BMCG 1013 Differential Equations

Chapter 1: Numerical Methods

- Euler’s Method
- 2nd Order Runge-Kutta Method

Prepared by Dr. Loh Ser Lee (FKE)

[email protected]

BMCG 1013 Differential Equations

1.3 Numerical Methods for DE

Solution of Differential Equation

Analytical Methods Numerical Methods

- Separable Runge-
- Exact Euler’s
Kutta
- Homogeneous Method
Method
- Linear
- Bernoulli

Exact solution Approximated solution

[email protected]

1
 BMCG 1013 Differential Equations

1.3.1 Euler’s Method

 Most basic explicit method for solving ordinary differential
equation (ODE)
 The simplest Runge-Kutta Method

Formula:
𝑦𝑖+1 = 𝑦𝑖 + ℎ𝑓(𝑥𝑖 , 𝑦𝑖 )

Illustration of the Euler method. The unknown curve

is in blue, and its polygonal approximation is in red
Source: www.wikipedia.com
[email protected]

BMCG 1013 Differential Equations

1.3.1 Euler’s Method

Draw a line structure and pull in the initial conditions
𝑦0 𝑦1 𝑦2 𝑦𝑛−1 𝑦𝑛
𝑥0 𝑥1 𝑥2 𝑥𝑛−1 𝑥𝑛

Rearrange the given ODE in the form of

𝑦 ′ = 𝑓(𝑥, 𝑦)

Discretize the equation into nth terms:

𝑦𝑖′ = 𝑓 𝑥𝑖 , 𝑦𝑖 ; 𝑖 = 0,1,2, … 𝑛

Compute the next term by using formula

𝑦𝑖+1 = 𝑦𝑖 + ℎ𝑓 𝑥𝑖 , 𝑦𝑖 ; 𝑖 = 0,1,2, … 𝑛

[email protected]

2
 BMCG 1013 Differential Equations

1.3.1 Euler’s Method

Example:
Use Euler’s method to numerically integrate

𝑑𝑦
+ 𝑦 = 3𝑥 3 − 7𝑥 2 + 5𝑥, 𝑦 0 =1
𝑑𝑥
from 𝑥 = 0 to 𝑥 = 2 with a step size of 0.5.

[email protected]

BMCG 1013 Differential Equations

1.3.1 Euler’s Method

Reminder:
Solution: 𝑦 ′ = 𝑓(𝑥, 𝑦)
𝑑𝑦
= 𝑓 𝑥, 𝑦 = 3𝑥 3 − 7𝑥 2 + 5𝑥 − 𝑦
𝑑𝑥
0 ≤ 𝑥 ≤ 2, ℎ = 0.5, 𝑦 0 = 1
Construct the time line:
1
||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0

Let 𝑖 = 0,
𝑦1 = 𝑦0 + ℎ𝑓 𝑥0 , 𝑦0
= 1 + 0.5𝑓(0, 1)
= 1 + 0.5 3 0 3 − 7 0 2
+5 0 −1
[email protected]
= 0.5

3
 BMCG 1013 Differential Equations

1.3.1 Euler’s Method

Solution: (cont.)
𝑑𝑦
= 𝑓 𝑥, 𝑦 = 3𝑥 3 − 7𝑥 2 + 5𝑥 − 𝑦
𝑑𝑥
Update the time line:
1 0.5
|| ||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0
Let 𝑖 = 1,
𝑦2 = 𝑦1 + ℎ𝑓(𝑥1 , 𝑦1 )
= 0.5 + 0.5𝑓(0.5, 0.5)
= 0.5 + 0.5 3 0.5 3 − 7 0.5 2
+ 5 0.5 − 0.5
= 0.8125
[email protected]

BMCG 1013 Differential Equations

1.3.1 Euler’s Method

Solution: (cont.)
𝑑𝑦
= 𝑓 𝑥, 𝑦 = 3𝑥 3 − 7𝑥 2 + 5𝑥 − 𝑦
𝑑𝑥
Update the time line:
1 0.5 0.8125
|| || ||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0
Let 𝑖 = 2,
𝑦3 = 𝑦2 + ℎ𝑓(𝑥2 , 𝑦2 )
= 0.8125 + 0.5𝑓(1, 0.8125)
= 0.8125 + 0.5 3 1 3 − 7 1 2
+ 5 1 − 0.8125
= 0.9063
[email protected]

4
 BMCG 1013 Differential Equations

1.3.1 Euler’s Method

Solution: (cont.)
𝑑𝑦
= 𝑓 𝑥, 𝑦 = 3𝑥 3 − 7𝑥 2 + 5𝑥 − 𝑦
𝑑𝑥
Update the time line:
1 0.5 0.8125 0.9063
|| || || ||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0

Let 𝑖 = 3,
𝑦4 = 𝑦3 + ℎ𝑓(𝑥3 , 𝑦3 )
= 0.9063 + 0.5𝑓(1.5, 0.9063)
= 0.9063 + 0.5 3 1.5 3 − 7 1.5 2
+ 5 1.5 − 0.9063
= 1.3907
[email protected]

BMCG 1013 Differential Equations

1.3.1 Euler’s Method

Solution: (cont.)
Update the time line:

1 0.5 0.8125 0.9063 1.3907

|| || || || ||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0

[email protected]

5
 BMCG 1013 Differential Equations

1.3.1 Euler’s Method

Exercise 1.7:
Use Euler’s method to numerically integrate

𝑑𝑦
= 3𝑦 2 − 5𝑥 − 1, 𝑦 0 =0
𝑑𝑥
from 𝑥 = 0 to 𝑥 = 1 with a step size of 0.25.

