ODE Multi Step

NUMERICAL SOLUTIONS OF ORDINARY
DIFFERENTIAL EQUATIONS:
MULTI-STEP METHODS
Dr. Gabriel Obed Fosu

Department of Mathematics
Kwame Nkrumah University of Science and Technology
Google Scholar: https://scholar.google.com/citations?user=ZJfCMyQAAAAJ&hl=en&oi=ao
ResearchGate ID: https://www.researchgate.net/profile/Gabriel_Fosu2
Email: gabriel.of@knust.edu.gh
Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 1 / 42

Lecture Outline
1 Introduction
2 Multi-step Predictor Method

Adams-Bashforth Scheme
3 Multi-step Corrector Methods

Adams-Moulton Method
Milne-Simpson Method
4 Predictor-Corrector Methods

Introduction
Multi-step Methods
1 A k-step multi-step method requires a previous k number of values to start the
iteration process.
2 The k values that are required for starting the iteration are obtained using
some single-step schemes.
3 The chosen single-step scheme should be of the same or lower order than
the order of the multi-step method.
4 A classical example of the explicit multi-step method is the Adams-Bashforth
scheme.
5 For the implicit schemes, we have the Adams-Moulton scheme and the Milne-
Simpson scheme.

Introduction
Single-Step and Multi-step Methods

Explicit schemes are predictor method, while implicit schemes are corrector
methods.
Single-step predictor methods Single-step corrector methods

Euler, modified Euler, Euler-Cauchy Backward Euler, and the trapezium
and Runge-Kutta methods methods.
Multi-step predictor method Multi-step corrector methods

Adams-Bashforth scheme Adams-Moulton, and Milne-Simpson
Method.
However, multi-step schemes (explicit and implicit) are not self starting. They
always require the assistance of some single-step methods to start the iteration.
Multi-step Predictor Method Adams-Bashforth Scheme
Adams-Bashforth Scheme
A general Adams-Bashforth (AB) method is given by the equation
· ¸
1 5 3 251 4
y i +1 = y i + h f i + ∆ f i + ∆2 f i + ∆3 f i + ∆ fi + · · · (1)
2 12 8 720
Equation (1) is an infinite series, each truncation yields a different iterative

scheme.

Note
∆ f i = f i − f i −1 (2)
again
∆2 f i = ∆ f i − ∆ f i −1 (3)
= ( f i − f i −1 ) − ( f i −1 − f i −2 ) (4)
= f i − 2 f i −1 + f i −2 (5)
Higher-order changes in f i can be deduced by the same continuous iterations.
Note
The following are synonymous
f i = f (x i , y i ) (6)
f i −1 = f (x i −1 , y i −1 ) (7)
f i −2 = f (x i −2 , y i −2 ) (8)
Case 1: AB1 or Euler Method
· ¸
1 5 3 251 4
2 12 8 720
This first-order AB method or simply AB1 method is obtained by chopping eq. (9)
after the first term; considering the terms in the square bracket. This yields:
y i +1 = y i + h( f i ) (10)
= y i + h f (x i , y i ) (11)
This is the same as the Euler method.

Case 2: AB2
· ¸
1 5 3 251 4
2 12 8 720
The second-order AB method or simply AB2 method is obtained by chopping
eq. (12) after the second term; considering the terms in the square bracket. This
yields:
· ¸
1
y i +1 = y i + h f i + ∆ f i (13)
2
· ¸
1¡ ¢
= y i + h f i + f i − f i −1 (14)
2
h
= y i + [3 f i − f i −1 ] (15)
2

Case 3: AB3
· ¸
1 5 3 251 4
2 12 8 720
The third-order AB method or simply AB3 method is obtained by chopping
eq. (16) after the third term; considering the terms in the square bracket. This
yields:
· ¸
1 5
y i +1 = y i + h f i + ∆ f i + ∆2 f i (17)
2 12
Thus, (17) can be simplified as
h
y i +1 = y i + [23 f i − 16 f i −1 + 5 f i −2 ] (18)
12

Case 4: AB4
· ¸
1 5 3 251 4
2 12 8 720
The fourth-order AB method or simply AB4 method is obtained by chopping
eq. (19) after the fourth term ; considering the terms in the square bracket. This
yields:
· ¸
1 5 3
y i +1 = y i + h f i + ∆ f i + ∆2 f i + ∆3 f i (20)
2 12 8
Thus, (20) can be simplified as
h
y i +1 = y i + [55 f i − 59 f i −1 + 37 f i −2 − 9 f i −3 ] (21)
24

Example
Solve the following IVP
y y ′ = x, x ∈ [0, 1], y(0) = 1, h = 0.2
using the Adams-Bashforth method of third-order.

