MATLAB Tutorial

ZPEM3311
Mathematical Methods for

Differential Equations
Numerical Methods and Techniques using MATLAB

c Dr. G.N. Mercer
Index
Preface
These notes comprise the numerical part of the course ZPEM3311 Mathematical Methods
for Differential Equations. They are not a complete set of notes. Extra material and
examples may also be presented in the lectures and tutorials.
Using the electronic version of these notes
These notes are hyperlinked. All green text is a link to somewhere else within this docu-
ment. For example the contents page links to the appropriate page in the text, the numbers
in the index link to the page reference, the word Index in the header of most pages links to
the index and the page numbers in the header on each page link back to the contents page.
There are also some internal linked words that take you to the relevant text. Links to ex-
ternal web pages are red in colour. Provided your PDF reader (eg Adobe Acrobat Reader)
is set up correctly these links should open the appropriate page in your web browser (eg
Microsoft Internet Explorer, Netscape, Mozilla).
MATLAB code
The MATLAB codes used in these notes are available at the course webCT site.
MATLAB code in the text is usually shown in purple and the resulting output in blue.
If you have any difficulties with any part of the course do not hesitate in contacting me to
sort them out.
Geoff Mercer
Room G12 Science South
School of Physical, Environmental and Mathematical Sciences
Phone: 6268 8734
Email:g.mercer@adfa.edu.au
ii Index
Contents
1 Introduction to MATLAB 1
1.1 Access to MATLAB . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Using MATLAB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.3 A few simple examples . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.4 Running MATLAB scripts . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.5 Sending output to a file . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.6 MATLAB help facility and lookfor command . . . . . . . . . . . . . . . 8
1.7 Functions in MATLAB . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.8 Functions in MATLAB – vector input . . . . . . . . . . . . . . . . . . . 10
1.9 Passing function names . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.10 MATLAB finding zeros . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.11 An Introduction to solving DEs numerically . . . . . . . . . . . . . . . . 14
1.12 Symbolic Manipulation . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
1.12.1 Differentiating using MATLAB . . . . . . . . . . . . . . . . . . 17
1.12.2 Integrating using MATLAB . . . . . . . . . . . . . . . . . . . . 19
1.12.3 Solving equations . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.13 Some Elementary MATLAB Commands . . . . . . . . . . . . . . . . . . 20
2 Laplace Transforms 23
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
2.2 Some standard results in Laplace Transforms . . . . . . . . . . . . . . . 23
2.2.1 Heaviside function . . . . . . . . . . . . . . . . . . . . . . . . . 23
2.2.2 Dirac delta function . . . . . . . . . . . . . . . . . . . . . . . . . 25
2.2.3 First shifting theorem . . . . . . . . . . . . . . . . . . . . . . . . 26
2.2.4 The second shifting theorem . . . . . . . . . . . . . . . . . . . . 26
2.2.5 Transforms of derivatives . . . . . . . . . . . . . . . . . . . . . . 26
2.2.6 Multiplication by t . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.2.7 Integral theorem . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.2.8 Division by t . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.2.9 Convolution theorem . . . . . . . . . . . . . . . . . . . . . . . . 27
2.2.10 Taking Laplace transforms using MATLAB . . . . . . . . . . . . 28
2.3 Inversion of Laplace transforms . . . . . . . . . . . . . . . . . . . . . . 29
2.3.1 Partial fractions . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.3.2 Application of partial fractions to inversion . . . . . . . . . . . . 31
2.3.3 MATLAB functions for partial fractions . . . . . . . . . . . . . . 33
2.3.4 Inversion using MATLAB . . . . . . . . . . . . . . . . . . . . . 36
2.3.5 Systems of Equations . . . . . . . . . . . . . . . . . . . . . . . . 38
iv CONTENTS Index
3 Initial Value Problems 41

3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
3.2 Numerical approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
3.3 Euler’s method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
3.3.1 Graphically . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
3.3.2 Errors and order of the method . . . . . . . . . . . . . . . . . . . 44
3.3.3 Adjusting the step size . . . . . . . . . . . . . . . . . . . . . . . 46
3.4 Improvements to Euler’s method - midpoint method . . . . . . . . . . . . 50
3.5 Second order Runge-Kutta method . . . . . . . . . . . . . . . . . . . . . 53
3.6 Fourth order Runge-Kutta method . . . . . . . . . . . . . . . . . . . . . 56
3.7 ode45 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
3.8 Projectile example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
4 Phase Plane Analysis 63

4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
4.1.1 Quiver plots . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
4.2 Predator-Prey model . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
4.3 Competition model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
4.4 SIR disease model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
5 Boundary Value Problems 79

