Initial-Value Problems for ODEs

Runge-Kutta Methods

Numerical Analysis (9th Edition)

R L Burden & J D Faires

Beamer Presentation Slides

prepared by
John Carroll
Dublin City University

c 2011 Brooks/Cole, Cengage Learning

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Outline

1 Introduction & Taylors Theorem in 2 Variables

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 2 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Outline

1 Introduction & Taylors Theorem in 2 Variables

2 Runge-Kutta Methods of Order Two

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 2 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Outline

1 Introduction & Taylors Theorem in 2 Variables

2 Runge-Kutta Methods of Order Two

3 Example: Comparing 2nd Order Runge-Kutta Methods

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 2 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Outline

1 Introduction & Taylors Theorem in 2 Variables

2 Runge-Kutta Methods of Order Two

3 Example: Comparing 2nd Order Runge-Kutta Methods

4 Higher-Order Runge-Kutta Methods

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 2 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Outline

1 Introduction & Taylors Theorem in 2 Variables

2 Runge-Kutta Methods of Order Two

3 Example: Comparing 2nd Order Runge-Kutta Methods

4 Higher-Order Runge-Kutta Methods

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 3 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Runge-Kutta Methods

Taylor Methods .v. Runge-Kutta Methods

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 4 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Runge-Kutta Methods

Taylor Methods .v. Runge-Kutta Methods

Taylor methods have the desirable property of high-order local
truncation error,

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 4 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Runge-Kutta Methods

Taylor Methods .v. Runge-Kutta Methods

Taylor methods have the desirable property of high-order local
truncation error,
but the disadvantage of requiring the computation and evaluation
of the derivatives of f (t, y).

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 4 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Runge-Kutta Methods

Taylor Methods .v. Runge-Kutta Methods

Taylor methods have the desirable property of high-order local
truncation error,
but the disadvantage of requiring the computation and evaluation
of the derivatives of f (t, y).
This is a complicated and time-consuming procedure for most
problems, so the Taylor methods are seldom used in practice.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 4 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Runge-Kutta Methods

Taylor Methods .v. Runge-Kutta Methods

Taylor methods have the desirable property of high-order local
truncation error,
but the disadvantage of requiring the computation and evaluation
of the derivatives of f (t, y).
This is a complicated and time-consuming procedure for most
problems, so the Taylor methods are seldom used in practice.
Runge-Kutta methods have the high-order local truncation error of
the Taylor methods but eliminate the need to compute and
evaluate the derivatives of f (t, y).

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 4 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Taylor Theorem in 2 Variables (1/2)

Suppose that f (t, y) and all its partial derivatives of order less than or
equal to n + 1 are continuous on D = { (t, y) | a t b, c y d },
and let (t0 , y0 ) D. For every (t, y) D, there exists between t and
t0 and between y and y0 with

f (t, y) = Pn (t, y) + Rn (t, y)

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 5 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Taylor Theorem in 2 Variables (1/2)

Suppose that f (t, y) and all its partial derivatives of order less than or
equal to n + 1 are continuous on D = { (t, y) | a t b, c y d },
and let (t0 , y0 ) D. For every (t, y) D, there exists between t and
t0 and between y and y0 with

f (t, y) = Pn (t, y) + Rn (t, y)

The function Pn (t, y) is called the nth Taylor polynomial in two

variables for the function f about (t0 , y0 ), and Rn (t, y) is the remainder
term associated with Pn (t, y).

Details of Pn (t, y) and Rn (t, y) are given on the next slide.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 5 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Taylor Theorem in 2 Variables (2/2)

 
f f
Pn (t, y) = f (t0 , y0 ) + (t t0 ) (t0 , y0 ) + (y y0 ) (t0 , y0 )
t y
 2
(t t0 ) f2 2f
+ (t ,
0 0y ) + (t t0 )(y y 0 ) (t0 , y0 )
2 t 2 ty
(y y0 )2 2 f

+ (t0 , y0 ) +
2 y 2

n   nf
1 X n
+ (t t0 )nj (y y0 )j nj j (t0 , y0 )
n! j t y
j=0

n+1 
n+1 f

1 X n+1
Rn (t, y) = (t t0 )n+1j (y y0 )j n+1j j (, )
(n + 1)! j t y
j=0

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 6 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Outline

1 Introduction & Taylors Theorem in 2 Variables

2 Runge-Kutta Methods of Order Two

3 Example: Comparing 2nd Order Runge-Kutta Methods

4 Higher-Order Runge-Kutta Methods

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 7 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Basic Structure of RK2 Methods

Our starting point is to assume that the numerical method has the
following structure:

w0 =
wi+1 = wi + a1 f (ti + 1 , wi + 1 f (ti , wi ))

for i = 0, 1, . . . , N 1, where a1 , 1 and 1 are parameters to be

determined to ensure a local truncation error of O(h2 ).