Compute all previous values of y using Runge-Kutta of fourth-order.

Solution
Given the step size h = 0.2. Then the x values are given by the interval table
x 0 = 0, x 1 = 0.2, x 2 = 0.4, x 3 = 0.6, x 4 = 0.8, x5 = 1 (22)
We know that
x
y ′ = f (x, y) = (23)
y
Iteratively,
xi
f (x i , y i ) = (24)
yi
AB3 is given by the formula
h
y i +1 = y i +
[23 f i − 16 f i −1 + 5 f i −2 ] (25)
12
To begin the iteration, we identify an i th value when substituted into eq. (25) the
first f value will be f 0 . So we begin the iteration with i = 2.

Iteration 1: when i=2

Equation (25) reduces
h
y3 = y2 +
[23 f 2 − 16 f 1 + 5 f 0 ] (26)
12
1 We are required to find the values of f 0 , f 1 and f 2 before a solution could be
obtained. From the question, these values are to obtained using the Runge-
Kutta scheme.
2 We will skip the details of the computation here, since it has been solved under
the single-step scheme in the previous lecture.
3 We can recall that, the nodal points of the RK4 solution are:
(x 0 , y 0 ) = (0, 1); (x 1 , y 1 ) = (0.2, 1.02); (x 2 , y 2 ) = (0.4, 1.079); (x 3 , y 3 ) = (0.6, 1.168)
(27
Only the first three point is needed for this computation.


Thus
x0 0
f 0 = f (x 0 , y 0 ) = = =0
y0 1
x1 0.2
f 1 = f (x 1 , y 1 ) = = = 1.923 (28)
y 1 1.02
x2 0.4
f 2 = f (x 2 , y 2 ) = = = 0.3707
y 2 1.079
Now we can substitute eq. (28) into eq. (26):
h
y3 = y2 + [23 f 2 − 16 f 1 + 5 f 0 ] (29)
12
0.2
= 1.079 + [23(0.3707) − 16(1.923) + 5(0)] (30)
12
= 1.079 + 0.167(5.47) (31)
= 1.99 (32)

h
y4 = y3 +
[23 f 3 − 16 f 2 + 5 f 1 ] (33)
12
The new f value that is to estimated is f 3 , since the other values f 2 and f 1 are
known. Therefore
x1 0.2
f 1 = f (x 1 , y 1 ) = = = 1.923
y 1 1.02
x2 0.4
f 2 = f (x 2 , y 2 ) = = = 0.3707 (34)
y 2 1.079
x3 0.6
f 3 = f (x 3 , y 3 ) = = = 0.3
y 3 1.99


Note: The values for f 3 are from the interval table (22), x 3 = 0.6, and the previous
solution y 3 = 1.99.
Now we can substitute eq. (34) into eq. (33)
h
y4 = y3 + [23 f 3 − 16 f 2 + 5 f 1 ] (35)
12
0.2
= 1.99 + [23(0.3) − 16(0.37) + 5(0.19)] (36)
12
= 1.99 + 0.167(1.95) (37)
= 2.31 (38)


h
y5 = y4 +
[23 f 4 − 16 f 3 + 5 f 2 ] (39)
12
The new f value that is to estimated is f 4 , since the other values f 3 and f 2 are
known. Therefore
x2 0.4
f 2 = f (x 2 , y 2 ) = = = 0.3707
y 2 1.079
x3 0.6
f 3 = f (x 3 , y 3 ) = = = 0.3 (40)
y 3 1.99
x4 0.8
f 4 = f (x 4 , y 4 ) = = = 0.346
y 4 2.31


h
y5 = y4 + [23 f 4 − 16 f 3 + 5 f 2 ] (41)
12
0.2
= 2.31 + [23(0.346) − 16(0.3) + 5(0.3707)] (42)
12
= 2.31 + 0.167(5.008) (43)
= 3.146 (44)
Thus, the nodal points are
(x 0 , y 0 ) = (0, 1); (x 1 , y 1 ) = (0.2, 1.02); (x 2 , y 2 ) = (0.4, 1.079); (45)
(x 3 , y 3 ) = (0.6, 1.99), (x 4 , y 4 ) = (0.8, 2.31), (x 5 , y 5 ) = (1, 3.146) (46)
The first three y points were computed using RK4, whiles the last three value were
computed using AB3. Thus, the multi-step method (AB3) was started with a single-step
method (RK4).
Multi-step Corrector Methods Adams-Moulton Method
Adams-Moulton Method
The two corrector methods considered here are, Adams-Moulton method and
Milne-Simpson method.
The general formula for the Adams-Moulton (AM) method is given by

