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SOLVING INITIAL VALUE PROBLEM USING RUNGE-KUTTA 6 th ORDER METHOD

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VOL. 12, NO. 13, JULY 2017 ISSN 1819-6608
ARPN Journal of Engineering and Applied Sciences
©2006-2017 Asian Research Publishing Network (ARPN). All rights reserved.

www.arpnjournals.com

SOLVING INITIAL VALUE PROBLEM USING RUNGE-KUTTA


6th ORDER METHOD
Abbas Fadhil Abbas Al-Shimmary
Department of Electrical Engineering, College of Engineering, University of Al-Mustansiriyah, Bagdad, Iraq
E-Mail: hussein_ali682@yahoo.com

ABSTRACT
The initial value problems (IVPs) in ordinary differential equations are numerically solved by one step explicit
methods for different order , the behavior of Runge- Kutta of third order method is obtained by Heun [4], Kutta found the
complete classification and derivation of fourth and fifth order methods in [6], the derivation of sixth order method was
found by Huta in [5] but in eight stages, Butcher in ([1], [2], [3]) presented the relation between the order conditions and
the rooted trees up to sixth order. the main aim of this paper is to exhibit a new more simplest representation for the trees
and the derivation of Runge- Kutta method of order six with seven stages including ( rooted trees, order condition and
stability region), symbolically computations are used in the study to simplify the method, finally example illustrate the
method are presented.

Keywords: initial value problems, ordinary differential equation, runge-kutta methods, order of methods.

1. INTRODUCTION derivation of the explicit Runge - Kutta - Butcher of the


Ordinary differential equations arise frequently in six order method, in sect. 3 we present the simplest new
several models of mathematical physics, biological tree representation related to differential elementary for
sciences, engineering and applied mathematics. the order conditions of sixth orders with seven stages. sect.
Unfortunately many cannot be solved exactly. This is why 4 exhibits the linear combination between the order
numerical treatment is very important and provides a conditions. The stability region of the method is presented
powerful alternative tool for solving the differential in sec. 5; finally we give numerical test example in sect. 6.
equations. Which are modeled as initial value problems
(IVPs)?There are various classes of methods in this 2. OUTLINE AND MATHEMATICAL DERIVATION
direction. Taylor series method has a major disadvantage OF THE METHOD
,it requires evaluation of partial derivatives of higher In this section we will introduce the basic tools
orders manually and this is not possible in any practical required the derivation to obtain the order condition for
application, therefore we seek for improved methods Runge -Kutta of six orders with seven stages method, the
which do not need evaluation for repeated differentiation typically general form of the scalar first order of ordinary
of the differential equation, Although the famous paper by differential equation is
Runge, and subsequently developed by Heun and Kutta ,
still the explicit Runge-Kutta of the 4th order method have y   f ( x, y ( x )) , y( x0 )  y0 (1)
been widely used and the most popular version is the
classical 4th order, the Runge paper is now recognized as
the starting point for modern one-step methods with Which is known with initial condition ”the initial
multivalued and multistage, construction of this method value problem (IVB)”,the main aim in this section is to
needs the derivation and solution of many nonlinear obtain approximate solution of y(x) , the approach of the
algebraic system of equations called the order conditions , sixth order with seven stages Runge-Kutta method is
thus the calculation process were performed using proceed to evaluate yn1 as an approximation to
Mathematica program, this system of nonlinear algebraic
equations has many solutions, therefore we must guess the y( xn1 )  y( xn  h) , an important special case “
integration step size using trial and error to estimate the without loss of generality” if the function f does not
truncation error ,this is the main drawback of Runge-Kutta
depend on x but only of y ,by setting x   1 then
methods. a simplified derivation of fourth order Runge-
equation (1) reduces to so called “autonomous” , and
Kutta method given in [14], the derivation of fifth order
written in the form
method were introduce by Kutta [4] and corrected by
Nystrom [6], and the sixth order with eight stages founded
by Huta [3], this is a short brief history of the method also y ( x )  f ( y ( x )) , y( x0 )  y0 (2)
we find that it is impossible to present a general formula to
the order conditions for all families of Runge-Kutta the proposed explicit Runge-Kutta method of order six
methods but there is a connection can be presented in this with seven stages, denoted by K1 ,…, K7for one step,
paper between the several sequences orders. according to this method the solution of equation (2) at the
Complications arise specially at the conditions for order first end step take the form
five and more. Now we outline the organization of this
paper: sect. 2 focused on mathematical formulation and