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 8 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 9 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation
The first step is to determine values for a1 , 1 , and 1 with the property
that
h
a1 f (t + 1 , y + 1 ) T (2) (t, y) = f (t, y) + f (t, y),
2
with error no greater than O(h2 ), which is same as the order of the
local truncation error for the Taylor method of order two.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 9 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation
The first step is to determine values for a1 , 1 , and 1 with the property
that
h
a1 f (t + 1 , y + 1 ) T (2) (t, y) = f (t, y) + f (t, y),
2
with error no greater than O(h2 ), which is same as the order of the
local truncation error for the Taylor method of order two. Since

df f f
f (t, y) = (t, y) = (t, y) + (t, y) y (t) and y (t) = f (t, y),
dt t y

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 9 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation
The first step is to determine values for a1 , 1 , and 1 with the property
that
h
a1 f (t + 1 , y + 1 ) T (2) (t, y) = f (t, y) + f (t, y),
2
with error no greater than O(h2 ), which is same as the order of the
local truncation error for the Taylor method of order two. Since

df f f
f (t, y) = (t, y) = (t, y) + (t, y) y (t) and y (t) = f (t, y),
dt t y

we have
h f h f
T (2) (t, y) = f (t, y) + (t, y) + (t, y) f (t, y)
2 t 2 y

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 9 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation (Contd)

Expanding f (t + 1 , y + 1 ) in its Taylor polynomial of degree one
about (t, y) gives

f
a1 f (t + 1 , y + 1 ) = a1 f (t, y) + a1 1 (t, y)
t
f
+ a1 1 (t, y) + a1 R1 (t + 1 , y + 1 )
y

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 10 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation (Contd)

Expanding f (t + 1 , y + 1 ) in its Taylor polynomial of degree one
about (t, y) gives

f
a1 f (t + 1 , y + 1 ) = a1 f (t, y) + a1 1 (t, y)
t
f
+ a1 1 (t, y) + a1 R1 (t + 1 , y + 1 )
y

where
21 2 f 2f 12 2 f
R1 (t + 1 , y + 1 ) = (, ) +
1 1 (, ) + (, )
2 t 2 ty 2 y 2

for some between t and t + 1 and between y and y + 1 .

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 10 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation (Contd)

Matching the coefficients of f and its derivatives in

f
a1 f (t + 1 , y + 1 ) = a1 f (t, y) + a1 1 (t, y)
t
f
+ a1 1 (t, y) + a1 R1 (t + 1 , y + 1 )
y

and
h f h f
T (2) (t, y) = f (t, y) + (t, y) + (t, y) f (t, y)
2 t 2 y

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 11 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation (Contd)

Matching the coefficients of f and its derivatives in

f
a1 f (t + 1 , y + 1 ) = a1 f (t, y) + a1 1 (t, y)
t
f
+ a1 1 (t, y) + a1 R1 (t + 1 , y + 1 )
y

and
h f h f
T (2) (t, y) = f (t, y) + (t, y) + (t, y) f (t, y)
2 t 2 y
gives the three equations

h h
a1 = 1 a1 1 = a1 1 = f (t, y)
2 2
Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 11 / 34
Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

h h
a1 = 1 a1 1 = a1 1 = f (t, y)
2 2

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 12 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

h h
a1 = 1 a1 1 = a1 1 = f (t, y)
2 2

Method of Derivation (Contd)

The parameters a1 , 1 , and 1 are therefore

h h
a1 = 1 1 = 1 = f (t, y)
2 2
so that
   
(2) h h h h
T (t, y) = f t + , y + f (t, y) R1 t + , y + f (t, y)
2 2 2 2

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 12 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation (Contd)

