Numer. Math.

40, 119-135 (1982) Numerische

MathemalJk
9 Springer-Verlag 1982

Runge-Kutta Theory
for Volterra Integrodifferential Equations
Ch. Lubich
Universit~tt Heidelberg,Institut f'tir Angewandte Mathematik, Im Neuenheimer Feld 293, D-6900
Heidelberg, FRG

Summary. The present paper develops the theory of general Runge-Kutta

methods for Volterra integrodifferential equations. The local order is char-
acterized in terms of the coefficients of the method. We investigate the
global convergence of mixed and extended Runge-Kutta methods and give
results on asymptotic error expansions. In a further section we construct
examples of methods up to order 4.
Subject Classifications: AMS(MOS): 65R05; CR: 5.18.

1. Introduction

Consider the Volterra integrodifferential equation (abbr. VIDE)

y'(x) =f(x, y(x), i K(x, s, y(s))ds), Y(Xo)=Yo (1.1)

2r o

where f: I x ~ " x ~ " --, 1t" (I = [Xo, s and

K: {(x, s) lxo <=S<_X<_~} x ~ " ~ "

are sufficiently differentiable.

We always assume that (1.1) has a (unique) solution y on I.
VIDE arise in a variety of applications, e.g. in viscoelasticity, control
theory, epidemiology and population dynamics [11, 12].
A survey on numerical methods for the solution of VIDE can be found in
Cryer [4] and Baker [1]. Special Runge-Kutta methods for VIDE were for the
first time studied by Pouzet [9], Wolfe and Phillips [10] as well as Feldstein
and Sopka [5] present further methods of this type.
Let h > 0 , Xk=Xo+kh for k=0, 1, 2. . . . .
Xk
Fk(X)=S g(x,s,y(s))ds for Xk<X<~
Xo

and let Fk(X) denote an approximation to Fk(X).

0029-599 X/82/0040/0119/$03.40
120 Ch. Lubich

A VIDE-Runge-Kutta method is then given by the formulae

Yk + 1 = Yk 4- h ~ bif(x k + c i h, Yi(k), Fk(Xk+ Ci h) + Z} k')

i=l
where
Yi'k' = Yk + h i aij f (Xk + Cjh, yj(k,, Fk(Xk + Cjh) + Z} k,)
j=l

Zlk~=h ~ 8ijK(xk+dijh, Xk+Cjh, y(k)) (i=1 .... ,s). (1.2)

j=l

We always assume ci= i alj (i= 1.... , s) and require that di~>cj whenever
j=l
ai~4=0 to ensure that the arguments of K in (1.2) are in the domain of K. The
method is determined by the discretization of the lag term Fk and the coef-
ficients air , ?tit, bi, dlj (i, j = 1, ..., s).
We finally remark that (1.1) is equivalent to the Volterra integral equation

x (f(s, y(s), z(s))] ds. (1.3)

(:) (x) = (o~ + K(x, s, y(s)),
In [-2] Brunner et al. give a Runge-Kutta theory for Volterra integral equa-
tions. The application of their VRK-methods to (1.3) yields exactly the VIDE-
RK-methods where aij=aij (i,j=l, ..., s). Observe, however, that for such a
method the order for VIDE may be strictly higher than the order for (general)
Volterra integral equations (see Sect. 4.)

2. Local Runge-Kutta Theory

The results of this section are based on the theory of P-series given by Hairer
in [6]. The proofs of the presented theorems are widely analogous to those of
the corresponding theorems in the Runge-Kutta theory for Volterra integral
equations of the second kind (see [2]) and are therefore omitted. Details can
be found in I-8].
Assume f: ~ " x R"-* R{" and K: I x IR" -, 11" sufficiently differentiable (I
= [Xo, ff]). Consider the autonomous VIDE

y'(x)=f (y(x), i K(x, y(s))ds), y(xo)= Yo. (2.1)

xo

Note that also the nonautonomous VIDE (1.1) can be transformed to an

equation of form (2.1) by regarding (x, y(x)) instead of y(x) as the unknown
solution.
The basic idea is to replace the VIDE (2.1) locally by a system of ordinary
differential equations and then apply the results of the theory of P-series [6].
Runge-Kutta Theory 121

Let y denote the solution of (2.1) on I and define

i ~c~iK
zAx)= xo ~x (x, y(s)) ds for i = 0 , 1, 2, .. (x6I)

Z -~. Z 0 .

