CAAM452 Lecture 4 B

Numerical Methods for Partial
Differential Equations
CAAM 452
Spring 2005
Lecture 4
1-step time-stepping methods: stability, accuracy
Runge-Kutta Methods,
Instructor: Tim Warburton
CAAM 452 Spring 2005
Today
Recall AB stability regions and start up issues
Group analysis of the Leap-Frog scheme

One-step methods
Example Runge-Kutta methods:
Modified Euler
General family of 2
nd
order RK methods
Heuns 3
rd
Order Method
The 4
th
Order Runge-Kutta method
Jameson-Schmidt-Turkel
Linear Absolute Stability Regions for the 2
nd
order family RK
Global error analysis for general 1-step methods (stops slightly short of
a full convergence analysis)
Warning on usefulness of global error estimate
Discussion on AB v. RK
Embedded lower order RK schemes useful for a posteriori error
estimates.
Recall: AB2 v. AB3 v. AB4
These are the margins of absolute stability for the AB methods:

Starting with the yellow AB1 (Euler-Forward) we see that as the order of
accuracy goes up the stability region shrinks.
i.e. we see that to use the higher order accurate AB scheme we are required
to take more time steps.
Q) how many more?
Recall:
Requirements Starting Requirements
AB1:

AB2:

AB3:
( )
( )
( ) ( )
1
0
1 1
0
3 1
2 2
n n n n
u u dt
u u
u u dt f u f u
+
=
=
| |
= +
|
\ .
( )
( ) ( )
0
1
0
n n n
u u
u u dt f u
+
=
= +
( )
( )
( )
( )
2
1
0
1 1 2
2
0
23 16 5
12
n n n n n
u u dt
u u dt
u u
dt
u u f f f
+
=
=
=
= + +
1 solution level for start
2 solution levels for start
3 solution levels for start
cont
So as we take higher order version of the AB
scheme we also need to provide initial values at
more and more levels.

For a problem where we do not know the solution
at more than the initial condition we may have to:
Use AB1 with small dt to get the second restart level
Use AB2 with small dt to get the third restart level
March on using AB3 started with the three levels
achieved above.
AB1
AB2
AB3
Recall: Derivation of AB Schemes
The AB schemes were motivated by considering
the exactly time integrated ODE:

Which we approximated by using a pth order
polynomial interpolation of the function f
( ) ( ) ( ) ( )
1
1
n
n
t
n n
t
u t u t f u t dt
+
+
= +
}
( ) ( ) ( ) ( )
1
1
n
n
t
n n p
t
u t u t I f u t dt
+
+
~ +
}
Leap Frog Scheme
We could also have started the integral at:

And used the mid point rule:

Which suggests the leap frog scheme:

1 n
t

( ) ( ) ( ) ( )
1
1
1 1
n
n
t
n n
t
u t u t f u t dt
+
+
= +
}
( ) ( ) ( ) ( )
1 1
2
n n n
u t u t dtf u t
+
~ +
( )
1 1
2
n n n
u u dtf u
+
= +
Volunteer Exercise
1) accuracy: what is the local truncation error?

2) stability: what is the manifold of absolute linear
stability (try analytically) in the nu=dt*mu plane?

2a) what is the region of absolute linear-stability?
( )
1 1
2
n n n
u u dtf u
+
= +
cont
3) How many starting values are required?

4) Do we have convergence?

5) What is the global order of accuracy?

6) When is this a good method?
( )
1 1
2
n n n
u u dtf u
+
= +
One Step Methods
Given the difficulties inherent in starting the higher order AB
schemes we are encouraged to look for one-step methods
which only require to evaluate

i.e.

Euler-Forward is a one-step method:

We will consider the one-step Runge-Kutta methods.
For introductory details see:
An introduction to numerical analysis, Suli and Mayers, 12.2
(p317) and on
Trefethen p75-
Gustafsson,Kreiss and Oliger p241-
n
u
1 n
u
+
( )
1
, ;
n n n n
u u dt u t dt
+
= + u
( ) ( ) ( )
1
, ; :
n n n n n n
u u dtf u u t dt f u
+
= + u =
Runge-Kutta Methods
The Runge-Kutta are a family of one-step methods.

