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The central concern of this chapter is approximating the solution to an initial value problem for a
differential equation.
INITIAL VALUE PROBLEM
Definition: A solution to an initial value problem (I.V.P)
y = f (t , y ) with y (t0 ) = y0
...................................(1)
and
y(t ) = f (t , y (t ))
for all t t0 , b
........................(2)
Notice that the solution curve y = y (t ) must pass through the initial point ( t0 , y0 )
EULERS METHOD
Eulers method is one of the simplest and also earliest technique developed for the solution of the
ordinary differential equations.
Derivation of Method
Eulers method can be derived in several ways, the derivation is based on Taylors series expansion is
considered here. Assume that y (t ) , y(t ) and y(t ) are continuous and Taylors theorem to expand
y (t ) about t = t0 . For each value of t , there exist a value c1 that lies between t0 and t so that
y ( t ) = y ( t 0 ) + ( t t 0 ) y ( t 0 ) +
When y(t0 ) = f (t0 , y (t0 ))
y (t1 ) .
( t t0 ) 2
2!
.....................(3)
y(c1 )
( t1 t0 ) 2
2!
y(c1 )
h2
y(c1 ).....................(4)
2!
If the step size h is chosen small enough , then we neglect the second order term (involving h2 ) and
get
y1 = y0 + hf (t0 , y0 ) ......................(5)
The process is repeated and generates a sequence of points that approximate the solution curve
y = y (t ) . The general step for Euler method is
yk +1 = yk + hf (t k , yk )
for k = 0, 1, 2,..., M 1
......................(6)
where t k +1 = t k + h
EXAMPLE : Use Eulers method to solve approximately the initial value problem
y = 1 +
Using the step size h = 0.5
y
t
1.5
2.5
t0
t1
t2
t3
yk +1 = yk + hf (t k , yk ) and y = f (t , y ) = 1 +
y
t
1
y1 = y0 + hf (t0 , y0 ) = 1 + 0.5 1 + = 2
1
y1 = 2 = y (1.5)
2
y2 = y1 + hf (t1 , y1 ) = 2 + 0.5 1 +
= 3.1666667
1.5
y2 = 3.1666667 = y (2)
3.1666667
y3 = y2 + hf (t 2 , y2 ) = 3.1666667 + 0.5 1 +
= 4.45833333
2
y3 = 4.45833333 = y (2.5)
Exact solution : y (t ) = t ( 1 + ln t )
= yex yapp
Approx. Solution
Exact solution
1.0
1.00000000
1.00000000
1.5
2.00000000
2.10819766
0.108198
2.0
3.16666667
3.38629436
0.219628
2.5
4.45833333
4.79072683
0.332393
EXERCISE
Use Eulers method to solve approximately the I.V.P
t
, 0t 3
y
Using the step size h=0.5
y =
, y (0) = 1
Exact Solution: y (t ) = t 2 + 1
HEUNS METHOD
Consider I.V.P
y = f (t , y ) over [a , b]
with y ( t0 ) = y0
...................................(1)
Use fundamental theorem of calculus to obtain the solution point (t1 , y1 ) , that is integrate y(t ) over
t0 , t1 .
t1
f (t , y (t )) dt =
t0
t1
t0
From (2)
y (t1 ) = y (t0 ) +
t1
f (t , y (t )) dt .........................(3)
t0
h
y (t1 ) = y (t0 ) + f (t0 , y (t0 ) + f (t1 , y (t1 ))) .........................(4)
2
where
y (t1 ) = y0 + hf (t0 , y0 )
then
h
y (t1 ) = y (t0 ) + f (t0 , y (t0 ) + f (t1 , y0 + hf (t0 , y0 ) )) ...................(5)
2
which is called Heuns Method.
