ENGR90024

Computational Fluid Dynamics

Lecture 09!
Analysis of the Runge-Kutta method & !
the Crank-Nicolson method
Stability analysis of 2nd-order Runge-Kutta (page 39 of printed
lecture notes):

Apply 2nd-order Runge-Kutta

l+1 l 1 1
= + t k1 + k2
2 2
l l
k1 = f( , t )
l l
k2 = f( + tk1 , t + t)

to model problem
d
= = f( )
dt
k1 = f ( l , tl )
l l
k2 = f( + tk1 , t + t)

l+1 l 1 1
= + t k1 + k2
2 2

d
= = f( )
dt
l l l l ll ll
k1 = f( , t ) = f( , t ) = = k1
l
k2 = f( + tk1 , tl + t)
l
f( + tk 1, tll + tt) = ( l
+ tk1 )
l
f( + tk1 , tl + t) = ( l
+ t( l )) = k2
 = l
k1
k2 = ( l
+ t( l ))

l+1 l 1 1
= + t k1 + k2
2 2

l+1 l 1 l 1 l l
= + t + ( + t )
2 2

l+1 l l 1 2 2 l
= + t + t
2
l+1
= (1 + t + t2 2
/2) l

l+1
= l
= l 1
where =1+ t + t2 2
/2
 l+1 l l 1
Prove that = =

1
= Given
2 1
=
3 2 2 1
= =
4 3 3 1
= =
.. .. ..
. = . = .
l+1 l l 1
= =
Hence, for stability
2 2
| | = |1 + t + t /2| 1
 2 2
| | = |1 + t + t /2| 1

The stability boundary is can be found by solving

2 2
|1 + t + t /2| = 1

A complex number
Need to find lt where the above complex number has a
magnitude of 1. Any complex number that has a magnitude 1 can
be represented by
i
|e | = 1
Hence we want to find values of lt that make
2 2
|1 + t + t /2| = 1
1+ t + t2 2
/2 = ei
1+ t + t2 2
/2 ei = 0
 2 2 i
1+ t + t /2 e =0
Note that
0 2n

where n is the order of the polynomial.

You can follow the steps above and show that the stability region
for the 4th order Runge-Kutta method can be found by solving

2 2 3 3 4 4
t t t i
t+ + + +1 e =0
2 6 24
where
0 8 = 0
Example O09.1: Write MATLAB program to find stability
boundary for the 2nd-order Runge-Kutta method solving the
model problem
!
! d
! = = f( )
! dt
From the theory presented above, we need to solve
1+ t + t2 2
/2 ei = 0

To be consistent with notation introduced previously, we let

t =p
Hence
2 i
1 +p +p /2 e =0
2 i
1 + p + p /2 e =0

This is a 2nd order polynomial in terms of p. We can use Newton-

Raphson polynomial to solve this equation. Note that
0 2n

where n is the order of the polynomial.

function MPO09p1a()!
2 i
clear all;!
close all;!
g(p) = 1 + p + p /2 e =0
!
theta=0:0.1:4*pi;! dg
! =1+p
%initial guess value of p! dp
p=0;!
!
for n=1:length(theta)!
Newton Raphson
gp=1+p+p^2/2.0-exp(i*theta(n));!
dgdp=1+p;! g(pold )
while abs(gp)>1.0e-6! pnew = pold dg
p=p-gp/dgdp!
dp (p old )
gp=1+p+p^2/2.0-exp(i*theta(n));!
dgdp=1+p;! 3
end!
lamdt(n)=p;! =
end! 2

!
plot(real(lamdt),imag(lamdt),'b-','linewidth',5);!
xlabel('\lambda_{Re}\Delta t');! 1

ylabel('\lambda_{Im}\Delta t');!
axis([-4 2 -3 3]);!
= 2 =0
Im t
daspect([1 1 1]); 0

= 4
1

2
= 3

3
4 3 2 1 0 1 2
Re t
Alternatively, we can get MATLAB to plot contours of
| | = |1 + t + t2 2
/2|

