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Adams-Bashforth-Moulton Method

The methods of Euler, Heun, Taylor, and Runge-Kutta are called single-step methods because they use only the information from one previous point to compute the successive point; that is, only the initial point (t0 , y0 ) is used to compute (t1 , y1 ), and in general, yk is needed to compute yk+1 . After several points have been found, it is feasible to use several prior points in the calculation. For illustration, we develop the AdamsBashforth four-step method, which requires yk3 , yk2 , yk1 , and yk in the calculation of yk+1 . This method is not self-starting; four initial points (t0 , y0 ), (t1 , y1 ), (t2 , y2 ), and (t3 , y3 ), must be given in advance in order to generate the points {(tk , yk ) : k 4} (this can be done with one of the methods from the previous sections). A desirable feature of a multistep method is that the local truncation error (L.T.E.) can be determined and a correction term can be included, which improves the accuracy of the answer at each step. Also, it is possible to determine if the step size is small enough to obtain an accurate value for yk+1 , yet large enough so that unnecessary and time-consuming calculations are eliminated. Using the combinations of a predictor and corrector requires only two function evaluations of f (t, y) per step.

Adams-Bashforth-Moulton Method

The Adams-Bashforth-Moulton predictor-corrector method is a multistep method derived from the fundamental theorem of calculus: (1) y(tk+1 ) = y(tk ) +

tk+1 tk

The predictor uses the Lagrange polynomial approximation for f (t, y(t)) based on the points (tk3 , f k3 ), (tk2 , f k2 ), (tk1 , f k1 ), and (tk , f k ). It is integrated over the interval [tk , tk+1 ] in (1). This process produces the Adams-Bashforth predictor: (2) pk+1 = yk + h (9 f k3 + 37 f k2 59 f k1 + 55 f k ). 24

506

C HAP. 9

z = f (t, y(t)) z = f (t, y(t))

t k3

t k2

t k1

tk

t k+1

t k3

t k2

t k1

tk

t k+1

(a) The four nodes for the Adams-Bashforth predictor (extrapolation is used)

(a) The four nodes for the Adams-Moulton corrector (interpolation is used)

The corrector is developed similarly. The value pk+1 just computed can now be used. A second Lagrange polynomial for f (t, y(t)) is constructed, which is based on the points (tk2 , f k2 ), (tk1 , f k1 ), (tk , f k ), and the new point (tk+1 , f k+1 ) = (tk+1 , f (tk+1 , pk+1 )). This polynomial is then integrated over [tk , tk+1 ], producing the Adams-Moulton corrector: (3) yk+1 = yk + h ( f k2 5 f k1 + 19 f k + 9 f k+1 ). 24

Figure 9.10 shows the nodes for the Lagrange polynomials that are used in developing formulas (2) and (3), respectively. Error Estimation and Correction The error terms for the numerical integration formulas used to obtain both the predictor and corrector are of the order O(h 5 ). The L.T.E. for formulas (2) and (3) are (4) (5) y(tk+1 ) pk+1 = y(tk+1 ) yk+1 251 (5) y (ck+1 )h 5 720 19 (5) y (dk+1 )h 5 = 720 (L.T.E. for the predictor), (L.T.E. for the corrector).

Suppose that h is small and y (5) (t) is nearly constant over the interval; then the terms involving the fth derivative in (4) and (5) can be eliminated, and the result is (6) y(tk+1 ) yk+1 19 (yk+1 pk+1 ). 270

The importance of the predictor-corrector method should now be evident. Formula (6) gives an approximate error estimate based on the two computed values pk+1 and yk+1 and does not use y (5) (t).

S EC . 9.6

New mesh Old mesh t k3 t k2 t k3/2 t k1 t k1 t k1/2 tk tk

507

Practical Considerations The corrector (3) used the approximation f k+1 f (tk+1 , pk+1 ) in the calculation of yk+1 . Since yk+1 is also an estimate for y(tk+1 ), it could be used in the corrector (3) to generate a new approximation for f k+1 , which in turn will generate a new value for yk+1 . However, when this iteration on the corrector is continued, it will converge to a xed point of (3) rather than the differential equation. It is more efcient to reduce the step size if more accuracy is needed. Formula (6) can be used to determine when to change the step size. Although elaborate methods are available, we show how to reduce the step size to h/2 or increase it to 2h. Let RelErr = 5 106 be our relative error criterion, and let Small = 105 . (7) (8) If If 19 |yk+1 pk+1 | > RelErr, 270 |yk+1 | + Small RelErr 19 |yk+1 pk+1 | < , 270 |yk+1 | + Small 100 then set h = h . 2

When the predicted and corrected values do not agree to ve signicant digits, then (7) reduces the step size. If they agree to seven or more signicant digits, then (8) increases the step size. Fine-tuning of these parameters should be made to suit your particular computer. Reducing the step size requires four new starting values. Interpolation of f (t, y(t)) with a fourth-degree polynomial is used to supply the missing values that bisect the intervals [tk2 , tk1 ] and [tk1 , tk ]. The four mesh points tk3/2 , tk1 , tk1/2 , and tk used in the successive calculations are shown in Figure 9.11. The interpolation formulas needed to obtain the new starting values for the step size h/2 are f k1/2 = (9) f k3/2 5 f k4 + 28 f k3 70 f k2 + 140 f k1 + 35 f k , 128 3 f k4 20 f k3 + 90 f k2 + 60 f k1 5 f k . = 128

Increasing the step size is an easier task. Seven prior points are needed to double the step size. The four new points are obtained by omitting every second one, as shown in Figure 9.12.

508

C HAP. 9

t k6 t k6

t k4 t k5 t k4 t k3 t k2 t k2 t k1 tk tk New mesh Old mesh

Numerical Methods Using Matlab, 4th Edition, 2004 John H. Mathews and Kurtis K. Fink ISBN: 0-13-065248-2 Prentice-Hall Inc. Upper Saddle River, New Jersey, USA http://vig.prenhall.com/

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