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7 and according to Taylor series expansion , equation (4)


y1  y0  h bi K i (3) take the form
i 1 7
and the exact solution of equation (2) has the form Yi  y ( x0 )  h  aij K i (5)
i 1
7
Yi  y ( x0  h aij )  O(h 2 ) (4) where Ki are slops define as below , for finding y1required
j 1 the next seven intermediate calculations:

 K 1  f ( x0 , y 0 )
 K  f ( x  c h , y  ha K )
 2 0 2 0 21 1

 K 3  f ( x0  c3 h , y 0  h ( a31 K 1  a32 K 2 ) )

 K 4  f ( x0  c4 h , y 0  h ( a 41 K 1  a 42 K 2  a 43 K 3 ) ) (6)

 K 5  f ( x0  c5 h , y 0  h ( a51 K 1  a52 K 2  a53 K 3  a54 K 4 ) )
 K 6  f ( x0  c6 h , y 0  h ( a61 K 1  a62 K 2  a 63 K 3  a 64 K 4  a65 K 5 ) )

 K 7  f ( x0  c7 h , y 0  h ( a71 K 1  a72 K 2  a 73 K 3  a 74 K 4  a75 K 5  a76 K 6 ) )
 y  y  h (b K  b K  b K  b K  b K  b K  b K )
 n 1 n 1 1 2 2 3 3 4 4 5 5 6 6 7 7

Where the vector C indicated to the nodes 1


y(x0  h)  y(x0 )  hy(x0 )  h2 y(x0 )  
c j  [0,1] 2! (7)
weights within the step (typically ) ,the matrix
A indicated to the dependence of the stages on derivatives 1 6 (6)
 h y (x0 )  O(h7 )
found at previous stages ( and the row sum condition hold 6!
j 1
( a jk  c j ) , j  2,3,...,7 ), the vector BT indicated to the first step is to calculate the successive derivatives of
k 1 y , y , up to order six using chain rule for
7
the quadrature weights( b
i 1
i  1 ),which the final result equation(2) as the following:

depend on the derivatives, the approach of RK methods is y ( x)  f ( y ( x)) y ( x)  f y f


(8)
expanded equation (5) in Taylor’s series expansion , after
some algebraic simplification this expansion is equated to
y ( x)  f yy f f  f y f y f
the exact solution y(x0  h) that is also given by the (9)
Taylor’s series
y ( 4) ( x)  f yyy fff  3 f yy f y f  f y f yy ff  f y f y f y f
(10)

y(5) (x)  f yyyy ffff  f y f yyy fff  3 f yy f y ffy f  4 f yy f yy fff  6 f yyy f y fff  4 f yy f y f y ff  3 f y f yy f y ff  f y f y f yy ff  f y f y f y f y f (11)

y (6) (x)  f yyyyyy fffff  7 f yyyy f y ffff  3 f yyyyy fff y ff  8 f yyy ff y ff y f  7 f yyy fff yy ff  7 f yyy fff y f y f  5 f yyy f y fff y f 
f yyy ff y f yy fff  f yyy ff y f y ff  7 f yy ff y f yy f y f  4 f yy f y ff yyy fff  4 f yy f y ff yy ff  3 f yy ff y f yy ff 
3 f yy ff y f y f y f  4 f yy f y ff y f y f  2 f yy ff yy f y ff  7 f y f yyy fff y f  4 f y f yy ff y f y f  4 f y f yy ff yy ff  3 f y f yy f y ff y f
 3 f y f y f yy f y ff  2 f y f yyyy ffff  2 f y f yyy ff y ff  f y f y f yyyy fff  f y f y f y f yy ff  f y f y f y f y f y f (12)