We can do that using the contour() command in MATLAB

 (-4,4) (4,4)

function MPO09p1b()!
clear all;!
close all;!
!
relamdt=-4:0.1:4;!
imlamdt=-4:0.1:4;!
[x,y]=meshgrid(relamdt,imlamdt);! (-4,-4) (4,-4)
axis square;!
lamdt=x+i*y;! t = Re( t) + iIm( t)
sig=1+lamdt+lamdt.^2/2; !
contour_levels=[1 2 3 4];! =1+ t + t2 2
/2
contour(x,y,abs(sig),contour_levels,'linewidth
',4);!
xlabel('Re \lambda \Delta t','Fontsize',14);!
contour ||
ylabel('Im \lambda \Delta t','Fontsize',14);! 4
hold on;!
plot([-4 4],[0 0],'k');!
| |
3

plot([0 0],[-4 4],'k');!

title('contour |\sigma|','Fontsize',14);! 2

Im t 0

| |=4 1

| |=3 2

| |=2 3

| |=1 4
4 3 2 1 0 1 2 3 4
Re t
 2.83
1+ h+
2 2
h
eI = 0
4th order Runge Kutta
2

-2.79 2nd order Runge Kutta

Euler

-2.0

-2.83
2 2 3 3 4 4
h h h
h+ + + +1 eI = 0
2 6 24
 Stability region for RK4 is bigger than RK2
In order for your code to be stable, !
you need to pick t such that it falls within !
2 2
h
the stability region of your numerical scheme.
1+ h+ eI = 0
2

For example, if you want to solve

d
= 10
dt
-2.79
using Euler, the maximum value of t you !
can use is

2 1
tmax,Euler = = = 0.2
10 5
If you were to use RK4, then the maximum
value of t you can use is
2 2 3 3 4 4
h h h
h+
2
+
6
+
24
+1 eI = 0
2.79
tmax,RK4 = = 0.279
10
 Back to this slide again: stability analysis predicts this behaviour
1exp(t) 1exp(t) 1exp(t)
2 2 30

1.8 1.8

20
1.6 1.6

1.4 1.4
10

Explicit Euler
1.2 1.2

1 1 0

0.8 0.8

10
0.6 0.6

0.4 0.4
20

0.2 0.2

0 0 30
0 1 2 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8
t t t

1exp(t) 1exp(t) 1exp(t)

2 2 30

1.8 1.8

20
1.6 1.6

2nd-order!
1.4 1.4
10

1.2 1.2

1 1 0

Runge-Kutta 0.8

0.6

0.4
0.8

0.6

0.4
10

20

0.2 0.2

0 0 30
0 1 2 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8
t t t

1exp(t) 1exp(t) 1exp(t)

2 2 30

1.8 1.8

20
1.6 1.6

4th-order!
1.4 1.4
10

1.2 1.2

1 1 0

Runge-Kutta 0.8

0.6

0.4
0.8

0.6

0.4
10

20

0.2 0.2

0 0 30
0 1 2 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8
t t t
End of Example O09.1
Runge-Kutta methods for a!
System of ODEs
In general, a system of M ODEs can be written as
d 1
= f1 ( 1 , 2 , 3 , . . . . . . , M , t)
dt
d 2
= f2 ( 1 , 2 , 3 , . . . . . . , M , t)
dt
d 3
= f3 ( 1 , 2 , 3 , . . . . . . , M , t)
dt
.. ..
.=.
d M
= fM ( 1 , 2 , 3 , . . . . . . , M , t)
dt

Runge-Kutta method can easily be extended to solve a system of M

equations
 d 1
= f1 ( 1 , t)
dt
RK-2

l+1 l 1 1
1 = 1 + t k1 + k2
2 2
l l
k1 = f( 1, t )
l l
k2 = f( 1+ tk1 , t + t)
 d 1
= f1 ( 1 , t) d 1
dt
RK-2
= f1 ( 1, 2 , t)
l l
dt
k1 = f( 1, t )
k2 = f( l
1+ tk1 , tl + t)
d 2
= f2 ( 1, 2 , t)
l+1
1 = l
1 + t
1
2
1
k1 + k2
2
dt
k1 associated with !
RK-2 f1
k2 associated with !