· ¸
1 1 1 19 4
y i +1 = y i + h f i +1 − ∆ f i +1 − ∆2 f i +1 − ∆3 f i +1 − ∆ f i +1 − · · · (47)
2 12 24 720
Equation (47) is also an infinite series, so each truncation yields a different

iterative scheme.

Case 1: AM1
· ¸
1 1 1 19 4
2 12 24 720
The first-order AM method or AM1 is obtained by truncating eq. (48) after the first
term; considering the terms in the square bracket. Thus
y i +1 = y i + h f i +1 (49)
= y i + h f (x i +1 , y i +1 ) (50)
This is the same as the backward Euler method.

Case 2: AM2
· ¸
1 1 1 19 4
2 12 24 720
The second-order AM method or AM2 is obtained by truncating eq. (51) after the
second term; considering the terms in the square bracket. Thus
· ¸
1
y i +1 = y i + h f i +1 − ∆ f i +1 (52)
2
· ¸
1
= y i + h f i +1 − ( f i +1 − f i ) (53)
2
h£ ¤
= yi + f i +1 − f i (54)
2
This is also the same as the trapezium method.
Case 3: AM3
· ¸
1 1 1 19 4
2 12 24 720
The third-order AM method or AM3 is obtained by truncating eq. (55) after the
third term; considering the terms in the square bracket. Thus
· ¸
1 1 2
y i +1 = y i + h f i +1 − ∆ f i +1 − ∆ f i +1 (56)
2 12
· ¸
1 1
= y i + h f i +1 − ( f i +1 − f i ) − ( f i +1 − 2 f i + f i −1 ) (57)
2 12
h £ ¤
= yi + 5 f i +1 + 8 f i − f i −1 (58)
12

Case 4: AM4
· ¸
1 1 1 19 4
2 12 24 720
The fourth-order AM method or AM4. This is obtained by truncating eq. (59) after
the fourth term; considering the terms in the square bracket. Thus
· ¸
1 1 1
y i +1 = y i + h f i +1 − ∆ f i +1 − ∆2 f i +1 − ∆3 f i +1 (60)
2 12 24
h £ ¤
= yi + 9 f i +1 + 19 f i − 5 f i −1 + f i −2 (61)
24

Multi-step Corrector Methods Milne-Simpson Method
Milne-Simpson Method
The general formula for the Milne-Simpson (MS) method is given by
· ¸
1 2 3 1 4
y i +1 = y i −1 + h 2 f i +1 − 2∆ f i +1 + ∆ f i +1 − 0 × ∆ f i +1 − ∆ f i +1 − · · · (62)
3 90
We will skip the derivation of MS1, MS2 and MS3.
At the fourth truncation, we obtain the MS4 or fourth-order Milne-Simpson

method as · ¸
1
y i +1 = y i −1 + h 2 f i +1 − 2∆ f i +1 + ∆2 f i +1 + (0)∆3 f i +1 (63)
3
This is simplified as:
h£ ¤
y i +1 = y i −1 + f i +1 + 4 f i + f i −1 (64)
3

Predictor-Corrector Methods
We have derived explicit single-step methods (Euler, Modified Euler, Euler-Cauchy,
Runge-Kutta), explicit multi-step method (Adams-Bashforth), implicit single-step
methods (Backward Euler, Trapezium) and implicit multi-step methods (Adams-
Moulton, Milne-Simpson) for solving initial value problems of the form
y ′ = f (x, y), y(x 0 ) = y 0 (65)
Explicit Schemes
If we perform analysis for numerical stability of these methods, we find that all
explicit methods require very small step lengths to be used for convergence. If
the solution of the problem is required over a large interval, we may need to use
the method thousands or even millions of steps, which is computationally very
expensive.