Substitute equations (8)-(12) in (7) and after


some simplifications up to order six and seven stages we
obtain the equation

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7 7 corresponding to an elementary differential, for a root


y1  y 0  (  bi )hf  (  bi c i ) h 2 f y f f
yyy... y
i 1 i2 node labelled by (we mean the kth partial
1 7 derivatives of the function f w.r.t independent variable y)
 (  bi c i2 ) h 3 f yy f f attached to k sub trees corresponding to those sub lists,
2 i2 lists with no sub lists are leaves. Each tree is named
7 2
beginning from the initial node (root) passing through the
 (  bi a ij c j ) h 3 f y f y f  ...  O ( h 7 ) (13) intermediate nodes (or brunches ) to the terminal nodes
i 3 j  i 1
(leaves) and the index start from down node (root)
since equation (1) is scalar autonomous problem , so we successively to upper nodes depending on the number of
may use a simplified approach for instance branches that growths except the leaves nodes and from
f y f yy ff  f yy f y ff  f y f yy f 2
left branch to right, for this purpose we present in (figure
(see [4]), expressions 1) below a simple example of a treet of order 7 (number
f , f y f , f yy ( f , f ) , f y f y f ,... of total different types of nodes is 7), always the root node
like are known as
“elementary differentials” they are related to a rooted labelled by i , the non-leaf nodes labelled by
trees, which is defined in the next section. ( j, k, and l ) and neglect the leaves without label,
F (t ) is the elementary differential function given in
3. ROOTED TREE THEORY terms of an expression of seven components (number of
Firstly we will classify the nodes for trees into a
components is equal to the order tree),  (t ) is the
new three representation types, the first kind called the
initial node (root) which is usually exist in each tree and weighted function that correspond to each elementary
denoted it by the symbol, the second type is called the differential formula F (t ) and  (t ) is the density of the
intermediate nodes (non-leaf nodes that take the symbol), tree which equal to the product of the numbers nodes
the third type of nodes is named the leafs (terminal nodes
that take the symbol). In this section we need to give some
above.  (t )  
 (ti ) where  (ti ) are the density of
ti T
important definitions” A rooted tree is a set of p number of
the different types of nodes (pequal to the order of the tree the sub trees above, the symmetry of the tree  (t ) is the
is the measure of how much nodes the tree has) connected set of permutation generated by all members of
by edges oriented away from the specific node called symmetry for the tree t (the mapping  (t ) : T  T that
(root)”, so it is a new simplest combinatorial graphs that preserves the root and the structure ) which equal to how
contain no cycles (no connection between initial and the tree symmetric has
terminal nodes). Graphically we represent a tree that

Figure-1. Sample tree of order seven with (elementary differential and weight) functions and its density.

below we illustrate the correspondence between elementary differential and rooted trees using both formulation in a Table
for trees up to order six with its density.

Table-1. Illustrate the relation between elementary differential and rooted trees up to order 6.
Order 1 2 3 3 4 4 4 4 5
F(t) F fy f f yy ff fy fy f f yyy fff f yy ff y f f y f yy ff fy fy fy f f yyyy ffff

tree

 (t ) 1 2 3 6 4 8 12 24 5

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Order 5 5 5 5 5 5 5

F(t) f yyy fff y f f yy f y ff y f f yy ff yy ff f yy ff y f y f f y f y f yy ff f y f yyy fff f y f yy ff y f

tree

 (t ) 10 20 15 30 60 20 40

Order 5 6 6 6 6 6 6
f yyyy ffff y f f y f y f y f yy ff f y f y f yyy fff
F(t) fy fy fy fy f f yyyyy fffff f yyy ff y ff y f f yyy fffy f y f

