MATH2071: LAB 1(b): Using Matlab ODE solvers

Introduction Exercise 1
Matlab ODE solvers Exercise 2
ODE systems Exercise 3
Goodwins economic model Exercise 4
Higher Order ODEs Exercise 5
Phase Plane Plots Exercise 6
Sti systems Exercise 7
Roundo errors Exercise 8
1 Introduction
This version of the rst lab is intended only for students who have
already taken Math 2070.
There are two versions of the rst lab. This version introduces the Matlab ODE solvers and is intended for
students who took Math 2070. If you have not already taken Math 2070, please see Lab 1(a). That version
of the rst lab introduces the Matlab environment and programming language, and presents the general
format of the work you need to hand in.
This lab is concerned with solution of ordinary dierential equations (ODEs) using a Matlab function
for the solution. You will see it applied rst to a simple scalar equation, then to a system of equations, and
then to a higher order equation converted into a system. In later labs, you will be writing your own ODE
solver routines so you can understand the underlying theory.
A very simple ordinary dierential equation (ODE) is the explicit scalar rst-order initial value problem:
y

= f(x, y)
y(x
0
) = y
0
.
Here y

is shorthand for the derivative dy/dx. The equation is explicit because y

can be written explicitly as

a function of x and y. It is scalar because we assume that y(x) is a scalar quantity. It is rst-order because
the highest derivative that appears is the rst derivative y

. It is an initial value problem (IVP) because we

are given the value of the solution at some time or location x
0
and are asked to produce a formula for the
solution at later times.
An analytic solution of an ODE is a formula y(x), that we can evaluate, dierentiate, or analyze in any
way we want. However, analytic solutions can only be determined for a limited class of ODEs.
A numerical solution of an ODE is simply a table of absciss and approximate values (x
k
, y
k
) that
approximate the value of an analytic solution. The values x
k
are often called steps, especially for initial
value problems. In general, a numerical solution is always wrong; the important question is, how wrong is
it? One way to pose this question is to determine how close the computed values (x
k
, y
k
) are to the analytic
solution, which we might write as (x
k
, y(x
k
)).
This lab will take three sessions. If you print this lab, you may prefer to use the pdf version.
2 Matlab ODE solvers
Matlab has a number of built-in ODE solvers. These include:
1
Matlab ODE solvers
ode23 non-sti, low order
ode113 non-sti, variable order
ode15s sti, variable order, includes DAE
ode23s sti, low order
ode23t trapezoid rule
ode23tb sti, low order
ode45 non-sti, medium order (Runge-Kutta)
Do not worry about the meaning of sti in this context, you will see it later this term. All of these
functions use the very best methods, are highly reliable, use adaptive step size control, and allow close control
of errors and other parameters. As a bonus, they can be told to precisely locate interesting events such
as zero crossings and will even allow user-written functions to be called when certain types of events occur.
There is very little reason to write your own ODE solvers unless you are actively researching new methods.
In the following exercises you will see how to use these solvers.
In the following exercise, you will solve the following initial value problem (IVP).
dy
dx
=sin x y (1)
y(0) =1
Exercise 1:
(a) Copy the following code to a function m-le named ex1 ode.m.
function yprime=ex1_ode(x,y)
% yprime=ex1_ode(x,y)
% computes the right side of the ODE y=sin(x)-y
% x,y are scalars, yprime is y
% your name and the date
yprime=sin(x)-y;
(b) You can watch a solution evolve if you call the solver without any output variables. Use ode45
to solve the IVP in Equation (1) on the interval [0,15] with the following Matlab command.
ode45(ex1_ode,[0,15],1)
You should see that the solution becomes very much like sin x after a short period of adjustment
to the initial condition that is dierent from sin 0. The circles on the plot indicate points at which
Matlab has chosen to evaluate solution, based on its default error criteria. Please include this
plot with your summary.
(c) If you wish to examine the solution in more detail, or manipulate it, you need the solution values,
not a picture. You can get the solution values with commands similar to the following:
[x,y]=ode45(ex1_ode,[0,15],1);
If you wish, you can plot the solution, compute its error, etc. Plot this solution (plot y vs x) to
see that it looks the same as before. Please send me this plot with your summary also.
(d) For this solution, what is the value of y at x=15? (Please use at least 6 decimal places for this
answer. You can use the command format long to get more than the default amount of printed
accuracy.) How many steps did it take? (The length of x is one more than the number of steps
because it includes the initial value.)
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(e) Suppose you want a very accurate solution. The default tolerance is .001 relative accuracy in
Matlab, but suppose you want a relative accuracy of 1.e-8? There is an extra variable to provide
options to the solver. It works in the following manner:
myoptions=odeset(RelTol,1.e-8)
[x,y]=ode45(ex1_ode,[0,15],1,myoptions);
(The semicolon is left o the odeset call so you can see some of the other options and their defaults.
Use help odeset for more detail.) How many steps did it take this time? What is the value of
y at x=15 (to 6 decimal places)?
3 ODE systems
The vast majority of ODEs that are solved are actually systems of dierential equations, that is, a set of
equations for which the unknown function y(x) is a vector, say of dimension n. In this case, we might write
an individual component of the vector as y