5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
5.2 Shooting method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
5.2.1 Shooting method using guesses . . . . . . . . . . . . . . . . . . 80
5.2.2 Shooting method using fzero . . . . . . . . . . . . . . . . . . . . 82
5.3 Relaxation methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
5.3.1 Finite differences . . . . . . . . . . . . . . . . . . . . . . . . . . 84
5.3.2 Using finite differenes to solve a BVP . . . . . . . . . . . . . . . 85
5.3.3 Comments on solving matrix equations . . . . . . . . . . . . . . 92
5.3.4 Finite elements . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
5.3.5 Symbolic form of a BVP . . . . . . . . . . . . . . . . . . . . . . 94
5.3.6 Finite element theory . . . . . . . . . . . . . . . . . . . . . . . . 94
5.3.7 Finite element example . . . . . . . . . . . . . . . . . . . . . . . 97
5.3.8 Finite element summary . . . . . . . . . . . . . . . . . . . . . . 100
5.4 Differential eigenvalue equations . . . . . . . . . . . . . . . . . . . . . . 101
6 Partial Differential Equations (PDEs) 109

6.1 Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
6.2 Functions of more than one variable . . . . . . . . . . . . . . . . . . . . 109
6.2.1 Types of problems . . . . . . . . . . . . . . . . . . . . . . . . . 109
6.2.2 Examples of PDEs . . . . . . . . . . . . . . . . . . . . . . . . . 109
6.3 Basic definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
Index CONTENTS v
6.3.1 Order of a PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . 110

6.3.2 Linear PDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
6.3.3 Why use numerical methods . . . . . . . . . . . . . . . . . . . . 110
6.4 Three common PDEs in applications . . . . . . . . . . . . . . . . . . . . 111
6.5 The diffusion equation . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
6.5.1 Heat conduction . . . . . . . . . . . . . . . . . . . . . . . . . . 112
6.5.2 Mass diffusion . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
6.5.3 Diffusion equation in 2D and 3D . . . . . . . . . . . . . . . . . . 112
6.6 Laplace’s equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
6.6.1 Equilibrium solutions . . . . . . . . . . . . . . . . . . . . . . . . 113
6.6.2 Other applications . . . . . . . . . . . . . . . . . . . . . . . . . 113
6.7 The wave equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
6.7.1 Sonar, radar, seismic waves . . . . . . . . . . . . . . . . . . . . 114
6.7.2 2D and 3D waves . . . . . . . . . . . . . . . . . . . . . . . . . . 114
6.8 Poisson’s equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
6.9 Other co-ordinate systems . . . . . . . . . . . . . . . . . . . . . . . . . 115
6.10 Boundary and initial conditions . . . . . . . . . . . . . . . . . . . . . . . 116
6.10.1 ICs and BCs . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
6.10.2 Number of initial and boundary conditions . . . . . . . . . . . . 116
6.10.3 A typical initial condition . . . . . . . . . . . . . . . . . . . . . 116
6.10.4 Typical boundary conditions . . . . . . . . . . . . . . . . . . . . 116
6.11 Types of boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . 117
6.12 Different solution approaches . . . . . . . . . . . . . . . . . . . . . . . . 119
6.12.1 Separation of variables . . . . . . . . . . . . . . . . . . . . . . . 119
6.12.2 Other approaches . . . . . . . . . . . . . . . . . . . . . . . . . . 119
6.12.3 Numerical techniques . . . . . . . . . . . . . . . . . . . . . . . . 119
6.12.4 Value of analytic solutions . . . . . . . . . . . . . . . . . . . . . 119
6.13 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
6.14 Classification of PDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
7 Parabolic Equations: Diffusion Equation 125

7.1 Finite differences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
7.1.1 First Derivative . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
7.1.2 Second Derivative . . . . . . . . . . . . . . . . . . . . . . . . . 125
7.2 FTCS method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
7.2.1 Discretise the region . . . . . . . . . . . . . . . . . . . . . . . . 126
7.2.2 Template for the FTCS Method . . . . . . . . . . . . . . . . . . 129
7.2.3 FTCS example . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
7.2.4 Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
7.2.5 Unstable Example . . . . . . . . . . . . . . . . . . . . . . . . . 133
7.3 Crank-Nicolson method . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
7.3.1 Template . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
vi CONTENTS Index
7.3.2 Matrix Representation . . . . . . . . . . . . . . . . . . . . . . . 135

