ES-341: Numerical Analysis: Dr. Mazhar Ali Mehboob Ul Haq (TA)

ES-341:
Numerical
Analysis
Dr. Mazhar Ali

Mehboob ul Haq
(TA)
Numerical
Methods for
Initial Value
Problem
ES-341: Numerical Analysis
Euler Method for
solving Initial Value
Problem
Dr. Mazhar Ali

Mehboob ul Haq (TA)
Faculty of Engineering Sciences
Ghulam Ishaq Khan Institute of Engineering Sciences and Technology
14th May 2022
Dr. Mazhar Ali Mehboob ul Haq (TA) (Ghulam Ishaq Khan Institute
ES-341:
of Engineering
NumericalSciences
Analysis
and Technology) 14th May 2022 1 / 17
ES-341:
Numerical
Analysis
Dr. Mazhar Ali

Mehboob ul Haq
(TA)
Numerical
Methods for
Initial Value
Problem
Euler Method for
Problem
1 Numerical Methods for Initial Value Problem

Euler Method for solving Initial Value Problem
ES-341:
of Engineering
NumericalSciences
Analysis
ES-341:
Numerical
Analysis
Dr. Mazhar Ali

Mehboob ul Haq
(TA)
Numerical
Methods for
Initial Value
Problem
Euler Method for
Problem
Numerical Methods for Initial Value Problem
ES-341:
of Engineering
NumericalSciences
Analysis
ES-341:
Numerical General form of an Ordinary Differential Equation (ODE)
Analysis
Dr. Mazhar Ali An Ordinary Differential (ODE) is a differential equations which

Mehboob ul Haq
(TA) involves the derivatives of one variable dependent functions i.e.,
Numerical
y (x), g (x), f (x), . . . with respect to an independent variable x.
Methods for
Initial Value
Problem
y ′ = f (x, y )
Euler Method for
Problem
Geometrical meaning
Let y1 (x) is the solution of the O.D.E. y ′ = f (x, y ).
𝒚𝟏 (𝒙) → solution of ODE is the integral curve 𝒚′ = 𝒇(𝒙, 𝒚) → represents
the directional field.
ES-341:
of Engineering
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ES-341:
Numerical
Analysis
Initial Value Problem (IVP)
Dr. Mazhar Ali
Mehboob ul Haq
(TA) Let us consider an Initial Value Problem (IVP) as,
Numerical
Methods for dy
Initial Value = f (t, y ); a ≤ t ≤ b; y (a) = α
Problem
dt
Euler Method for
Problem
The solution for this IVP can be stated as,
y (t), a≤t≤b
Here, we consider a numerical method for solving IVP, referred to

as “Euler Method”. It obtains an approximation on the well-posed
IVP.
Euler Method obtains discrete approximations of the solution y (t)
at discrete/finite steps ti = {t0 , t1 , . . . , tn }, i = 1, 2, . . . , n.
Defined as,
tn − t0
ti+i = ti + h, i = 0, 1, . . . , n; h=
n
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of Engineering
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ES-341:
Numerical
Analysis Derivation: Euler Method
Dr. Mazhar Ali
Mehboob ul Haq Let us consider y (t) is the unique solution to the IVP, and has two
(TA)
continuous derivatives on [a, b]. so that for each
Numerical
Methods for
i = 0, 1, . . . , n − 1. We can expand yi using first order Taylor
Initial Value
Problem
series as,
Euler Method for
∆ti ′′
Problem
y (ti+1 ) = y (ti ) + y ′ (ti )∆ti +
y (ξi )
2!