l+1 l 1 1 f1
1 = 1 + t k11 + k21

2 2

k2 associated with !
l+1 l 1 1 f2
2 = 2 + t k12 + k22
2 2
l l l
k1 associated with !
k11 = f1 ( 1, 2, t ) f2
l l l
k12 = f2 ( 1, 2, t )

l l
k21 = f1 1 + tk11 , 2 + tk12 , tl + t
l l
k22 = f2 1 + tk11 , 2 + tk12 , tl + t
 d 1 d 1
= f1 ( 1 , t)
dt = f1 ( 1, 2, 3 , t)
RK-2 dt
k1 = f( l l d 2
1, t ) = f2 ( 1, 2, 3 , t)
k2 = f( l
1+ tk1 , t +l
t) dt

l+1
= l
+ t
1 1
k1 + k2 d 3 k1 associated with !
1 1
2 2 = f3 ( 1, 2, 3 , t) f1
dt
k2 associated with !
d 1 RK-2 f1
= f1 ( 1, 2 , t)
dt 1 1
l+1
= l
+ t k11 + k21 k2 associated with !
d 2 1 1
f2
= f2 ( 1, 2 , t) 2 2
dt
l+1 l 1 1
2 = 2 + t k12 + k22 k1 associated with !
RK-2 2 2 f2

l+1 l 1 1 k2 associated with !
l+1 l 1 1 = 3 + t k13 + k23
1 = 1 + t k11 + k21 3
2 2 f3
2 2
k1 associated with !
l+1 l 1 1
2 = 2 + t k12 + k22 f3
2 2 l l l l
k11 = f1 ( 1, 2, 3, t )
l l l
k11 = f1 ( 1, 2, t ) l l l l
l l l k12 = f2 ( 1, 2, 3, t )
k12 = f2 ( 1, 2, t )
l l l l
k13 = f3 ( 1, 2, 3, t )
l l
k21 = f1 1 + tk11 , 2 + tk12 , tl + t
l l
k22 = f2 + tk11 , + tk12 , tl + t l l l
1 2 k21 = f1 1 + tk11 , 2 + tk12 , 3 + tk13 , tl + t
l l l
k22 = f2 1 + tk11 , 2 + tk12 , 3 + tk13 , tl + t
l l l
k23 = f3 1 + tk11 , 2 + tk12 , 3 + tk13 , tl + t
Example O09.2: Write a MATLAB program to solve the
nonlinear ODE
!
3 2
! d 1d
! 3
+ 2
=0
! dt 2 dt
!
!
with (0)=0, (d/dt)(0)=0, (d2/dt2)(0)=0.332 using the 4th-
order Runge-Kutta method. Plot d/dt for 0<t<25.
 d3 1 d2
+ =0 (9.1)
dt3 2 dt2
d d2
(0) = 0.0 (0) = 0.0 (0) = 0.332 0 t 25
dt dt 2

Let
2 2
1 = , 2 = d /dt, 3 =d /dt
so
d 1 d d 2 d2
= = 2 = 2 = 3
dt dt dt dt
and
1 (0) = 0.0 2 (0) = 0.0 3 (0) = 0.332

Equation (9.1) can be rewritten as

2
d 3 1d 1
= 32 1 = 3 1
dt 2 dt 2
function MPO9p2()! d 1
= 2
clear all;! dt
close all;!
! d 2 0 t 25
= 3
Delta_t=0.1; ! dt
t=0:Delta_t:25; !
phi=zeros(length(t),3); ! d 3 1
phi(1,:)=[0.0 0.0 0.332]; ! = 3 1
! dt 2
for n=1:length(t)-1!
k1=f(phi(n,:));! 1 (0) = 0.0 2 (0) = 0.0 3 (0) = 0.332
k2=f(phi(n,:)+Delta_t*k1);!
phi(n+1,:)=phi(n,:)+Delta_t*(k1/2+k2/2);! d 1
end! = f1 ( 1, 2, 3 , t)
dt
! d 2
= f2 ( 1, 2, 3 , t)
plot(t,phi(:,2),'ko-') ! dt
d 3
hold on! dt
= f3 ( 1, 2, 3 , t)

xlabel('t');!
ylabel('d\phi/dt');! RK-2
!
l l l l
function dphidt=f(phi)! k11 = f1 ( 1, 2, 3, t )
dphidt=[phi(2) phi(3) -0.5*phi(3)*phi(1)];! k12 = f2 ( l l l l
1, 2, 3, t )
! k13 = f3 ( l l l l
1, 2, 3, t )
l l l
k21 = f1 1 + tk11 , 2 + tk12 , 3 + tk13 , tl + t
l l l
k22 = f2 1 + tk11 , 2 + tk12 , 3 + tk13 , tl + t
l l l
k23 = f3 1 + tk11 , 2 + tk12 , 3 + tk13 , tl + t