[email protected]

BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

A method of numerically integrating ODE by using a trial
step at the midpoint of an interval to cancel out lower-order
error terms.

Second Order Formula: (known as RK2 or Ralson’s Method)

1 2
𝑦𝑖+1 = 𝑦𝑖 + 𝑘1 + 𝑘2 ℎ
3 3
where
𝑘1 = 𝑓 𝑥𝑖 , 𝑦𝑖
3 3
𝑘2 = 𝑓 𝑥𝑖 + 4 ℎ, 𝑦𝑖 + 4 𝑘1 ℎ

[email protected]

6
 BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

The steps of RK2:

Line Rearrange: Discretizing: Compute

Structure 𝑦 ′ = 𝑓(𝑥, 𝑦) 𝑦𝑖′ = 𝑓 𝑥𝑖 , 𝑦𝑖 𝑦𝑖+1
& compute
values of 𝑘

Example:
Use the second order Runge-Kutta method to numerically
integrate
𝑦 ′ − 𝑦 = −𝑥 2 , 𝑦 0 =0
from 𝑥 = 0 to 𝑥 = 2 with a step size of 0.5.
[email protected]

BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

Reminder:
Solution: 𝑦 ′ = 𝑓(𝑥, 𝑦)
𝑦 ′ = 𝑓 𝑥, 𝑦 = 𝑦 − 𝑥 2
0 ≤ 𝑥 ≤ 2, ℎ = 0.5, 𝑦 0 =0

Construct the time line:

0
||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4
𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0

[email protected]

7
 BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

Solution: (cont.)
𝑦 ′ = 𝑓 𝑥, 𝑦 = 𝑦 − 𝑥 2
0
||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0
Let 𝑖 = 0,
𝑘1 = 𝑓 𝑥0 , 𝑦0 = 𝑓 0, 0 1 2
𝑦1 = 𝑦0 + 𝑘1 + 𝑘2 ℎ
=0 3 3
1 2
3 3 = 0 + 3 0 + 3 −0.1406 (0.5)
𝑘2 = 𝑓 𝑥0 + ℎ, 𝑦0 + 𝑘1 ℎ = −0.0469
4 4
= 𝑓 0.375, 0
= −0.1406
[email protected]

BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

Solution: (cont.)
𝑦 ′ = 𝑓 𝑥, 𝑦 = 𝑦 − 𝑥 2
0 −0.0469
|| ||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0
Let 𝑖 = 1, 1 2
𝑦2 = 𝑦1 + 𝑘1 + 𝑘2 ℎ
𝑘1 = 𝑓 𝑥1 , 𝑦1 3 3
= 𝑓 0.5, −0.0469 = −0.0469
= −0.2969 1 2
+ −0.2969 + −0.9238 (0.5)
3 3
3 3 = −0.4043
𝑘2 = 𝑓 𝑥1 + ℎ, 𝑦1 + 𝑘1 ℎ
4 4
= 𝑓 0.875, −0.1582
= −0.9238
[email protected]

8
 BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

Solution: (cont.)
𝑦 ′ = 𝑓 𝑥, 𝑦 = 𝑦 − 𝑥 2
0 −0.0469 −0.4043
|| || ||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0
Let 𝑖 = 2, 1 2
𝑦3 = 𝑦2 + 𝑘1 + 𝑘2 ℎ
𝑘1 = 𝑓 𝑥2 , 𝑦2 3 3
= 𝑓 1, −0.4043 = −0.4043
= −1.4043 1 2
+ 3 −1.4043 + 3 −2.8215 (0.5)
3 3 = −1.5789
𝑘2 = 𝑓 𝑥2 + ℎ, 𝑦2 + 𝑘1 ℎ
4 4
= 𝑓 1.375, −0.9309
= −2.8215
[email protected]

BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

Solution: (cont.)
𝑦 ′ = 𝑓 𝑥, 𝑦 = 𝑦 − 𝑥 2
0 −0.0469 −0.4043 −1.5789
|| || || ||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4

𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0
Let 𝑖 = 3, 1 2
𝑦4 = 𝑦3 + 𝑘1 + 𝑘2 ℎ
𝑘1 = 𝑓 𝑥3 , 𝑦3 3 3
= 𝑓 1.5, −1.5789 = −1.5789
= −3.8289 1 2
+ −3.8289 + −6.5303 (0.5)
3 3
3 3 = −4.3938
𝑘2 = 𝑓 𝑥3 + ℎ, 𝑦3 + 𝑘1 ℎ
4 4
= 𝑓 1.875, −3.0147
= −6.5303
[email protected]

9
 BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

Solution: (cont.)
𝑦 ′ = 𝑓 𝑥, 𝑦 = 𝑦 − 𝑥 2

0 −0.0469 −0.4043 −1.5789 −4.3938

|| || || || ||
𝑦0 𝑦1 𝑦2 𝑦3 𝑦4
𝑥0 𝑥1 𝑥2 𝑥3 𝑥4
|| || || || ||
0 0.5 1.0 1.5 2.0

[email protected]

BMCG 1013 Differential Equations

1.3.2 Second Order Runge-Kutta Method (RK2)

Exercise 1.8:
Use the second order Runge-Kutta method to numerically
integrate

𝑑𝑦
+ 𝑦 = sin 𝑥 , 𝑦 0 =1
𝑑𝑥
from 𝑥 = 0 to 𝑥 = 3 with a step size of ℎ = 1.

[email protected]

10