This leads to
x'= l X(Xo)= Xo
y'=f(y, z) Y(Xo)=y o
, c3iK
z~= ~x r(x,y)+zi+l Z&o)=O. (2.2)

One now observes that the c o m p u t a t i o n of ff)(Xo) only involves the equations
for y, z0, ..., z k_ 1. To obtain the truncated Taylor series of y we can therefore
consider (2.2) as a finite system (as far as needed).
Let TP denote the set of P-trees with nodes x, y, z, zl, z=, .... For a subset
S of TP and a node index a we define S, to be the set of P-trees in S with root
a.
For t~TP let F(t) denote the elementary differential of t for the function on
the right hand side of (2.2) and put Yo=(Xo, yo,0,0, ...). Let p(t) denote the
order of the tree t (i.e. the n u m b e r of its nodes) and let c~(t) be defined as in
[6].
T h e o r e m 10 of [6] now yields
hO(O
Y(Xo+h)= 2 ~ ( t ) F ( t ) ( Y o ) - - (2.3)
terP, p(t)!
where the equality sign has to be interpreted as equality of the Taylor expan-
sions.
Because of the special structure of system (2.2) m a n y elementary differen-
tials vanish, and some of the non-vanishing elementary differentials are equal.
So only a subset of TP is relevant for (2.3).
Definition 2.1. Let TV' denote the smallest subset of TP satisfying
(i) (~,~TV',
(ii) t t . . . . . tmETV'(m>=O)~y[tt, ..., t~]~TV',
(iii) t~ .... , tm6TV~(m>O), k > O ~ [ z ~ , tl, ..., tm]6TV'.
Remarks. 1) ,[z k, tl, ..., t,,] denotes the tree
k x "'.

,[ ] = z, = . , (a = y, z) tm

2) All trees in TV' are of type (i), (ii) or (iii). a

Examples are given in Fig. 1.

We then have
Theorem 2.2. The exact solution y of (2.1) has an expansion of the form

hptt)
Y(Xo +h)= ~, fl(t) F(t)(Yo) - -
t~rv'~ p(t) !"
122 Ch. Lubich

(A formula for the recursive calculation of the integers fl(t) is given in [8].)
y z X y
.z V V
y z

x r
\z
Fig. 1

A similar expansion also holds for the numerical solution y~ obtained by

one step of a VIDE-Runge-Kutta-method applied to (2.1):

Yl =Yo +h ~ b,f(Yi, Zi)

i=l
where
Yi=Yo+h ~ aljf(Yj, Zj)
j=l
(i = 1.... , s) [2.4)
Z~=h ~ 81jK(xo +dijh , Yj)
j=l

T h e o r e m 2.3. The numerical solution Yl given by (2.4) satisfies

hp(O
Yl = 2 q~(t)f l ( t ) F ( t ) ( Y o ) - -
where
~o(~r) = 1, q~(zy)= ~ b,
i=1

tp(t)=p(t) ~ bitPi(tO...q)i(t,, ) for t=y[tl,...,t,,]eTV /

i=1
and
~oi(4),) = 1, qo~(zy)= ~ ai~, (Pi(zz)= i a~J,
j=l j=l

q)i(t)=P(t) ~ aij(Pj(tl).., q)j(tm) for t:y[t 1 , ..., tm']~TVy t,

j=l
(Pi(t) --(p(t) - k) i ~ti;dkj q)j(t 0 . . . ~oj(t,,) for t-~Ezx,
-- k tl, ..., tm]~TVz (ti+zx).
j=l
AS an immediate consequence of Theorem 2.2 and 2.3 we obtain
Theorem 2.4. (p(t)= 1 for all t~ TV/ of order p (t)< p implies
y ~ - y ( x o + h) = O(h p+ 1).