Earlier, we saw that

21 2 f 2f 12 2 f
R1 (t + 1 , y + 1 ) = (, ) + 1 1 (, ) + (, )
2 t 2 ty 2 y 2

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 13 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Method of Derivation (Contd)

Earlier, we saw that

21 2 f 2f 12 2 f
R1 (t + 1 , y + 1 ) = (, ) + 1 1 (, ) + (, )
2 t 2 ty 2 y 2

which leads to
h2 2 f h2 2f
 
h h
R1 t + , y + f (t, y) = (, ) + f (t, y) (, )
2 2 8 t 2 4 ty
h2 2f
+ (f (t, y))2 2 (, ).
8 y

which is O(h2 ) if all the second-order partial derivatives of f are

bounded.
Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 13 / 34
Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

The difference-equation method resulting from replacing T (2) (t, y) in

Taylors method of order two by f (t + (h/2), y + (h/2)f (t, y)) is a
specific Runge-Kutta method known as the Midpoint Method.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 14 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

The difference-equation method resulting from replacing T (2) (t, y) in

Taylors method of order two by f (t + (h/2), y + (h/2)f (t, y)) is a
specific Runge-Kutta method known as the Midpoint Method.

The Midpoint Method

w0 = ,
 
h h
wi+1 = wi + hf ti + , wi + f (ti , wi )
2 2

for i = 0, 1, . . . , N 1.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 14 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Number of Parameters Required

Only three parameters are present in

a1 f (ti + 1 , wi + 1 f (ti , wi ))

a1 f (t + 1 , y + 1 ) and all are needed in the match of T (2) .

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 15 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Number of Parameters Required

Only three parameters are present in

a1 f (ti + 1 , wi + 1 f (ti , wi ))

a1 f (t + 1 , y + 1 ) and all are needed in the match of T (2) .

So a more complicated form is required to satisfy the conditions
for any of the higher-order Taylor methods.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 15 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Number of Parameters Required (Contd)
The most appropriate four-parameter form for approximating

h h2
T (3) (t, y) = f (t, y) + f (t, y) + f (t, y)
2 6

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 16 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Number of Parameters Required (Contd)
The most appropriate four-parameter form for approximating

h h2
T (3) (t, y) = f (t, y) + f (t, y) + f (t, y)
2 6

is a1 f (t, y) + a2 f (t + 2 , y + 2 f (t, y))

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 16 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Number of Parameters Required (Contd)
The most appropriate four-parameter form for approximating

h h2
T (3) (t, y) = f (t, y) + f (t, y) + f (t, y)
2 6

is a1 f (t, y) + a2 f (t + 2 , y + 2 f (t, y))

and even with this, there is insufficient flexibility to match the term
2
h2 f

(t, y) f (t, y),
6 y

resulting from the expansion of (h2 /6)f (t, y).

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 16 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

Number of Parameters Required (Contd)
The most appropriate four-parameter form for approximating

h h2
T (3) (t, y) = f (t, y) + f (t, y) + f (t, y)
2 6

is a1 f (t, y) + a2 f (t + 2 , y + 2 f (t, y))

and even with this, there is insufficient flexibility to match the term
2
h2 f

(t, y) f (t, y),
6 y

resulting from the expansion of (h2 /6)f (t, y). Consequently, the best
that can be obtained from using this form are methods with O(h2 ) local
truncation error.
Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 16 / 34
Introduction Runge-Kutta 2 Example Runge-Kutta 4

2nd Order Runge-Kutta Methods

The fact that

a1 f (t, y) + a2 f (t + 2 , y + 2 f (t, y))
has four parameters, however, gives a flexibility in their choice, so a
number of O(h2 ) methods can be derived. One of the most important
is the Modified Euler method, which corresponds to choosing
a1 = a2 = 12 and 2 = 2 = h.

Modified Euler Method

w0 =
h
wi+1 = wi + [f (ti , wi ) + f (ti+1 , wi + hf (ti , wi ))]
2
for i = 0, 1, . . . , N 1.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 17 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Outline

1 Introduction & Taylors Theorem in 2 Variables

2 Runge-Kutta Methods of Order Two

3 Example: Comparing 2nd Order Runge-Kutta Methods

4 Higher-Order Runge-Kutta Methods

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 18 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Comparing 2nd Order Runge-Kutta Methods

Example
Use the Midpoint Method and the Modified Euler Method with N = 10,
h = 0.2, ti = 0.2i, and w0 = 0.5 to approximate the solution to our
usual example,

y = y t 2 + 1, 0 t 2, y(0) = 0.5.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 19 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Comparing 2nd Order Runge-Kutta Methods

Example
Use the Midpoint Method and the Modified Euler Method with N = 10,
h = 0.2, ti = 0.2i, and w0 = 0.5 to approximate the solution to our
usual example,

y = y t 2 + 1, 0 t 2, y(0) = 0.5.

