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DISTRIBUTION IS GIVEN BELOW
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Engineering Mathematics –IV(15MAT41)

Module-V : SAMPLING THEORY and
STOCHASTIC PROCESS
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tio
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Dr. K.S.BASAVARAJAPPA
By
So
Professor and Head,
Department of Mathematics,
Bapuji Institute of Engineering and Technology,
Davangere-4, Karnataka
E mail : ksbraju@hotmail.com
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VT
Module-V : Sampling Theory and Stochastic
Process
 Module-V : Sampling Theory and Stochastic Process
 Sampling
 Sampling distribution
 Standard error
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 Test of Hypothesis for means and proportions
 Confidence limits for means
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 Student’s t – distribution
 Chi - square distribution as a test of goodness of fit
Stochastic processes
 Stochastic processes
 Probability vector
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 Stochastic matrices, Fixed points
 Regular stochastic matrices
 Markov chains
 Higher transition probability
 Simple problems
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Sampling Theory
 Sampling theory is the field of statistics that is involved with the collection, analysis and
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interpretation of data gathered from random samples of a population under study. The application
of sampling theory is concerned not only with the proper selection of observations from the
population that will constitute the random sample
 Sampling aims at gathering maximum information about the population with the minimum effort,
cost and time. Sampling determines the reliability of these estimates. The logic of the sampling
theory is the logic of induction in which we pass from a particular(sample) to general (population).
Such a generalization from sample to population is called Statistical Inference.
 It also involves the use of probability theory, along with prior knowledge about the population
parameters, to analyse theNOTES
Downloaded from VTUSOLUTION.IN
data| INTERNSHIP
from the | VIDEO
random sample and
LECTURE
develop conclusions from the
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analysis. The normal distribution, along with related probability distributions, is most heavily
utilized in developing the theoretical background for sampling theory.
Meaning and objectives of Sampling

 Sampling
n
Sampling denotes the selection of part of the aggregate statistical material with a view to obtaining
information about the whole
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 population or Universe
The aggregate or totality of statistical information on a particular character of all the members
covered by an investigation is called population or Universe.
 sample
 Population Size( N )
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The selected part which is used to ascertain the characteristics of population is called sample
It is the total number of members of the population denoted by „N‟

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 Sample Size( n )
It is the number included in the sample denoted by „n‟
 Main objectives of sampling
To obtain the maximum information about the population with the minimum effort
To state the limits of accuracy of estimates based on samples
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Some important types of Sampling

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 Random Sampling
Here sampling must be random, It is the method of selection of a group of units in such a manner
that every unit comprising the population has an equal chance of being included in the sample
 Purposive Sampling
When the sample is selected based on individual judgement of the sampler, it is called purposive
sampling
 Stratified Sampling
The population is subdivided into several parts called strata and then subsample is chosen from
each of them, then all the sub samples combined together give the stratified sample
 Systematic Sampling
It involves the selection ofNOTES
sample units at equal intervals after all
| INTERNSHIP | VIDEO LECTURE
the units in the population have
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been arranged in some order

 Multistage Sampling
It refers to a sampling procedure which is carried out in several stages
The sampling distribution of a statistic is the distribution of that statistic, considered as a

random variable, when derived from a random sample of size n. It may be considered as the
distribution of the statistic for all possible samples from the same population of a given size. The
sampling distribution depends on the underlying distribution of the population, the statistic being
n
considered, the sampling procedure employed, and the sample size used.
There is often considerable interest in whether the sampling distribution can be approximated
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by an asymptotic distribution, which corresponds to the limiting case either as the number of
random samples of finite size, taken from an infinite population and used to produce the
distribution, tends to infinity, or when just one equally-infinite-size "sample" is taken of that same
population.
Sampling Distribution
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It is the probability law which the statistic follows if repeated random samples of a fixed size
are drawn from a specified population
The probability distribution of the statistic of the mean of x values will be called as sampling
distribution of sample mean
 Two important sampling distributions(Large samples)
Sampling distribution of sample mean( mean of x )
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 If x denotes the mean of a random sample of size n drawn from a population with mean µ and
standard deviation σ, then the sampling distribution of x is approximately a normal distribution
with
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 Mean = µ and standard deviation standard error of x
Consider all possible samples of size „n‟ which can be drawn from a given population at
random. For example, we can compute the mean. The means of the samples will not be identical. If we
group these different means according to their frequencies, the frequency distribution so formed is known
as sampling distribution of the mean. Similarly we have sampling distribution of the standard
deviation etc.
STANDARD ERROR
The standard deviation of the sampling distribution is called standard error. Thus the standard
error of the sampling distribution of means is called standard error opf means. The reciprocal of the
standard error is called precision.
If , a sample is called large otherwise small. The sampling distribution of large