Remark 2.5. 1) The order conditions "to(t)=l" are also necessary for local
order p.
Runge-Kutta Theory 123

2) Because of the assumption c~= ~, a~j the assertion of the theorem re-
j=l
mains true if Yl is the numerical solution of a n o n a u t o n o m o u s V I D E (1.1).

X • x x y,t

y Y~
Fig. 2

Example. For the tree in Fig. 2 the order condition is given by

- 2 a --
1
blaijaikdik kt--~. 2"
i~j,k,l

This condition can be obtained very elegantly. If we affix a s u m m a t i o n index

i,j, k, l.... to every node y or z then the left-hand side of the above equation is
the sum over i,j, k, l, ... whose s u m m a n d s are a product of
b~ if the s u m m a t i o n index of the root is i;
a~j if a lower node y or z (with index i) is connected with a higher node y
(with index j);
g~jdkjif a lower node y (with index i) is connected with a higher node z
(with index j) which again is directly connected with k nodes x.
The right-hand side is the inverse of 7(0, where 7(0 is defined for t~TV' by

V(q~,)-- 7(ry) = y(Zz) -- 1

7(t)=(p(t)-k) 7(t,)... 7(tin) for t=a[Z~, tl, ..., t,,]6TV'
(a=y, z, ti:~z~). (2.5)

We list the order conditions up to order 3: (We use the notations ei= ~, a o ,
\ j=l

Ci= ~ dij. For the following each sum ranges over all subscripts from 1 to s.)
j=l !

p(t)=l: .y 2bi=l

p(t)=2: ~ 2bici=89
Y, b,
124 Ch. Lubich

Y Y
p(t)=3: \/ Ebic2= 89
y
y z
\/ Zbicici=~
Y
2 Z

Y
/Y
Y\ ~. biaijcj=~
Y
Z
/
y ~ bi aij cj =
\y

z /\ y ~ blaljcj= ~
Y
x
z/ 2 bi ~lij dij - 1 (2.6)
\
Y
Remark. Let us consider the choice aij=a u for i,j=l, ..., s. In this case identi-
cal order conditions result for trees that differ only with respect to the inde-
xation by y or z. We remark that for this case the order conditions could have
been derived by using the theory of [2] (cf. the final remark in Sect. 1). For
these methods the essential trees are the trees of TV/ modulo indexation by y
or z. This is the subset of trees in TV (see [2]) where no x-nodes leave the
root.

3. Convergence and Asymptotic Error Expansion

In this section we give global results on the numerical solution of Runge-Kutta

methods where the lag-term in (1.2) is discretized in different ways: mixed and
extended methods.
Consider the V I D E (1.1)

Y'(x)=f(x,y(x), i K(x,s,y(s))ds ), Y(Xo)=Yo

XO

and let y: I ~ R " be its solution map.

To simplify the proofs of the theorems we introduce the following type of
one-step methods:

Yk+0= Yk + h " q~o(Xk, Yk, FR(', (Yd)d~D~),h). (3.1)

Runge-Kuna Theory 125

Herein we have: the stepsize he[0, ho],

k = 0 , 1 , 2 .... with Xk+l=Xo+(k+l)h<,y,

OeD where D=(0, 1] is a finite index set containing 1,

Ok:= {0} C; {j+ 0; 0 =<j_< k - 1, O~D},

the increment functions

~b0: {(~, r/, (p, h) l ~ I , ~le~", (pc C([~, el), he[0, ho] } --*N",
the lag term
Xk

Fk(X)= ~ K(x, s, y(s)) ds for Xm[Xk, ~].