Note
The difference equations produced from the two formulae are

Midpoint: wi+1 = 1.22wi 0.0088i 2 0.008i + 0.218

Modified Euler: wi+1 = 1.22wi 0.0088i 2 0.008i + 0.216

for each i = 0, 1, . . . , 9.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 19 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Comparing 2nd Order Runge-Kutta Methods

Solution (1/2): Computing the first 2 steps

The first two steps of the Midpoint method give:

w1 = 1.22(0.5) 0.0088(0)2 0.008(0) + 0.218 = 0.828

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 20 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Comparing 2nd Order Runge-Kutta Methods

Solution (1/2): Computing the first 2 steps

The first two steps of the Midpoint method give:

w1 = 1.22(0.5) 0.0088(0)2 0.008(0) + 0.218 = 0.828

w2 = 1.22(0.828) 0.0088(0.2)2 0.008(0.2) + 0.218 = 1.21136

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 20 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Comparing 2nd Order Runge-Kutta Methods

Solution (1/2): Computing the first 2 steps

The first two steps of the Midpoint method give:

w1 = 1.22(0.5) 0.0088(0)2 0.008(0) + 0.218 = 0.828

w2 = 1.22(0.828) 0.0088(0.2)2 0.008(0.2) + 0.218 = 1.21136

while the first two steps of the Modified Euler method give:

w1 = 1.22(0.5) 0.0088(0)2 0.008(0) + 0.216 = 0.826

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 20 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Comparing 2nd Order Runge-Kutta Methods

Solution (1/2): Computing the first 2 steps

The first two steps of the Midpoint method give:

w1 = 1.22(0.5) 0.0088(0)2 0.008(0) + 0.218 = 0.828

w2 = 1.22(0.828) 0.0088(0.2)2 0.008(0.2) + 0.218 = 1.21136

while the first two steps of the Modified Euler method give:

w1 = 1.22(0.5) 0.0088(0)2 0.008(0) + 0.216 = 0.826

w2 = 1.22(0.826) 0.0088(0.2)2 0.008(0.2) + 0.216 = 1.20692

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 20 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Comparing 2nd Order Runge-Kutta Methods

Solution (2/2): Tabulated Results for both methods

Midpoint Modified Euler
ti y(ti ) Method Error Method Error
0.0 0.5000000 0.5000000 0 0.5000000 0
0.2 0.8292986 0.8280000 0.0013 0.8260000 0.0033
0.4 1.2140877 1.2113600 0.0027 1.2069200 0.0072
0.6 1.6489406 1.6446592 0.0043 1.6372424 0.0117
0.8 2.1272295 2.1212842 0.0059 2.1102357 0.0170
1.0 2.6408591 2.6331668 0.0077 2.6176876 0.0232
1.2 3.1799415 3.1704634 0.0095 3.1495789 0.0304
1.4 3.7324000 3.7211654 0.0112 3.6936862 0.0387
1.6 4.2834838 4.2706218 0.0129 4.2350972 0.0484
1.8 4.8151763 4.8009586 0.0142 4.7556185 0.0596
2.0 5.3054720 5.2903695 0.0151 5.2330546 0.0724
Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 21 / 34
Introduction Runge-Kutta 2 Example Runge-Kutta 4

Outline

1 Introduction & Taylors Theorem in 2 Variables

2 Runge-Kutta Methods of Order Two

3 Example: Comparing 2nd Order Runge-Kutta Methods

4 Higher-Order Runge-Kutta Methods

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 22 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

The Heun Method of order 3

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Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

The Heun Method of order 3
The term T (3) (t, y) can be approximated with error O(h3 ) by an
expression of the form

f (t + 1 , y + 1 f (t + 2 , y + 2 f (t, y)))

involving 4 parameters,

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 23 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