or y

(x). Assuming that the right hand side function f returns

a vector, then the system of equations has the same form as the scalar equation, and we can apply the same
ODE solvers to this system.
Heres an implementation issue: Matlab uses the variables x and y as column vectors. The value y(k) is
the approximate solution at x(k). Since this as a column vector, its possible to handle the case of a system
by assuming the individual solution values are row vectors. In this setting, a numerical solution will be a
table of values, an initial condition species the rst row of that table, and each row species the behavior
of one of the components of the solution.
4 Goodwins economic model
A model for cyclic economic behavior due to R. M. Goodwin (A Growth Cycle, 1967, in Feinstein, editor,
Socialism, Capitalism and Economic Growth) will be described below. This model results in a system of
ordinary dierential equations that we will be able to solve using Eulers method. The primary role of
this model in the study of economics is that it predicts cyclical behavior without a cyclical driving forceit
just arises naturally from the model itself. It is not necessary for you to understand the discussion of the
foundation of the model or its economic interpretation. We will be using it as a source of a system of
dierential equations to be solved.
The model involves two primary dependent variables, y
1
and y
2
. The variable y
1
is the share of the total
economy represented by employee salaries
y
1
=
(wages)*(numberEmployed)
GNP
,
where wages refers to the average amount paid to each employee, numberEmployed refers to the number of
employed people, and GNP refers to the gross national product, the total value of all production. Of course,
the total of all wages paid to all workers is given by (wages)*(numberEmployed).
The employment rate, y
2
is the second primary dependent variable:
y
2
=
numberEmployed
population
where population is the total number of people. The independent variable is time, t.
The rst assumption is that there is a constant, , representing the average return on capital for all
investments. Thus, the gross national product is a xed percentage of total capital invested.
totalCapital
GNP
= . (2)
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The second assumption is that the money left over after wages have been paid is assumed to be invested,
increasing the total capital available. Thus the total capital increases in the following way.
dtotalCapital
dt
= GNP (wages) (numberEmployed)
= GNP (1 y
1
) (3)
The following expression, in terms of relative rates of change, is a consequence of (2) and (3).
dtotalCapital/dt
totalCapital
=
dGNP/dt
GNP
=
GNP (1 y
1
)
totalCapital
=
1 y
1

(4)
The third assumption is that the relative rates of change of productivity and population are both con-
stants. Productivity is the average value of goods produced by employees
productivity =
GNP
numberEmployed
and population was used above in the denition of y
2
. Thus
dproductivity/dt
productivity
= (5)
dpopulation/dt
population
= (6)
A simple consequence of (5) is that
dGNP/dt
GNP
=
dnumberEmployed/dt
numberEmployed
+ . (7)
The fourth assumption is that the relative change in wages is a function of employment.
dwages/dt
wages
= + y
2
. (8)
A consequence of the derivative of denition of employment rate, e, (7), (4) and (6) is one of the two
dierential equations for Goodwins model
dy
2
/dt
y
2
=
1 y
1

. (9)
A consequence of the derivative of the denition of wage share, y
1
, is the other equation for Goodwins
model
dy
1
/dt
y
1
=
dwages/dt
wages
+
dnumberEmployed/dt
numberEmployed

dGNP/dt
GNP
= + y
2
(10)
In summary, Goodwins model can be written
dy
1
dt
= ( + )y
1
+ y
1
y
2
(11)
dy
2
dt
= (
1