XO

Fk(X, u) shall for Xm[Xk, ~] and Dk-families U=(Ud)aEDk in N" denote an approxi-
mation to Fk(X) based on the values ud.
Formula (3.1) can be interpreted in about the following way: It is based on
the one-step method Yk+l = Y k + h ~ l ( ' " ) - The yk+o(O+ 1) give additional values
for the approximation of Fk by /~k"
For the formulation of the following lemma we have to introduce still
another notation:
Yk+o = Y(Xk) + h " Cbo(Xk,Y(Xk), Fk, h) (3.2)
denotes a local application of 4~0.
As concise notations we use:

Y =- (Y(Xd))dsDk, Yh = (Yd)deDk, Yh =- (Yd)dsDk"

The following lemma reduces the problem of global convergence to the local
situation.
L e m m a 3.1. Assume
1. a) Each of the ~bo (OeD) is Lipschitz-bounded (by L).
b) 41 has local order p, i.e.. IlYk+l--Y(Xk+l)H~C.h p+t where C does not
depend on k or h.
2. a) Fk is Lipschitz-bounded (by L) with respect to all but possibly the first
component.
b) [IFg(x, Yn)-fk(x)ll < C" h; (C independent of x, k and h).
Then we have:
The one-step method given by (3.1) is convergent of order p, i.e.

][yk-- Y(Xk) H<=M . hp

for some constant M that does not depend on k or h.
Proof.
IlYK+1 -Y(Xk+ a)/b < IlYk+ 1 -Y~+ a tl + IlYk+ 1 -Y(Xk+ 1)ll
[[Yk+ 1 --Y(Xk+ 1)t[ < ChP+ 1 by la).
126 Ch. L u b i c h

For each OsD we have

ItYk +o-- Yk § ~ IlYk-- Y(Xk) It + hL(Il Yk-- Y(Xk)II

+ sup llPk(X,Yn)--Fk(x)ll)
x e [ x k , ~]
and further

IIFk(x, Yh)--Fk(X)ll N iipk(x ' Yh)--Fk( x, Yh)ll + 11P~(x, Yh)- Fk(x)ll

< L max IlYd--YaLI+ C hp.
d~Dk

Using the notations

Ek= max IlY./--Y(X./)N
./= o, 1, ..., k
and
Ek = m a x IlYa--Ydll
d~Dk
we obtain

IlYk+o--Yk+Ol[<=(l+hL)Ek+hCtE'k+C2 hp+l (for constants C1, C2)

and hence
IlYk+ 1 --Y(Xk+ 1)11<(1 + hL) E k + h C 1 E'k + C 2 h p+ 1 + ChP+ 1.

Letting E~' = max {E k, E'k} we have

, 1 <(1
Ek+ +hC3)E k, + C4hP+ 1 (for constants C3, C4).

An induction argument yields (note that x o + kh <=~)

e(e- xo)c3 _ 1
Ek<E*<C 4 hp<M.h p
C3
where M does not depend on k or h. []
In particular, a one-step method of type (3.1) is given by a D-family of
VIDE-Runge-Kutta methods, without loss of generality of the form

Yk +0 = Yk + h i bi (0) f (x k + c i h, Yi(k), Fk(Xk + Cih, Yh) + ZI k))

i=1
where
Yi(k)= Yk + h ~ alj f ( x k + c./h, yj(k,, Fk(Xk + C./h, Yh) + Z} k))
j=l

(k)-__- h ~ ao K (X k -Jr-dij h, X k + Cjh,

Z i yj(k)). (3.3)
./=1

Using Lemma 3.1 and some standard arguments, it is not difficult to derive
Theorem 3.2 (Convergence of mixed VIDE-Runge-Kutta-methods).
1) Let De(O, 1] a finite subset with leD.
Runge-Kutta Theory 127

For each O~D a VIDE-RK method with coefficients ali, 8ij, di; , bi(O)
(i, j = 1, . . . , s) be given. Assume that the method has local order
p for 0 = 1
Po = p - 1 for 0 # 1 .
2) Let Fk be given by a numerical quadrature Fk(X, u)= ~ hwkaK(x, x a, ue).
Assume deDk
a) ~ h]Wkdl<=W(for all k,h with xo+kh<=~ ).
deDk
b) The quadrature has order p, i.e. for the exact solution y we have

qlFk(x, Y)-fk(x)ll < Q" hP (Q does not depend on x, k or h).