samples is assumed to be normal. Where n is the sample size(number of items)
TESTING HYPOTHESIS
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 To reach decisions about populations on the basis of sample information, we make certain
assumptions about the populations involved. Such assumptions, which may or may not be true, are
called Statistical hypothesis. By testing a hypotheis is meant a process for deciding whether to
accept or reject the hypothesis.
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 The method consists in assuming the hypothesis as correct and then computing the probability of
getting the observed sample. If this probability is less than a certain pre- assigned value the
hypothesis is rejected.
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 The American statistician J. Neyman(1894-1981) and the English statistician E.S.Pearson(1895-
1980) - son of Kari Pearson developed a systematic theory of tests around 1930.
ERRORS
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 If a hypothesis is rejected while it should have been accepted, we say that a Type I error has been
estimated. On the other hand, if a hypothesis is accepted while it should have been rejected , we
say that a Type II error has been made. To reduce the both types of errors is to increase the
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sample size, if possible.
NULL HYPOTHESIS
The hypothesis formulated for the sake of rejecting it, under the assumption that it is true, is called
the null hypothesis and is denoted by . To test whether procedures is better than another, we
assume that there is no difference between the procedures. Similarly to test whether there is a
relationship between two variates, we take that there is no relationship.
By accepting a null hypothesis, we mean that on the basis of the statistic calculated from the
sample, we do not reject the hypothesis. It however, does not imply that the hypothesis is proved
to be true. Nor its rejection NOTES
implies| INTERNSHIP
that it is disproved.
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LEVEL OF SIGNIFICANCE
 The probability level below which we reject the hypothesis is known as the level of significance.
The region in which a sample value falling is rejected, is known as critical region. We generally
take two critical regions which cover 5% and 1% areas of the normal curve.
 The shaded portion in the figure corresponds to 5% level of significance. Thus the probability of
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the value of the variate falling in the critical region is the level of significance
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TEST OF SIGNIFICANCE
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 The procedure which enables us to decide whether to accept or reject the hypothesis is called the
test of significance. Test is carried out by whether the differences between the sample values and
the population values are so large that they signify evidence against the hypothesis or these
differences are so small as to account for fluctuations of sampling.
CONFIDENCE LIMITS
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SIMPLE SAMPLING OF ATTRIBUTES
 The sampling of attributes may be regarded as the selection of samples from a population whose
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members posses the attribute „K‟ or „not K‟. The presence of „K‟ may be called a success and its
absence a failure.
 Suppose we draw a simple sample of n items. Clearly it is same as series of n independent trials
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with the same probability „p‟ of success.
n
Example
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 A die was thrown 9000 times and a throw of 5 or 6 was obtained 3240 times. On the assumption
of random throwing do the data indicate an unbiased die?
Solution:
Here n = 9000, x = 3240(observed value of successes)
P(throwing 5 or 6 ) = 1/6+1/6 = 2/6 =1/3,
we get q = 2/3, therefore
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Expected number of successes = (1/3) *9000 = 3000
So
The standard normal variate(SNV) is,
Z = (x – mean)/S.D = (x – np)/S.D = (x – np)/√npq
= (3240 - 3000)/√9000* 1/3*2/3 = 5.4
Z = 5.4 > 2.58
This shows that the hypothesis is to be rejected at 1% level of significance
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Conclusion : The die is biased