)y
2

y
1
y
2

(12)
where the Greek letters signify positive constants.
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Exercise 2:
(a) Copy the following code to a Matlab function m-le called goodwin ode.m, that returns the
derivative function as a column vector:
function yprime = goodwin_ode ( x, y )
% comments
% your name and the date
ALPHA =0.4;
BETA =0.9;
DELTA =0.05;
NU =0.01;
RHO =5.0;
yprime=zeros(2,1);
yprime(1)=-(DELTA+ALPHA)*???+BETA*y(1)*y(2);
yprime(2)=(1/RHO-DELTA-NU)*???-y(1)*y(2)/RHO;
(b) Add comments just below the signature to indicate the calling and return sequences and to provide
a summary of what the function does.
(c) Replace the symbols ??? with the proper quantities so goodwin ode implements Goodwins model
equations.
(d) What is the role of the line
yprime=zeros(2,1);
What would happen if it were left out?
(e) Note that the variable x, corresponding to time, is unused. Nonetheless, it must be present in the
signature.
(f) Now use ode45 to integrate from x = 0 to x = 100 starting from y(1)=0.5, y(2)=0.5;
yInit = [ 0.5
0.5 ];
ode45 ( goodwin_ode, [ 0.0, 100.0 ], yInit );
(g) Why do you get two curves? Please include a copy of this plot with your summary.
(h) Open a blank plot window with the command figure(2). Solve the same system, but this time
use ode15s. Your solution should look the same, but you should see a slightly dierent distribution
of circles indicating a dierent set of step sizes.
5 Higher Order ODEs
The previous examples are for rst order equations and systems. What about higher order dierential
equations, ones that include derivatives such as y

? There is a standard trick for transforming higher order

equations into rst order systems. You may have seen this trick in an ODE course. It also shows up in
control theory in the conversion to state-space form of a system model and, I am sure, many other places.
Atkinson describes the trick in Section 6.1, page 340. The trick will be illustrated by example here.
Consider a fourth-order dierential equation
5z

+ 4z

+ 3z

+ 2z

+ z = sin(x)
with initial conditions
z
(
0) = 0, z

(0) = 10, z

(0) = 20, z

(0) = 30.
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The rst step is to dene new variables
y
1
= z
y
2
= z

y
3
= z

y
4
= z

(Note that the original equation is fourth order and there are four new variables dened. With these new
variables, the original scalar equation can be written as a system of equations
y

1
= y
2
y

2
= y
3
y

3
= y
4
y

4
= (sin x y
1
2y
2
3y
3
4y
4
)/5
Exercise 3: A pendulum swings through a circular arc. At any time, the angle (x) the pendulum
makes with the downward vertical is described by Newtons law (F = ma):

+ 1.5 = 0
with initial conditions
(x
0
) = 1

(x
0
) = 0
(a) Rewrite this as a rst order system. (Hint: set y
1
= and y
2
=

.) Write a function m-le

named pendulum ode.m to represent this system. Be sure to put comments after the signature
line and wherever else they are needed. Be sure that you return a column vector.
(b) Use ode45 to solve for up to x = 25. Please include a plot of your solution with your summary
le.
Exercise 4: Your team has a cannon that shoots water balloons with a velocity of 100 ft/sec. You
can adjust its angle of inclination, , to change the range. The other team is in front of a wall 10 ft
high, 300 ft away from you. If you hit the wall with a water balloon, you will soak the other team.
Your plan is to use Matlab to solve the equations of motion and trial and error to choose the correct
value of . The trick is to pick a value of that results in the balloon being between 0 and 10 ft above
ground at 300 ft.
The equations of motion of a cannonball of unit mass under the inuence of gravity are:

= 0

= 32
where denotes distance along the ground, and denotes height. The independent variable, x, is time.
The initial conditions are
(0) = 0