The Heun Method of order 3
The term T (3) (t, y) can be approximated with error O(h3 ) by an
expression of the form

f (t + 1 , y + 1 f (t + 2 , y + 2 f (t, y)))

involving 4 parameters, but the algebra involved in the determination of

1 , 1 , 2 , and 2 is quite involved.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 23 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

The Heun Method of order 3
The term T (3) (t, y) can be approximated with error O(h3 ) by an
expression of the form

f (t + 1 , y + 1 f (t + 2 , y + 2 f (t, y)))

involving 4 parameters, but the algebra involved in the determination of

1 , 1 , 2 , and 2 is quite involved. The most common O(h3 ) method is
that of Heun, given by

w0 =
h
wi+1 = wi + 4 (f (ti , wi )
2h 2h
ti + h3 , wi + h3 f (ti , wi )





+3 f ti + 3 , wi + 3 f

for i = 0, 1, . . . , N 1.
Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 23 / 34
Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Example: The Heun Method

Applying Heuns method with N = 10, h = 0.2, ti = 0.2i, and w0 = 0.5
to approximate the solution to the equation:

y = y t 2 + 1, 0 t 2, y(0) = 0.5.

gives the values listed in the following table.

Note the decreased error throughout the range over the Midpoint and
Modified Euler approximations.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 24 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Heuns
ti y(ti ) Method Error
0.0 0.5000000 0.5000000 0
0.2 0.8292986 0.8292444 0.0000542
0.4 1.2140877 1.2139750 0.0001127
0.6 1.6489406 1.6487659 0.0001747
0.8 2.1272295 2.1269905 0.0002390
1.0 2.6408591 2.6405555 0.0003035
1.2 3.1799415 3.1795763 0.0003653
1.4 3.7324000 3.7319803 0.0004197
1.6 4.2834838 4.2830230 0.0004608
1.8 4.8151763 4.8146966 0.0004797
2.0 5.3054720 5.3050072 0.0004648

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 25 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Runge-Kutta Order 4 Method

w0 =
k1 = hf (ti , wi )
 
h 1
k2 = hf ti + , wi + k1
2 2
 
h 1
k3 = hf ti + , wi + k2
2 2
k4 = hf (ti+1 , wi + k3 )
1
wi+1 = wi + (k1 + 2k2 + 2k3 + k4 )
6
for each i = 0, 1, . . . , N 1. This method has local truncation error
O(h4 ), provided the solution y(t) has five continuous derivatives.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 26 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Runge-Kutta Order 4 Algorithm (1/2)

To approximate the solution of the initial-value problem

y = f (t, y), a t b, y(a) =

at (N + 1) equally spaced numbers in the interval [a, b]:

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 27 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Runge-Kutta Order 4 Algorithm (1/2)

To approximate the solution of the initial-value problem

y = f (t, y), a t b, y(a) =

at (N + 1) equally spaced numbers in the interval [a, b]:

INPUT endpoints a, b; integer N; initial condition .

OUTPUT approximation w to y at the (N + 1) values of t.

Step 1 Set h = (b a)/N

t =a
w =
OUTPUT (t, w )

Steps 2 to 6 on the next Slide

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 27 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Runge-Kutta Order 4 Algorithm (2/2)

Step 2 For i = 1, 2, . . . , N do Steps 35:

Step 3 Set K1 = hf (t, w )

K2 = hf (t + h/2, w + K1 /2)
K3 = hf (t + h/2, w + K2 /2)
K4 = hf (t + h, w + K3 )

Step 4 Set w = w + (K1 + 2K2 + 2K3 + K4 )/6

t = a + ih

Step 5 OUTPUT (t, w )

Step 6 STOP

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 28 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Example: Runge-Kutta 4
Use the Runge-Kutta method of order four with h = 0.2, N = 10 and
ti = 0.2i to obtain approximations to the solution of the initial-value
problem
y = y t 2 + 1, 0 t 2, y(0) = 0.5

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 29 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Solution
The approximation to y(0.2) is obtained by

w0 = 0.5

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 30 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Solution
The approximation to y(0.2) is obtained by

w0 = 0.5
k1 = 0.2f (0, 0.5) = 0.2(1.5) = 0.3

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 30 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Solution
The approximation to y(0.2) is obtained by

w0 = 0.5
k1 = 0.2f (0, 0.5) = 0.2(1.5) = 0.3
k2 = 0.2f (0.1, 0.65) = 0.328

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 30 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Solution
The approximation to y(0.2) is obtained by

w0 = 0.5
k1 = 0.2f (0, 0.5) = 0.2(1.5) = 0.3
k2 = 0.2f (0.1, 0.65) = 0.328
k3 = 0.2f (0.1, 0.664) = 0.3308