Then the numerical method given by (3.3) is convergent of order p.

Remark. A VIDE-RK method is said to have local order p for 0 if
yo-Y(Xo+Oh)=O(h p+I) for any VIDE (1.1).
By Theorem 2.4 and Remark 2.5 this condition is fulfilled exactly if the
1
method with coefficients ~ (%, ~j, d~j, b~(O))i,~ satisfies the order conditions up
to order p.

We are now going to study VIDE-Runge-Kutta methods where the lag

term in (1.2) is discretized by
k-1
Fk(X)= ~, h ~" biK(x , x j + c l h , YiO)). (3.4)
j=o i=1
These are called extended VIDE-Runge-Kutta methods.
Let us at first state a lemma which will be crucial for the convergence proof
of such methods.
Lemma3.3. Let a VIDE-RK-method of local order p be given and consider
Yi = Yi(~ Z i = Z } ~ as in (1.2).
Let g: I x IR" x IR"--, IR m be an arbitrary sufficiently differentiable function.
Then we have
xo+h
h. ~ blg(Xo+Cih , Y / , Z i ) - ~ g(t,y(t),z(t))dt=O(h p+I)
i= 1 Xo

( x )
where z(x) = ~ K(x, t, y(t)) dt .
XO

Proof. Let v(x)= i g(t, y(t), z(t)) dt and consider the VIDE
XO

(x) = \ f ( x , y(x), z(x))]' (x~ = Y0 "

Since the VIDE-RK-method has local order p, we have in particular

xo+h
h. ~ big(Xo+Clh, Yi, Z i ) - ~ g(t,y(t),z(t))dt=vl-V(xo+h)=O(hP+l). []
i= 1 Xo
128 Ch. L u b i c h

Although the values Y~(/) used for the computation of Fk(x) are only low
order approximations to y(xj+ clh) we have
Theorem 3.4. The global order of convergence for an extended VIDE-Runge-
Kutta method is equal to the local order of the method.
Proof The V I D E - R K - m e t h o d can be interpreted as a one-step method of type
(3.1) with
Y k + o = Y i (k) for O=c i (0=~1), Yk+l in (3.1)=Yk+ 1 in (1.2)9

Assumptions 1) and 2a) of Lemma 3.1 are readily verified. It remains to

demonstrate that also assumption 2b) is satisfied:
Define ~(k)(i= 1..... S) by

gi (k) = y (Xk) -~ h ~ aij f (x k + cj h, ~(k), Fk (X k -I- Cj h) + zJk))

j=l
and
7Zlk~=h ~ 8ijK(Xk+dijh ' Xk+Cjh' ~(k)).
j=l

Let p denote the local order of the VIDE-RK-method.

We now apply L e m m a 3.3 to the V I D E

y'(x)=f (x, y(x), Fi(x)+ i K(x, t, y(t))dt)

xj

with initial value y(x~) and g(~,t/,~)=K(x,~,t/) (with x as parameter) 9 By

L e m m a 3.3 there exist constants C = C(x, x j) such that

h 9i biK(x, xj+qh, Y/J))- ....

S K(x,t,y(t)) dt <=C.hp+I.
i= 1 xj

Via the mean value theorem the compactness of I implies that C can be
chosen independent of x and xj. So we obtain

IIP~(x, ;~) - F~(x)ll

=- 01 =sl
= kj~"hi~"biK(x'xj+cih' xk
Yii~")-xoS K(x,t,y(t)) dt

biK(x, xj+cih, ~(J))- I K(x, t,

j= 0 xj
<k.C.hP+l<=(Y~-Xo).C.h p. []
Remark. For extended Pouzet-type V I D E - R K - m e t h o d s (i.e. the special case aij
=?tij, d~j=c~) a convergence proof has been given in [-9]. That proof, however,
differs from ours and does not apply to the general case.

Since the proofs for asymptotic error expansions are cumbersome, we

simply state two results and refer the interested reader to [8].
Theorem 3.5 (asymptotic error expansion for mixed VIDE-Runge-Kutta methods).
Runge-Kutta Theory 129

1) Let D c ( O , 1] a finite subset containing 1.