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Example:
 A sample of 900 items has mean 3.4 and S.D 2.61. Can it be regarded as drawn from a population
with mean 3.25 at 5% level of significance?
Solution:
Given n = 900, Sample Mean = 3.4,Population Mean( µ) = 3.25, S.D = 2.61 = √npq, Then the
Standard normal variate(SNV) is,
SNV (Z) = (Sample mean – Population mean)( √ (n) / √npq
= (3.4 – 3.25)(√900)/2.61 =1.73
I Z I = 1.73 < 1.96
Conclusion: The given sample can be regarded as one from the population with mean 3.25
Example:
 A sugar factory is expected to sell sugar in 100 kg bags, A sample of 144 bags gives mean as 99
kg and S.D as 4. Can we conclude that the factory is working as per standards?
Solution:
Given n = 144, Sample Mean = 99,
n
Population Mean(µ) = 100, S.D = 4, Then the Standard normal variate(SNV) is ,
SNV (Z) = (Sample mean – Population mean)( √ (n) / S.D
tio
= (99 – 100)(√144)/4 = - 3
I Z I = 3 > 1.96
Conclusion: Factory is not working as per standards
EXAMPLE lu
So
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PROBLEMS
 A coin is tossed 400 times and it turns up head 216 times. Discuss whether the coin may be an
unbiased one.
 A die is tossed 960 times and it falls with 5 upwards 184 times. Is the die biased.
 Balls are drawn from a bag containing equal number of black and white balls, each ball being
replaced before drawing another.
In 2250 drawings 1018 balck Like
NOTES | INTERNSHIP | VIDEO LECTURE
andus on
1232 while balls have been
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drawn. Do you suspect some bias on the part of the drawer
 A machine produces 16 imperfect articles in a sample of 500. After machine is overhauled, it

produces 3 imperfect articles in a batch of 100. Has the machine been improved.
 One type of aircraft is found to develop engine trouble in 5 flights out of total 100and another type
in 7 flights out of a total of 200 flights. Is there a significant difference tin the two types of
aircrafts so far as engine defects are concerned.
SAMPLING VARIABLES
n
 Let us consider sampling of a variable such as weight, height etc. Each member of the population
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gives a value of the variable and the population is a frequency distribution of the variable. Thus a
random sample of size „n‟ from the population is same as selecting „n‟ values of the variable from
those of the distribution.
SAMPLING DISTRIBUTION OF THE MEAN lu

So
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CONFIDENCE LIMITS FOR UNKNOWN
MEAN
n
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lu
So
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PROBLEMS
n
tio
NUMBER OF DEGREES OF FREEDOM
lu
So
 Number of degrees of freedom is the number of values in a set which may be assigned arbitrarily.
If n is the given sample size then,
degrees of freedom( df ) = n-1.
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STUDENT’S t – DISTRIBUTION
n
tio
lu
So
Properties of t - Distribution
 This curve is symmetrical about the line t = 0, like the normal curve, since only even powers of t
appear in equation. But it is more peaked than the normal curve with same S.D. The t-curve
approaches the horizontal axis less rapidly than the normal curve. Also t –curve attains its
maximum value at t = 0 so that its mode coincides with the mean.
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Fig - 2
n
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lu
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SIGNIFICANE TEST OF A SAMPLE MEAN
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 Then find the value of p for the given df (degrees of freedom) from the table.
 If the calculated value of t > t at 0.05, then the difference between mean and µ is said to be
significant at 5% level of significance.
 If calculated value of t > t at 0.01, then the difference is said to be significant at 1% level of
significance.
 If calculated value of t < t at 0.05, then the difference is said to be consistent with the hypothesis
that µ is the mean of the Projects
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population.
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Example
n
x d = x – 48 d2
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45 -3 9
47 -1 1
50 2
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52 2 4
48 0 0
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47 -1 1
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49 1 1
53 5 25
51 3 9
Total 10 66
Taking A = 48, n = 9, We find
the mean and S.D as
NOTES | INTERNSHIP | VIDEO LECTURE Like us on FB for regular updates
Mean of the sample = A + (∑d)/9

= 48 + 10/9 = 49.1
Variance = (∑d *d)/9 – ((∑d)/9)((∑d)/9)
= 498/81 = 6.15
Then S.D (σ ) = 2.48
For the df = 9-1 = 8, the table value = 2.31
Therefore
n
t = (Sample mean – Population mean)( √ n) / S.D
= (49.1 – 47.5)(√900)/2.48 =1.83
I t I = 1.83
tio
t(calculated value) = 1.83 < t(table value) = 2.31
Conclusion:
This implies that, the value of t is significant at 5% level of significance
The test provides evidence against the population mean being 47.5
Example:
lu
So
 A certain stimulus is administered to each of the 12 patients give the increase in blood pressure as
x: 5,2,8,-1,3,0,-2,1,5,0,4,6. Can it be concluded that the stimulus Will in general be accompanied
by an increase in blood pressure?
Solution:
Given n = 12, Population Mean( µ) = 0,
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Sample Mean = (5+2+8-1+3+0-2+1+5+0+4+6)/12