7.3.3 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
7.4 Method of lines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
7.5 Other boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . 141
7.5.1 Neumann Boundary Condition . . . . . . . . . . . . . . . . . . . 142
7.5.2 Cauchy Boundary Condition . . . . . . . . . . . . . . . . . . . . 145
7.6 Nonlinear Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
7.7 Other co-ordinate systems . . . . . . . . . . . . . . . . . . . . . . . . . 148
7.7.1 Disc example . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
7.7.2 L’Hopital’s Rule . . . . . . . . . . . . . . . . . . . . . . . . . . 149
7.7.3 FTCS Method . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
8 Elliptic Equations: Laplace’s Equation 155

8.1 Example with Dirichlet boundary conditions . . . . . . . . . . . . . . . . 155
8.2 Improving the convergence . . . . . . . . . . . . . . . . . . . . . . . . . 159
8.3 Gauss-Seidel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
8.3.1 Successive Over Relaxation . . . . . . . . . . . . . . . . . . . . 160
8.3.2 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
8.3.3 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
9 Hyperbolic Equations: Wave Equation 167

9.1 Finite Differences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
9.1.1 Stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
9.2 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
10 Concluding Remarks 171

10.1 Irregular Boundaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171
10.2 Commercial Software . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171
10.3 Finally . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172
1 Introduction to MATLAB
MATLAB (MATrix LABoratory) is a very powerful package designed for numerical anal-
ysis, matrix calculations and visualisation (as well as many other applications). One of
MATLABs strengths is that it can be used as a simple ‘calculator’ and also is easy to
program more complicated tasks. Many mathematical algorithms are already built in to
MATLAB and many more are easily added.
1.1 Access to MATLAB
University College has a limited user licence for the full version of MATLAB, this is
available via any central computing facility. Alternatively (and preferred as it is more
flexible for you) you can purchase MATLAB (from the Co-op Bookshop), this is a student
release. The most recent version is MATLAB 7, R2006b. Older versions of MATLAB
had a student edition which is more than adequate for this course (and is often all that
is ever needed for many applications). You will find that purchasing a copy is the best
option as you will be using MATLAB in a number of your other third year courses during
the year. MATLAB is on the essential textbook list so you will be able to be reimbursed
for its purchase.
1.2 Using MATLAB
MATLAB is an interactive program so you can enter commands at the prompt or read
in files with lines of MATLAB commands. For relatively simple tasks it is acceptable
to enter commands at the prompt but for more complicated tasks it is better to store the
commands in a file and then read in the file. This makes it easy to change the commands
and to store them. In fact all inbuilt MATLAB commands are written as files of com-
mands. For this reason there are vast numbers of MATLAB files (called M-files) written
for various purposes available on the internet. A central repository of contributed M-files
can be found at http://www.mathworks.com/matlabcentral/.
For this course you should do your work using M-files as these will be handed up as part
of your assignments along with the relevant output.
All M-files given in the notes will be available from the course webCT page. Many of the
assignment questions will be a modification of these files.
2 1. INTRODUCTION TO MATLAB Index
1.3 A few simple examples
1. Matrix Manipulation
Enter a 2× 2 matrix find its inverse, and eigenvalues and eigenvectors. Check that
its inverse times itself is the identity.
MATLAB code
% any thing after a % sign is a comment
A=[1,2;3,4] % enter the 2x2 matrix and call it A
B=inv(A) % calculate the inverse of A and call it B
eig(A) % calculate the eigenvalues of A
[V,D]=eig(A) % calc the eigenvectors (columns of matrix V)
% diagonal matrix D (eigenvalues on diagonal)
check=B*A
If these commands are stored in an M-file called example1.m then to run it type
example1 (without the .m) from within MATLAB. (Note you have to be in the
same directory as the file is saved in, or have made that directory in the path that
MATLAB looks in). The MATLAB output from these commands is the following
A =
1 2
3 4
B =
-2.0000 1.0000
1.5000 -0.5000
ans =
-0.3723
5.3723
V =
-0.8246 -0.4160
0.5658 -0.9094
D =
-0.3723 0
0 5.3723
check =
1.0000 0
0.0000 1.0000
Index A FEW SIMPLE EXAMPLES 3
2. Plotting
MATLAB has very good graphics capability. The easiest method for simple plots
is to define a vector (for example x) and then perform a function on each element
of that vector (eg y(x)) and then plot y(x) versus x.
Defining a vector is straightforward. The MATLAB command x=a:b:c defines
x to be a vector of values starting at a increasing in steps of b to c. For example
x=-4:3:8 results in x being the vector [−4, −1, 2, 5, 8].
Example. Plot y = x2 + sin(xπ ).
MATLAB code
x=-5:0.2:5; % define a vector x with values

