Chapter 8B. Differential Equations: Fundamental Case

CHAPTER 8b.
DIFFERENTIAL EQUATIONS
A. J. Clark School of Engineering Department of Civil and Environmental Engineering
by
Dr. Ibrahim A. Assakkaf

Spring 2001
ENCE 203 - Computation Methods in Civil Engineering II Department of Civil and Environmental Engineering University of Maryland, College Park
Taylor Series Expansion

Fundamental Case
Assume that the problem is a first-order differential equation of the form
dy = f (x ) dx subject to y = y0 at x = x0 (5)
If the variables are separated and the integration is carried out on both sides, then y x (6) dy = f (x )dx
y0 x0
Assakkaf
ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS
Slide No. 22

Fundamental Case
Or
yy =
0
x0
f (x ) dx
x0
y y0 =
f (x ) dx
x
y ( x) = y0 + f (x ) dx
x0
(7)
Assakkaf
Slide No. 23

Fundamental Case
Recall Taylors Series Expansion
h 2 (2 ) h 3 (3 ) h n (n ) f (x0 ) + f (x0 ) + ... + f (x0 ) + Rn +1 2! 3! n!
f (x0 + h ) = f (x0 ) + hf (1) (x0 ) +
where x0 = base value or starting value x = the point at which the value of the function is needed h = x x0 = distance between x0 and x (step size) n! = factorial of n = n(n-1) (n 2)1 f(n) = indicates the nth derivative of the function f(x) Rn+1 = the remainder of Taylor series expansion
(8)
Assakkaf
Slide No. 24

Fundamental Case
Taylors Series Expansion

Eq. (8) can be expressed as
g (x ) = g (x0 ) + (x x0 )g (x0 ) +
(x x0 )2 g (x ) 0
2!
(x x0 ) +
Or
3!
dy y (x ) = y0 + (x x0 ) dx + 3!
(9a)
g (x0 ) + L
+
(x x0 )2
2! +L
x = x0
x = x0 3
d2y dx 2
x = x0
(x x0 )
d y dx 3
(9b)
Assakkaf
Slide No. 25

Fundamental Case
Comparing Eq. 9b and Eq. 7, we can evaluate the integral of Eq. 7 by a Taylor Series Expansion: 2 3 ( ( dy x x0 ) d 2 y x x0 ) d 3 y + + +L y (x ) = y0 + (x x0 ) dx x = x0 2! dx 2 x = x 3! dx 3 x = x
y ( x) = y0 + f (x )
x0
Assakkaf
Slide No. 26

Fundamental Case
In view of the integral of the second equation, the comparison implies that
x0
f (x ) = (x x0 )
dy dx
+
x = x0
(x x0 )2 d 2 y
2! dx 2
x = x0
(x x0 )3 d 3 y
3! dx 3
x = x0
+L
Therefore, Equations 9b and 7 can be used to solve first order equations.

Assakkaf
Slide No. 27

Example 1 - Taylor Series Expansion

Solve the following differential equation using Taylors series expansion:
dy = 3x 2 dx such that y = 1 at x = 1
x0 = 1 y0 = 1
The higher-order derivative can be obtained as follows:

d 2x = 6x dx 2 d3y =6 dx 3 dny = 0 for n 4 dx n
Assakkaf
Slide No. 28

Example 1 (contd) - Taylor Series Expansion

Using the Taylors series expansion of Eq. 9b gives (x x0 )2 d 2 y + (x x0 )3 d 3 y dy y (x ) = y + (x x ) +
0 0
dx
x = x0
2!
dx 2
x = x0
3!
dx 3
x = x0
y (x ) = 1 + (x 1) 3 x
2 0
2 3 x 1) x 1) ( ( (6 x0 ) + (6) )+
Assakkaf
Slide No. 29

Example 1(contd) - Taylor Series Expansion

Substituting for x0 = 1 in the last equation, gives the solution of the differential equation
y (x ) = 1 + (x 1)(3) + 3(x 1) + (x 1)
2
Assakkaf
Slide No. 30

Example 1(contd) y (x ) = 1 + (x 1)(3)+ 3(x 1) + (x 1)

2
x 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2
One Term 1 1 1 1 1 1 1 1 1 1 1
Two Terms 1 1.3 1.6 1.9 2.2 2.5 2.8 3.1 3.4 3.7 4
y (x ) Three Terms 1 1.33 1.72 2.17 2.68 3.25 3.88 4.57 5.32 6.13 7
Four Terms 1 1.331 1.728 2.197 2.744 3.375 4.096 4.913 5.832 6.859 8
Assakkaf
Slide No. 31