= 2.583,
S.D = √∑((x – mean)**2)/n-1 = 2.9571
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Then by Student t - test,
t = (Sample mean – Population mean)( √ (n) / S.D

= (2.583 – 0)(√12)/2.9571 = 2.897
I t I = 2.897 > 2.201 at t - 0.05(Table value at df=11)
Conclusion:
The stimulus does not increase the blood pressure
Example:
 Eleven students were given a test in one subject, they were given a month‟s further tuition and a
second test of equal difficulty was held at the end of it. Do the marks give evidence that the
students have benefitted by extra coaching? Given that,
Students : 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11
Marks of I test : 23, 20, 19, 21, 18, 20,18, 17, 23, 16, 19
Marks of II test : 24, 19, 22, 18, 20, 22,20, 20, 23, 20, 17
n
Solution: We compute the mean and the standard deviation of the difference between the marks of
the two tests as under:
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Let d = marks of test I – marks of test-2, then
Mean of d = 11/11 = 1
Then the variance =((∑(d-mean of d)**2))/n-1)
= 50/10 = 5,
then the S.D = 2.24
lu
Assuming that students have not been benefitted by extra coaching, it implies that the mean of the
difference between the marks of the two tests is zero ( µ = 0 )
Then by student t-test
So
t = ((mean of d - µ)/S.D) √n
= (1-0) (√11)/ 2.24
= 1.48 < t = 2.228 at t-0,05
Conclusion:
 Here t = 1.48 < t = 2.228 at t-0,05, then the value of t is not significant at 5% level of significance
 The test provides no evidence that the students have benefitted by extra coaching.
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Example:
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 A machinist is making engine parts with axel diameter of 0.7 inches. A random sample of 10 parts
shows mean diameter as 0.742 and S.D as 0.04 inches. On the basis of this sample, would you say
that the work is inferior?
Solution:
Given n = 10,
Population Mean( µ) = 0.7,
Sample Mean = 0.742,
S.D = 0.04
Then by student t - test

t = ((mean of d - µ)/S.D) √nNOTES | INTERNSHIP | VIDEO LECTURE
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= (0.742-0.7) (√10)/ 0.04

= 3.16
Conclusion:
 Here t = 3.16 > 2.262 at t→0.05(table value), then the hypothesises rejected
 Hence the work is inferior
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Goodness of Fit
lu
So
 The value of chi-square is used to test whether the deviations of the observed frequencies from the
expected frequencies are significant or not. It is also used to test how will a set of observations fit
a given distribution.
 Chi-square therefore provides a test of goodness of fit and may be used to examine the validity of
some hypothesis about an observed frequency distribution
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VT
 From the Chi-square tableNOTES
, we| INTERNSHIP
can also |find the probability pLikecorresponding
VIDEO LECTURE
to the calculated
us on FB for regular updates
values of Chi-square for the given df.

 If p < 0.05, The observed value of Chi-square is significant at 5% level of significance
 If p < 0.01, The value of significance is at 1% level.
 If p > 0.05, It is a good fit and the value is not significant.
Example: In experiments on pea breeding, the following frequencies of seeds were obtained.
Round Wrinkled Round Wrinkled total
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and yellow and yellow and green and green
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315 101 108 32 556
Theory predicts that the frequencies should be in proportions 9:3:3:1. Examine the correspondence
between theory and experiment.
lu
So
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Problem:
VT
A die is thrown 264 times and the number appearing on the face( ) the following frequency distribution
x 1 2 3 4 5 6
f 40 32 28 58 54 60
Calculate .
Solution : Frequency in the given table are observed frequency.