Tree

 (t ) 120 6 12 24 12 360 120

Order 6 6 6 6 6 6 6
f y f yyyy ffff f yy f y ffy f y f f yy ff yyy fff f yy ff yy ff y f
F(t) f y f y f yy ff y f f yy f y ff yy ff f yy ff y f yy ff

Tree

 (t ) 240 36 30 72 72 24 48

Order 6 6 6 6 6 6 6
f yyy fff yy ff f y f yy f y ff y f f y f yy ffy f y f f yy ff y f y f y f f y f yyy fff y f f y f yy ff yy ff fy fy fy fy fy f
F(t)

Tree

 (t ) 18 120 180 144 60 90 720

We can write equations (3) and (5) in terms of the 6


 (t )h ( p )
weighted functions as follows: y ( x 0  h )  y ( x0 )   F (t )( y 0 ) (13)
p 1  (t ) p!

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6
 (t ) (t )h ( p ) 7 2 l 1 k 1
1! 1
y1  y 0   F (t )( y 0 ) (14)   bi [  (   aij a jk akl )cl ]  
p 1 p!  i 5 l i 3 k i 2 j i 1 5! 120
7 2 l 1 k 1
(16d )
 b[ ( 2! 1
 i    aij a jk a kl )c l ] 
Where 2

i 5 l i 3 k i  2 j i 1 6! 360
p! p!
 (t )  and  (t)  (15)
 (t ) (t )  (t) 7 2 m1 l 1 k 1
1! 1
b [  (    a a
i 6
i
mi 4 l i 3k i 2 j i 1
ij jk akl alm )cm ]  
6! 720
(16e)
a Runge-Kutta of order sixth with seven stages are
1 and solve many of them that satisfy the sixth order Runge-
converges if  (t ) 
 (t ) Kutta method and this process calculation required using
by comparing equation (13) with (14) , see [2].the results Mathematica program.
are a system of nonlinear algebraic equations which is
denoted by the order conditions ,which is arranged in this 4. REDUCTION THE ORDER CONDITIONS
paper in regular arrangement and sequential up to sixth Since the number of rooted trees being increase
order with seven stages , the following twenty two for order greater than four, the number of conditions
conditions must be satisfied equations(16a,…,16e) in increase and complexity for order six, for this reason it is
addition to the constraints given by equation (15) necessary to find a relationships (linear combination)
between the results order conditions corresponding to
different trees, for example the two particular trees t1 and
7 7
1
 bi  1 b c
, 3
 t2 with the same six order, which differ only in small
i i
4 respect
 i 1 i 2

7 1 7
1
 b i c i  b c 
4
, i (16a)
 i2 2 i2
i
5
 7
1 7
1
 bi c i  b c 
2 5
, i Figure-2. Illustrate two equivalent particular trees.
 i2 3 i2
i
6

Hence
 (t1 ) ,  (t 2 ) are equivalent if
1
 aij c j  2 ci2 and the linear combination between the
1 1
two conditions  bi c j  and  bi c j 
2
given
2 2
1
by  bi (1  ci )ci  , this result state that two trees
6
are equivalent if  (t1 ) that corresponds t1 can be
(16b) expressed in terms of  (t 2 ) that corresponds t2and trees
of order. Similarly we listed all conditions which
 7 2 k 1
1! 1 lower
  b i [  (  a ij a jk ) c k ]   can be written as a linear combination and satisfy the
 i 4 k  i  2 j  i 1 4! 24 Runge-Kutta method of order six and seven stages
 7 2 k 1
2! 1 below.We assume the modified conditions C(2),D(1)
  i   a ij a jk ) c k ]  
2
b [ ( (16 c )
 i 4 k  i  2 j  i 1 5! 60 7
1 l
 7 2 k 1 C (2)   aij c lj1  ci for i  1,2,...,7
3! 1
  b i [  (  a ij a jk ) c 3k ]   i 1 k
 i  4 k  i  2 j  i 1 6! 120 and l  1,2 ......(17)