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 30 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Solution
The approximation to y(0.2) is obtained by

w0 = 0.5
k1 = 0.2f (0, 0.5) = 0.2(1.5) = 0.3
k2 = 0.2f (0.1, 0.65) = 0.328
k3 = 0.2f (0.1, 0.664) = 0.3308
k4 = 0.2f (0.2, 0.8308) = 0.35816

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 30 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Solution
The approximation to y(0.2) is obtained by

w0 = 0.5
k1 = 0.2f (0, 0.5) = 0.2(1.5) = 0.3
k2 = 0.2f (0.1, 0.65) = 0.328
k3 = 0.2f (0.1, 0.664) = 0.3308
k4 = 0.2f (0.2, 0.8308) = 0.35816
1
w1 = 0.5 + (0.3 + 2(0.328) + 2(0.3308) + 0.35816) = 0.8292933
6

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 30 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Solution
The approximation to y(0.2) is obtained by

w0 = 0.5
k1 = 0.2f (0, 0.5) = 0.2(1.5) = 0.3
k2 = 0.2f (0.1, 0.65) = 0.328
k3 = 0.2f (0.1, 0.664) = 0.3308
k4 = 0.2f (0.2, 0.8308) = 0.35816
1
w1 = 0.5 + (0.3 + 2(0.328) + 2(0.3308) + 0.35816) = 0.8292933
6
The remaining results and their errors are listed in the following table.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 30 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

Higher-Order Runge-Kutta Methods

Runge-Kutta
Exact Order Four Error
ti yi = y(ti ) wi |yi wi |
0.0 0.5000000 0.5000000 0
0.2 0.8292986 0.8292933 0.0000053
0.4 1.2140877 1.2140762 0.0000114
0.6 1.6489406 1.6489220 0.0000186
0.8 2.1272295 2.1272027 0.0000269
1.0 2.6408591 2.6408227 0.0000364
1.2 3.1799415 3.1798942 0.0000474
1.4 3.7324000 3.7323401 0.0000599
1.6 4.2834838 4.2834095 0.0000743
1.8 4.8151763 4.8150857 0.0000906
2.0 5.3054720 5.3053630 0.0001089

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 31 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

A Comparison of Runge-Kutta Methods

Example
For the problem

y = y t 2 + 1, 0 t 2, y(0) = 0.5

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 32 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

A Comparison of Runge-Kutta Methods

Example
For the problem

y = y t 2 + 1, 0 t 2, y(0) = 0.5

Eulers method with h = 0.025, the Midpoint method with

h = 0.05, and the Runge-Kutta 4th-order method with h = 0.1 are
compared at the common mesh points of these methods 0.1, 0.2,
0.3, 0.4, and 0.5.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 32 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

A Comparison of Runge-Kutta Methods

Example
For the problem

y = y t 2 + 1, 0 t 2, y(0) = 0.5

Eulers method with h = 0.025, the Midpoint method with

h = 0.05, and the Runge-Kutta 4th-order method with h = 0.1 are
compared at the common mesh points of these methods 0.1, 0.2,
0.3, 0.4, and 0.5.
Each of these techniques requires 20 function evaluations to
determine the values (listed in the following table) to approximate
y(0.5).

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 32 / 34

Introduction Runge-Kutta 2 Example Runge-Kutta 4

A Comparison of Runge-Kutta Methods

Modified Runge-Kutta
Euler Euler Order Four
ti Exact h = 0.025 h = 0.05 h = 0.1
0.0 0.5000000 0.5000000 0.5000000 0.5000000
0.1 0.6574145 0.6554982 0.6573085 0.6574144
0.2 0.8292986 0.8253385 0.8290778 0.8292983
0.3 1.0150706 1.0089334 1.0147254 1.0150701
0.4 1.2140877 1.2056345 1.2136079 1.2140869
0.5 1.4256394 1.4147264 1.4250141 1.4256384

In this example, the fourth-order method is clearly superior.

Numerical Analysis (Chapter 5) Runge-Kutta Methods R L Burden & J D Faires 33 / 34

Questions?