Example 1(contd)
The exact solution can be obtained as follows:
y
dy = 3x dx
2 1 1 x 3x 3 y 1 = = x3 1 3 1 x
y 1 = x3 1 y = x3
Assakkaf
Slide No. 32

Example 1(contd)
One Term 1 1 1 1 1 1 1 1 1 1 1 Two Terms 1 1.3 1.6 1.9 2.2 2.5 2.8 3.1 3.4 3.7 4
y = x3
Four Terms 1 1.331 1.728 2.197 2.744 3.375 4.096 4.913 5.832 6.859 8 TRUE 1 1.331 1.728 2.197 2.744 3.375 4.096 4.913 5.832 6.859 8
Assakkaf
x 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2
y (x ) Three Terms 1 1.33 1.72 2.17 2.68 3.25 3.88 4.57 5.32 6.13 7
Slide No. 33

Example 1(contd) Taylor Series

Examining the table, we notice that the Taylors series solution for this example gives no error when using 4 terms. This is because, the derivatives beyond the third equal to zero. In this case, Taylors series expansion provides the true solution when all the terms are used.
Assakkaf
Slide No. 34

General Case
Assume that the problem is a first-order ordinary differential equation of the following form:
dy = f (x, y ) dx subject to y = y0 at x = x0
g (x ) = g (x0 , y0 ) + (x x0 )g (x0 , y0 ) + 3!
In this case the Taylor series expansion is 2

(x x0 )
2! g (x0 , y0 )
(x x0 )3 g (x , y ) + L + 0 0
(10)
Assakkaf
Slide No. 35

General Case
Or in equivalent form, Taylor series can be given as
dy y (x, y ) = y0 + (x x0 ) dx + 3! +
(x x0 )2
2! +L
x = x0 y = y0
d2y dx 2
x = x0 y = y0
(x x0 )3 d 3 y
dx
3 x = x0 y = y0
(11)
Assakkaf
Slide No. 36


Solve the following differential equation using Taylors series expansion:
dy = 3x 2 y dx such that y = 1 at x = 1
x0 = 1 y0 = 1
The higher-order derivatives can be obtained as follows:

d2y dy = 6 xy + 3 x 2 dx 2 dx
Assakkaf
Slide No. 37


d2y dy = 6 xy + 3 x 2 = 6 xy + 3x 2 (3x 2 y ) dx 2 dx = 6 xy + 9 x 4 y d3y dy dy = 6 y + 6 x + 36 x 3 y + 9 x 4 3 dx dx dx 2 3 = 6 y + 6 x(3x y )+ 36 x y + 9 x 4 (3x 2 y ) = 6 y + 6 x(3x 2 y )+ 36 x 3 y + 27 x 6 y
d2y dx 2
x0 =1 y0 =1
= 15
d3y dx 3
x0 =1 y0 =1
= 87
Assakkaf
Slide No. 38


Using the Taylors series expansion of Eq. 11 gives
dy y (x, y ) = y0 + (x x0 ) dx
x = x0 y = y0
(x x0 )2
2!
d2y dx 2
x = x0 y = y0
(x x0 )3 d 3 y
3! dx 3
x = x0 y = y0
2 3 x 1) x 1) ( ( y (x, y ) = 1 + (x 1)(3) + (15) + (87 )
Assakkaf
Slide No. 39


Substituting for x0 = 1 and y0 = 1 in the last equation, gives the solution of the differential equation for four terms as
y (x ) = 1 + (x 1)(3) + 7.5(x 1) + 14.5(x 1)

2
Assakkaf
Slide No. 40
10

Example 2 (contd) - Taylor Series Expansion y(x ) = 1 + (x 1)(3) + 7.5(x 1) + 14.5(x 1)

2
x 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2
y (x ) One Term Two Terms Three Terms 1 1 1 1 1.3 1.375 1 1.6 1.9 1 1.9 2.575 1 2.2 3.4 1 2.5 4.375 1 2.8 5.5 1 3.1 6.775 1 3.4 8.2 1 3.7 9.775 1 4 11.5
Four Terms 1 1.3895 2.016 2.9665 4.328 6.1875 8.632 11.7485 15.624 20.3455 26
Assakkaf
Slide No. 41