l+1 l 1 1
1 = 1 + t k11 + k21
2 2

l+1 l 1 1
2 = 2 + t k12 + k22
2 2

l+1 l 1 1
3 = 3 + t k13 + k23
2 2
function MPO9p2()!
clear all;!
close all;!
!
Delta_t=0.1; !
t=0:Delta_t:25; !
phi=zeros(length(t),3); !
phi(1,:)=[0.0 0.0 0.332]; !
!
for n=1:length(t)-1!
k1=f(phi(n,:));!
k2=f(phi(n,:)+Delta_t*k1);!
phi(n+1,:)=phi(n,:)+Delta_t*(k1/2+k2/2);!
end!
! 1
plot(t,phi(:,2),'ko-') !
hold on! 0.9

xlabel('t');!
0.8
ylabel('d\phi/dt');!
! 0.7

function dphidt=f(phi)!
0.6
dphidt=[phi(2) phi(3) -0.5*phi(3)*phi(1)];!
!
d/dt
0.5

0.4

0.3

0.2

0.1

0
0 5 10 15 20 25
t
End of Example O09.2
CRANK-NICOLSON FORMULA

ODE to solve:
d
(t) = f ( , t)
dt

Apply Crank-Nicolson:

l+1 l 1 l l l+1 l+1

= + t f( , t ) + f( ,t )
2
 1.2. EULER METHODS 19
GRAPHICAL COMPARISON
This method is an implicit method because it has l+1 on both sides of the equation,
so we are using information at time step l + 1 that we dont yet know in order to
take our next step (Figure 1.7). If we are only 1.3.
solving a single ODE then, depending
CRANK-NICOLSON METHODS Crank-Nicolson:
Explicit Euler: Implicit Euler:
upon the form of f , we may still be able to rearrange Equation 1.11 to obtain an
explicit expression. If we are solving a system of ODEs take average of slopes
then we will need to solveMethods
1.3 Crank-Nicolson
take slope at t l of equations (either linear or nonlinearl+1
a system
eachDIFFERENTIAL
time step.
take slope at t
depending upon the form of f ) at
l l+1 at t and t
CHAPTER 1. ORDINARY EQUATIONS

l+1

} El+1local

tl+1)
tl+1)
} l+1
E local
t )
l+1

}
l+1

l
l El+1local l

l+1

t t t
tl
t l+1 tl tl+1 t
l
t l+1
}

}
}

t t t
l+1 l l l l+1 l l+1 l+1 l+1 l 1
= + tf
matic illustrating one step in Figure
( , t )
1.7: Euler
the explicit A schematic =
method. illustrating
+ tf (
The green one stepFigure
, t
in the1.11: )
implicit = illustrating
Euler method. + Thet one step in the Crank-Ni
A schematic 2 l l
e gradient f ( l , tl ) which is used
greento arrow illustrates
step the solution forward. The f ( l+1 , tl+1
the gradient )
greenwhich is
arrows used to step
illustrate the
the
solution
gradients l f (l , t ) and f (
l+1
l+1 l+1
,t )
l+1
computed step to l+1 forward. The pink line illustrates
. The blue line illustrates the analytical computed step to l+1
. The blue line f (
illustrates , t ) + f
to step the solution forward. The pink line illustrates compute( , t )
rated is the local truncation the analytical
error, solution.
which is the Alsobetween
dierence illustrated is the local truncation error, which is the
blue line illustrates the analytical solution. Also illustrated is
numerical solutions at time dierence
step l + 1.between the analytical and numerical solutions at time step l + 1.
error, which is the dierence between the analytical and numeri
step l + 1.
 (t) Illustration of explicit Eulers method
Predicted value of l+1
d l l
Error
= f( , t )
dt
l+1 (t)
(t )
True value of l+1

l+1 l l l
l = + tf ( , t )
(t )
Eulers formula

t
l l+1
t t
 (t) Illustration of the implicit Euler method
l+1 l l+1 l+1
= + tf ( ,t )

True value of l+1

Error

l
Predicted value of l+1

t
l
t t l+1
 Summary
(t) Illustration of explicit Eulers method (t) Illustration of the implicit Euler method
Predicted value of l+1 l+1
= l
+ tf ( l+1
, tl+1 )
d Error
= f ( l , tl )
dt True value of l+1
(tl+1 ) (t)
True value of l+1
Error
l+1 l
= + tf ( l , tl ) l
(tl ) Predicted value of l+1
Eulers formula

t t

t l
tl+1 tl tl+1
(t) Illustration of Crank Nicolson method
l+1 l 1
= + t f ( l , tl ) + f ( l+1 l+1
,t )
2