For each O~D a V I D E - R K - m e t h o d with coefficients aij, gtij, dij , bi(O ) (i,j

=- 1. . . . , s) be given. Assume that the method has local order - 1 f o r 0 + 1"

2) Suppose that the numerical quadrature Fk(X,U)= ~ hWkdK(X, Xa, Ua) is

either d~Dk
a repeated quadrature o f order p with basic steplength h or a N e w t o n -
Gregory f o r m u l a o f order p.
Then the numerical solution given by method (3.3) has an asymptotic error
expansion o f the f o r m

y(x, h) - y (x) = e t (x). h p + e 2 (x). h p + 1 + . . . + eu (x) h p + s - 1 + 0 (h p + N).

Theorem 3.6 (asymptotic error expansion for extended V I D E - R u n g e - K u t t a meth-

ods).
The numerical solution given by an extended V I D E - R K method o f order p
has an asymptotic error expansion o f the f o r m

y(x, h) - y(x) = e 1(x) . h p + e2(x) 9h p+ 1 + . . . + eu(X) . hp+ N- 1 + 0 (h v+ N).

4. Construction of Methods

In Section 1 we defined general VIDE-Runge-Kutta methods (1.2) for the

numerical solution of the VIDE (1.1). A special subclass is formed by

P o u z e t - t y p e Methods. aij = aij, dij = ci (i, j = 1, ..., s). (4.1)

These methods can be interpreted as VRK-methods (see [2]) applied to the

Volterra integral equation (1.3) which is equivalent to (1.1). So we can adapt
the following result from [2]:
A Pouzet-type method has the same order as the (ordinary) Runge-Kutta
method on which it is based.
For the following we only consider

B e l ' t y u k o v - t y p e Methods. dij = ej ( i , j = 1. . . . . s). (4.2)

This is no real restriction since it is easily seen that any VIDE-RK method
(1.2) can be written in Bel'tyukov-form by increasing s, the number of stages.
We confine ourselves to

Explicit Methods. a~j=0(1 <i<j<=s), d~j=0(1 <=i<j<s). (4.3)

Let us have a look at the numbers of evaluations per step: The number of Fk"
computations per step is equal to the number of distinct c~ (i= 1,..., s). If for
some i we have c i-- 1, we can reduce the actual number of ,e-computations
Xk+t
noting that F k + I ( X k + O = F k ( X k + h ) + S K(Xk+I, s,y(s)) ds. The numbers of f-
Xk
and K-evaluations per step for Bel'tyukov-type methods are essentially given
by the number of stages s.
130 Ch. Lubich

Methods of Order 1

The only order condition for a 1-stage method is b l = l . F o r an explicit

method we have c 1 = a l l =0. Choosing a l l = 0 we obtain the Euler method

Yk + 1 = Yk + hf (Xk, Yk' Fk (Xk))"

Methods of Order 2

Consider the order conditions (2.6) for p ( t ) = 1, 2 with s = 2 . For explicit meth-
ods we have e~ =0. A choice of c 2 = 1 is optimal with respect to the number of
F-evaluations (see above).
This implies b 1=b2= 89
The n u m b e r of K-evaluations is minimal for a l ~ = a 2 1 = 0 or ~22=0. So we
obtain the methods

ei aij ei alj ei aij ci aij

e1 0 0 0 and el u 0 0
e2 0 1 1 1 0 e2 1-u 1 1 0

21 21 bi 21 1.
2 bi
Here el, e 2 and u are free parameters (observe the kernel condition e i >=ci). The
methods require 2 - 1 F-, 2f- and 1 K-evaluation per step. (One F-evaluation
can be saved because of c I = 0 , c 2 = 1.) Choosing e 1 = 1 for the second type, we
arrive at
Y1 =Yk Z1 =huK(xk +h, Xk, Y1)
Y2 =yk +hf(xk, Y1, Fk(Xk)+ Z1) Z2 =h(1 - u ) K(xk +h, Xk, Y1)
Yk+ l = Yk + 89hf(Xk, Y1, Pk(Xk)) + 89hf(Xk + h, Y2, Fk(Xk + h) + Z2).
The parameter u can be chosen to reduce the local error, e.g. if we put u -- -!3 '
also the order conditions for the trees