Example 2 (contd)
The exact solution can be obtained as follows:
dy dy = 3x 2 y = 3x 2 dx dx y 1 1 0 x x 3x3 ln y ln 1 = = x3 1 3 1 ln y = x 3 1 y = ex
3
1
Assakkaf
Slide No. 42
11

Example 2 (contd) - Taylor Series y = e x 1 Expansion

3
x 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2
y (x ) One Term Two Terms Three Terms 1 1 1 1 1.3 1.375 1 1.6 1.9 1 1.9 2.575 1 2.2 3.4 1 2.5 4.375 1 2.8 5.5 1 3.1 6.775 1 3.4 8.2 1 3.7 9.775 1 4 11.5
Four Terms 1 1.390 2.016 2.967 4.328 6.188 8.632 11.749 15.624 20.346 26.000
TRUE 1 1.392 2.071 3.310 5.720 10.751 22.109 50.049 125.462 350.374 1096.633
Assakkaf
Slide No. 43


Viewing the results of the solution based on Taylor series expansion, we notice that as the number of terms increases, the accuracy of the solution improves. Also, as the step size decreases, the accuracy of the solution improves.
Assakkaf
Slide No. 44
12
First-order Ordinary Differential Equations

Eulers Method
As we noticed in the previous example, in some cases the derivatives are not easily computed. Therefore, the Taylor series of Eqs. 9, 10, and 11 can be truncated so that only the term with the first derivative is used.
Assakkaf
Slide No. 45

Eulers Method
The value of the dependent variable y = g(x) can be computed using
g (x ) = g (x0 , y0 ) + (x x0 )g (x0 , y0 ) + e or dy y (x ) = y0 + (x x0 ) dx
x = x0 y = y0
(12a) (12b)
+e
Assakkaf
Slide No. 46
13

Eulers Method
For better accuracy, (x x0) should be made small. Notice that (x x0) = x = h The above equations can be rewritten in a more compact form for computer implementation as
yi +1 = yi + hf (xi , yi )
Assakkaf
Slide No. 47

Eulers Method
The iterative procedure for basic Eulers method is given by
yi +1 = yi + hf (xi , yi )
where
h = x x0 f (x0 , y0 ) = g (x0 , y0 ) =
(13)
dy dx
x = x0 y = y0
Assakkaf
Slide No. 48
14

Example 3 Eulers Method

Solve the following differential equation for 0 x 1 using a step size of h = 0.1:
dy 1 y=0 dx 2 such that y = 1 at x = 0
Here we have
y (0 ) = 1
or
x0 = 0 y0 = 1
Assakkaf
Slide No. 49

Example 3 (contd) Eulers Method

First Iteration (i = 0):
yi +1 = yi + hf (xi , yi ) y1 = y0 + hf (x0 , y0 ) f (x0 , y0 ) = dy dx x0 = 0, y0 = 1, and h = 0.1
x0 = 0 y0 =1
1 1 1 y = (1) = 2 2 2
1 y1 = 1 + 0.1 = 1 + 0.05 = 1.05 2

Assakkaf
Slide No. 50
15


Second Iteration (i = 1):
yi +1 = yi + hf (xi , yi ) y2 = y1 + hf (x1 , y1 ) f (x1 , y1 ) = dy dx x1 = 0.1, y1 = 1.05, and h = 0.1
x1 = 0.1 y0 =1.05
1 1 y = (1.05) = 0.5250 2 2
y2 = 1.05 + 0.1(0.5250) = 1.05 + 0.0525 = 1.1025

Assakkaf
Slide No. 51


Third Iteration (i = 2):
x1 = 0.2 y0 =1.1025
1 1 y = (1.1025) = 0.55125 2 2
y3 = 1.1025 + 0.1(0.55125) = 1.157625