Here ∆ti = ti+1 − ti = h. And y ′ (ti ) = f ti , y (ti ) .
∆t
i ′′
y (ti+1 ) = y (ti ) + h f ti , y (ti ) + y (ξi )
2!
Hence, we can approximate,

y (ti+1 ) ≈ y (ti ) + h f ti , y (ti )
yi+1 ≈ yi + h f (ti , yi )
ES-341:
of Engineering
NumericalSciences
Analysis
ES-341:
Numerical
Analysis
Dr. Mazhar Ali

Mehboob ul Haq
(TA)
Euler Algorithm
Numerical
Methods for Start with t0 = α, tn = β
Initial Value
Problem Define step size h = (tn − t0 )/n, discretization of interval [α, β]
Euler Method for
solving Initial Value into n steps.
Problem
Define slope/function f t, y (t) .
Define y (t0 ) = α.
Start iteration counter k = 0 : 1 : n
1 Calculate ti = t0 + k(h)
2 Define yi =y (ti )
3 Calculate f ti , yi
4 Calculate yi+1 ≈ yi + h f (ti , yi )
end counter
ES-341:
of Engineering
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ES-341:
Numerical
Analysis Example 1: Initial Value Problem (IVP)
Dr. Mazhar Ali
Mehboob ul Haq Let us consider an Initial Value Problem (IVP) as,
(TA)
Numerical
Methods for
y ′ = y − t 2 + 1; 0 ≤ t ≤ 2; y (0) = 0.5
Initial Value
Problem
Euler Method for
consider step size h = 0.5.
Problem
Solution
First we identify t0 = 0 and tn = 2
We can describe number of discrete steps as
n = (tn − t0 )/h = (2 − 0)/0.5 = 4. Hence, ti = {t0 , t1 , t2 , t3 , t4 }.
We can describe ti+1 = ti + i(h), i = 0, 1, 2, 3, 4.
ti yi = y (ti )
t0 = 0 y0 = 0.5
t1 = 0.5 y1
t2 = 1.0 y2
t3 = 1.5 y3
t4 = 2.0 y4
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of Engineering
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ES-341:
Numerical
Analysis
Iteration 1:
Dr. Mazhar Ali
Mehboob ul Haq t0 = 0, y0 = y (t0 ) = 0.5
(TA)
f (t0 , y0 ) = y0 − t02 + 1 = (0.5) − (0)2 + 1 = 1.5
Numerical
Methods for
Initial Value
Problem
y1 ≈ y0 + hf (t0 , y0 ) = 0.5 + 0.5(1.5) = 1.25
Euler Method for
Problem
Iteration 2:
t1 = 0.5, y1 = y (t1 ) = 1.25
f (t1 , y1 ) = y1 − t12 + 1 = (1.25) − (0.5)2 + 1 = 1.5
y2 ≈ y1 + hf (t1 , y1 ) = 1.25 + 0.5(1.5) = 2.25
Iteration 3:
t2 = 1.0, y2 = y (t2 ) = 2.25
f (t2 , y2 ) = y2 − t22 + 1 = (2.25) − (1.0)2 + 1 = 2.25
y3 ≈ y2 + hf (t2 , y2 ) = 2.25 + 0.5(2.25) = 3.375
ES-341:
of Engineering
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Analysis
ES-341:
Numerical
Analysis
Dr. Mazhar Ali

Mehboob ul Haq
(TA)
Iteration 4:
Numerical
Methods for
Initial Value
t3 = 1.5, y3 = y (t3 ) = 3.375
Problem
Euler Method for f (t3 , y3 ) = y3 − t32 + 1 = (3.375) − (1.5)2 + 1 = 2.125
Problem
y4 ≈ y3 + hf (t3 , y3 ) = 3.375 + 0.5(2.125) = 4.4375
ti yi = y (ti )
t0 = 0 y0 = 0.5
t1 = 0.5 y1 = 1.25
t2 = 1.0 y2 = 2.25
t3 = 1.5 y3 = 3.375
t4 = 2.0 y4 = 4.4375
ES-341:
of Engineering
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Analysis
ES-341:
Numerical
Analysis
Dr. Mazhar Ali