y\ z
, y~
/z
and z ~
/x
are satisfied.
Y Y Y
Observe that only one Pk-evaluation is necessary, if we put

pk+l(Xk+O=pk(xk+h)+ 89 1
Xk, Yk) +~hK(xk+ 1, Xk+ 1, Yk+ 1)
(approximation of
....~ K(Xk§ )
y(s))ds using the trapezoidal rule . This re-
Xk
quires only one additional K-evaluation. By T h e o r e m 3.2 the order of con-
vergence is preserved.
Runge-Kutta Theory 131

Methods of Order 3

We only note: Given any ordinary RK-method of order 3 we can choose the
coefficients ej in such a way that the resulting Bel'tyukov-type method with
a~j = go also has order 3.
The analogous statement no longer holds for

Methods of Order 4

For Volterra integral equations of the second kind, there do not exist 4-stage
Bel'tyukov-type methods of order 4. For VIDE we have, however,
Theorem. Consider explicit 4-stage VIDE-RK-methods of Bel'tyukov-type which
satisfy a~=dg~ and have only three distinct c~. Among these methods, exactly the
following two have order 4:

Ci aij

•2 0
(i) !2 •2 0
1 0 •2 0
- 0 0 1
! • ! !
6 3 3 6 bi
and
ei ci aO

1-
4
o o
(ii) 3-- i 0
41 20 -g 2
3 3-
2
0
5
-- 1 -g 2 •3 0
! bl
9 3 18 6

Both methods require 3 - 1 F - , 4f- and 3K-evaluations per step. (One F-

evaluation can be spared because of c~ =0, c4= 1.)
Remark. The numbers of evaluations cannot be further reduced even if one
assumes aij :~ a i j .
Proof Because of the assumption aij=alj trees that differ only with respect to
the indexation by y or z yield the same order conditions. These are given by
(2.6) for p(t)= 1, 2, 3 (with s=4).
For p ( t ) = 4 we have the order conditions for the trees "~, ~ / , /,,/, k~/
(only y- and z-nodes) and
132 Ch. Lubich

X
5 E blaOajkek = 1
X
& 2 bi ci aij ej = 88
x
~.blaijcje~ = 1
X X
"U 2 b,a, 4-
(Each sum ranges over all subscripts from 1 to 4.)
The order conditions for trees having only y- and z-nodes are exactly those
of the corresponding trees of the Runge-Kutta theory for ordinary differential
equations. So the RK-method given by the coefficients ai~ and b~ has to be an
explicit 4-stage method of order 4. For any such method it holds (see [3],
p. 78)
b i aij = bj(1 - cj) 0' = 1, 2, 3, 4).
i
So we have
b, a,j ajk e k = ~ bj(1 - c j) ajk e k = ~. b~ ajk e k -- ~ bj cj a~k e k = ~-- 88=

X X
which means that the order condition for 5 is implied by those of (, and
+x
According to the classification of 4-stage explicit RK-methods of order 4
(see [7]) at most the following choices for the coefficients alj and bl are
possible:

(i) cl alj

0
•2 0
g1 - - g1w ~w 0
0 1-3w 3w 0

g1 2-w w g1 bi

Furthermore, the order conditions for the trees with x-nodes have to be
satisfied. Inserting the above coefficients yields
X
< {. e I + (-~-- w/2) - e 2 + w / 2 . e 3 = 8 9
x
y ( ~ - w/41. e z + w14. e a =~
X
Q/ e, + (88 w/2) 9e 2 + w / 2 , e 3 =88

The solution of this system of linear equations is given by

1
el : e 2 : 1 ' e 3 : 1 a t 6w"
Runge-Kutta Theory 133

X X
Inserting this in the order condition for " f , we obtain w=89 This gives us
method (i) of the theorem.