They consist of s stages (i.e. require s evaluations
of f)

They will be pth order accurate, for some p.

They are self starting !!!.

Example Runge-Kutta Method
(Modified Euler)
Modified Euler:

Note how we only need one starting value.
We can also reinterpret this through intermediate
values:

This looks like a half step to approximate the mid-
interval u and then a full step.
This is a 2-stage, 2
nd
order, single step method.
( )
1
,
,
2 2
n n
n n
n n
a dtf u t
a dt
b dtf u t
u u b
+
=
| |
= + +
|
\ .
= +
( )
( )
1
1 1 1/ 2
,
2
,
n n n
n n n
dt
u u f u t
u u dtf u t
+ +
= +
= +
Linear Stability Analysis
As before we assume that f is linear in u and
independent of time
The scheme becomes (for some given mu):

Which we simplify (eliminate the uhat variable):
( )
( )
1
1 1 1/ 2
,
2
,
n n n
n n n
dt
u u f u t
u u dtf u t
+ +
= +
= +
1
1 1
n n
n n
dt
u u u
u u dt u
+
= +
= +
1
1 1
n n
n n
dt
u u u
u u dt u
+
= +
= +
( )
2
1
2
n n n n
dt
u u dt u u
+
= + +
cont
We gather all terms on the right hand side:

[ Note: the bracketed term is exactly the first 3
terms of the Taylor series for exp(dt*mu), more on
that later ]
We also note for the numerical solution to be
bounded, and the scheme stable, we require:
( )
2
1
1
2
n n
dt
u dt u
+
| |
= + +
|
\ .
( )
2
1 1
2
dt
dt

+ + s
cont
The stability region is the set of nu=mu*dt in the complex
plane such that:

The manifold of marginal stability can be found (as in the
linear multistep methods) by fixing the multiplier to be of unit
magnitude and looking for the corresponding values of nu
which produce this multiplier.

i.e. for each theta find nu such that
2
1 1
2
v
v + + s
2
1
2
i
e
u
v
v + + =
cont
We can manually find the roots of this quadratic:

To obtain a parameterized representation of the
manifold of marginal stability:

2
1
2
i
e
u
v
v + + =
( )
1 1 2 1
i
e
u
v =
Plotting Stability Region for
Modified Euler
( )
1 1 2 1
i
e
u
v =
Checking Modified Euler
at the Imaginary Axis
As before we wish to check how much of the
imaginary axis is included inside the region of
absolute stability.
Here we plot the real part of the + root
Is the Imaginary Axis in
the Stability Region ?
We can analytically zoom in by choosing
nu=i*alpha (i.e. on the imaginary axis).
We then check the magnitude of the multiplier:

So we know that the only point on the imaginary
axis with multiplier magnitude bounded above by 1
is the origin.
Modified Euler is not suitable for the advection
equation.
2 2 2
2 2 2 4
2
1 1 1 1
2 2 2 4
i
v o o o
v o o
| |
+ + = + = + = +
|
\ .
General 2 stage RK family
Consider the four parameter family of RK schemes
of the form:

where we will determine the parameters
(a,b,alpha,beta) by consideration of accuracy.

[ Euler-Forward is in this family with a=1,b=0
( )
( )
( )
1
2 1
1 1 2
,
,
n n
n n
n n
k f u t
k f u dtk t dt
u u dt ak bk
| o
+
=
= + +
= + +
cont
The single step operator in this case is:
( )
( )
( )
( )
( ) ( ) ( ) ( )
1
2 1
1 1 2
1
,
,
,
where , , , ,
n n
n n
n n
n n n n
n n n n n n n n
k f u t
k f u dtk t dt
u u dt ak bk
u u u t
u t af u t bf u dtf u t t dt
| o
| o
+
+
=
= + +
= + +
= + u
u = + + +
cont
We now perform a truncation analysis, similar to
that performed for the linear multistep methods.