Mehboob ul Haq
Example 2: Initial Value Problem (IVP)
(TA)
Let us consider an Initial Value Problem (IVP) as,
Numerical
Methods for
Initial Value
Problem y ′ = 2 − e −4t − 2y ; 0 ≤ t ≤ 0.5; y (0) = 1.0
Euler Method for
Problem
consider step size h = 0.1
The exact solution is ŷ (t) = 1 + 21 e −4t − 12 e −2t , also calculate
relative error.
Solution
First we identify t0 = 0 and tn = 0.5
We can describe number of discrete steps as
n = (tn − t0 )/h = (0.5 − 0)/0.1 = 5.
Hence, ti = {t0 , t1 , t2 , t3 , t4 , t5 }.
We can describe ti+1 = ti + i(h), i = 0, 1, 2, 3, 4, 5.
ES-341:
of Engineering
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ES-341:
Numerical
Analysis ti yi = y (ti )
Dr. Mazhar Ali t0 = 0 y0 = 1.0
Mehboob ul Haq
(TA) t1 = 0.1 y1
Numerical
t2 = 0.2 y2
Methods for
Initial Value
t3 = 0.3 y3
Problem
t4 = 0.4 y4
Euler Method for
Problem
t5 = 0.5 y5
Iteration 1:
t0 = 0, y0 = y (t0 ) = 1.0
−4t0
f (t0 , y0 ) = 2 − e − 2y0 = 2 − e 0 − 2(1.0) = −1
y1 ≈ y0 + hf (t0 , y0 ) = 1.0 + 0.1(−1) = 0.900000

1 1
ŷ (t1 ) = ŷ1 = 1 + e −4t1 − e −2t1
2 2
1 1
ŷ1 = 1 + e −4(0.1) − e −2(0.1) = 0.925795
2 2
ES-341:
of Engineering
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ES-341:
Numerical
Analysis
Dr. Mazhar Ali ŷ − y

Mehboob ul Haq 1 1
(TA) Relative Error = × 100 =
ŷ1
Numerical 0.925795 − 0.9
Methods for
× 100 = 2.79%

Initial Value
0.9257945

Problem
Euler Method for
Problem
Iteration 2:
t1 = 0.1, y1 = y (t1 ) = 0.9

−4t1
f (t1 , y1 ) = 2 − e − 2y1 = 2 − e −4(0.1) − 2(0.9) = −0.470320
y2 ≈ y1 + hf (t1 , y1 ) = 0.9 + 0.1(−0.470320) = 0.852968

1 1
ŷ (t2 ) = ŷ2 = 1 + e −4t2 − e −2t2
2 2
1 1
ŷ2 = 1 + e −4(0.2) − e −2(0.2) = 0.889504
2 2
ES-341:
of Engineering
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Analysis
ES-341:
Numerical
Analysis

Mehboob ul Haq 2 2
ŷ2
Numerical 0.889504 − 0.852968
Methods for
× 100 = 4.11%

Initial Value
0.889504

Problem
Euler Method for
Problem
Iteration 3:
t2 = 0.2, y2 = y (t2 ) = 0.852968

−4t2
f (t2 , y2 ) = 2 − e − 2y2 = 2 − e −4(0.2) − 2(0.852968) = −0.155265
y3 ≈ y2 + hf (t2 , y2 ) = 0.852968 + 0.1(−0.155265) = 0.8374415

1 1
ŷ (t3 ) = ŷ3 = 1 + e −4t3 − e −2t3
2 2
1 1
ŷ3 = 1 + e −4(0.3) − e −2(0.3) = 0.87619128
2 2
ES-341:
of Engineering
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ES-341:
Numerical
Analysis

Mehboob ul Haq 3 3
ŷ3
Numerical 0.87619128 − 0.8374415
Methods for
× 100 = 4.42%

Initial Value
0.87619128

Problem
Euler Method for
Problem
Iteration 4:
t3 = 0.3, y3 = y (t3 ) = 0.8374415

−4t3
f (t3 , y3 ) = 2 − e − 2y3 = 2 − e −4(0.3) − 2(0.8374415) = 0.023923
y4 ≈ y3 + hf (t3 , y3 ) = 0.8374415 + 0.1(0.023923) = 0.8398338

