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5.4 Runge-Kutta 4 Method

The Runge-Kutta 4 method is a numerical analysis technique for solving differential equations that is more accurate than Euler's method. It works by taking four estimates of the slope at different points along each time step and averaging them to update the solution. Specifically, it takes estimates at the beginning, middle, and end of each interval to get a higher-order approximation. This results in an error term that is proportional to the fourth power of the time step size, rather than linearly proportional like Euler's method. This makes the Runge-Kutta 4 method much more accurate for the same level of computational effort.

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Mauricio Flores
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25 views

5.4 Runge-Kutta 4 Method

The Runge-Kutta 4 method is a numerical analysis technique for solving differential equations that is more accurate than Euler's method. It works by taking four estimates of the slope at different points along each time step and averaging them to update the solution. Specifically, it takes estimates at the beginning, middle, and end of each interval to get a higher-order approximation. This results in an error term that is proportional to the fourth power of the time step size, rather than linearly proportional like Euler's method. This makes the Runge-Kutta 4 method much more accurate for the same level of computational effort.

Uploaded by

Mauricio Flores
Copyright
© © All Rights Reserved
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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5.

4 Runge-Kutta 4 Method
Carl Runge
(1856-1927)
Martin Wilhelm
Kutta
(1867-1944)
Motivation
With Eulers method, error is described by a straight
line: i.e., it is proportionate to (linear in) Dt.
We say that error is O(Dt) : Order Dt, or Big-O Dt
Can we do better?



First Estimate
1

Recall update rule from Eulers Method:
P
n
P
n-1
+ f(t
n
-1, P
n-1
) t
where f is the derivative function

We call f(t
n
-1, P
n-1
) = 80 the first estimate, or
1



t = 8

1
= 80

Second Estimate
2

Second estimate
2
uses the halfway point along
the line segment to
1



Second Estimate
2

Combined with slope 0.10 (from dP/dt = 0.10P), this
gives us a new endpoint = (0.1)(140)(8) = 112,
which is the second estimate
2.


2
= f(t
n-1
+0.5Dt, P
n-1
+0.5
1
) Dt

t = 8

2
= 112

Third Estimate
3

Third estimate
3
uses the halfway point along the
line segment from
2



3
=(0.1)(156)(8) = 124.8


Third Estimate
3

(0.1)(156)(8) = 124.8, which is the third estimate
3.


3
= f(t
n-1
+0.5Dt, P
n-1
+0.5
2
) Dt

3
= 124.8

Fourth Estimate
4

Fourth estimate
4
is taken at end of interval

4
=(0.1)(224.8)(8) = 179.84


Fourth Estimate
4


4
=(0.1)(224.8)(8) = 179.84, which is the fourth
estimate
4.


4
= f(t
n-1
+ Dt, P
n-1
+
3
) Dt

4
= 179.8

Runge-Kutta 4 Estimate
Bring it all together: a weighted average that
privileges the middle values:

P
n
= P
n-1
+ (
1
+ 2
2
+

2
3
+

4
) / 6
= 100 + (80 + 2*112 + 2*124.8 + 179.84) / 6
= 222.24

Relative error = |222.4 - 222.55| / |222.55| = 0.14%
(Compare 19% for Eulers Method)

RK4 error is O(Dt
4
) : a very small number, because
error is < 1.






Runge-Kutta 4 Algorithm
t t
0
P(t
0
) P
0
Initialize NumberOfSteps

for n going from 1 to NumberOfSteps do the following:

t
n
t
0
+ nt

1
= f(t
n
-1, P
n-1
)

2
= f(t
n-1
+0.5Dt, P
n-1
+0.5
1
) Dt

3
= f(t
n-1
+0.5Dt, P
n-1
+0.5
2
) Dt

4
= f(t
n-1
+ Dt, P
n-1
+
3
) Dt







Runge-Kutta 4 in Excel
Runge-Kutta 4 in Excel
Runge-Kutta 4 in Excel
Runge-Kutta 4 in Excel
Runge-Kutta 4 in Excel
Runge-Kutta 4 in Excel

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