BITS Pilani

DE ZG535: Advanced Engineering Mathematics

Dr. K. Ram chandra murthy
Assistant Professor, BITS Pilani, Hyderabad Campus

BITS Pilani rcmurthy@hyderabad.bits-pilani.ac.in

Pilani|Dubai|Goa|Hyderabad
 Review

 Laplace Transform
• Definition of the Laplace Transform
• The Inverse Transform and Transforms of Derivatives
• Translation Theorems
• Additional Operational properties
• Systems of linear differential equations

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 Scopeofthislecture

 Numerical Solutions of Ordinary Differential Equations

• Euler Methods and Error Analysis
• Runge–Kutta Methods
• Solution using MATLAB

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 BITS Pilani
Pilani|Dubai|Goa|Hyderabad

Numerical Solutions
of Ordinary Differential Equations
 EulerMethodsandErrorAnalysis

 Euler’s method is one of the simplest numerical methods for

approximating solutions of a first-order initial value problems

where is the function obtained from the differential equation

 is a constant and is the size of the step between and

 While this method is simple, it is also a crude approximation

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 EulerMethodsandErrorAnalysis

 A smaller step size have better accuracy but results in larger

number of calculations

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 EulerMethodsandErrorAnalysis

 Ex: By Euler’s method, obtain a four-decimal approximation of the

indicated value for a) , b)

 Solution

For

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 EulerMethodsandErrorAnalysis

 For

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 EulerMethodsandErrorAnalysis

 Errors in Numerical Methods

• For some kinds of computation the accumulation of errors
might reduce the accuracy of an approximation to the point of
making the computation useless

• On the other hand, depending on the use to which a numerical

solution may be put, extreme accuracy may not be worth the
added expense and complication

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 EulerMethodsandErrorAnalysis

 For errors arising from the use of numerical methods, it is helpful

to use the notation
• If denote the error in a numerical calculation depending on .
• Then is said to be of order , denoted by , if there is a constant
C and a positive integer such that

• If is halved, the new error is approximately or error is reduced

by a factor of .

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 EulerMethodsandErrorAnalysis

 Round-off error
• This error results from the fact that any calculator or computer
can represent numbers using only a finite number of digits.

• One way to reduce the effect of round-off error is to minimize

the number of calculations.

• Another technique on a computer is to use double-precision

arithmetic to check the results

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 EulerMethodsandErrorAnalysis

 Truncation error in Euler Method

 The value of will not agree with the actual solution evaluated
at . This is because the equation gives only a straight line
approximation to the solution.
 The error is called the local truncation error, formula error, or
discretization error.
 Value of error is given by

where

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 EulerMethodsandErrorAnalysis

 Truncation error in Euler Method:

 The total error in is an accumulation of the errors in each of
the previous steps. This total error is called the global
truncation error.
 The local truncation error in Euler’s method is

where
 The global truncation error in Euler’s method is

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 EulerMethodsandErrorAnalysis

 Ex: Consider the initial-value problem , . The analytic solution is

(a) Approximate using one step and Euler’s method.

(b) Find a bound for the local truncation error in .
(c) Compare the actual error in with your error bound.
(d) Approximate using two steps and Euler’s method.
(e) Verify that the global truncation error for Euler’s method
is by comparing the errors in parts (a) and (d).

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 EulerMethodsandErrorAnalysis

 , . The analytic solution is

(a) Approximate using one step and Euler’s method

(b) Find a bound for the local truncation error in .

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 EulerMethodsandErrorAnalysis

 , . The analytic solution is

(c) Compare the actual error in with your error bound.

(d) Approximate using two steps and Euler’s method.

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 EulerMethodsandErrorAnalysis

 , . The analytic solution is

(e) Verify that the global truncation error for Euler’s method
is by comparing the errors in parts (a) and (d).

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 EulerMethodsandErrorAnalysis

 Improved Euler’s Method

where

 This method is an example of a predictor–corrector method

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 EulerMethodsandErrorAnalysis

 Truncation Error in the Improved Euler’s Method

 The local truncation error in improved Euler’s method is
 Value of error is given by

where
 The global truncation error in improved Euler’s method is

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 EulerMethodsandErrorAnalysis

 Ex: Consider the initial-value problem , . The analytic solution is

(a) Approximate using one step and improved Euler’s method.

(b) Find a bound for the local truncation error in .
(c) Compare the actual error in with your error bound.
(d) Approximate using two steps and improved Euler’s method.
(e) Verify that the global truncation error for improved Euler’s
method is by comparing the errors in parts (a) and (d).

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 EulerMethodsandErrorAnalysis

 , . The analytic solution is

(a) Approximate using one step and improved Euler’s method.

(b) Find a bound for the local truncation error in .

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 EulerMethodsandErrorAnalysis

 , . The analytic solution is

(c) Compare the actual error in with your error bound.

(d) Approximate using two steps and improved Euler’s method.

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 EulerMethodsandErrorAnalysis

 , . The analytic solution is

(e) Verify that the global truncation error for improved Euler’s
method is by comparing the errors in parts (a) and (d).

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 Runge–KuttaMethods

 Runge-Kutta Methods
• Fundamentally, all Runge–Kutta methods are generalizations of
the basic Euler formula where the slope function is replaced
by a weighted average of slopes over the interval defined by

weights are constants that generally satisfy . is the

function
evaluated at a selected point for which

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 Runge–KuttaMethods

 First-order Runge–Kutta method

• The number m is called the order of the method.

• By taking we get the Euler formula .

• Hence Euler’s method is said to be a first-order Runge–Kutta

method.

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 Runge–KuttaMethods

 Second-Order Runge–Kutta Method

and

 The above result is same as improved Euler’s method

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 Runge–KuttaMethods

 Fourth-Order Runge–Kutta Method

• Also referred to as the classical Runge–Kutta or RK4 method

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 Runge–KuttaMethods

 Euler's vs. Improved Euler's vs. Fourth Order Runge-Kutta Method

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 Runge–KuttaMethods

 Truncation Error in fourth Order Runge-Kutta method

 The local truncation error in fourth Order Runge-Kutta method

is

 The global truncation error in fourth Order Runge-Kutta

method is

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 Runge–KuttaMethods

 Ex: Consider the initial-value problem , . The analytic solution is

(a) Approximate using one step and the RK4 method.

(b) Find a bound for the local truncation error in .
(c) Compare the actual error in with your error bound.
(d) Approximate using two steps and the RK4 method.
(e) Verify that the global truncation error for the RK4 method is by
comparing the errors in parts (a) and (d).

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 Runge–KuttaMethods

 , . The analytic solution is

(a) Approximate using one step and the RK4 method.

(b) Find a bound for the local truncation error in .

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 Runge–KuttaMethods

 , . The analytic solution is

(c) Compare the actual error in with your error bound.

(d) Approximate using two steps and the RK4 method.

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 Runge–KuttaMethods

 , . The analytic solution is

(e) Verify that the global truncation error for the RK4 method is by
comparing the errors in parts (a) and (d)..

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