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Lesson 2 Numerical Solutions of IVP

This document discusses numerical solutions for initial value problems (IVPs) of ordinary differential equations (ODEs). It states that an IVP has a unique solution if the function f is uniformly Lipschitz continuous. Numerical methods produce approximate solutions at grid points along the t-coordinate. Single step methods use only the previous point to calculate the next, while multi-step methods use multiple points. Explicit methods directly calculate the next point, while implicit methods depend on the next point through the function f. A single step method calculates the next point as the current point plus an increment function of the previous point and step size h.

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Narasimha Reddy
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48 views4 pages

Lesson 2 Numerical Solutions of IVP

This document discusses numerical solutions for initial value problems (IVPs) of ordinary differential equations (ODEs). It states that an IVP has a unique solution if the function f is uniformly Lipschitz continuous. Numerical methods produce approximate solutions at grid points along the t-coordinate. Single step methods use only the previous point to calculate the next, while multi-step methods use multiple points. Explicit methods directly calculate the next point, while implicit methods depend on the next point through the function f. A single step method calculates the next point as the current point plus an increment function of the previous point and step size h.

Uploaded by

Narasimha Reddy
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Numerical Solutions of ODE and PDE

Lesson 2 Numerical Solutions of IVP


Let us consider the following IVP and discuss its existence and uniqueness of solution:

dy = f (t, y ), y (t0 ) = y0 t [t0 , b] dt

(2.1)

Existence and Uniqueness of the Solution of IVP


The IVP (2.1) admits a unique solution y (t) if f (t, y ) is uniformly Lipschitz continuous, that is,

|f (t, y1 ) f (t, y2 )| L|y1 y2 | for any t [t0 , b] and any y1 and y2 .


Here L is called Lipschitz constant. Finding exact solution of a practical problem is hardly possible, therefore numerical solutions are required.

Numerical Solutions of IVP


The numerical methods produce approximate values of y (t) at certain points along the t coordinate called grids or mesh points. In case of equally spaced grid points we have

ti+1 = ti + h, i = 0, 1, . . . , N 1;
where h is called the step size.

tN = b

2-1

Numerical Solutions of IVP

Figure 2.1: Grid points

We shall use the following notation for the the approximation of solution of IVPs

un y (tn ) =: yn .

Single or Multi Step Methods: If the method advances the solution from
one grid point to the next grid point using only data at the single grid point, that is, un+1 depends only on un , it is called one-step or single step method otherwise it is called multistep method.

Explicit and Implicit Methods: A method is called explicit method if


un+1 can be computed directly in terms of the previous values uk , k n, implicit if un+1 depends implicitly on itself through f .

Single Step Method


A single step method can be written as

un+1 = un + h(tn , un , fn , h)

2-2

Numerical Solutions of IVP

where is called an increment function.

Figure 2.2: Increment function

2-3

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