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Course: Numerical Solution of Ordinary Differential Equations Module 2: Multi-Step Methods

This document discusses multi-step methods for numerically solving ordinary differential equations (ODEs). It focuses on the Milne-Simpson predictor-corrector method, which is a multi-step method that uses a predictor formula to estimate the solution at the next time step, followed by a corrector formula to improve the accuracy of the estimate. The predictor for Milne-Simpson is based on a cubic interpolation over 3 points, while the corrector uses Simpson's rule over 3 points. An example applying Milne-Simpson to an ODE is provided to demonstrate the method. Multi-step methods are shown to be more accurate than one-step methods like Runge-Kutta, requiring fewer function evaluations per step

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80 views

Course: Numerical Solution of Ordinary Differential Equations Module 2: Multi-Step Methods

This document discusses multi-step methods for numerically solving ordinary differential equations (ODEs). It focuses on the Milne-Simpson predictor-corrector method, which is a multi-step method that uses a predictor formula to estimate the solution at the next time step, followed by a corrector formula to improve the accuracy of the estimate. The predictor for Milne-Simpson is based on a cubic interpolation over 3 points, while the corrector uses Simpson's rule over 3 points. An example applying Milne-Simpson to an ODE is provided to demonstrate the method. Multi-step methods are shown to be more accurate than one-step methods like Runge-Kutta, requiring fewer function evaluations per step

Uploaded by

sadiksnm
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
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Course: Numerical Solution of Ordinary Differential Equations

Module 2: Multi-step methods

Lecture

Content

Hours

Single step and Multi-step methods, Predictor


corrector methods, Milnes method

Adams-Moulton method.

Adams Bashforth method

Module 2
Lecture 1

Multi Step Methods


Predictor corrector Methods

keywords: multi-step predictor, corrector, Milne-simpson method, integration formulae

Consider I VP
y f(t,y);

t 0 t b with y(t 0 ) y 0

(2.1)

One step methods for solving IVP (2.1) are those methods in which the solution yj+1 at
the j+1th grid point involves only one previous grid point where the solution is already
known. Accordingly, a general one step method may be written as
y j+1=y j +h(t j ,y j ,h)

The increment function depends on solution yj at previous grid point tj and step size h.
If yj+1 can be determined simply by evaluating right hand side then the method is explicit
method. The methods developed in the module 1 are one step methods. These
methods might use additional functional evaluations at number of points between tj and
tj+1. These functional evaluations are not used in further computations at advanced grid
points. In these methods step size can be changed according to the requirement.
It may be reasonable to develop methods that use more information about the solution
(functional values and derivatives) at previously known values while computing solution
at the next grid point. Such methods using information at more than one previous grid
points are known as multi-step methods and are expected to give better results than
one step methods.
To determine solution yj+1, a multi-step method or k-step method uses values of y(t) and
f(t,y(t)) at k previous grid points tj-k, k=0,1,2,k-1,. yj is called the initial point while yj-k
are starting points. The starting points are computed using some suitable one step
method. Thus multi-step methods are not self starting methods.
Integrating (2.1) over an interval (tj-k, tj+1) yields
t j1

y j1 y j

t jk

t j1

f(t,y(t))dt y j

a t dt

t j k j 0

(2.2)

The integrand on the right side is approximated by interpolating polynomial of degree r


using equi-spaced points. The integration over the interval is shown in the Fig 2.1.
The method may be explicit or implicit. An implicit method involves computation of yj+1 in
terms of yj+1. First an explicit formula known as predictor formula is used to predict yj+1.
Then another formula, known as corrector formula, is used to improve the predicted

value of yj+1. The predictor-corrector methods form a large class of general methods for
numerical integration of ordinary differential equations. A popular predictor-corrector
scheme is known as the Milne-Simpson method.
Milne-Simpson method

Its predictor is based on integration of f (t, y(t)) over the interval [tj3, tj+1] with k=3 and
r=3. The interpolating polynomial is considered to match the function at three points tj2,
tj1, and tj and the function is extrapolated at both the ends in the interval [tj3, tj-2] and [tj,
tj+1] as shown in the Fig 2.2(a). Since the end points are not used, an open integration
formula is used for the integral in (2.2):
p j1 y j1 y j

4h
14
2f(t j ,y j ) f(t j1,y j1 ) 2f(t j2 ,y j2 ) h5 f (4) (); in(t j3 ,t j1 ) (2.3)