Assakkaf
Slide No. 52
16


See the spreadsheet output in the next viewgraph for the rest of the iterations. Expression for the exact solution can be obtained as follows: x =0
dy 1 dy 1 = y = dx dx 2 y 2 y0 x0
y x
ln 1 = 0
ln y ln 1 =
x
1 (x x0 ) ln y = 1 x 2 2
y = e2
Assakkaf
Slide No. 53


i 0 1 2 3 4 5 6 7 8 9 10 x 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 xi 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 yi 1 1.050000 1.102500 1.157625 1.215506 1.276282 1.340096 1.407100 1.477455 1.551328 1.628895
1 x
f (x i , y i ) 0.5 0.525000 0.551250 0.578813 0.607753 0.638141 0.670048 0.703550 0.738728 0.775664 0.814447
y (Euler) 1.050000 1.102500 1.157625 1.215506 1.276282 1.340096 1.407100 1.477455 1.551328 1.628895
y (True) % Error 1 1.051271 0.12 1.105171 0.24 1.161834 0.36 1.221403 0.48 1.284025 0.60 1.349859 0.72 1.419068 0.84 1.491825 0.96 1.568312 1.08 1.648721 1.20
True Function : y = e 2
Assakkaf
Slide No. 54
17


Solve the following differential equation using Eulers method for 1 x 2 with a step size of h = 0.1:
dy = 3x 2 dx
such that y = 1 at x = 1
y (1) = 1 or x0 = 1 y0 = 1
Assakkaf
Slide No. 55


First Iteration (i = 0):
yi +1 = yi + hf (xi , yi ) y1 = y0 + hf (x0 , y0 ) f (x0 , y0 ) = dy dx x0 = 1, y0 = 1, and h = 0.1
x0 =1 y0 =1
= 3x 2 = 3(1) = 3
2
y1 = 1 + 0.1(3) = 1 + 0.3 = 1.30

Assakkaf
Slide No. 56
18


Second Iteration (i = 1):
x1 = 0.1 y0 =1.30
= 3x 2 = 3(1.1) = 3.630
2
y2 = 1.30 + 0.1(3.630) = 1.6630

Assakkaf
Slide No. 57


Third Iteration (i = 2):
x1 =1.2 y0 =1.663
= 3 x 2 = 3(1.2) = 4.320
2
y3 = 1.663 + 0.1(0.4.320) = 2.095

Assakkaf
Slide No. 58
19


See the spreadsheet output in the next viewgraph for the rest of the iterations. Expression for the exact solution can be obtained as follows:
y
dy = 3x dx
2 1 1
x0 = 1
y0 = 1
x 1
y 1 =
3x 3
3 x
= x3
y 1 = x3 1 y = x3
Assakkaf
Slide No. 59


x 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2 xi 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2 yi 1 1.300000 1.663000 2.095000 2.602000 3.190000 3.865000 4.633000 5.500000 6.472000 7.555000 f (x i , y i ) 3 3.63 4.32 5.07 5.88 6.75 7.68 8.67 9.72 10.83 12 y (Euler) 1.300000 1.663000 2.095000 2.602000 3.190000 3.865000 4.633000 5.500000 6.472000 7.555000 y (True) % Error 1 1.331 2.33 1.728 3.76 2.197 4.64 2.744 5.17 3.375 5.48 4.096 5.64 4.913 5.70 5.832 5.69 6.859 5.64 8 5.56
i 0 1 2 3 4 5 6 7 8 9 10
True Function : y = x 3
Assakkaf
Slide No. 60
20

Chapter 8B. Differential Equations: Fundamental Case

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CHAPTER 8b.

Dr. Ibrahim A. Assakkaf

Taylor Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Taylor Series Expansion

f (x0 + h ) = f (x0 ) + hf (1) (x0 ) +

Taylor Series Expansion

Taylors Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Therefore, Equations 9b and 7 can be used to solve first order equations.

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 1 - Taylor Series Expansion

The higher-order derivative can be obtained as follows:

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 1 (contd) - Taylor Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 1(contd) - Taylor Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 1(contd) y (x ) = 1 + (x 1)(3)+ 3(x 1) + (x 1)

x 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

x 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 1(contd) Taylor Series

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

In this case the Taylor series expansion is 2

Taylor Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 2 - Taylor Series Expansion

The higher-order derivatives can be obtained as follows:

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 2 - Taylor Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 2 (contd) - Taylor Series Expansion

2 3 x 1) x 1) ( ( y (x, y ) = 1 + (x 1)(3) + (15) + (87 )

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 2 (contd) - Taylor Series Expansion

y (x ) = 1 + (x 1)(3) + 7.5(x 1) + 14.5(x 1)

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

Example 2 (contd) - Taylor Series Expansion y(x ) = 1 + (x 1)(3) + 7.5(x 1) + 14.5(x 1)

x 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion

ENCE 203 CHAPTER 8b. DIFFERENTIAL EQUATIONS

Taylor Series Expansion