Implicit Schemes
However, most implicit methods have strong stability properties, that is, we can use
sufficiently large step lengths for computations, and we can obtain convergence.
But, we need to solve a non-linear algebraic equation for the solution at each nodal
point. This procedure may also be computationally expensive.
PC Methods
Therefore, we combine the explicit methods (which have weak stability properties)
and implicit methods (which have strong stability properties) to obtain new
methods. Such methods are called Predictor-Corrector methods or PC methods.

1 The order of the predictor should be less than or equal to the order of the
corrector.
2 If the orders of the predictor and corrector are same, then we may require only
one or two corrector iterations.
3 For example, if the predictor and corrector are both of fourth order, then the
combination (PC method) is also of fourth-order, and we may require one or
two corrector iterations.
4 If the order of the predictor is less than the order of the corrector, then we
require more iterations of the corrector.
5 For example, if we use a first-order predictor and a second-order corrector,
then one application of the combination gives a result of first order.
6 If corrector is iterated once more, then the order of the combination increases
by one, that is the result is now of second-order.
7 If we iterate a third time, then the truncation error of the combination reduces,
that is, we may get a better result. Further iterations may not change the
results.
In the computations we will denote P for predictor and C for corrector.
Simple possible combinations of the predictor-corrector method

Predictor: Euler
(p)
y i +1 = y i + h f (x i , y i ) (66)
Corrector: Backward Euler
(p)
y i(c)
+1
= y i + h f (x i +1 , y i +1 ) (67)
Both are of first-order.

Complex possible combinations of the predictor-corrector method

Predictor: Adams-Bashforth of fourth-order
(p) h
y i +1 = y i + [55 f i − 59 f i −1 + 37 f i −2 − 9 f i −3 ] (68)
24
Corrector: Adams-Moulton of fourth-order
h h (p)
i
y i(c)
+1
= yi + 9 f (x i +1 , y i +1 ) + 19 f i − 5 f i −1 + f i −2 (69)
24

Example
Using the fourth-order Adams-Bashforth-Moulton (ABM) predictor-corrector
method evaluate y(0.8) if
y y ′ = x, x ∈ [0, 0.8], y(0) = 1, h = 0.2, ϵ = 0.001
Compute the necessary previous values using the Euler method.

Solution
Given the step size h = 0.2. Then the x values are given by the interval table
x 0 = 0, x 1 = 0.2, x 2 = 0.4, x 3 = 0.6, x 4 = 0.8 (70)
We know that
x
y ′ = f (x, y) = (71)
y
Iteratively,
xi
f (x i , y i ) = (72)
yi
AB4 is given by the formula
(p) h
y i +1 = y i + [55 f i − 59 f i −1 + 37 f i −2 − 9 f i −3 ] (73)
24

Solution
1 To begin the iteration, we identify an i th value when substituted into eq. (73)
the first f value will be f 0 . So we begin with i = 3
2 When i = 3, eq. (73) reduces
(p)h
y4 = y3 +
[55 f 3 − 59 f 2 + 37 f 1 − 9 f 0 ] (74)
24
3 We are required to find the values of f 0 , f 1 , f 2 and f 3 before a solution would
be obtained.
4 From the question, these values are to obtained using the Euler method.
5 We will skip the details of the computation here, since it has been solved under
the single-step scheme in the previous lecture.

We recall the that, nodal points of the Euler solution are

(x 0 , y 0 ) = (0, 1); (x 1 , y 1 ) = (0.2, 1); (x 2 , y 2 ) = (0.4, 1.04); (x 3 , y 3 ) = (0.6, 1.117)
All these points are needed for this computation.
Thus
x0 0
f 0 = f (x 0 , y 0 ) = = =0
y0 1
x1 0.2
f 1 = f (x 1 , y 1 ) = = = 0.2
y1 1
(75)
x2 0.4
f 2 = f (x 2 , y 2 ) = = = 0.385
y2 1.04
x3 0.6
f 3 = f (x 3 , y 3 ) = = = 0.537
y3 1.117

Predictor
(p) h
y4 = y3 + [55 f 3 − 59 f 2 + 37 f 1 − 9 f 0 ] (76)
24
0.2
= 1.117 + [55(0.537) − 59(0.385) + 37(0.2) − 9(0)] (77)
24
= 1.23611 (78)
Corrector: The Adams-Moulton of fourth-order is

h h (p)
i
y i(c)
+1
= yi + 9 f (x i +1 , y i +1 ) + 19 f i − 5 f i −1 + f i −2
24
(p)
From here, we can begin the iterations. The y i +1 values are coming from the
predictor solution.