3
45

The explicit predictor formula is of O(h4) and requires starting values. These starting
values should also be of same order of accuracy. Accordingly, if the initial point is y0
then the starting values y1, y2 and y3 are computed by fourth order Runge kutta method.
Then predictor formula (2.3) predicts the approximate solution y4 as p4 at next grid point.
The predictor formula (2.3) is found to be unstable (proof not included) and the solution
so obtained may grow exponentially.
The predicted value is then improved using a corrector formula. The corrector formula is
developed similarly. For this, a second polynomial for f (t, y(t)) is constructed, which is
based on the points (tj1, fj1), (tj, fj) and the predicted point (tj+1, fj+1). The closed
integration of the interpolating polynomial over the interval [tj, tj+1] is carried out [See Fig
2.2 (b)]. The result is the familiar Simpsons rule:
y j1 y j

h
1 5 ( 4)
f(t j1,y j1 ) 4f(t j ,y j ) f(t j1,y j1 )
h f ( ); in(t j1,t j1 )

3
90

fj-1

(2.4)

fj-3

fj-2

fj-k

tj-k

fj
fj+1

tj-3

tj

tj+1
tj-1

Fig 2.1 Scheme for multi-step integration

x
x

xj-1

t
tj-3
(a)

tj-2 tj-1

tj

tj+1

t
tj-3

tj-1 tj-1

tj+1

tj
(b)

Fig 2.2 (a) Open Scheme for Predictor (b) Closed integration for Corrector

In the corrector formula fj+1 is computed from the predicted value pj+1 as obtained from
(2.3).

Denoting f j f(t j , y j ) , the equations (2.3) and (2.4) gives the following predictor corrector
formulae, respectively, for solving IVP (2.1) at equi-spaced discrete points t4,t5,
p j1 y j1 y j3
y j1 y j1

4h
2fj fj1 2fj2
3

(2.5)

h
fj1 4f j f j1
3

The solution at initial point t0 is given in the initial condition and t1, t2 and t3 are the
starting points where solution is to be computed using some other suitable method such
as Runge Kutta method. This is illustrated in the example 2.1
Example 2.1: Solve IVP y=y+3t-t2 with y(0)=1; using Milnes predictor corrector method

take h=0.1
Solution: The following table 2.1 computes Starting values using fourth order Runge
Kutta method.

k y k1= t+ y+
k2 y+
k3
t
f(t,y) h/2 h/2*k
h/2*k2
1
0 0
1
1 0.05 1.05 1.197 1.05987 1.2074
5
5
1 0.1 1.1203 1.410 0.15 1.190 0.222 1.13147 1.559
34
859
7
7
2 0.2 1.2338 1.793 0.25 1.323 0.321 1.24993 1.9374
84
533
8
1
3 0.2 1.3763

y+
t+h h*k3

k4

y+h(k1+2k
2+2k3+k4)
/6
0.1 1.1207 1.41074 1.1203415
0.2 1.2762 1.83624 1.2338409
0.3 1.4276 2.23758 1.3763387

Table 2.1: Starting values using RK4 in Example 2.1

Using initial value and starting values at t=0, 0.1, 0.2 and 0.3, the predictor formula
predicts the solution at t=0.4 as 1.7199359. It is used in corrector formula to give the
corrected value. The solution is continued at advanced grid points [see table 2.2].

MilnePredictorcorrector1
f(t,p)
k
t
y
f(t,y)
corrector
0
0
1
1
rk4
Milne pc exact
1
0.1 1.1203415 1.410341
2
0.2 1.2338409 1.793841 startingpoints
3
0.3 1.3763387 2.186339
4
0.4 1.7199359 2.759936 1.67714525 2.717145
5
0.5 2.0317593 3.281759 1.920894708 3.170895
Table 2.2: Example 2.1 using predictor corrector method with h=0.1
The exact solution is possible in this example; however it may not be possible for other

equations. Table 2.3 compares the solution with the exact solution of given equation.
Clearly the accuracy is better in predictor corrector method than the Runge-Kutta
method.
rk4
Milnepc exact
0.1 1.120341
1.120342
0.2 1.233841
1.282806
0.3 1.376339
1.489718
0.4
1.5452 1.6771453 1.743649
0.5
1.7369 1.9208947 2.047443
Table 2.3: Comparison of solution of example 2.1
Milne

Predictor

corrector1

f(t,p)

f(t,y)

0.05

1.055042

1.202542

starting point1

0.1

1.120342

1.410342

starting point2

0.15

1.196169

1.623669

starting point3

0.2

1.282805

1.842805

1.282805

1.842805

0.25

1.380551

2.068051

1.380551

2.068051

Table 2.4: Example 2.1 using predictor corrector method with h=0.05

The exercise 2.1 is repeated with h=0.5 in table 2.4.The table 2.5 clearly indicates that
the better accuracy is achieved with h=0.05 [see table 2.5]

0.05

1.055042

1.055042

0.1

1.120342

1.120342

0.15

1.196169

1.196168

0.2

1.282805 1.282806

0.25

1.380551 1.380551

Table 2.5: improved accuracy with h=0.05

Predictor Corrector methods are preferred over Runge-Kutta as it requires only two
functional evaluations per integration step while the corresponding fourth order RungeKutta requires four evaluations. The starting points are the weakness of predictorcorrector methods. In Runge kutta methods the step size can be changed easily.

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