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Runge-Kutta Method - Numeric Method

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Runge-Kutta Method - Numeric Method

Deriv Trading

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4/12/2017 Runge­Kutta Method ­ Numeric Method

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Home About Numerical Methods > Ordinary Differential Equations


About Numerical Methods >
Curve Fitting
Numerical Differentiation
Runge‐Kutta Method
Numerical Integration
Ordinary Differential Equations
The Euler method uses the first order Taylor series to
Partial Differential Equations
Roots of Equations find the next value of the ordinary differential
System of Linear Equations
equation. Therefore, this method is not very accurate.
System of Nonlinear Equations
Company To achieve higher accuracy, Runge­Kutta method
Contact us employs higher order terms of the Taylor series in its
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Engineering Software
approximation. For example the second order Runge­
Numeric Basic Kutta method uses the Taylor series up to he second
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order term.
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where,

Using the mathematical relations, it can be


demonstrated that the above equation can be written
in the following form:

where,

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4/12/2017 Runge­Kutta Method ­ Numeric Method

A1, A2, P1 and Q11 are some constant which can be


obtained from following system of equations:

It is clear that the number of unknowns are more than


the number of equations. Therefore, a series of
solution can be found for these constants.
For A1 = A2 = ½ and P1 = Q11 = 1 the general
Runge­Kutta method is transformed to the following
form:

This method is known as Heun’s method with single


corrector.
For A1 =0, A2 = 1 and P1 = Q11 = ½ the general
Runge­Kutta method can be written as follows:

This method is known as improved polygon method.

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4/12/2017 Runge­Kutta Method ­ Numeric Method

For A1 =1/3, A2 = 2/3 and P1 = Q11 = ¾, the


Ralston’s method can be obtained:

The order of all above methods is O(h2). The


algorithm of the Heun’s method can written as
follows:

Step 1: Choose initial point (x0,y0) and end point xn.


Step 2: For i=1 to n do steps 3,6.
Step 3: xi = x0 + ih.
Step 4: k1 = f(xi­1 , yi­1).
Step 5: k2 = f(xi , yi­1 + hk1).
Step 6: yi = yi­1 + h(k1 + k2)/2.
Step 5: End.

Ordinary Differential Equations

(Source Code in
C++)
o Euler
Method

o Runge­Kutta Method

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4/12/2017 Runge­Kutta Method ­ Numeric Method

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