7
D (1)   bi aij  b j (1 - c j ) for j  1,2,...,7 (18)
i 1

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applied to all stages ,the only condition that remain 7

 (t ) 
1
for the trees
 b (1  c )a a
i , j , k 1
i i ij jk (ck  c3 )ck 
 (t )
1 c
 3 ......(19h)
360 120
7
1 2
a c
j 1
ij j 
2
ci , i2 ......(19i)

Figure-3. Illustrate the trees that cannot be written as 7


linear combinations. a
i , j 1
ij  ci .........(19j)
The linear combinations appear in equations
(19e-19h) below; we list all conditions which are needed 7
to specify the method.
b a
i , j 1
i ij  bi (1  c j ) ........(19k)
7 7
1
b i 1 , b c i i 
2
, 7
i 1
7
i 1
 b (1  c )a
i i i2 0 .......(19L)
1 i 1

i 1
bi (1  ci )ci 
6
, b 2  0 ..... (19a)
7

7
 b (1  c )c a
i 1
i i i i2 0 ........(19m)
 b (1  c )(c  c )(c  c )(c  c )c
i 1
i i i 6 i 3 i 4 i 
7

1 c3  c4  c6 c3c4  c3c6  c4 c6 c3c4 c6


   (19b)
 b (1  c )a a
i , j 1
i i ij i2 0 .........(19n)
30 20 12 6
7
We can solve for the components bT from
 b (1  c )(c
i 1
i i i  c6 )(ci  c4 )ci  equations (19a-19d) ,then solve for a54 ,a64 and a65 from
the consistent equations (19e-19h), we then solve for a32
from (19i) and then for a42 ,a43,a52,a53,a62 and a63 from
1 c 4  c6 c 4 c6 equations (19i) with i = 4,5,6 and from (19L)-(19n) we can
  ........(19c)
20 12 6 compute the first column of the matrix A from (19j) and
the last row from (19k) finally we can give the following
7 example for Butcher tableau from the above equations that
1 c6
 b (1  c )(c  c )c
i 1
i i i 6 i  
12 6
.......(19d) satisfy the six order method with seven stages.

7
1 c3
 b (1  c )a
i , j 1
i i ij (c j  c3 )c j  
60 24
.....(19e)

 b (1  c )(c
i , j 1
i i i  c6 )aij (c j  c3 )c j 

1 c3 c6 c3c6
   .....(19f)
90 40 60 24
7

 b (1  c )a
i , j 1
i i ij (c j  c4 )(c j  c3 )c j 

1 c3  c 4 c3 c 4
  ......(19g)
120 60 24

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0 5. STABILITY REGION
In this section we will study in addition to the
1 1 numerical method converges to the exact solution over a
3 3 bounded interval, the qualitative or stability analysis that
2 2 assign to the fitness of the method with the used numerical
0 solution, because the complexity of this type of analysis
3 3 we restrike to the linear problem with constant coefficients
1 1 1 1 so called the “stiff problem” or test equation where  is a
- constant and also complex in nature.
3 12 3 12
5 25 55 35 15
- K1  f ( y n )   y n (21)
6 48 24 48 8
1 3 11 1 1 1 K 2  f ( yn  h / 3K1 )   yn (1  h / 3) (22)
- -
6 20 20 8 2 10
261 33 43 118 32 80 K 3  f ( y n  2 h / 3K 2 )
1 - - (23)
260 13 156 39 195 39   y n (1  2h / 3(1  h / 3))
13 11 11 4 4 13
0
200 40 40 25 25 200

K 4  f ( y n  h / 12K1  h / 3K 2  h / 12K 3 )
  y n (1  h / 12  h / 3(1  h / 3)  h / 12(1  2h / 3(1  h / 3))) (24)

K 5  f ( yn  25h / 48K1  55h / 24K 2  35h / 48K3  15h / 8K 4 )


  yn (1  25h / 48  55h / 24(1  h / 3)  35h / 48(1  2h / 3(1  h / 3)) (25)
 15h / 8(1  h / 12  h / 3(1  h / 3)  h / 12(1  2h / 3(1  h / 3))))