Iteration 1
When i = 3, the AM4 is given us
(c ) h h (p)
i
y4 1 = y3 + 9 f (x 4 , y 4 ) + 19 f 3 − 5 f 2 + f 1 (79)
24 · µ ¶ ¸
0.2 0.8
= 1.117 + 9 + 19(0.537) − 5(0.385) + 0.2 (80)
24 1.23611
= 1.236 (81)
1 We will stop the iteration procedure when the stopping criterion is satisfied.
2 Since is the very first iteration, we will need the next iteration to make
comparison.
(p)
3 In the next step, we replace y i +1 with y i(c+1
1)
to obtain an iterative scheme in
terms of a corrector function.

Iteration 2
(c ) h h (c )
i
y4 2 = y3 + 9 f (x 4 , y 4 1 ) + 19 f 3 − 5 f 2 + f 1 (82)
24 · µ ¶ ¸
0.2 0.8
= 1.117 + 9 + 19(0.537) − 5(0.385) + 0.2 (83)
24 1.236
= 1.236 (84)
1 Check stopping criterion: |y 4(c2 ) − y 4(c1 ) | = |1.236 − 1.236| = 0 =⇒ < ϵ. Hence stop
iterations.
2 Therefore
y(0.8) = 1.236 (85)

Exercise
1 Using the Runge-Kutta method of order 4, find the y ′ s for x = 0.1, 0.2, 0.3 given
that
dy
= x y + y 2, y(0) = 1
dx
Hence find the solution at x = 0.4 using the Milne-Simpson method with ϵ = 0.05
2 Given that
dy
= x 2 (1 + y), y(1) = 1, y(1.1) = 1.233, y(1.2) = 1.548, y(1.3) = 1.979
dx
Evaluate y(1.4) using Adams-Bashforth-Moulton of fourth-order with ϵ = 0.05.

END OF LECTURE
THANK YOU

ODE Multi Step

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

ODE Multi Step

Uploaded by

Copyright:

Available Formats

NUMERICAL SOLUTIONS OF ORDINARY

Dr. Gabriel Obed Fosu

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 1 / 42

2 Multi-step Predictor Method

3 Multi-step Corrector Methods

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 2 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 4 / 42

Single-Step and Multi-step Methods

Single-step predictor methods Single-step corrector methods

Multi-step predictor method Multi-step corrector methods

A general Adams-Bashforth (AB) method is given by the equation

Equation (1) is an infinite series, each truncation yields a different iterative

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 7 / 42

Case 1: AB1 or Euler Method

This is the same as the Euler method.

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 9 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 10 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 11 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 12 / 42

y y ′ = x, x ∈ [0, 1], y(0) = 1, h = 0.2

using the Adams-Bashforth method of third-order.

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 13 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 14 / 42

Iteration 1: when i=2

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 15 / 42

Iteration 1: when i=2

Iteration 2: when i=3

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 17 / 42

Iteration 2: when i=3

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 18 / 42

Iteration 3: when i=4

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 19 / 42

Iteration 3: when i=4

The general formula for the Adams-Moulton (AM) method is given by

Equation (47) is also an infinite series, so each truncation yields a different

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 22 / 42

This is the same as the backward Euler method.

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 23 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 25 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 26 / 42

At the fourth truncation, we obtain the MS4 or fourth-order Milne-Simpson

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 27 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 29 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 30 / 42

In the computations we will denote P for predictor and C for corrector.

Simple possible combinations of the predictor-corrector method

Both are of first-order.

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 32 / 42

Complex possible combinations of the predictor-corrector method

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 33 / 42

y y ′ = x, x ∈ [0, 0.8], y(0) = 1, h = 0.2, ϵ = 0.001

Compute the necessary previous values using the Euler method.

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 34 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 35 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 36 / 42

We recall the that, nodal points of the Euler solution are

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 37 / 42

Corrector: The Adams-Moulton of fourth-order is

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 38 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 39 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 40 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 41 / 42

Dr. Gabby (KNUST-Maths) ODE: Multi-Step Methods gabriel.of@knust.edu.gh 42 / 42