(ii) ci aij
0 0
L 1 0
2 2
o Aw o
- 89 53 6W 0
L_w 2_
3 W
!6 bl
6

A similar procedure as above leads to method (ii) of the theorem.

(iii) There is still another type of explicit 4-stage RK-methods of order 4
with only three distinct ci. For these methods, however, the order conditions
for the trees with x-nodes give a contradiction. []

5. Numerical Example

The following system of Volterra integro-differential equations arises in

modelling the spread of Gonorrhea (H.R. Thieme, personal communication, cf.
also [13]):

f/'(t) = -aifi(t)+ (fl -fi(t)-~i i K(t-s)fi(s)ds ) "j~'lflij k(t-s)mj(s)ds,

- oo "~ -
t 4 t
m'i(t)=-oqmi(t)+ ml-mi(t)-a i_~[. K(t-s)mi(s)ds "j= _

(i= 1..... 4)
with the following data:

J~ =0.36, f~ =2.52, J~ =0.24, f4 = 1.68,

r~1 =0.06, Me =0.42, r~3 =0.54, ~4=3.78,
~1 =0~2 = 1 , ~3=~4=2,
~ l j = J~3j : 3 0 , f12 j = J~4.j = ~ 0 , 7,j=[3,j/2 (i,j= 1.... ,4).

The convolution kernels are given by

k(O={~.exp(a/(t-~ + 6 ) . ( t - r - 6 ) ) for [ t - ~ l < ~

else,

K(t) = 1 - i k(s) ds
0
or3
where c is chosen such that ~ k(t) dt= 1.
0
134 Ch. Lubich

I n the m o d e l we h a v e z = } . F u r t h e r we h a v e c h o s e n 6=z/2, a = 1 0 - z .
Initial v a l u e s h a v e to be p r e s c r i b e d in the i n t e r v a l [ - z - f i , 0]. F o r the n u m e r i -
cal e x p e r i m e n t s b e l o w we h a v e c h o s e n the c o n s t a n t f u n c t i o n s

f ( t ) =J~/200, mi(t ) = r~i/200 (i = 1, ..., 4; - z - 6 -< t _<0).

T o solve the s y s t e m o f V I D E we e m p l o y e d the 4-th o r d e r classical R u n g e -

K u t t a m e t h o d o f Sect. 4 w h e r e the l a g - t e r m s w e r e d i s c r e t i z e d in e x t e n d e d way.
F o r the c o m p u t a t i o n o f K(t) we used the q u a d r a t u r e c o d e T R A P E X of
D e u f l h a r d / B a u e r [14]. T h e s o l u t i o n was c o m p u t e d in the i n t e r v a l 0 < t < 3 .
F r o m t = 2 o n w a r d the s o l u t i o n h a d p r a c t i c a l l y a r r i v e d at a s t a t i o n a r y state.
T h e c h o i c e of t h e step-size h = 0 . 0 4 g a v e a fail-run. F o r h = 0 . 0 2 a n d h = 0 . 0 1 we
o b t a i n e d the f o l l o w i n g results at t = 1:

h=0.02
f 0.3490618562 1.983048157 0.1748634247 0.9511510708
m i 0.0581152045 0.3051703994 0.0389766886 1.954641684

h=0.01
f 0.3490625790 1.983349319 0.1748662297 0.9512977889
mi 0.0581153545 0.3052213187 0.0389773251 1.954973888

Acknowledgement. The author wishes to thank H.R. Thieme for the model from epidemiology and
E. Hairer for valuable suggestions and his kind interest in this work. Moreover, the introduction of
methods of type (1.2) and an outline of the strategy for Sect. 2 are due to E. Hairer.

References

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Oxford: Clarendon Press 1976
2. Brunner, H., Hairer, E., Norsett, S.P.: Runge-Kutta Theory for Volterra integral equations of
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3. Butcher, J.C.: Runge-Kutta methods. In: Hall, G., Watt, J.M. (eds). Modern numerical methods
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Received November 5, 1981/Revised July 5, 1982