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IOSR Journal of Mathematics (IOSR-JM) vol.11 issue.1 version.3

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e-ISSN: 2278-5728, p-ISSN: 2319-765X. Volume 11, Issue 1 Ver. III (Jan - Feb. 2015), PP 37-40

www.iosrjournals.org

Modified Extended Backward Differentiation Formula

1

1,2,4

3

Department of Mathematics, University of Ilorin, Ilorin, Nigeria.

Abstract: This paper seeks numerical solutions to a stiff initial value problem using a modified extended

backward differentiation formula. Some implicit schemes were developed based on the linear multi-step method.

Stiff initial value problems are solved using the various stages of the derived modified extended backward

differentiation formula, the result obtained at different stages are compared with Euler implicit method and

Simpsons implicit method. The results obtained are considered in determining which of the methods is more

accurate and efficient in providing solutions to stiff initial value problems when compared with the exact

solution.

Keywords: Stiff initial value problems, Modified extended backward differentiation formula, Euler implicit

method, Simpsons implicit method and Linear multistep method.

I.

Introduction

A problem is stiff if the numerical solution has its step size limited more severely by the stability of the

numerical technique than by the accuracy of the technique. Frequently, these problems occur in systems of

differential equations that involve several components that are decaying at widely differing rates. E.g. damped

stiff highly oscillatory problem [5].

Although numerous attempts have been made to give a rigorous definition of this concept, it is

probably fair to say that none of these definitions is entirely satisfactory. Indeed the authoritative book of Hairer

and Wanner [12] deliberately avoids trying to define stiffness and relies instead on an entirely pragmatic

definition given in [10]. What is clear, however, is that numerical methods for solving stiff initial value

problems have to satisfy much more stringent stability requirements than is the case for methods intended for

nonstiff problems. One of the first and still one of the most important, stability requirements particularly for

linear multistep methods is that of A-stability which was proposed in [11]. However, the requirement of Astability puts a severe limitation on the choice of suitable linear multistep methods.

II.

y f x, y

y x0 y 0

Is usually given as

k

j 0

j 0

j yn j h j f n j

Where

j and j are constant and not both 0 and 0 are zero (not zero at same time) equation 2 is said to

be explicit if

k 0 and it is implicit if k 0 .

Definition

The linear difference operator is defined as [13]

k

L yx ; h j yx jh h j y x jh

j 0

j 2 h 2 y

j 3 h 3 y

x

x ...

yx jh yx jhy x

2!

3!

j 3 h 3 y iv

j 2 h 2 y

x

x ...

y x jh y x jhy x

2!

3!

Expanding

DOI: 10.9790/5728-11133740

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5

37 |Page

4 and 5 in 3 we have

Lyx ; h C0 yx C1hy x C2 h 2 y x C3 h 3 y x ... Cq h q y q x ...

Substituting equation

Where C0 0 1 2 ... k

C1 1 2 2 ... 4k k 0 1 2 ... k

1

C 2 1 2 2 2 ... k 2 k 1 2 2 ... k k

2!

.

.

.

1

1

1 2 q 2 ... k q k

1 2 q 1 2 ... k q 1 k , q 2,3,4...

q 1!

q!

To derive any k-step method, we set C1 C2 C3 ... C p 0 and solve the system then check if it

Cp

C p 1 0

III.

Modified extended backward differentiation formula (MEBDF) was originally proposed as a class of

formula to which an efficient variable order, variable step boundary value approach could easily be applied. The

general k-step MEBDF is defined by [4]

k 1

y n k j y n j h k 1 f n k 1 k f n k

j 0

Where the coefficients are chosen so that this formula has order k 1 . The accuracy and stability of this method

is critically dependent on the predictor used to compute y n k 1 and in particular this predictor must be of order

of least k if the whole process is to be of order k 1 . A natural k -order predictor is the

lead to the so-called EBDF stages.

Stage 1: using the standard BDF to compute y n k

th

k 1

y n k j y n j h k f xn k , y n k

j 0

k 2

y n k 1 k 1 y n k j y n j 1 h k f xn k 1 , y n k 1

10

j 0

k 1

y n k j y n j h k 1 f n k 1 k f n k

j 0

k 1 at x n k using

11

Note that at each of these three stages a nonlinear set of equations must be solved in order that the

desired approximations can be computed. The Extended Backward Differentiation formula described above can

be modified to give the so-called MEBDF approach by changing stage 3A to

Stage 3B:

k 1

y n k j y n j h k 1 f n k 1 k f n k k k f n k

j 0

12

Fortunately, this modification not only improves the computational efficiency of this approach, it also improves

its stability.