K6  f ( yn  3h / 20K1 11h / 20K2  h / 8K3  h / 2K4  h / 10K5 )


  yn (1 3h / 20 11h / 20(1 h / 3)  h / 8(1  2h / 3(1 h / 3))
 h / 2(1 h / 12  h / 3(1  h / 3)  h / 12(1 2h / 3(1 h / 3)))
 h / 10(1 25h / 48  55h / 24(1 h / 3)  35h / 48(1 2h / 3(1 h / 3)) (26)

 15h / 8(1 h / 12  h / 3(1 h / 3)  h / 12(1 2h / 3(1  h / 3)))))

K 7  f ( yn  261h / 260 K1  33h / 13K 2  43h / 156 K 3  118h / 39 K 4  32h / 195 K 5  80h / 39 K 6 )
  yn (1  261h / 260  33h / 13(1  h / 3)  43h / 15(1  2h / 3(1  h / 3))
- 118h / 39(1  h / 12  h / 3(1  h / 3)  h / 12(1  2h / 3(1  h / 3)))
 32h / 195(1  25h / 48  55h / 24(1  h / 3)  35h / 48(1  2h / 3(1  h / 3))
 15h / 8(1  h / 12  h / 3(1  h / 3)  h / 12(1  2h / 3(1  h / 3)))) (27)
 80h / 391  3h / 20  11h / 20(1  h / 3)  h / 8(1  2h / 3(1  h / 3))
 h / 2(1  h / 12  h / 3(1  h / 3)  h / 12(1  2h / 3(1  h / 3)))
 h / 10(1  25h / 48  55h / 24(1  h / 3)  35h / 48(1  2h / 3(1  h / 3))
 15h / 8(1  h / 12  h / 3(1  h / 3)  h / 12(1  2h / 3(1  h / 3))))))

Substituting z  h and the value of k1 ,…,k7above in the 6th order seven stages method below

y n 1  yn  h / 200(13K1  55 K 3  55 K 4  32 K 5  32 K 6  13K 7 ) (28)

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VOL. 12, NO. 13, JULY 2017 ISSN 1819-6608
ARPN Journal of Engineering and Applied Sciences
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we get

1456 1346 2 203 3 5 4 5 5 5 6


y n 1  yn  h / 200( 200  z z  z  z  z  z )
15 45 27 3 18 54 (29)

simplified and divide both side by y n then the stability Table-2. Illustrate the numerical solution of example 5.1
using RK 6th order with seven stages.
polynomial Q(z)  y n1 / y n given by
X yusing order six yexact Error
182 2 673 3 203 4 1 5 1 6 1 7 0.1 1.08636 1.0863565 ‐0.000004 
Q(z)  1  z   z  z  z  z  z  z)
375 4500 5400 120 720 2160 (30)
0.2 1.17682 1.1768209 0.000001 
Figure-4 show the stability region of the six order seven 0.3 1.27082 1.270817 ‐0.000003 
stages of Runge- Kutta methodin this stability region,the 0.4 1.36763 1.367627 ‐0.000003 
range for the real part of  is
 3.5  Re(z )  0.0
. 0.5 1.46641 1.466404 ‐0.000006 

6. CONCLUSIONS
In this paper we have simplified the trees
representation which related to elementary differentials
that it uses in derivation Runge-Kutta methods and to
reduce the complexity that arise by indexing the trees, it
should be mentioned that the classical Runge-Kutta
process of order four may be still more economical by the
derivation than the six order.

ACKNOWLEDGEMENTS
The author would like to thank Al-Mustansiriyah
University (www.uomustansiriyah.edu.iq) Baghdad- Iraq
for its support in the present work.

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ARPN Journal of Engineering and Applied Sciences
©2006-2017 Asian Research Publishing Network (ARPN). All rights reserved.

www.arpnjournals.com

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