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Lecture

Content

Hours

corrector methods, Milnes method

Adams-Moulton method.

Module 2

Lecture 1

Predictor corrector Methods

Consider I VP

y f(t,y);

t 0 t b with y(t 0 ) y 0

(2.1)

One step methods for solving IVP (2.1) are those methods in which the solution yj+1 at

the j+1th grid point involves only one previous grid point where the solution is already

known. Accordingly, a general one step method may be written as

y j+1=y j +h(t j ,y j ,h)

The increment function depends on solution yj at previous grid point tj and step size h.

If yj+1 can be determined simply by evaluating right hand side then the method is explicit

method. The methods developed in the module 1 are one step methods. These

methods might use additional functional evaluations at number of points between tj and

tj+1. These functional evaluations are not used in further computations at advanced grid

points. In these methods step size can be changed according to the requirement.

It may be reasonable to develop methods that use more information about the solution

(functional values and derivatives) at previously known values while computing solution

at the next grid point. Such methods using information at more than one previous grid

points are known as multi-step methods and are expected to give better results than

one step methods.

To determine solution yj+1, a multi-step method or k-step method uses values of y(t) and

f(t,y(t)) at k previous grid points tj-k, k=0,1,2,k-1,. yj is called the initial point while yj-k

are starting points. The starting points are computed using some suitable one step

method. Thus multi-step methods are not self starting methods.

Integrating (2.1) over an interval (tj-k, tj+1) yields

t j1

y j1 y j

t jk

t j1

f(t,y(t))dt y j

a t dt

t j k j 0

(2.2)

using equi-spaced points. The integration over the interval is shown in the Fig 2.1.

The method may be explicit or implicit. An implicit method involves computation of yj+1 in

terms of yj+1. First an explicit formula known as predictor formula is used to predict yj+1.

Then another formula, known as corrector formula, is used to improve the predicted

value of yj+1. The predictor-corrector methods form a large class of general methods for

numerical integration of ordinary differential equations. A popular predictor-corrector

scheme is known as the Milne-Simpson method.

Milne-Simpson method

Its predictor is based on integration of f (t, y(t)) over the interval [tj3, tj+1] with k=3 and

r=3. The interpolating polynomial is considered to match the function at three points tj2,

tj1, and tj and the function is extrapolated at both the ends in the interval [tj3, tj-2] and [tj,

tj+1] as shown in the Fig 2.2(a). Since the end points are not used, an open integration

formula is used for the integral in (2.2):

p j1 y j1 y j

4h

14

2f(t j ,y j ) f(t j1,y j1 ) 2f(t j2 ,y j2 ) h5 f (4) (); in(t j3 ,t j1 ) (2.3)

3

45

The explicit predictor formula is of O(h4) and requires starting values. These starting

values should also be of same order of accuracy. Accordingly, if the initial point is y0

then the starting values y1, y2 and y3 are computed by fourth order Runge kutta method.

Then predictor formula (2.3) predicts the approximate solution y4 as p4 at next grid point.

The predictor formula (2.3) is found to be unstable (proof not included) and the solution

so obtained may grow exponentially.

The predicted value is then improved using a corrector formula. The corrector formula is

developed similarly. For this, a second polynomial for f (t, y(t)) is constructed, which is

based on the points (tj1, fj1), (tj, fj) and the predicted point (tj+1, fj+1). The closed

integration of the interpolating polynomial over the interval [tj, tj+1] is carried out [See Fig

2.2 (b)]. The result is the familiar Simpsons rule:

y j1 y j

h

1 5 ( 4)

f(t j1,y j1 ) 4f(t j ,y j ) f(t j1,y j1 )

h f ( ); in(t j1,t j1 )

3

90

fj-1

(2.4)

fj-3

fj-2

fj-k

tj-k

fj

fj+1

tj-3

tj

tj+1

tj-1

x

x

xj-1

t

tj-3

(a)

tj-2 tj-1

tj

tj+1

t

tj-3

tj-1 tj-1

tj+1

tj

(b)

Fig 2.2 (a) Open Scheme for Predictor (b) Closed integration for Corrector

In the corrector formula fj+1 is computed from the predicted value pj+1 as obtained from

(2.3).