We will use the following fact:
( ) ( )
( ) ( )
2
2
3
3
2 2 2 2
2 2
,
,
...
du
f u t t
dt
d u d f f du f f
f u t t f
dt dt t u dt t u
d u d f f
f
dt dt t u
f f f f f f f
f f f f
t t u u t u u t u
=
c c c c
= = + = +
c c c c
c c
| |
= + =
|
c c
\ .
| | | | c c c c c c c
| |
+ + + + +
|
| |
c c c c c c c c c
\ .
\ . \ .
cont (accuracy)
We expand Phi in terms of powers of dt using the
bivariate Taylors expansion

where:
( ) ( ) ( ) ( ) ( )
( )
( )( )
( )
( )
3
2 2
2 2 2
2 2
, , , ,
2! 2!
n n n n n
u t t af u t bf u dtf u t t dt
f
f f
af b dt dtf O dt
t u
dt dtf f f f
dt dt f
t t u u
| o
o |
o |
o |
u = + + +
| |
|
+
|
c c
|
= + + + +
|
c c
|
c c c
|
+ +
|
\ . c c c c
( ) ( )
,
n n
f f u t t =
cont
We construct the local truncation error as:

Now we choose a,b,alpha,beta to minimize the
local truncation error.
Note we use subindexing to represent partial
derivatives.
( ) ( ) ( ) ( ) ( )
( ) ( )
( )
( ) ( )
( )
2
2
2 2
2 4
,
2
2 3!
2 2
n n n n n
t u tt tu uu u t u
t u tt tu uu
T u t dt u t dt u t t
dt dt
dt f f ff f f f f f f f f f
dt dtf
dt af b f dtf dtff f dt ff f O dt
o |
o | o|
= + u
| |
= + + + + + + +
|
\ .
| |

+ + + + + + +
| `
|

\ . )
cont
Consider terms which are the same order in dt in the local
truncation error:

Condition 1:

Condition 2:

Under these conditions, the truncation is order 3 so the
method is 2
nd
order accurate. It is not possible to further
eliminate the dt^3 terms by adjusting the parameters.
( ) ( )
( )
( ) ( )
( )
2
2
2 2
2 4
2
3
2
2 !
2
n tt tu uu u t u
tt
t u
t u tu uu
dt
f ff
d
dt
f
f f
T dt f f f f f f f f f
dt dtf
dt a b f dt ff tf dtff f O dt
o
o |
|
o|
| |
= + + + + + +
|
\ .
| |

+ + + + + +
| `
|

\ . )
+
+
1 0 a b =
( ) ( )
1 1
0
2 2
t u t u
f ff b dtf dtff f b b o | o | + + = = =
Case: No Explicit t Dependence in f
( ) ( ) ( ) ( )
( )
( )
2
2
3
2
,
2!
n n
u t t bf u dtf u
dtf
f f
b f dtf O dt
u u
|
|
|
u = +
| |
c c
= + + +
|
c c
\ .
( ) ( )
2
2 3 2
2
2 3 2
,
du d u f d u f f
f u t f f f
dt dt u dt u u
c c c
| |
= = = +
|
c c c
\ .
( ) ( ) ( ) ( )
( )
( )
( )
1
2
2
2 2 4
;
3! 2 2
n n n n
uu u u u u u
T u t u t dt u t dt
dt dt
dt f f f f dt b f O d
dt
f f f ff t dt f |
|
+
= u
| |
| |

= + + + + + +
| `
|
|
\ .