(0) = 100 cos

(0) = 0

(0) = 100 sin

6
where is a constant you will discover by trial and error.
This is a combination of two second-order systems. Dene the variables:
y
1
=
y
2
=

y
3
=
y
4
=

(a) Write a function m-le called cannon ode.m to implement the system. Be sure to include com-
ments and to have the function return a column vector.
(b) Use ode45 to integrate the equations of motion and determine, by trial and error, a value of so
that the cannon ball hits the wall. You can determine success by checking that 0 10 when
= 300. Watch out: the condition is on , not x. You can nd the rst step beyond = 300 using
the Matlab find statement. The rst index, k for which
k
300 is k=min(find(y(:,1)>=300)).
Alternatively, you can plot the balloons trajectory and see where it hits the ground or the wall.
You can plot the trajectory (, ) with
plot ( y(:,1), y(:,3) )
You might nd the axis([xmin,xmax,ymin,ymax]) command in Matlab useful to zoom in on the
target, or you can use the magnifying icon on the plot window. (Click on the magnifying glass
and then use the mouse to outline a square by clicking on the upper left and dragging. Warning:
this might cause Matlab to crash on the computers in GSCC.)
Include the le cannon ode.m and the value of alpha you used when you turn in this exercise.
6 Phase Plane Plots
In many problems, a system is dened by a second order ODE whose right hand side does not depend on
time. Such a system is called autonomous. The behavior of the solution doesnt depend on when you
start the problem, only on the initial condition. Most of the above examples are autonomous. Especially for
these kind of problems, it can be useful to look at the solution on a special phase plane plot. This simply
means that instead of plotting x versus the solution y, we plot y versus y

. This is an especially good way to

detect periodic solutions, decaying transients, and so on. Phase plane plots are most interesting when the
dierential equation is not linear.
Phase plane plots are valuable because they highlight periodic or almost periodic behavior. Think about
it: the solution to the pendulum case is = cos x, and that makes

= sin x. If you plot this in the phase

plane (

on the vertical axis, on the horizontal axis) you get a circle. Of course, once you go around the
circle once, the autonomous nature of the system guarantees that you will continue going around forever, so
the periodic behavior is highlighted. If you add a little damping to the pendulum equation, the phase plane
plot becomes a slow spiral into the center.
Exercise 5: An equation for motion of a pendulum including a frictional term proportional to velocity
is

+ .2

+ 1.5 = 0.
(a) Copy your le pendulum ode.m to decay ode.m and modify it to include the frictional term .2

.
(b) Use ode45 to solve the resulting ODE for x between 0 and 20, starting from the same initial
condition as in Exercise 3 above, [1;0].
(c) Plot it in phase space ( along the horizontal axis and

on the vertical axis) using the command

7
plot(y(:,1),y(:,2));
Please send me the plot.
Exercise 6: In the previous exercise, all three coecients on the left in the ODE are positive. If
the coecient of velocity is negative instead of positive, the physical result is that the solution grows
instead of decaying.
(a) Copy your le decay ode.m to grow ode.m and modify it by changing the coecient of the velocity
term from .2 to -.2.
(b) Use ode45 to solve the resulting ODE for x between 0 and 20, starting from [1;0].
(c) Plot y vs. x to see one view of what the solution looks like. You do not have to send me this plot.
(d) Plot it in phase space ( along the horizontal axis and

on the vertical axis) using the command

plot(y(:,1),y(:,2));
You should observe an outward spiral. Please send me this phase-plane plot.
One simple nonlinear equation with quite complicated behavior is van der Pols equation. This equation
is written
z

+ a(z
2
1)z

+ z = 0 (13)
For positive a, it can be seen by analogy with decay ode.m and grow ode.m that solutions z to (13) will
grow when z < 1 and shrink when z > 1. The result is a non-linear oscillator. Physical systems that behave
somewhat as a van der Pol oscillator include electrical circuits with semiconductor devices such as tunnel
diodes in them (see this web page from Duke, and some biological systems, such as the beating of a heart,
or the ring of neurons.
Exercise 7: This exercise illustrates phase plane plots using the van der Pol ODE.
(a) Rewrite the van der Pol equation as a rst-order system, and place the code in a function m-le
named vanderpol ode.m. Use the value a = 1. Be sure you place comments where they belong.
(b) Use ode45 to solve the system of ODEs for x between x=0 to x=20, starting from an initial
condition of yInitial = [0; 0.25] (notice the semicolon, making it a column vector). Make a
phase plane plot from your solution.
(c) Now, on the same plot (use the Matlab command hold on), plot the solution starting from the
initial condition [0;3]. Send me the plot and your guesses about:
What would the plot look like if you started at other points close to the ones you already
did?
What would the plot look like if you started very near the origin?
What would the plot look like if you started exactly on the origin?
7 Sti systems
ODEs can be either sti or non-sti. We will look at sti ODEs again later in the term, but it is instructive
to look at one practical method for distinguishing sti from non-sti ODEs. Basically, you try both non-sti
and sti solvers and note which is faster.
Take my word that the IVP
y