Assuming that the die is unbiased
The expected number of frequencies for the numbers 1,2,3,4,5,6 to appear on the face is 44 each
Then the data is as fallows
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1 2 3 | INTERNSHIP
NOTES 4 | VIDEO LECTURE
5 6 Like us on FB for regular updates
Observed 40 32 28 58 54 60
frequency
Expected 44 44 44 44 44 44
frequency
( )
∑
The table value of Chi-square for 5 df is 11.07, then calculated value 22 > 11.07, the
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hypothesis is rejected
Problem :
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 Fit a poisson distribution to the fallowing data and test for its goodness of fit at level of
significance 0.05
f
0
419
1
352
2
154
lu 3
56
4
19
So
Solution: Mean = 0.4049
Theoretical frequencies are

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x 0 1 2 3 4
f 404.9 366 165.4 49.8 11.3

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The calculated value of X**2 = 5.78

The table value of X**2 at 0.05 is 7.82,
Therefore 5.78 < 7.82
It is in good agreement
Problem:
Fit a poisson distribution to the fallowing data and test for its goodness of fit given that
for d.f = 4
x 0 1 2 3 4
frequency 122 60 15 2 1
Poisson distribution to fit a data is =
= 121,61,15,3,0
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Therefore the new table is
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x 0 1 2 3 4
Observed 122 60 15 2 1
frequency
Expected
frequency
121 61 15
lu3 0
So
( )
∑
There the hypothesis for goodness of fit is accepted.
Example:
 A set of similar coins is tossed 320 times then, the following results are obtained : No. of heads:
U
0,1,2,3,4,5 and getting head up as Frequency(f): 6,27,72,112,71,32 .

Test the hypothesis that “the data follows the binomial distribution using chi – square test”.
Solution: Probability of getting head up by tossing a single coin p( H ) = ½= p(say), then,
VT
probability of not getting head up by tossing a single coin

q( H ) = ½ = q(say).
Then by fitting the binomial distribution for getting no. of heads 0,1,2,3,4,5 will be
N *p(r) = N* [ q + p ]**r,
Here N = ∑f = 6 + 27 + 72 + 112 + 71 + 32 = 320
N *p(r) = 320* [ 1/2 + 1/2 ]**5, where r = 0,…5 , we get
N *p(r) = 10 , 50, 100, 100, 50, 10 = Expected frequencies(E)
Then by chi- square test we get,
X**2 = ∑ ((O – E )**2)/E

= ((6-10)**2)/10 + ((27-50)**2)/50
+…. ((32-10)**2)/10
X**2 = 78.68
we have from the table value of X**2 at 0.05 = 11.07 for 5 df
Hence 78.68 > 11.07
Conclusion: Data follow the binomial distribution is rejected
Example:
 Genetic theory states that children having one parent of blood type A and the other type B will
n
always be of one of three types A, AB and B and that the proportion of three types will be on an
average be as 1: 2:1. A report states that out of 300 children having one A parent and B parent
then, 30% were found to be type A, 45% were found to be type AB and the remainder type B, Test
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the hypothesis by X**2 test that “the observed results support genetic theory”(the table value of
X**2 at 0.05 = 5.991 for 2 df).
Solution:
Observed frequencies of the given types are:
Type A : 30% of 300 children = 30 * 300/100 = 90
lu
Type AB : 45% of 300 children = 45 * 300/100 = 135
Type B : 25% of 300 children = 25 * 300/100 = 75
So
Then we consider observed frequencies(O) as
O : 90, 135, 75
But the given genetic ratio is 1: 2: 1, then

Total = 1 + 2 + 1 = 4
Observed frequencies of the given types are:
Type A : = 1 * 300/4 = 75
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Type AB : = 2 * 300/4 = 150

Type B : = 1 * 300/4 = 75
VT
Then we consider Expected frequencies( E ) as

E : 75, 150, 75
Then, by chi - square test we get

X**2 = ∑ ((O – E )**2)/E
= ((90-75)**2)/75 + ((135-150)**2)/150 + ((75-75)**2)/75
X**2 = 4.5
we have from the table value of X**2 at 0.05 = 5.991 for 2 df
Hence 4.5 < 5.991
Conclusion: the hypothesis that the observed results support genetic theory.
STOCHASTIC PROCESSES AND MARKOV CHAINS
 Stochastic process
 Probability vector
 Stochastic matrices, Fixed points
 Regular stochastic matrices
 Markov chains
 Higher transition probability
n
 Simple problems
tio
Stochastic process :
 In probability theory and related fields, a stochastic or random process is a mathematical object
usually defined as a collection of random variables. Historically, the random variables were
lu
associated with or indexed by a set of numbers, usually viewed as points in time, giving the
interpretation of a stochastic process representing numerical values of some system randomly
changing over time.
So
Such situations include the following:
 growth of a bacterial population,
 an electrical current fluctuating due to thermal noise
 The movement of a gas molecule.
 Jobs arrive at random points in time
U
 Random events of receiving the telephone calls