\ . )
1
1,
2
b | = =
It is easier to generalize to higher order RK in this case when there is no explicit time dependence in f.
Second Example Runge-Kutta:
Heuns Third Order Formula
Traditional version In terms of intermediate
variables:
( )
( )
1
,
,
3 3
2 2
,
3 3
1
3
4
n n
n n
n n
n n
a dtf u t
a dt
b dtf u t
b dt
c dtf u t
u u a c
+
=
| |
= + +
|
\ .
| |
= + +
|
\ .
= + +
( )
( )
( ) ( ) ( )
1
2 1 1/ 3
1 2 2/ 3
,
3
2
,
3
1
, 3 ,
4
n n n
n n
n n n n n
dt
u u f u t
dt
u u f u t
u u f u t f u t
+
+ +
= +
= +
= + +
This is a 3
rd
order, 3 stage single step explicit Runge-Kutta method.
( ) ( )
1
2
1
2 3
3
2
3 3
2
3
4 3 3
2
3 1 1
4 3 3
1
2 3
n n
n n n
n n n n n n
n n
n
dt
u u u
dt dt
u u u u
dt dt dt
u u u u u u
dt dt dt
u u
dt dt
dt u
+
= +
| |
= + +
|
\ .
| | | | | |
= + + + +
| | |
\ . \ . \ .
| | | | | |
= + + + +
| | |
\ . \ . \ .
| |
= + + +
|
|
\ .
Again Lets Check the Stability Region
( )
( )
( ) ( ) ( )
1
2 1 1/ 3
1 2 2/ 3
,
3
2
,
3
1
, 3 ,
4
n n n
n n
n n n n n
dt
u u f u t
dt
u u f u t
u u f u t f u t
+
+ +
= +
= +
= + +
With f=mu*u reduces to a
single level recursion with a
very familiar multiplier:
Stability of Heuns 3
rd
Order Method
Each marginally stable mu*dt is such that the
multiplier is of magnitude 1, i.e.

This traces a curve in the nu=mu*dt complex plane.
Since we are short on time we can plot this using
Matlabs roots function
2 3
1
2 6
i
e
u
v v
v + + + =
Stability Region for RK (s=p)
rk2
rk3
rk4
This time we consider points on the imaginary axis
which are close to the origin:

And this is bounded above by 1 if
Heuns Method and The Imaginary Axis
2
2 3
2 2
2 3
4 6
1
2 6
1
2 6
1
12 36
i
i i
v o
o o
o
o o
o
o o
=
+
| | | |
= +
| |
\ . \ .
= +
3 1.73 o s ~
rk3
Observation on RK linear stability
For the sth order, s stage RK
we see that the stability region
grows with increasing s:

Consequently we can take a
larger time step (dt) as the
order of the RK scheme
increase.

On the down side, we require
more evaluations of f
Popular 4
th
Order Runge-Kutta Formula
Four stages:
( )
( )
( )
( )
( )
1/ 2
1/ 2
1
1
,
/ 2,
/ 2,
,
1
2 2
6
n n
n n
n n
n n
n n
a dtf u t
b dtf u a t
c dtf u b t
d dtf u c t
u u a b c d
+
+
+
+
=
= +
= +
= +
= + + + +
see: http://web.comlab.ox.ac.uk/oucl/work/nick.trefethen/1all.pdf p76 for details
of minimum number of stages to achieve pth order.
Imaginary Axis (again)
With the obvious multiplier we obtain:

For stability we require:
2
2 3 4
2
2 3 4 6 8
2
1
2 6 24
1 1
2 6 24 72 24
i
i i
v o
v v v
v
o o o o o
o
=
+ + + + =
+ + = +
6 8
2
2
8 i.e. 2 2 2.83
72 24
o o
o o > > s ~
rk4
Imaginary Axis Stability Summary
2.83 for the 4
th
Order Runge-Kutta method
1.73 for Heuns 3
rd
Order Method
0 for modified Euler
Bounding the Global Error in Terms of the
Local Truncation Error
Theorem: Consider the general one-step method

and we assume that Phi is Lipschitz continuous
with respect to the first argument (with constant )
i.e. for

