Chapter 4 GHHJJHJHHJGHJHGJfgffgfgffkkkksdffdsdfsddf

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gddgdfgdfddg,,,,nnnfdefzeffrefessffdssdrfsrfe

Numerical Solution of Initial-Value Problems

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4.3 Runge-Kutta Method

The Runge-Kutta Method is an explicit method that achieves the accuracy of a Taylor series
approach without requiring the calculation of higher derivatives. The general form of Runge-
Kutta method can be written as

yn+1 = yn + (xn, yn, h)h (4.3-1)

where (xn, yn, h) is the increment function that represents an average slope over the interval
h.
reetetrrtetrtetetteretetet
terteteertertert
terteertrr
(xn, yn, h)h = a1k1 + a2k2 +  + amkm (4.3-2)

In the above expression k1/h is the slope at x1, k2/h is the slope at x2, and km/h is the slope at
xm for which x1 < x2 < xm  x1 + h. With this definition, the first order Runge-Kutta method is
just Euler’s method.

(xn, yn, h)h = a1k1 = (1)h f(xn, yn)

where a1 = 1 and k1 = h f(xn, yn)

The second order Runge-Kutta method is written as

yn+1 = yn + ak1 + bk2 (4.3-3)

where k1 = h f(xn, yn) and k2 = h f(xn + h, yn+ k1). The four constants a, b, , and  can be
determined by comparing equation (4.3-3) with Taylor’s method of second order.

1
yn+1 = yn + f(xn, yn)h + f’(xn, yn)h2
2!

df f dx f dy f f dy
where f’(xn, yn) = = + y = + y
dx x dx dx x dx

1 f f dy
Therefore yn+1 = yn + f(xn, yn)h + [ + y ] h2 (4.3-4)
2! x dx

From Taylor series expansion of a function with two variables

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 g g
g(x + r, y + s) = g(x, y) + r + s y + 
x

The constant k2 = h f(xn + h, yn+ h) can be expressed as

f f
k2 = h{ f(xn, yn) + h + k1 y + O(h2) }
x

Substitutions of k1 and k2 into yn+1 = yn + ak1 + bk2 yields

f f
yn+1 = yn + a hf(xn, yn) + b hf(xn, yn) + bh2 + b h2f(xn, yn) y + O(h3)
x

The equation can be rearranged to

f f
yn+1 = yn + [a + b] hf(xn, yn) + [b + bf(xn, yn) y ]h2 + O(h3) (4.3-5)
x

Compare equation (4.3-5) with equation (4.3-4)

1 f f dy
yn+1 = yn + f(xn, yn)h + [ + y ] h2 (4.3-4)
2 x dx

We obtain

a+b=1
1
b =
2
1
b =
2

Since there are only three equations for four unknowns a, b, , and , we have infinite
number of second order Runge-Kutta methods depending on the constants chosen. Solving
for a, , and  in terms of b we obtain

1 1
a = 1  b, = , and  =
2b 2b

With different set of constants, the second order Runge-Kutta method is known with different
name.

1 1
Modified Euler method: b= ,a= ,==1
2 2

yn+1 = yn + ak1 + bk2= yn + 0.5k1 + 0.5k2

yn+1 = yn + 0.5h [ f(xn, yn) + h f(xn + h, yn+ hf(xn, yn))]

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Midpoint method: b = 1, a = 0,  =  = 0.5

yn+1 = yn + ak1 + bk2 = yn + k2 = yn + h[f(xn + 0.5h, yn+ 0.5h f(xn, yn))]

3 1 2
Heun’s method: b= ,a= ,==
4 4 3

1 3
yn+1 = yn + ak1 + bk2 = yn + k1 + k2
4 4

2 2
k1 = h f(xn, yn) , k2 = h f(xn + h, yn+ k1) = h f(xn + h, yn+ k1)
3 3

Example 4.3-1 _____________________________________________________

Solve the following ordinary differential equation (ODE) using various Runge-Kutta method
of order 2 with x = 0.2

dy
= x + y0.5, at x = 1, y = 2
dx

Solution

Modified Euler method: yn+1 = yn + 0.5h [ f(xn, yn) + h f(xn + h, yn+ hf(xn, yn))]

f(xn, yn) = 1 + 20.5 = 2.4142

yn+ hf(xn, yn) = 2 + (0.2)(2.4142) = 2.4828  f(xn + h, yn+ hf(xn, yn)) = 2.7757

yn+1 = 2 + (0.5)(0.2)[ 2.4142 + 2.7757] = 2.5190

Midpoint method: yn+1 = yn + h[f(xn + 0.5h, yn+ 0.5h f(xn, yn))]

f(xn, yn) = 1 + 20.5 = 2.4142, f(xn + 0.5h, yn+ 0.5h f(xn, yn) = 2.5971

yn+1 = 2 + (0.2)(2.5971) = 2.5194

Heun’s method: yn+1 = yn + 0.25k1 + 0.75k2

k1 = h f(xn, yn) = (0.2)( 2.4142)