Denoting f j f(t j , y j ) , the equations (2.3) and (2.4) gives the following predictor corrector

formulae, respectively, for solving IVP (2.1) at equi-spaced discrete points t4,t5,

p j1 y j1 y j3

y j1 y j1

4h

2fj fj1 2fj2

3

(2.5)

h

fj1 4f j f j1

3

The solution at initial point t0 is given in the initial condition and t1, t2 and t3 are the

starting points where solution is to be computed using some other suitable method such

as Runge Kutta method. This is illustrated in the example 2.1

Example 2.1: Solve IVP y=y+3t-t2 with y(0)=1; using Milnes predictor corrector method

take h=0.1

Solution: The following table 2.1 computes Starting values using fourth order Runge

Kutta method.

k y k1= t+ y+

k2 y+

k3

t

f(t,y) h/2 h/2*k

h/2*k2

1

0 0

1

1 0.05 1.05 1.197 1.05987 1.2074

5

5

1 0.1 1.1203 1.410 0.15 1.190 0.222 1.13147 1.559

34

859

7

7

2 0.2 1.2338 1.793 0.25 1.323 0.321 1.24993 1.9374

84

533

8

1

3 0.2 1.3763

y+

t+h h*k3

k4

y+h(k1+2k

2+2k3+k4)

/6

0.1 1.1207 1.41074 1.1203415

0.2 1.2762 1.83624 1.2338409

0.3 1.4276 2.23758 1.3763387

Using initial value and starting values at t=0, 0.1, 0.2 and 0.3, the predictor formula

predicts the solution at t=0.4 as 1.7199359. It is used in corrector formula to give the

corrected value. The solution is continued at advanced grid points [see table 2.2].

MilnePredictorcorrector1

f(t,p)

k

t

y

f(t,y)

corrector

0

0

1

1

rk4

Milne pc exact

1

0.1 1.1203415 1.410341

2

0.2 1.2338409 1.793841 startingpoints

3

0.3 1.3763387 2.186339

4

0.4 1.7199359 2.759936 1.67714525 2.717145

5

0.5 2.0317593 3.281759 1.920894708 3.170895

Table 2.2: Example 2.1 using predictor corrector method with h=0.1

The exact solution is possible in this example; however it may not be possible for other

equations. Table 2.3 compares the solution with the exact solution of given equation.

Clearly the accuracy is better in predictor corrector method than the Runge-Kutta

method.

rk4

Milnepc exact

0.1 1.120341

1.120342

0.2 1.233841

1.282806

0.3 1.376339

1.489718

0.4

1.5452 1.6771453 1.743649

0.5

1.7369 1.9208947 2.047443

Table 2.3: Comparison of solution of example 2.1

Milne

Predictor

corrector1

f(t,p)

f(t,y)

0.05

1.055042

1.202542

starting point1

0.1

1.120342

1.410342

starting point2

0.15

1.196169

1.623669

starting point3

0.2

1.282805

1.842805

1.282805

1.842805

0.25

1.380551

2.068051

1.380551

2.068051

Table 2.4: Example 2.1 using predictor corrector method with h=0.05

The exercise 2.1 is repeated with h=0.5 in table 2.4.The table 2.5 clearly indicates that

the better accuracy is achieved with h=0.05 [see table 2.5]

0.05

1.055042

1.055042

0.1

1.120342

1.120342

0.15

1.196169

1.196168

0.2

1.282805 1.282806

0.25

1.380551 1.380551

Predictor Corrector methods are preferred over Runge-Kutta as it requires only two

functional evaluations per integration step while the corresponding fourth order RungeKutta requires four evaluations. The starting points are the weakness of predictorcorrector methods. In Runge kutta methods the step size can be changed easily.

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