MATH 685 CSI 700 OR 682 Lecture Notes

MATH 685/ CSI 700/ OR 682 Lecture Notes Lecture 10. Ordinary differential equations. Initial value problems.

Differential equations l Differential equations involve derivatives of unknown solution function l Ordinary differential equation (ODE): all derivatives are with respect to single independent variable, often representing time l Solution of differential equation is function in infinite-dimensional space of functions l Numerical solution of differential equations is based on finitedimensional approximation l Differential equation is replaced by algebraic equation whose solution approximates that of given differential equation

Order of ODE l Order of ODE is determined by highest-order derivative of solution function appearing in ODE l ODE with higher-order derivatives can be transformed into equivalent first-order system l We will discuss numerical solution methods only for first-order ODEs l Most ODE software is designed to solve only firstorder equations

Higher-order ODEs

Example: Newton’s second law u 1 = solution y of the original equation of 2 nd order u 2 = velocity y’ Can solve this by methods for 1 st order equations

ODEs

Initial value problems

Initial value problems

Example

Example (cont. )

Stability of solutions Solution of ODE is l Stable if solutions resulting from perturbations of initial value remain close to original solution l Asymptotically stable if solutions resulting from perturbations converge back to original solution l Unstable if solutions resulting from perturbations diverge away from original solution without bound

Example: stable solutions

Example: asymptotically stable solutions

Example: stability of solutions

Example: linear systems of ODEs

Stability of solutions

Stability of solutions

Numerical solution of ODEs

Numerical solution to ODEs

Euler’s method

Example

Example (cont. )

Example (cont. )

Example (cont. )

Numerical errors in ODE solution

Global and local error

Global vs. local error

Global vs. local error

Global vs. local error

Order of accuracy. Stability

Determining stability/accuracy

Example: Euler’s method

Example (cont. )

Example (cont. )

Example (cont. )

Example (cont. )

Stability in ODE, in general

Step size selection

Step size selection

Implicit methods

Implicit methods, cont.

Backward Euler method

Implicit methods

Backward Euler method

Backward Euler method

Unconditionally stable methods

Trapezoid method

Trapezoid method

Implicit methods

Stiff differential equations

Stiff ODEs

Stiff ODEs

Example

Example, cont.

Example (cont. )

Example (cont. )

Example (cont. )

Numerical methods for ODEs

Taylor series methods

Taylor series methods

Runge-Kutta methods

Runge-Kutta methods

Runge-Kutta methods

Runge-Kutta methods

Extrapolation methods

Multistep methods

Multistep methods

Multistep methods

Example of multistep methods

Example (cont. )

Multistep Adams methods

Properties of multistep methods

Properties of multistep methods

Multivalue methods

Multivalue methods

Example

Example (cont. )

Example (cont. )

Example (cont. )

Multivalue methods, cont.

Variable-order/Variable-step methods