PART-7

ORDINARY DIFFERENTIAL
EQUATIONS
Chapter 25
Runge-Kutta Methods

Numerical Methods of Chemical Engineers

CHE F242

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 Solving Ordinary Differential Equations (ODEs)

• This chapter is devoted to solving ordinary

differential equations (ODEs) of the form
dy
 f ( x, y )
dx
New value  old value  slope * (step_size)
yi 1  yi   * h

Euler’s Method
• First derivative provides a direct estimate of
the slope at xi:

  f ( x i , y i ) (Ist derivative evaluated at x i and y i )

then,
y i 1  y i  f ( x i , y i )h

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 Error Analysis for Euler’s Method
• Numerical solutions of ODEs involves two types of error:
– Truncation error
• Local truncation error
• Propagated truncation error
The sum of the two is the total or global truncation error
– Round-off errors (due to limited digits in representing numbers in a computer)
• We can use Taylor series to quantify the local truncation error in Euler’s method.

Given y'  f ( x , y )
f ( x i , y i ) 2
"
y 2 ( n)
y Ea  h  R3
yi 1  yi  yi' h  i
h  ...  i
h n  Rn 2!
2! n!
f ( ) 2
f ' ( xi , yi ) 2 f ( n1) ( xi , yi ) n Ea  h  O(h 2 )
yi 1  yi  f ( x i , yi )h  h  ...  h  O( h n1 ) 2!
2! n!
EULER Local Truncation ERROR

• The error is reduced by 4 times if the step size is halved  O(h2).

• In real problems, the derivatives used in the Taylor series are not easy to obtain.
• If the solution to the differential equation is linear, the method will provide error
free predictions (2nd derivative is zero for a straight line).

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Example: Euler’s Method
Solve numerically : dy
 2 x 3  12 x 2  20 x  8.5
dx
From x=0 to x=4 with step size h=0.5. Initial condition: (x=0 ; y=1)
Exact Solution: y = -0.5x4 + 4x3 - 10x2 + 8.5x + 1
Numerical Solution:
yi 1  yi  f ( xi , yi )h
y(0.5) = y(0) + f(0, 1)0.5
At x = 0, y(0) = 1;
f(0, 1) = -2(0)3 + 12(0)2 – 20(0) + 8.5
y(0.5) = 1+8.5*0.5 = 5.25
The true solution at x=0.5 is
y = -0.5(0.5)4 + 4(0.5)3 – 10(0.5)2 + 8.5 * 0.5 + 1
= 3.21875
and the error is
Et = 63%
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 X yeuler ytrue Error Error
Example: Euler’s Method Global Local
Solve numerically : dy
 2 x 3  12 x 2  20 x  8.5 0 1 1 % %
dx
From x=0 to x=4 with step size h=0.5 0.5 5.250 3.218 63.1 63.1
initial condition: (x=0 ; y=1)
1.0 5.875 3.000 95.8 28
Exact Solution: y = -0.5x4 + 4x3 - 10x2 + 8.5x + 1 1.5 5.125 2.218 131.0 1.41
Numerical
Solution: yi 1  yi  f ( xi , yi )h 2.0 4.500 2.000 125.0 20.5

y(0.5) = y(0)+f(0, 1)0.5 = 1+8.5*0.5 = 5.25

(true solution at x=0.5 is y(0.5) = 3.22 and t = 63%)

y(1) = y(0.5)+f(0.5, 5.25)0.5

= 5.25+[-2(0.5)3+12(0.5)2-20(0.5)+8.5]*0.5
= 5.25+0.625 = 5.875
(true solution at x=1 is y(1) = 3 and t = 96%)
y(1.5) = y(1)+f(1, 5.875)0.5 = 5.125
…. 
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 Example: Euler’s Method
Estimate the Error : dy
 2 x 3  12 x 2  20 x  8.5
dx
From x=0 to x=4 with step size h=0.5, Initial condition: (x=0 ; y=1)
Exact Solution: y = -0.5x4 + 4x3 - 10x2 + 8.5x + 1
Numerical Solution:
f'(x i , yi ) 2 f II (x i , y i ) 3 f (3) (x i , y i ) 4
Et = h  h  h
2! 3! 4!
where, f'(x i , yi ) = first derivative of the differential eqn.
f'(x i , yi ) = -6x 2 + 24x - 20
f II (x i , yi ) = -12x+ 24
f (3) (x i , yi ) = -12
We can omit the higher order terms because for this particular case, they equal to zero.

