Numerical Methods To Solve Initial
Value Problems
An Over View of Runge-Kutta Fehlberg and
Dormand and Prince Methods.
William Mize
Quick Refresher
We are looking at Ordinary Differential Equations
More specifically Initial Value Problems
Simple Examples:
Solution of:
Solution of:
A Problem
How practical are analytical methods?
Equation:
We chose to find a Numerical solution because
Closed-form is to difficult to evaluate
No close-form solution
Some Quick Ground work
First Start with Taylor Series
Approximations
Then Move onto Runge-Kutta
Methods for Approximations
Lastly onto Runge-Kutta Fehlberg and
Dormand and Prince Methods for
Approximation and keeping control of
error
How these Methods Work
All of the Methods will be using a step
size method.
Error is determined by the size of step,
order, and method used.
When actually calculating these,
almost always done via computer.
Taylor Series Methods(Brief)
Taylor Series As Follows
Most Basic is Euler’s Method
Higher Order Approximations better Accuracy
But at a cost
What can we do?
Runge-Kutta Methods
Named After Carl Runge and Wilhelm Kutta
What they do?
Do the same Job as Taylor Series Method,
but without the analytic differentiation.
Just like Taylor Series with higher and higher
order methods.
Runge-Kutta Method of Order 4 Well
accepted classically used algorithm.
Runge-Kutta of Order 2
We
don’t want to take derivatives for approximations
Instead use Taylor series to create Runge-Kutta methods to
approximate solution with just function evaluations.
We Want to Approximate this with
Find A, B, C
We get:
Error
Runge-Kutta of Order 4
Error of Order
So What's next?
Already Viable Numerical Solution established what's the
next step?
We want to control our Error and Step size at each step.
These methods are called adaptive.
Why?
Cost Less
Keep within Tolerance
Also look for More efficient ways of doing these things.
10 Function Evaluation for RK4 and RK5
Just 6 for RKF4(5)
Runge-Kutta Fehlberg
Coefficients are found via Taylor expansions
Next Step to find These Coefficients
Further Deriving
We assume =1
More and more…
So this was way more complicated than I
actually thought it would be.
But it’s all leading some where!
Eventually we want to have all the in terms
of
From there was must figure out our and
How to find
First Take coefficients from the 5th order equation.
Which ultimately leads to
Where we chose = 1/3 and = 3/8
= 1/3
= 3/8
Comparison(Problem)
Comparisons of Methods
Dormand and Prince Methods
Visual Comparison of Methods
Conclusion
Taylor’s method uses derivatives to solve ODE
RK uses only a combination of specific function
evaluations instead of derivatives to approximate
solution of the ODE
RKF is beneficial because you can control your step
size so you have your global error within a
predetermined tolerance
RK4 and RK5 uses 10 function evaluations vs RKF
just 6
Runge-Kutta Fehlberg is widely accepted and used
commercially(Matlab, Mathematica, maple, etc)
Sources
Numerical Mathematics and Computing. Sixth
Edition; Ward Cheny, David Kincaid
Low-Order classical Runge-Kutta Formulas with
StepSize Control and their Application to some heat
transfer problems. By Erwin Fehlberg(1969)
A family of embedded Runge-Kutta Formulae. By
Dormand and Prince(1980)
