Introduction to Numerical

Ordinary Differential Equation and

partial differential equations

Compiled by:
Habtamu G.
Ordinary Differential Equation
(ODE)
 Ordinary Differential Equations can be
solved using:
- Euler s Method
- Improvements of Euler's Method
- Runge-Kutta Methods
- General Methods for Boundary-Value Problems
and Derivative Boundary Conditions.
This chapter is developed
to solve ODE on the form:

dy
= g(x, y)
dx
 A. Euler’s Methods
It is based on the low-order Taylor series:
y

y i+1 = y i + f (x i , y i )h
h

where f (x i , y i ) =  = y'(x i , y i ) = slope
x
xi x i+1
h = xi+1 − xi = stepsize

Euler’s (or Euler-Cauchy or point-slope) Method

A new value of y is predicted using the slope to extrapolate linearly over h

Example: Solve the following initial-value problem
analytically and numerically using Euler’s method
over the interval from x=0 to 2 with step size of
h=0.5, given the initial condition y(0)=1.
dy
− yx 2 + 1.1y = 0
dx
Solution:
Analytically:

 y =  (x 2 − 1.1)dx
dy dy dy
dy
− yx + 1.1y = 0
2 = yx 2
− 1.1y = x 2
− 1.1
dx dx y
x3 x3
− 1.1x+c
x3
Ln(y) = − 1.1x + c y=e3 = c 1e 3
−1.1x
3
From the initial condition y(0)=1 c1 = 1
 Numerically:
y i+1 = y i + f (x i , y i )h
dy
= yx 2 − 1.1y
dx
Initial condition y(0)=1 0 0.5 1.5

y(0.5) = y(0) + f (0,1)(0.5) = 1 + (−1.1)(0.5) = 0.45

f (0,1) = 1(0) 2 − 1.1(1) = −1.1
y(1) = y(0.5) + f (0.5,0.45)(0.5) = 0.45 + (−0.3825)(0.5) = 0.25875
f (0.5,0.45) = 0.45(0.5)2 − 1.1(0.45) = −0.3825
y(1.5) = y(1) + f (1,0.25875)(0.5) = 0.25875 + (−0.02588)(0.5) = 0.245813

f (1,0.25875) = 0.25875(1) 2 − 1.1(0.25875) = −0.02588

y(2) = y(1.5) + f (1.5,0.245813)(0.5) = 0.25875 + (0.282684)(0.5) = 0.387155
f (1.5,0.245813) = 0.245813(1.5)2 − 1.1(0.245813) = 0.282684
 x y f(xi,yi)=dy/dx
0 1 ‐1.1
0.5 0.45 ‐0.3825
1 0.25875 ‐0.02588
1.5 0.245813 0.282684
2 0.387155 1.122749
Exercise: Use Euler’s method to solve the
following equation from t=0 to 4 using h=0.1
d2y
− 0.5t + y = 0 y(0) = 2 y'(0) = 0
2
dt
Solution:
Needed to change to a System of
dy y(0) = 2
=z Equations and need initial
dt
condition for each equation
dz dy
= 0.5t − y z(0) = (0) = 0
dt dt
 Single: y i+1 = y i + f (x i , y i )h
Euler’s method
for single can be
y i+1 = y i + f1 (t i , y i , z i )h
extended to the
system: z i+1 = z i + f 2 (t i , y i , z i )h
y(0.1) = y(0) + f1 (0,2,0)0.1 = 2 + 0(0.1) = 2
z(0.1) = z(0) + f 2 (0,2,0)0.1 = 0 + (−2)(0.1) = −0.2
y(0.2) = y(0.1) + f1 (0.1,2,−0.2)0.1 = 2 + (−0.2)(0.1) = 1.98

z(0.2) = z(0.1) + f 2 (0.1,2,−0.2)0.1 = −0.2 + (−1.95)(0.1) = −0.395

And so on…
t y z f1 f2
0 2 0 0 ‐2
0.1 2 ‐0.2 ‐0.2 ‐1.95
0.2 1.98 ‐0.395 ‐0.395 ‐1.88
0.3 1.9405 ‐0.583 ‐0.583 ‐1.7905
0.4 1.8822 ‐0.76205 ‐0.76205 ‐1.6822
0.5 1.805995 ‐0.93027 ‐0.93027 ‐1.556
.
.
.
4
Improvements of Euler’s Methods

(1) Heun’s Method

(2) Midpoint (or improved polygon) Method

 a. Heun’s Method
This is simple modification of Euler’s
method.
Technique: One slope at initial point and
the other at the end point, then the two
derivatives are then averaged for the
entire interval
Example: Solve the following equation using Heun’s
method for the interval from x=0 to x=4 with h=1. Initial
condition y(0)=2. 0.8x
y'= 4e − 0.5y
x yHuen
0 2
1 6.701082

2 16.31978

3 37.19924

4 83.3377
b. The Midpoint Method (or Improved Polygon
Method)
This is another simple modification of Euler’s
method.
Technique: use Euler’s method to predict a
value of y at the midpoint of the interval.
Example: Solve the following equation using the midpoint
method with a step size of 0.5 and x=[0 2].

Solution:
 B. Runge-Kutta Methods (Reading
assignment)
Runge‐Kutta (RK) methods achieve the accuracy of a Taylor
series without requiring the calculation of higher derivatives
The general form: y i+1 = y i + (x i , y i ,h)h
(xi , y i , h) =increment function which represent the slope over the interval
The general form of :  = a1k 1 + a 2k 2 + ... + a n k n
k 1 = f (x i , y i )
k 2 = f (x i + p 1h, y i + q 11k 1h)
k 3 = f (x i + p 2h, y i + q 21k 1h + q 22k 2h)
.
.
.

k n = f (x i + p n−1h, y i + qn−1,1k1h + q n−1,2k 2h + ...qn−1,n−1kn−1h)

a’s, p’s, and q’s are constants

n: represents the order of the approach

n=1: 1st order RK, O(h)

n=2: 2nd order RK, O(h2)
n=3: 3rd order RK, O(h3)
n=4: 4th order RK, O(h4)
Introduction to Partial
Differential Equations
 What is a Partial Differential
Equation ?
Ordinary Differential Equations have only one independent
variable
dy
3 + 5 y 2 = 3e − x , y (0) = 5
dx
Partial Differential Equations have more than one independent
variable
 u  u
2 2
3 2 + 2 =x +y
2 2

x y
subject to certain conditions: where u is the dependent variable,
and x and y are the independent variables.
Classification of 2nd Order Linear PDE’s

 u
2
 u 2
 u 2
A 2 +B +C 2 + D = 0
x xy y

can be:
• Elliptic B − 4 AC  0
2

• Parabolic B − 4 AC = 0
2

• Hyperbolic B − 4 AC  0
2
Classification of 2nd Order Linear PDE’s: Elliptic
 T  T
2 2
Example: + 2 =0
x 2
y
where, A = 1, B = 0, C = 1 giving B − 4 AC = 0 − 4(1)(1) = −4  0
2

therefore the equation is elliptic.

Classification of 2nd Order Linear PDE’s: Parabolic

T  T 2

Example: =k 2
t x
where, A = k , B = 0, C = 0 giving B 2 − 4 AC = 0 − 4(0)(k ) = 0

therefore the equation is parabolic.

Classification of 2nd Order Linear PDE’s: Hyperbolic

 2
y 1  2
y
Example: = 2 2
x 2
c t
−1 4
where, A = 1, B = 0, C = − 1 giving B − 4 AC = 0 − 4(1)( 2 ) = 2  0
2

c2 c c

therefore the equation is hyperbolic.