=1000(sinx y) (14)
y(0) =1
can be regarded as a sti system.
8
Exercise 8:
(a) Implement the right side of the above IVP, Equation (14) in a function m-le named stiff ode.m.
You may want to start from ex1 ode.m.
(b) Integrate it from x=0 to x=15, starting from y=1 using ode45. Measure the time it takes with the
commands
tic;[x,y]=ode45(stiff_ode,[0,15],1);toc
How long does it take? How many steps did it take (length(x)-1)?
(c) Use the following command to plot your result, using a blue line.
plot(x,y,b)
(d) Repeat the above steps using ode15s. Again, how much time does it take (should be much
smaller)? How many steps does it take (length(x)-1)? Plot the results in red on the same frame
as above. You should see the lines almost on top of one another, so the solutions are essentially
the same. Please include this plot with your summary.
8 Roundo errors
Last term you saw some eects of roundo errors. Later in this term you will look at roundo errors again.
Right now, though, is a good time to look at how some roundo errors come about.
In the exercise below we will have occasion to use a special matrix called the Frank matrix. Row k of
the n n Frank matrix has the formula:
A
k,j
=
_
_
_
0 for j < k 2
n + 1 k for j = k 1
n + 1 j for j k
The Frank matrix for n = 5 looks like:
_
_
_
_
_
_
5 4 3 2 1
4 4 3 2 1
0 3 3 2 1
0 0 2 2 1
0 0 0 1 1
_
_
_
_
_
_
The determinant of the Frank matrix is 1, but is dicult to compute numerically. This matrix has a special
form called Hessenberg form wherein all elements below the rst subdiagonal are zero. Matlab provides
the Frank matrix in its gallery of matrices, gallery(frank,n), but we will use an m-le frank.m.
The inverse of the Frank matrix also consists of integer entries and an m-le for it can be downloaded as
frank inv.m. You can nd more information about the Frank matrix from the Matrix Market, and the
references therein.
Exercise 9: Lets look carefully at the Frank matrix and its inverse. For convenience, dene A to be
the Frank matrix of order 6, and Ainv its inverse, computed using frank and frank inv. Similarly,
let B and Binv be the Frank matrix of order 24 and its inverse. Do not use the Matlab inv function
for this exercise! You know that both A*Ainv and B*Binv should equal the identity matrices of order
6 and 24 respectively. Lets just look at the top left entry. Compute
A(1,:)*Ainv(:,1)= __________
B(1,:)*Binv(:,1)= __________
Both of these answers should equal 1. The rst does and the second does not. To see what goes right,
compute the terms:
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A(1,6)*Ainv(6,1)= __________
A(1,5)*Ainv(5,1)= __________
A(1,4)*Ainv(4,1)= __________
A(1,3)*Ainv(3,1)= __________
A(1,2)*Ainv(2,1)= __________
A(1,1)*Ainv(1,1)= __________
sum = __________
Note that the signs alternate, so that when you add them up, each term tends to cancel part of the
preceeding term. Now, to see what goes wrong, compute the terms:
B(1,24)*Binv(24,1)= __________
B(1,23)*Binv(23,1)= __________
B(1,22)*Binv(22,1)= __________
B(1,21)*Binv(21,1)= __________
B(1,20)*Binv(20,1)= __________
B(1,16)*Binv(16,1)= __________
B(1,11)*Binv(11,1)= __________
B(1,6) *Binv(6,1) = __________
B(1,1) *Binv(1,1) = __________
You can see what happens to the sum. The rst few terms are huge compared with the nal sum of
1. Matlab uses 64-bit oating point numbers, so you can only rely on the rst thirteen or fourteen
signicant digits in numbers like B(1,24)*Binv(24,1). Further, they are of opposing signs so that
there is extensive cancellation. There simply are not enough bits in the calculation to get anything
like the correct answer. (Remark: It would not have been productive to compute each of the products
B(1,k)*Binv(k,1) for each k, so I had you do the ve largest and then sampled the rest. I chose to
sample the terms with an odd-sized interval between adjacent terms. Had I chosen an even interval
say every other termthe alternating sign pattern would have been obscured. When you are sampling
errors or residuals for any reason, never take every other term!)
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