Then assuming it follows that
( )
1
, ;
n n n n
u u dt u t dt
+
= + u
L
u
( ) ( ) ( ) { }
( ) ( )
0 max 0
, , , , : ,
we have:
, ; , ;
u t v t D u t t t t u u C
u t dt v t dt L u v
u
e = s s s
u u s
( ) ( )
0
1, 2,..,
n
u t u t C n N s =
( )
( )
( )
0
0 1
1 , 0,1,..., where max
n
L t t
n n n
n N
T
u u t e n N T T
L
u
s s
u
s = =
cont
Proof: we use the definition of the local truncation
error:
to construct the error equation:

we use the Lipschitz continuity of Phi:

tidying:
( ) ( ) ( ) ( ) ( )
,
n n n n n
T u t dt u t dt u t t = + u
( ) ( ) ( ) ( ) ( )
( )
1 1
, ,
n n n n n n n n n
u t u u t u dt u t t u t T
+ +
= + u u +
( ) ( ) ( )
1 1 n n n n n n n
u t u u t u dtL u t u T
+ + u
s + +
( ) ( ) ( )
1 1
1
n n n n n
u t u dtL u t u T
+ + u
s + +
proof cont
( ) ( ) ( )
( ) ( ) ( )
{ }
( ) ( ) ( )
( )
{ }
( )
{ }
( )
( )
( )
( )
( )
1 1
1 1 1
1
0 0
0
0
1
1 1
0
1
1
1
1 1
1 1
1
1 1
max 1 max
1 1
1 1 1
n n n n n
n n n n
m n
n m
n m
m
m n
m
n m
m
n
m n
m
m m
m m n
m
n
n dtL
u t u dtL u t u T
dtL dtL u t u T T
dtL u t u T dtL
T dtL
dtL
T dtL T
dtL
T T
dtL e
dtL dtL
u
+ + u
u u
=
+
u u
=
=
u
=
+
=
u
u
s s s s
=
u
+
+
u
u u
s + +
s + + + +
s + + +
s +
+
s + =
+
s + s
s
( )
( )
1 0
1
n
L t t
T
e
dtL
u +

u

proof summary
We now have the global error estimate:

Broadly speaking this implies that if the local truncation error
is h^{p+1} then the error at a given time step will scale as
O(h^p):

Convergence follows under restrictions on the ODE which
guarantee existance of a unique C1 solution and stable
choice of dt.
( )
( )
( )
1 0
1 1
1
n
L t t
n n
T
u t u e
dtL
u +

+ +
u
s
( )
( )
1 1
p
n n
u t u O h
+ +
s
Warning About Global Error Estimate
It should be noted that the error estimate is of
almost zero practical use.

In the full convergence analysis we pick a final time
t and we will see that exponential term again.
Convergence is guaranteed but the constant can
be extraordinarily large for finite time:
( )
( )
( )
1 0
1 1
1
n
L t t
n n
T
u t u e
dtL
u +

+ +
u
s
( )
( )
0
1
1
L t t
e
L
u

u

A Posteriori Error Estimate
There are examples of RK methods which have
embedded lower order schemes.
i.e. after one full RK time step, for some versions it
is possible to use a second set of coefficients to
reconstruct a lower order approximation.
Thus we can compute the difference between the
two different approximations to estimate the local
truncation error committed over the time step.

google: runge kutta embedded
Numerical recipes in C:
http://www.library.cornell.edu/nr/bookcpdf/c16-2.pdf
My Favorite s Stage
Runge-Kutta Method
There is an s stage Runge-Kutta method of
particular simplicity due to Jameson-Schmidt-
Turkel, which is of interest when there is no explicit
time dependence for f
( )
1
for m=0:s-1

end
n
n
n
u u
dt
u u f u
s m
u u
+
=
= +
=
RK v. AB
When should we use RK and when should we use
AB?
rk2
rk3
rk4
Class Cancelled on 02/17/05
There will be no class on Thursday 02/17/05

The homework due for that class will be due the
following Thursday 02/24/05

CAAM452 Lecture 4 B

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