The general step for Heuns Method is
pk +1 = yk + hf (t k , yk )
...............................(6)
h
yk +1 = yk + f (t k , yk ) + f (t k +1 , pk +1 )
2
Example: Use Heuns method to solve I.V.P
t y
on [0, 3] with y (0) = 1
2
where h = 1
y =
y0 = 1 and f (t , y ) =
t0
t1
t2
t3
t y
2
0 1
p1 = y0 + hf (t0 , y0 ) = 1 + 1
= 0.5
2
h
1 1 1 0.5
y1 = y0 + f (t0 , y0 ) + f (t1 , p1 ) = 1 + +
= 0.875
2
2 2 2
y1 = 0.875
1 0.875
p2 = y1 + hf (t1 , y1 ) = 0.875 + 1
= 0.9375
2
1 1 0.875 2 0.0.9375
h
y2 = y1 + [ f (t1 , y1 ) + f (t 2 , p2 ) ] = 0.875 +
+
= 1.171875
2
2
2
2
y2 = 1.171875
2 1.171875
p3 = y2 + hf (t 2 , y2 ) = 1.171875 + 1
= 1.5859375
2
1 2 1.171875 3 1.5859375
h
y3 = y2 + f (t 2 , y2 ) + f (t 3 , p3 ) = 1.171875 +
+
= 1.732422
2
2
2
2
y3 = 1.732422
t
Exact:
y (t ) = 3e 2 2 + t
y (3) =
3
3e 2
2 + 3 = 1.66939048
Exercise : Use Heuns method to find approximations to the initial value problem
y = y t , y (0) = 1.5
on
[ 0, 0.5]
where h = 0.25
y = 2ty 2 , y (0) = 1
to approximate y(0.3), use Euler formula and the following given formula
h
h
y ( t + h ) = y (t ) + hf t + , y (t ) + f (t , y )
2
2
with h=0.1 and compare the result from above two formulas with exact solution given by
y=
1
1 t2
.....................(1)
.........................(2)
k4 = hf (t k + a3 h, yk + b4 k1 + b5 k2 + b6 k3 )
where,
1
1
, a2 =
, a3 = 1
2
2
1
1
b1 =
, b2 = 0 , b3 =
, b4 = 0 , b5 = 0 , b6 = 1
2
2
1
1
1
1
w1 =
and w4 =
, w2 =
, w3 =
6
3
3
6
a1 =
..............(3)
then,
1
1
1
1
yk +1 = yk + k1 + k2 + k3 + k4
6
3
3
6
1
= yk + k1 + 2k2 + 2k3 + k4 .........................(4)
6
and
k1 = hf (t k , yk )
k
h
, yk + 1 )
2
2
k2
h
k3 = hf (t k + , yk + )
2
2
k4 = hf (t k + h, yk + k3 )
k2 = hf (t k +
.........................(5)
t y
on [0, 3] with y (0) = 1
2
where h = 1
y =
y0 = 1 and f (t , y ) =
t0
t1
t2
t3
t y
2
1
y1 = y0 + k1 + 2k2 + 2k3 + k4
6
01
= 0.5
k1 = hf (t0 , y0 ) = 1 f (0, 1) =
2
k
0.5 0.75
h
0.5
k2 = hf (t0 + , y0 + 1 ) = 1 f (0 + 0.5, 1 +
= 0.125
) = f (0.5, 0.75) =
2
2
2
2
k
h
0.5 0.9375
0.125
, y0 + 2 ) = 1 f (0 + 0.5, 1 +
= 0.21875
) = f (0.5, 0.9375) =
2
2
2
2
1 0.78125
k4 = hf (t0 + h, y0 + k3 ) = 1 f (0 + 1, 1 + (0.21875)) = f (1, 0.78125) =
= 0.109375
2
k3 = hf (t0 +
y1 = 1 +
1
[ 0.5 + 2(0.125) + 2(0.21875) + 0.109375] = 0.8203125
6
y1 = 0.8203125
exercise , find y2 and y3
......................(1)
where,
k1 = f (t k , yk )
k2 = f (t k + p1h, yk + q11k1h)
where, a1 + a2 = 1,
a2 p1 =
..................(2)
1
,
2
a2q11 =
1
...................(3)
2
We have three equations and four unknowns , we must assume a value of one of the unknowns to
determine the other three. Suppose that we specify a value for a2 . Then equation (3) can be solved
simultaneously for
a1 = 1 a2 ,
p1 = q11 =
1
2a2
We can choose an infinite number of values for a2 , we present three of the most commonly used.
1. HEUNS METHOD ( a2 =
yk + 1 = yk +
1
) Single corrector
2
h
( k1 + k2 )
2
where,
k1 = f (t k , yk )
k2 = f (t k + h, yk + k1h)
2. THE MIDPOINT METHOD ( a2 = 1)
1
then,
a1 = 0, p1 = q11 =
2
yk + 1 = yk + k 2 h
where,
k1 = f (t k , yk )
k2 = f (tk +
1
h
, yk + k1h)
2
2
ROLSTONS METHOD ( a2 =
if a2 =
2
1
, a1 =
and
3
3
2
)
3
p1 = q11 =
3
4
2
1
yk +1 = yk + h k1 + k2
3
3
where,
k1 = f (t k , yk )
3
3
k2 = f (t k + h, yk + k1h)
4
4
2
1
yk +1 = yk + h k1 + k2
3
3
where,
k1 = f (t k , yk )
3
3
k2 = f (t k + h, yk + k1h)
4
4
Solution
0
t0
0.2
0.4
t1
t2
t5
2
2
1
1
y1 = y0 + h k1 + k2 = 1 + 0.2 k1 + k2
3
3
3
3
where,
k1 = f (t0 , y0 ) = f (0, 1) = 1 + 0 1 = 0
3
3
k2 = f (t0 + 0.2, y0 + 0(0.2)) = f (0.15, 1) = 1 + 0.15 1 = 0.15
4
4
2
1
y (0.2) = y1 = 1.02
9
2
2
1
1
y2 = y1 + h k1 + k2 = 1.02 + 0.2 k1 + k2
3
3
3
3
where,
k1 = f (t1 , y1 ) = f (0.2, 1.02) = 1 + 0.2 1.022 = 0.159
3
3
k2 = f (t1 + 0.2, y1 + (0.159)(0.2)) = f (0.35, 1.043) = 1 + 0.35 1.0432 = 0.26
4
4
2
1
y (0.4) = y2 = 1.06531
10