2 2
k2 = h f(xn + h, yn+ k1) = (0.2)(2.6471)
3 3

yn+1 = 2 + (0.2)[ (0.25)(2.4142) + (0.75)(2.6471)] = 2.5193

dy
Fourth order Runge-Kutta method for = f(x,y)
dx

6
 1
yn+1 = yn + (k1 + 2k2 + 2k3 + k4)
6
where
k1 = hf(xn, yn) k2 = hf(xn + 0.5h, yn + 0.5k1)
k3 = hf(xn + 0.5h, yn + 0.5k2) k4 = hf(xn + h, yn + k3)

k2/h and k3/h are the slopes at the mid point. Each of the k/h represents a slope over the given
interval. k1/h is the slope at the beginning of the interval and k4/h is the slope at the end of
interval. Therefore the sum (k1 + 2k2 + 2k3 + k4) / (6h) can be interpreted as a weighted
average of the slope.
dy
EX: Solve = x + y ; y(0) = 1, h = 0.1
dx
k1 = 0.1*(0 + 1) = 0.1*1 => y = y(0) + 0.5k1 = 1 + 0.5*0.1*1 = 1.05
k2 = 0.1*(0.05 + 1.05) = 0.1*1.10 => y = y(0) + 0.5k2 = 1 + 0.5*0.1*1.10 = 1.055
k3 = 0.1*(0.05 + 1.055) = 0.1*1.105 => y = y(0) + k3 = 1 + 1*1.105 = 1.1105
k4 = 0.1*(0.1 + 1.1105) = 0.1*1.2105
y(0.1) = 1 + 0.1*(1 + 2*1.1 + 2*1.105 + 1.2105)/6 = 1.11034
k1 = 0.1*(0.1 + 1.11034) = 0.1*1.21034
=> y = y(0.1) + 0.5k1 = 1.11034 + 0.5*0.1*1.21034 = 1.170857
k2 = 0.1*(0.15 + 1.170857) = 0.1*1.32857
=> y = y(0.1) + 0.5k2 = 1.11034 + 0.5*0.1*1.32857 = 1.17638285

Fourth-order Runge-Kutta method for system of first order differential equations

dy1
= f1(x, y1, y2, …, ym)
dx
dy 2
= f2(x, y1, y2, …, ym) ......
dx
dym
= fm(x, y1, y2, …, ym)
dx
1
yin 1 = yin + (k1,i + 2k2,i + 2k3,i + k4,i) , where i = 1, 2, ..., m and
6
h k k
k1,i = h*fi(xn, y1n , …, ymn ) k2,i = h*fi(xn + , y1n + 1,i , …, ymn + 1,m
2 2 2

)
h k k
k3,i = h*fi(xn + , y1n + 2 ,i , …, ymn + 2,m )
2 2 2
k4,i = h*fi(xn + h, y1n + k3,i, …, ymn + k3,m)

7
The idea behind the solution to a system of differential equations is similar to the solution of
a single differential equation. All the k’s values divided by step size h are just the slopes of
the curves evaluated at the appropriate x and yi.

dy1
EX: Solve = y1y2 + x , y1(0) = 1
dx
dy 2
= xy2 + y1 , y2(0) = -1
dx

using fourth order Runge-Kutta method with step size h = 0.1

Solution

x = xn = 0, y1 = 1, y2 = -1
k1,1 = 0.1*(y1y2 + x) = 0.1*[ (1)(-1) + 0] = -0.1
k1,2 = 0.1*(xy2 + y1) = 0.1*[ (0)(-1) + 1] = 0.1

x = xn + 0.5h = 0 + (0.5)(.1) = 0.05

y1 = y1(0) + 0.5k1,1 = 1 + 0.5(-0.1) = 0.95
y2 = y2(0) + 0.5k1,2 = -1 + 0.5( 0.1) = -0.95
k2,1 = 0.1*(y1y2 + x) = 0.1*[ (0.95)(-0.95) + 0.05] = -0.08525
k2,2 = 0.1*(xy2 + y1) = 0.1*[ (0.05)(-0.95) + 0.95] = 0.9025

x = xn + 0.5h = 0 + (0.5)(.1) = 0.05

y1 = y1(0) + 0.5k2,1 = 1 + 0.5(-0.0852) = 0.9574
y2 = y2(0) + 0.5k2,2 = -1 + 0.5( 0.0902) = -0.9549
k3,1 = 0.1*(y1y2 + x) = 0.1*[ (0.9574)(-0.9549) + 0.05] = -0.0864
k3,2 = 0.1*(xy2 + y1) = 0.1*[ (0.05)(-0.9549) + 0.9574] = 0.0909