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Numerical Solution:
Error due to truncation of the 2nd order term can be calculated as:
-6x 2 + 24x - 20 2 -6(0) 2 + 24(0) - 20
E t, 2 = h = (0.5) 2  2.5
2! 2!
Error due to truncation of the 3nd order term can be calculated as:
-12x+ 24 3 -12(0)+ 24
E t, 3 = h = (0.5)3  0.5
3! 3!
Error due to truncation of the 4th order term can be calculated as:
-12 4 -12
E t, 4 = h = (0.5) 4  0.03125
4! 4!

Total Truncation Error:

E t = E t, 2  E t, 3  E t, 4  2.5  0.5  0.03125  2.03125
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Example: Euler’s Method
Solve numerically : dy  2 x 3  12 x 2  20 x  8.5
dx
From x=0 to x=4 with step size h=0.25, Initial condition: (x=0 ; y=1)
Exact Solution: y = -0.5x4 + 4x3 - 10x2 + 8.5x + 1
Numerical Solution:
x yExact f(xi, yi) yEuler Et %
0 1 1
0.25 2.560547 8.5 3.125 22.04424
0.5 3.21875 4.21875 4.179688 29.85437
0.75 3.279297 1.25 4.492188 36.9863
1 3 -0.59375 4.34375 44.79167
1.25 2.591797 -1.5 3.96875 53.12735
1.5 2.21875 -1.65625 3.554688 60.21127
1.75 1.998047 -1.25 3.242188 62.26784
2 2 -0.46875 3.125 56.25
2.25 2.248047 0.5 3.25 44.56994
2.5 2.71875 1.46875 3.617188 33.04598
2.75 3.341797 2.25 4.179688 25.07306
3 4 2.65625 4.84375 21.09375
3.25 4.529297 2.5 5.46875 20.7417
3.5 4.71875 1.59375 5.867188 24.33775
3.75 4.310547 -0.25 5.804688 34.66244
4 3 -3.21875 5 66.66667
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Improve Accuracy

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 Improvements of Euler’s method

• A fundamental source of error in Euler’s method is that the

derivative at the beginning of the interval is assumed to apply
across the entire interval.

• Two simple modifications are available to circumvent this

shortcoming:

– Heun’s Method
– The Midpoint (or Improved Polygon) Method

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 Heun’s method
• To improve the estimate of the
slope, determine two derivatives for
the interval:
• At the initial point
• At the end point

• The two derivatives are then

averaged to obtain an improved
estimate of the slope for the entire
interval.

Predictor : yi01  yi  f ( xi , yi )h
f ( xi , yi )  f ( xi 1 , yi01 )
Corrector : yi 1  yi  h
2

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 Problem
Use Heun's Method to integrate y' = 4e 0.8x - 0.5y from x=0 to 4,
with a step size of 1. The initial condition at x=0 is y=2.
4 0.8x
Analytical Solution: y = (e - e -0.5x ) + 2e -0.5x
1.3
1st step: The slope at (x 0 , y 0 ) is calculated as:
y 0 ' = 4e 0.8(0) - 0.5(2) = 3
Numerical solution is obtained by using predictor to obtain an estimate of y at 1.0:
yi+10 = y i + f(x i , yi )h = 2+3(1) = 5
Numerical solution is obtained by using predictor to obtain an estimate of y at 1.0:
yi+10 = yi + f(x i , yi )h = 2+3(1) = 5
To improve the estimate for y i+1, we use the value of y10 to predict the slope at the
end of the interval,
y1'=f(x i , yi 0 ) = 4e 0.8(1) - 0.5(5) = 6.402164
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 Problem
This can be combined with the initial slope to yield an average slope over the interval
from x=0 to x=1
(3  6.402164)
y' =  4.701082
2
This result can be substituted into the corrector equation to give the prediction at x=1;
y1 = 2 + 4.701082(1) = 6.701082

This estimate can be used to refine or correct the prediction of y1 by substituting the
new result
[3  4e 0.8(1) - 0.5(6.701082)]
y1 = 2 + (1) = 6.275811
2
This estimate can be used to further refine or correct the prediction of y1 by substituting the
new result
[3  4e0.8(1) - 0.5(6.275811)]
y1 = 2 + (1) = 6.382129
2

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 Problem

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