numerical analysis of Adam bash three step explicit

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numerical analysis of Adam bash three step explicit

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Section 5.11, Problem 10: Show that the fourth-order Runge-Kutta method,

k1 = hf ti , wi ,

h k1

k2 = hf ti + , wi + ,

2 2

h k2 (1)

k3 = hf ti + , wi + ,

2 2

k4 = hf ti + h, wi + k3 ,

1

wi+1 = wi + k1 + 2k2 + 2k3 + k4 ,

6

when applied to the differential equation y 0 = y, can be written in the form

1 1 1

wi+1 = 1 + h + (h)2 + (h)3 + (h)4 wi .

2 6 24

Solution: We have

1

wi+1 = wi + k1 + 2k2 + 2k3 + k4

6

1 1 h 1

= wi + hf ti , wi + hf ti + , wi + hf ti , wi

6 3 2 2

1 h 1 h 1

+ hf ti + , wi + hf ti + , wi + hf ti , wi

3 2 2 2 2

1 h 1 h 1

+ hf ti + h, wi + hf ti + , wi + hf ti + , wi + hf ti , wi .

6 2 2 2 2

Since y 0 = y = f (t, y), we have

1 1 1

wi+1 = wi + hwi + h wi + hwi

6 3 2

1 1 1

+ h wi + h wi + hwi

3 2 2

1 1 1

+ h wi + h wi + h wi + hwi

6 2 2

1 1 1

= wi 1 + h + h + (h)2

6 3 6

1 1 1

+ h + (h)2 + (h)3

3 6 12

1 1 1 1

+ h + (h)2 + (h)3 + (h)4

6 6 12 24

1 2 1 3 1 4

= 1 + h + (h) + (h) + (h) wi . X

2 6 24

1

Section 5.11, Problem 15(a): Show that the Implicit Trapezoidal method

w0 = ,

hh i

wi+1 = wi + f (ti+1 , wi+1 ) + f (ti , wi ) ,

2

is A-stable.

wi+1 = Q(h)wi . A numerical method is said to be A-stable if its region of stability R

contains the entire left half-plane.

In other words, in order to show that the method is A-stable, we need to show that

when it is applied to the scalar test equation y 0 = y = f , whose solutions tend to zero

for < 0, all the solutions of the method also tend to zero for a fixed h > 0 as i .

For the Implicit Trapezoidal method, we have

h

wi+1 = wi + (wi+1 + wi ),

2

h h

wi+1 wi+1 = wi + wi ,

2 2

1 + h

2

wi+1 = wi ,

1 h

2

n+1

1 + h

2

wi+1 = w0 .

1 h

2

Thus,

h

1+ 2 2 + h

Q(h) = h

= .

1 2

2 h

Note that for Re(h) < 0, |Q(h)| < 1, and for Re(h) > 0, |Q(h)| > 1. Therefore,

the region of absolute stability R for the Implicit Trapezoidal methods is the entire left

half-plane, and hence, the method is A-stable.

Section 5.11, Problem 7(b): Solve the following stiff initial-value problem using the

Trapezoidal Algorithm with T OL = 105

y 0 = 20(y t)2 + 2t, 0 t 1,

1 (2)

y(0) = ,

3

with h = 0.1. Compare the results with the actual solution y(t) = t2 + 13 e20t .

Solution: Slightly modifying the code I posted on my homepage for the problem above

and running it gives the following results:

N = 10, h = 0.1, t = 1.0, w = 1.0488, y = 1.0000, error = 4.87754e 002.

2

Section 5.6, Problem 6(a): THERE IS A TYPO IN THE BOOK. THE SOLUTION

TO THE INITIAL VALUE PROBLEM DOES NOT MATCH THE ACTUAL SOLU-

TION. WE WILL BE USING A DIFFERENT ODE.

the solutions to the initial-value problem

y 0 = t2 2e2t , 0 t 1,

(3)

y(0) = 1,

t3

with h = 0.1. Compare the results with the actual solution y(t) = + e2t .

3

Solution: For this problem, we compute starting values wi , i = 1, 2, 3 using the fourth

order Runge-Kutta method:

k1 = hf ti , wi ,

h k1

k2 = hf ti + , wi + ,

2 2

h k2 (4)

k3 = hf ti + , wi + ,

2 2

k4 = hf ti + h, wi + k3 ,

1

wi+1 = wi + k1 + 2k2 + 2k3 + k4 .

6

For i = 4, 5, ... we use Adams Fourth-Order Predictor-Corrector method, which consists

of the predictor Adams-Bashforth, and corrector Adams-Moulton techniques.

The fourth-order Adams-Bashforth technique, an explicit four-step method, is defined as:

h

wi+1 = wi + 55f (ti , wi ) 59f (ti1 , wi1 ) + 37f (ti2 , wi2 ) 9f (ti3 , wi3 ) . (5)

24

The fourth-order Adams-Moulton technique, an implicit three-step method, is defined as:

h

wi+1 = wi + 9f (ti+1 , wi+1 ) + 19f (ti , wi ) 5f (ti1 , wi1 ) + f (ti2 , wi2 ) . (6)

24

Running the Adams Fourth-Order Predictor-Corrector algorithm gives the following re-

sults at the final step:

N = 10, h = 1.0000000e 001, t = 1.00,

w = 4.6864787414e 001, y = 4.6866861657e 001, error = 2.0742429498e 005.

You can verify that the solutions obtained with the method are indeed satisfying the

fourth order accuracy. Check this, for example, running the code with h = 0.01 and

h = 0.005 and calculate the order of convergence using the formula from homework 2.

3

Section 5.6, Problem 12: Derive the Adams-Bashforth three-step explicit method

h

wi+1 = wi + 23f (ti , wi ) 16f (ti1 , wi1 ) + 5f (ti2 , wi2 ) (7)

12

by the following method. Set

y(ti+1 ) = y(ti ) + ahf (ti , y(ti )) + bhf (ti1 , y(ti1 )) + chf (ti2 , y(ti2 )). (8)

Expand y(ti+1 ), f (ti2 , y(ti2 )), and f (ti1 , y(ti1 )) in Taylor series about (ti , y(ti )), and

equate the coefficients of h, h2 , and h3 to obtain a, b, and c.

Solution: Since y 0 (ti ) = f (ti , y(ti )), we can write equation (8) as

y(ti ) + hy 0 (ti ) + 12 h2 y 00

(ti ) + 16 h3 y 000 (ti ) + O(h4 )

= y(ti ) + ahy 0 (ti ) + bh y 0 (ti ) hy 00 (ti ) + 21 h2 y 000 (ti ) + O(h3 )

+ch y 0 (ti ) 2hy 00 (ti ) + 42 h2 y 000 (ti ) + O(h3 ) ,

= y(ti ) + a + b + c hy 0 (ti ) + b 2c h2 y 00 (ti ) + 12 b + 2c h3 y 000 (ti ) + O(h4 ).

Thus, equating the coefficients, we obtain

1 = a + b + c,

1

= b 2c,

2

1 1

= b + 2c,

6 2

23 16 5

which gives a = , b = , c = . Plugging these into (8), we obtain

12 12 12

h

y(ti+1 ) = y(ti ) + 23f (ti , y(ti )) 16f (ti1 , y(ti1 )) + 5f (ti2 , y(ti2 )) + O(h4 ),

12

or

h

wi+1 = wi + 23f (ti , wi ) 16f (ti1 , wi1 ) + 5f (ti2 , wi2 ) .

12

The order of the local truncation for the Adams-Bashforth three-step explicit method is,

therefore, (h) = O(h3 ).

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