Construction of Two Steps MEBDF Using the First Stage

k 1

y n k j y n j h k f xn k , y n k

j 0

DOI: 10.9790/5728-11133740

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38 |Page

Where j and

y n 2 j y n j h 2 f xn 2 , y n 2

j 0

y n2 0 y n 1 y n1 h 2 f xn2 , y n2

Using the definition in equation

y n2

13

1

4

2

y n y n 1 hf xn 2 , y n 2

3

3

3

Construction of Two Steps MEBDF Using the Second Stage Standard BDF to Compute y n k 1 ,

when k=2

k 2

y n k 1 k 1 y n k j y n j 1 h k f xn k ! , y n k 1

j 0

y n3 1 y n 2 j y n j 1 h 2 f xn3 , y n3

j 0

y n3 1 y n2 0 y n1 h 2 f xn3 , y n3

Using the definition in equation

y n 3

14

4

1

2

y n 2 y n1 hf xn 3 , y n 3

3

3

3

Construction of Two Step MEBDF Using the Third Stage, when k=2

k 1

y n k j y n j h k 1 f n k 1 k f n k

j 0

1

y n 2 j y n j h 3 f n3 2 f n 2

j 0

y n 2 0 y n 1 y n1 h 3 f n3 2 f n2

Using the definition in equation

y n2

5

28

2

11

yn

y n 1 h 2 f n3

f n2

23

23

23

23

IV.

15

y x y Subjected to initial condition

16

y0 1

x

The analytical solution to IVP in equation 15 when subjected to the initial condition gives y 2e x 1 .

Numerical solutions are preferred to the derived stage I, stage II and stage III of the two step implicit Modified

Extended Backward Differentiation Formula. We obtaining numerical solutions for the IVP in 16 for

x 00.11.

x

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

Exact

1.00000

1.11034

1.24281

1.39972

1.58365

1.79744

2.04424

2.32751

2.65108

DOI: 10.9790/5728-11133740

Stage I

1.00000

1.11000

1.24207

1.38294

1.55123

1.74636

1.97099

2.22809

2.52090

h 0.1

Stage II

1.00000

1.11000

1.23100

1.38294

1.55123

1.74636

1.97099

2.22809

2.52090

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Stage III

1.00000

1.11000

1.11091

1.23068

1.37460

1.54291

1.73805

1.96271

2.21983

39 |Page

0.9

1

3.01921

3.43656

2.85299

3.22829

2.85299

3.22829

2.51267

2.92663

x

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

Stage I

0.00000

0.00034

0.00074

0.01678

0.03242

0.05109

0.07324

0.09941

0.13018

0.16621

0.20827

Stage II

0.00000

0.00034

0.01181

0.01678

0.03242

0.05109

0.07324

0.09941

0.13018

0.16621

0.20827

V.

h 0.1

Stage III

0.00000

0.00034

0.13189

0.16904

0.20905

0.25453

0.30618

0.36480

0.43125

0.50654

0.50993

Conclusion

Investigation carried out on the numerical solutions of stiff initial value problems in ODEs using

Modified Extended Backward Differentiation Formula has shown that the stage I is the best scheme for solving

stiff initial value problem. It converge better than the stage II and stage III with the lowest absolute error value.

Hence is the most accurate.

Reference

[1].

[2].

[3].

[4].

[5].

[6].

[7].

[8].

[9].

[10].

T.J. Abdulla, J.R. Cash, An MEBDF package for the numerical solution of large sparse systems of stiff initial value problems.

Computers and Mathematics with Application 42(2001) 121-129

J. Butcher, The Numerical Analysis of Ordinary Differential Equations, Wiley, New York, 1987.

J. Butcher, J.R. Cash, M.T. Diamantakis, DESI methods for stiff initial value problems, ACM Trans. Math. Software 22 (1996)

401-422.

J.R. Cash, Modified extended backward differentiation formulae for the numerical solution of stiff initial value problems in ODEs

and DAEs, Journal of Computational and Applied Mathematics 125 (2000) 117-130.

J.R. Cash, S. Considine, An MEBDF code for stiff initial value problems, ACM Trans. Math. Software 18 (1992) 142-160.

J.R. Cash, An extension of Olver's method for the numerical solution of linear recurrence relations, Math. Comp. 32 (1978) 497510.

J.R. Cash, Stable Recursions with Applications to Stiff Differential Equations, Academic Press, London, 1979.

J.R. Cash, Stability concepts in the numerical solution of difference and differential equations, Comput. Math. Appl.28 (1994) 4553.

J.R. Cash, A comparison of some codes for the stiff oscillatory problem, Comp. Math. Appl. 36 (1998) 51-57.

C.F. Curtiss, J.D. Hirschfelder, Integration of stiff equations, Proc. Nat. Acad. Sci. 38 (1952) 235-243.

DOI: 10.9790/5728-11133740

www.iosrjournals.org

40 |Page

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