1 1
ŷ (t4 ) = ŷ4 = 1 + e −4t4 − e −2t4
2 2
1 1
ŷ4 = 1 + e −4(0.4) − e −2(0.4) = 0.876284
2 2
ES-341:
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ES-341:
Numerical
Analysis

Mehboob ul Haq 4 4
ŷ4
Numerical 0.876284 − 0.8398338
Methods for
× 100 = 4.16%

Initial Value
0.876284

Problem
Euler Method for
Problem
Iteration 5:
t4 = 0.4, y4 = y (t4 ) = 0.8398338

−4t4
f (t4 , y4 ) = 2 − e − 2y4 = 2 − e −4(0.4) − 2(0.8398338) = 0.118435
y5 ≈ y4 + hf (t4 , y4 ) = 0.8398338 + 0.1(118435) = 0.8516773

1 1
ŷ (t5 ) = ŷ5 = 1 + e −4t5 − e −2t5
2 2
1 1
ŷ5 = 1 + e −4(0.5) − e −2(0.5) = 0.883728
2 2
ES-341:
of Engineering
NumericalSciences
Analysis
ES-341:
Numerical
Analysis
Dr. Mazhar Ali

Mehboob ul Haq
(TA)
Numerical
Methods for
Initial Value
Problem
Euler Method for
Problem
ŷ − y
5 5
Relative Error = × 100 =
ŷ5
0.883728 − 0.8516773
× 100 = 3.63%

0.883728

ES-341:
of Engineering
NumericalSciences
Analysis

ES-341: Numerical Analysis: Dr. Mazhar Ali Mehboob Ul Haq (TA)

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ES-341:

Dr. Mazhar Ali

Dr. Mazhar Ali

Faculty of Engineering Sciences

Ghulam Ishaq Khan Institute of Engineering Sciences and Technology

14th May 2022

Dr. Mazhar Ali

1 Numerical Methods for Initial Value Problem

Dr. Mazhar Ali

Numerical Methods for Initial Value Problem

Dr. Mazhar Ali An Ordinary Differential (ODE) is a differential equations which

The solution for this IVP can be stated as,

Here, we consider a numerical method for solving IVP, referred to

Dr. Mazhar Ali

y2 ≈ y1 + hf (t1 , y1 ) = 1.25 + 0.5(1.5) = 2.25

y3 ≈ y2 + hf (t2 , y2 ) = 2.25 + 0.5(2.25) = 3.375

Dr. Mazhar Ali

y4 ≈ y3 + hf (t3 , y3 ) = 3.375 + 0.5(2.125) = 4.4375

Dr. Mazhar Ali

y1 ≈ y0 + hf (t0 , y0 ) = 1.0 + 0.1(−1) = 0.900000

Dr. Mazhar Ali ŷ − y

t1 = 0.1, y1 = y (t1 ) = 0.9

y2 ≈ y1 + hf (t1 , y1 ) = 0.9 + 0.1(−0.470320) = 0.852968

Dr. Mazhar Ali ŷ − y

t2 = 0.2, y2 = y (t2 ) = 0.852968

y3 ≈ y2 + hf (t2 , y2 ) = 0.852968 + 0.1(−0.155265) = 0.8374415

Dr. Mazhar Ali ŷ − y

t3 = 0.3, y3 = y (t3 ) = 0.8374415

y4 ≈ y3 + hf (t3 , y3 ) = 0.8374415 + 0.1(0.023923) = 0.8398338

Dr. Mazhar Ali ŷ − y

t4 = 0.4, y4 = y (t4 ) = 0.8398338

y5 ≈ y4 + hf (t4 , y4 ) = 0.8398338 + 0.1(118435) = 0.8516773

Dr. Mazhar Ali

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