 Tossing the coin to expect the out comes as head or tail
VT
Stochastic processes are widely used as mathematical models of systems and phenomena
that appear to vary in a random manner.
They have applications in many disciplines including sciences such as
 Biology,
 Chemistry,
 Ecology,
 Neuroscience
 Physics
In technology and Engineering
fields such as,
 Image processing
 Signal processing
 Information theory
 Computer science
 Cryptography
 Telecommunications
Furthermore, seemingly random changes in financial markets have motivated the extensive
n
use of stochastic processes in finance.
Introduction:
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A stochastic or random process can be defined as a collection of random variables that is indexed
by some mathematical set, meaning that each random variable of the stochastic process is uniquely
associated with an element in the set.
The set used to index the random variables is called the index set.
index set the interpretation of time.

lu
Historically, the index set was some subset of the real line, such as the natural numbers, giving the
Each random variable in the collection takes values from the same mathematical space known as
So
the state space.
This state space can be,

for example : the integers, the real line or n-dimensional Euclidean space.
An increment is the amount that a stochastic process changes between two index values, often
interpreted as two points in time. A stochastic process can have many outcomes, due to its
U
randomness, and a single outcome of a stochastic process is called(among other names) a sample
function or realization.
VT
A stochastic process can also be regarded as a collection of random variables defined on a

common probability space
( Ω , F , P ), indexed by some set T, all take values in the same mathematical space S , which must
be measurable with respect to some σ.
In other words, for a given probability space ( Ω , F , P ) and a measurable space ( S , Σ ), a
stochastic process is a collection of S -valued random variables, which can be written as:
{ X( t): t∈ T}
Probability Vector
A probability vector is a vector (a column or row matrix) which is non-negative and all
elements adding upto unity. The elements of a probability vector give us the outcomes which can
occur, of a discrete random variable and the vector as a whole represents the probability mass
function of that random variable.
Probability vector is a convenient, compact notation for denoting the behavior of a discrete
random variable.
n
Probability Vector with each one of its components as non – negative is denoted by,
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V = ( V1 , V2, ……….. Vn )
The sum is equal to unity,
∑ Vi = 1, i = 1 to n, where Vi ≥ 0.
Stochastic Matrix
lu
So
A square matrix p = [ Pi j ] with every row in the form of probability vector is called stochastic
matrix
or
p = [ Pi j ] is a square matrix with each row being a probability vector
U
V = [ 3/4, 0, -1/2 ] → Not a probability vector

u = [ -1/2, 3/2, 1 ] → Not a probability vector
w = [ 1/2, 1/2, 0 ] → a probability vector
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V =[ ] → is a Stochastic Matrix
V=[ ]→ is not a Stochastic Matrix
Regular Stochastic Matrix

A stochastic matrix p is said to be a regular stochastic matrix if all the entries of some power pn
are positive.
Example-1
A =[ ]
is a Stochastic Matrix since row I gives 0 + 1 = 1
also row II gives 1/2 + 1/2 = 1

Then for regular stochastic matrix if all the entries of some power are positive.
n
Let =[ ][ ]=[ ]
Then
tio
row I gives 1/2 + 1/2 = 1 and
row II gives 1/4 + 3/4 = 1
Therefore A is a regular stochastic matrix
 Example
A=[ ] is a Regular Stochastic Matrix

lu
So
Properties of regular stochastic matrix p of order n
 P has unique fixed point x = ( x1 , x2, ……….. xn ) such that ,
xp=x
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 p has unique fixed probability vector

v = ( v1 , v2, ……….. vn ) such that,
vp=v
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 p2 , p3, ……….. pn approaches the matrix v whose rows are each the fixed probability
vector v
Fixed probability vectors