x = xn + h = 0 + .1 = 0.1
y1 = y1(0) + k3,1 = 1 + (-0.0864) = 0.9136
y2 = y2(0) + k3,2 = -1 + ( 0.0909) = -0.9091
k4,1 = 0.1*(y1y2 + x) = 0.1*[ (0.9136)(-0.9091) + 0.1] = -0.0730
k4,2 = 0.1*(xy2 + y1) = 0.1*[ (0.1)(-0.9091) + 0.9136] = 0.0823

y1(0.1) = y1(0) + (k1,1 + 2k2,1 + 2k3,1 + k4,1)/6

y1(0.1) = 1 + [(-0.1) + 2(-0.08525) + 2(-0.0864) + (-0.0730)]/6 = 0.9139
y2(0.1) = y2(0) + (k1,2 + 2k2,2 + 2k3,2 + k4,2)/6
y2(0.1) = -1 + [(0.1) + 2(0.09025) + 2(0.0909) + (0.0823)]/6 = -0.9092

x = xn = 0.1, y1 = 0.9139, y2 = -0.9092

8
 k1,1 = 0.1*(y1y2 + x) = 0.1*[ (0.9139)(-0.9092) + 0.1] = -0.07309
k1,2 = 0.1*(xy2 + y1) = 0.1*[ (0.1)(-0.9092) + 0.9139] = 0.082298

Example 4.3-2. Solve the following first order system for y1 and y2 at x = 1.

dy1
= y1y2 + x , y1(0) = 1
dx
dy2
= xy2 + y1 , y2(0) = -1
dx
using fourth order Runge-Kutta method with step size h = 0.1
Solution

The MATLAB routines ode23 and ode45 can be used to solve the system. A MATLAB
function must be created to evaluate the slopes as a column vector. The function name in this
example is exode(x, y) which must be saved first in the hard drive with the same name
exode.m.

-------------------------------
% Example 4.3-2 function to evaluate the slopes
function y12 = exode(x,y)
y12(1,1)=y(1)*y(2)+x;
y12(2,1)=x*y(2)+y(1);
-------------------------------

The command ode23 or ode45 is then evaluated from the command windows. MATLAB will
set the step size to achieve a preset accuracy that can be changed by user. We will use both
ode23 and ode45.

[x,y]=ode23('exode',[0; 1],[1; -1])

x= y=
0 1.0000 -1.0000
0.0800 0.9290 -0.9260
0.1800 0.8628 -0.8480
0.2800 0.8174 -0.7828
0.3800 0.7899 -0.7275
0.4800 0.7779 -0.6794
0.5800 0.7797 -0.6364
0.6800 0.7943 -0.5966
0.7800 0.8207 -0.5581
0.8800 0.8585 -0.5189
0.9800 0.9076 -0.4770
1.0000 0.9188 -0.4681

9
The independent variable can also be specified at certain locations between the initial and
final values and MATLAB will provide the dependent value at these locations. However, the
step size h is still controlled by the error tolerance.

>> xspan=0:.1:1;

>> [x,y]=ode23('exode',xspan,[1 -1])

x= y=
0 1.0000 -1.0000
0.1000 0.9139 -0.9092
0.2000 0.8522 -0.8341
0.3000 0.8106 -0.7711
0.4000 0.7863 -0.7173
0.5000 0.7772 -0.6704
0.6000 0.7816 -0.6283
0.7000 0.7986 -0.5889
0.8000 0.8274 -0.5503
0.9000 0.8675 -0.5108
1.0000 0.9188 -0.4681

>> [x,y]=ode45('exode',xspan,[1 -1])

x= y=
0 1.0000 -1.0000
0.1000 0.9139 -0.9092
0.2000 0.8522 -0.8341
0.3000 0.8106 -0.7711
0.4000 0.7863 -0.7174
0.5000 0.7772 -0.6705
0.6000 0.7817 -0.6283
0.7000 0.7987 -0.5889
0.8000 0.8274 -0.5504
0.9000 0.8675 -0.5108
1.0000 0.9188 -0.4681

10
Differential equations of higher order, or systems containing equations of mixed order can be
transformed to a set of first order differential equations. For example, consider the following
equation and initial conditions

d 3z 2
2 d z  dz 
3

+ z     2z = 0
dx 3 dx 2  dx 

dz d 2z
z(0) = 1, (0) = 0, (0) =  1
dx dx 2

We can define new variables as follows

dz dy1
z = y1  = = y2
dx dx

d 2z dy 2
= = y3
dx 2
dx

d 3z dy 3
=
dx 3
dx

The original equation and its initial conditions is now equivalent to the following set of
equations and initial conditions

dy1
= y2 , y1(0) = 1
dx

dy 2
= y3 , y2(0) = 0
dx

dy 3
= 2y1 + y23  y12 y3 , y3(0) =  1
dx

11