Applied Numerical Methods

with MATLAB®
for Engineers and Scientists
4th Edition
Steven C. Chapra

PowerPoints organized by Dr. Michael R. Gustafson II, Duke University and

Prof. Steve Chapra, Tufts University

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 Part 6
Chapter 22
Initial-Value Problems

©McGraw-Hill Education. All rights reserved. Authorized only for instructor use in the classroom. No reproduction or further distribution permitted without the prior written consent of McGraw-Hill Education.
• Chapter Objectives
Understanding the meaning of local and global truncation
errors and their relationship to step size for one-step
methods for solving ODEs.
Knowing how to implement the following Runge-Kutta (RK)
methods for a single ODE:
• Euler
• Heun
• Midpoint
• Fourth-Order RK
Knowing how to iterate the corrector of Heun’s method.
Knowing how to implement the following Runge-Kutta
methods for systems of ODEs:
• Euler
• Fourth-order RK
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• Ordinary Differential Equations
Methods described here are for solving differential
equations of the form:

The methods in this chapter are all one-step

methods and have the general format:

where  is called an increment function, and is

used to extrapolate from an old value yi to a new
value yi+1.
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• Euler’s Method
The first derivative
provides a direct estimate
of the slope at ti:

and the Euler method

uses that estimate as the
increment function:

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• Error Analysis for Euler’s Method,
1
The numerical solution of ODEs involves two types
of error:
• Truncation errors, caused by the nature of the techniques
employed
• Roundoff errors, caused by the limited numbers of
significant digits that can be retained
The total, or global truncation error can be further
split into:
• local truncation error that results from an application
method in question over a single step, and
• propagated truncation error that results from the
approximations produced during previous steps.
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• Error Analysis for Euler’s Method,
2
The local truncation error for Euler’s method
is O(h2) and proportional to the derivative of
f(t,y) while the global truncation error is O(h).
This means:
• The global error can be reduced by decreasing
the step size, and
• Euler’s method will provide error-free
predictions if the underlying function is linear.
Euler’s method is conditionally stable,
depending on the size of h.
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• MATLAB Code for Euler’s Method

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• Heun’s Method
One method to improve Euler’s method is to determine derivatives at
the beginning and predicted ending of the interval and average them:

This process relies on making a prediction of the new value of y, then

correcting it based on the slope calculated at that new value.
This predictor-corrector approach can be iterated to convergence:

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• Midpoint Method
Another improvement to Euler’s method is similar
to Heun’s method, but predicts the slope at the
midpoint of an interval rather than at the end:

This method has a local truncation error of O(h3)

and global error of O(h2)
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• Runge-Kutta Methods
Runge-Kutta (RK) methods achieve the accuracy of a Taylor
series approach without requiring the calculation of higher
derivatives.
For RK methods, the increment function  can be generally
written as:

where the a’s are constants and the k’s are

where the p’s and q’s are constants.

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• Classical Fourth-Order Runge-
Kutta Method
The most popular RK methods are fourth-order, and
the most commonly used form is:

where:

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• Systems of Equations
Many practical problems require the solution of a
system of equations:

The solution of such a system requires that n initial

conditions be known at the starting value of t.

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• Solution Methods
Single-equation methods can be used to
solve systems of ODE’s as well; for
example, Euler’s method can be used on
systems of equations - the one-step method
is applied for every equation at each step
before proceeding to the next step.
Fourth-order Runge-Kutta methods can also
be used, but care must be taken in
calculating the k’s.
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• MATLAB RK4 Code

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• MATLAB Functions
MATLAB’s ode23 function uses second- and third-
order RK functions to solve the ODE and adjust
step sizes.

MATLAB’s ode45 function uses fourth- and fifth-

order RK functions to solve the ODE and adjust
step sizes. This is recommended as the first
function to use to solve a problem.

MATLAB’s ode113 function is a multistep solver

useful for computationally intensive ODE functions.

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• Using ode Functions
The functions are generally called in the same way;
ode45 is used as an example:
[t, y] = ode45(odefun, tspan, y0)
• y: solution array, where each column represents one of
the variables and each row corresponds to a time in the t
vector
• odefun: function returning a column vector of the right-
hand-sides of the ODEs
• tspan: time over which to solve the system
• If tspan has two entries, the results are reported for those times
as well as several intermediate times based on the steps taken by
the algorithm
• If tspan has more than two entries, the results are reported only
for those specific times
• y0: vector of initial values
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 • Using ode45 Function
[t,y] = ode45(odefun,tspan,y0,options)

Solve: dY/dt -3Y=3t , Y(0)=0

tspan = [0 5];
y0 = 0;
[t,y] = ode45(@(t,y) 3*t-3*y, tspan, y0);

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• Example - Predator-Prey
Solve:

with y1(0)=2 and y2(0)=1 for 20 seconds

predprey.m M-file:
function yp = predprey(t, y)
yp = [1.2*y(1)-0.6*y(1)*y(2);-0.8*y(2)+0.3*y(1)*y(2)];
Script:
tspan = [0 20];
y0 = [2, 1];
[t, y] = ode45(@predprey, tspan, y0);
figure(1); plot(t,y); figure(2); plot(y(:,1),y(:,2));

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• ODE45 Example

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• ODE Solver Options
Options to ODE solvers may be passed as an
optional fourth argument, and are generally created
using the odeset function:
options=odeset('par1','val1','par2','val2',...)

Commonly used parameters are:

• 'RelTol': adjusts relative tolerance
• 'AbsTol': adjusts absolute tolerance
• 'InitialStep': sets initial step size
• 'MaxStep': sets maximum step size (default: one tenth of
tspan interval)
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• Stiffness
A stiff system is one involving rapidly changing components
together with slowly changing ones.
An example of a single stiff ODE is:

whose solution if y(0) = 0 is:

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• MATLAB Functions for Stiff
Systems
MATLAB has a number of built-in functions
for solving stiff systems of ODEs, including
ode15s, ode23, ode23t, and ode23tb.
The arguments for the stiff solvers are the
same as those for previous solvers.

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• DSOLVE Command
S = dsolve(eqn,cond,Name,Value)
Solve ODE : 2y’=y

dsolve(‘2*Dy=y’)

ans =

C1*exp(t/2)

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 cond = [y(0)==b, Dy(0)==1];

• DSOLVE Command
S = dsolve(eqn,cond,Name,Value)

Solve : y’’=x , y(0)=5, y’(0)=1

dsolve('D2y=t','y(0) == 5,Dy(0)=1')

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• DSOLVE vs ODE45
S = dsolve(eqn,cond,Name,Value)
Solve: 3y”+xy’+3x=sin(x)

syms y(x)
eqn=3*diff(y,x,2)+x*diff(y,x)
+3*x==sin(x)
dsolve(eqn)

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