Given a regular stochastic matrix P of order m if there exists a probability vector Q of order
m such that Q P = Q, then Q is called a fixed probability vector of P
where Q = [ x, y ] with x + y = 1 for 2*2 matrix
Q = [ x, y, z ] with x + yProjects
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+ z = |1Technical
for 3*3 matrix and so on.
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Markov Chains
A discrete time process {xn , n = 0,1,2,...} with discrete state space xn ∈ {0,1,2,...} is a
Markov chain if it has the Markov property:
P[Xn+1=j|Xn=i,Xn−1=in−1,...,X0=i0]= P[Xn+1=j|Xn=i]
In words, “the past is conditionally independent of the future given the present state of the
process” or “given the present state, the past contains no additional information on the future
evolution of the system.”
n
The Markov property is common in probability models because, by assumption, one
supposes that the important variables for the system being modelled are all included in the state
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space.
We consider homogeneous Markov chains for which P[Xn+1=j|Xn=i] = P[X1=j|X0=i].
Example:
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physical systems. If the state space contains the masses, velocities and accelerations
of particles subject to Newton‟s laws of mechanics, the system in Markovian (but not random!)
Example:
So
 speech recognition. Context can be important for identifying words. Context can be modelled as a
probability distribution for the next word given the most recent k words. This can be written as a
Markov chain whose state is a vector of k consecutive words.
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 Epidemics.
Suppose each infected individual has some chance of contacting each susceptible individual in
each time interval, before becoming removed (recovered or hospitalized). Then, the number of
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infected and susceptible individuals may be modelled as a Markov chain.
Transition state
A state I is said to be recurrent state if the system in this state at some step and there is a
chance that it will now return to that state.
Higher Transition probability
The entry In the transition probability matrix p of the Markov chain in the probability that the
n
system changes from the state Ai to Aj in n steps. j
Deﬁne Pij = PXn+1=j|Xn=i. Let P = [Pij] denote the (possibly inﬁnite) transition matrix of the
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one-step transition probabilities.
Write P2 ij =P∞ k=0 PikPkj, corresponding to standard matrix multiplication.
P2 ij = X k
PXn+1=k|Xn=iPXn+2=j|Xn+1=k= X k
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So
PXn+2=j,Xn+1=k|Xn=i (via the Markov property. Why?) = P[ k Xn+2=j,Xn+1=k Xn=i =
PXn+2=j|Xn=i
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VT

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IN NOTES | INTERNSHIP | VIDEO LECTURE Like us on FB for regular updates

Module – I Engineering Mathematics - IV 2017

Numerical Solution of Ordinary Differential

Numerical methods for Initial value problem:

We discuss the following numerical methods for solving an initial value

Taylor’s series method

Taylor’s series expansion of ( ) in powers of ( ) is

Dr. A.H.Srinivasa, MIT, Mysore Page 1

Module – I Engineering Mathematics - IV 2017

Taylor’s Series expansion of ( ) about a point is given by

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Substitute the values of ( ) ( ) ( ) ( ) in equation (*)

Dr. A.H.Srinivasa, MIT, Mysore Page 2

Module – I Engineering Mathematics - IV 2017

Put x = 0.1. x = 0.2

the initial value problem ( )

Here, compare ( )  ( ) , then and

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Dr. A.H.Srinivasa, MIT, Mysore Page 3

Module – I Engineering Mathematics - IV 2017

Put x = 0.1 and x = 0.2

the initial value problem ( )

Taylor’s Series expansion of ( ) about a point is given by

Here, compare ( )  ( ) , then and

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Dr. A.H.Srinivasa, MIT, Mysore Page 4

Module – I Engineering Mathematics - IV 2017

Substitute the values of ( ) ( ) ( ) ( ) in equation (*)

4. Using Taylor’s Series method, solve the initial value problem

and hence find the value of y at x = 0.1

Taylor’s Series expansion of ( ) about a point is given by

Here, compare ( )  ( ) , then and

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Dr. A.H.Srinivasa, MIT, Mysore Page 5

Module – I Engineering Mathematics - IV 2017

Substitute the values of ( ) ( ) ( ) ( ) in equation (*)

5. Using Taylor’s Series method, solve the initial value problem

lu and hence find the value of y at x = 0.1 and 0.2

Here, compare ( )  ( ) , then and

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Differentiate w.r.t we get,

Dr. A.H.Srinivasa, MIT, Mysore Page 6

Module – I Engineering Mathematics - IV 2017

Substitute the values of ( ) ( ) ( ) ( ) in equation (1)

The solution is given by yn  yn 1  hf ( xn 1 , yn 1 ), n  1,2,3,...

Dr. A.H.Srinivasa, MIT, Mysore Page 7

Module – I Engineering Mathematics - IV 2017

Stage 1:- First to calculate the y(0.1) y1 From Euler’s formula