Error
Predicted value of l+1
l

t
tl tl+1
Example O09.3:
!
Using Crank-Nicolson method, solve
!
! d
! =1
! dt
!
For 0 < t < 8 with (t=0)=0 and
a) t=2
b) t=1
c) t=0.5
d) t=0.1
!
Compare your solution with Eulers method
d
=1 = f ( , t)
dt
Crank Nicolson formula
l+1 l 1
= + t f ( l , tl ) + f ( l+1
,t l+1
)
2

1
l+1
= l
+ t f1( l , tll) + f1( l+1l+1
l+1
,t )
2

t l+1 t l
1+ = 1 + t
2 2

t l
l+1 1 2 + t
= t
1+ 2
function MPO09p3()!
!
close all!
clear all!
!
t l
tmin=0.0;!
l+1 1 2 + t
tmax=8.0;!
! = t
[t1,phi1]=MyCrankNicolson([tmin tmax],0.0,2.0);!
!
1+ 2
!
plot(t1,phi1,'ko-');!
hold on!
ezplot(@(t)1-exp(-t),[0,8,0,2])!
xlabel('t');!
ylabel('\phi');!
legend('Crank-Nicolson','True');!
!
function [t,phi]=MyCrankNicolson(tspan,phi0,Delta_t)!
t=tspan(1):Delta_t:tspan(2);!
1exp(t)
phi=zeros(length(t),1);! 2
phi(1)=phi0;! Euler
for n=1:length(t)-1! 1.8 True
phi(n+1)=((1-Delta_t/2)*phi(n)+Delta_t)/(1+Delta_t/2);!
end!
Crank-Nicolson
1.6

1.4

1.2

0.8

0.6

Output 0.4

0.2

0
0 1 2 3 4 5 6 7 8
t
 Compare implicit Euler, explicit Euler and Crank Nicolson method for t=2.0

1exp(t) 2
2
Euler

t=2.0
Euler True

t=2.0
True 1.8
1.8

1.6
1.6

1.4
1.4

1.2 1.2

0.8 0.8

0.6 0.6

0.4 0.4

0.2 0.2

0 0
0 1 2 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8
t 1exp(t) t
2
Euler

t=2.0
1.8 True

1.6

1.4

1.2

0.8

0.6

0.4

0.2

0
0 1 2 3 4 5 6 7 8
t
End of Example O09.3
Example O09.4: Write a MATLAB program that uses the Crank-
Nicolson method to solve
!
! d
! = i2
!
dt
!
for 0 < t < 10 with (t=0)=1.

Analytical solution: (t) = ei2t

Applying the Crank-Nicolson method, we obtain

l+1 1
= l + t i2 l
+ i2 l+1
2
l+1 l
(1 i t) = (1 + i t)
l+1 1+i t l
=
1 i t
function MPO9p4()!
% Solve dphi/dt = i*2*phi, phi(0) = 1, 0 < t <
10.!
clear all;! l+1 1+i t l
close all;! =
! 1 i t
Delta_t=0.1; % Time step size!
t=0:Delta_t:10.0; % Time vector!
phi=zeros(size(t)); % Solution vector!
phi(1)=1.0; % Initial condition!
for n=1:length(t)-1!
phi(n+1)=phi(n)*(1+Delta_t*i)/(1-
Delta_t*i);!
end!
!
plot(t,real(phi),'ko-') % Plot numerical
real(exp(i 2 t))
solution! 2
hold on! CrankNicolson
True
ezplot(@(t)real(exp(i*2*t)),[0,10,-2,2]) % Plot 1.5

analytical solution!
xlabel('t');! 1

ylabel('\phi');!
legend('Crank-Nicolson','True'); 0.5

0.5

1.5

Output 2
0 1 2 3 4 5 6 7 8 9 10
t
 real(exp(i 2 t))
2
CrankNicolson
Explicit Euler
1.5 Implicit Euler
True

0.5

0.5

1.5

2
0 1 2 3 4 5 6 7 8 9 10
t

Amplitude of explicit Euler solution grows with time!

Amplitude of implicit Euler solution decays with time!
Amplitude of Crank Nicolson solution remain constant
End of Example O09.4