% from -5 to 5 in steps of 0.2
% the semicolon suppresses the output
y=x.*x+sin(x*pi); % calculate y=x*x+sin(x*pi), note the .*
% this is because x is a vector so we need
% to multiple ’component by component’
plot(x,y)
print -deps example2 % send the plot output to a
% postscript file called example2.eps
25
20
15
10
−5
−5 0 5
3. Plotting data
It is very easy to read data in from a file, manipulate it and plot it. The command
load is used to load data from an external file. For example read data from a file
called datafile, calculate the line of best fit to the data and add some titles, legend
and text to the plot.
MATLAB code
% read data from the file datafile. This puts it into
% a variable matrix called datafile by default
load datafile
x=datafile(:,1) % put first column into variable x
y=datafile(:,2) % put second column into variable y
% Fit a linear regression line to the data

t=[ones(size(x)) x];
coeffofregn=t\y
straightline=[ones(size(x)) x]*coeffofregn;
% Plot the data and line and add titles and labels
plot(x,y,’ro’,x,straightline,’b-’)
title(’data and line of best fit’)
xlabel(’x’)
ylabel(’y’)
% add some text to the plot and a legend (the number is

% where to put the legend,2 is the top left corner)
text(3,20,’This is text’)
legend(’data’,’line of best fit’,2)
data and line of best fit

70
data
line of best fit
60
50
40
y
30
20 This is text
10
0 1 2 3 4 5 6 7 8
x
Index A FEW SIMPLE EXAMPLES 5
4. 3D Plotting
MATLAB has very good 3D graphics capability. The easiest method is do define
the domain using the meshgrid command, then define the function and then plot
it using mesh or surf commands.
Example. Plot z = 4x2 − 2y2 .
MATLAB code
[x,y]=meshgrid(-5:0.5:5,-2:1.0:7);
% define the mesh (x,y) the domain of plotting
% x from -5 to 5 in steps of 0.5
% y from -2 to 7 in steps of 1.
z=4*x.*x-2*y.ˆ2;
% calculate z=4xˆ2-2yˆ2
% note the .* and .ˆ this is because x and y are
% vectors so we need to multiple ’component by component’
mesh(x,y,z)
% draw the surface as a mesh
% or use surf(x,y,z) to draw it as a surface
print -depsc example2a
% send the plot output to a colour postscript file
100
50
−50
−100
10
5 5
0 0
−5 −5
5. Solving Linear Equations

The original reason for developing MATLAB was to perform matrix calculations.
Due to this it has many convenient ways of dealing with matrices. For example
to solve a linear equation system Ax = b there is a command known as ’backslash
divide’.
MATLAB code
A=[1,2,3;4,5,6;7,8,10]; % define the matrix A

b=[1,1,1]’; % note the ’ to take transpose
% or could do b=[1;1;1]
x=A\b % solve for x
x =
-1.0000
1.0000
0.0000
6. Extracting Segments of Matrices

Often you may want to extract sections of a matrix. For example all of the first row
or the second column.
MATLAB code
A=[1,2,3;4,5,6;7,8,10];
c=A(1,:) % extract all of the first row of A
d=A(:,2) % extract all of the second column of A
c =
1 2 3
d =
2
5
8
diary off
Index RUNNING MATLAB SCRIPTS 7
1.4 Running MATLAB scripts
One of the easiest and most transportable ways to use MATLAB is to enter your MATLAB
commands into a file and then run that file. These types of files are called M-files and have
the extension .m after their name. To run an M-file from MATLAB make sure you are in
the directory where the file is located and then just type the name of the file without the
extension (i.e. without the .m). MATLAB will then process all the commands that are in
that file.
Example
1. Create a file called example1.m

2. In that file put the following lines
format compact % this outputs in a compact form

A=[1,2;3,-4] % this enters the 2x2 matrix A
C=Aˆ10 % this finds the tenth power of A
eig(C) % this finds the eigenvalues of C
3. From within MATLAB type

example1
that will run the commands in example1.m
4. The following will appear on the screen
A =
1 2
3 -4
C =
1395967 -2789886
-4184829 8370682
ans =
1024
9765625
1.5 Sending output to a file
Often you want to keep the output of a MATLAB command. The diary commands does
that for you. By typing
diary example1.out
all subsequent output will sent to the file example1.out as well as to the screen.
To turn the diary command off use
diary off
1.6 MATLAB help facility and lookfor command
MATLAB has a comprehensive help facility. It is accessed by typing help followed by

the name of the command you require help on. For example
help diary
will return the following
DIARY Save text of MATLAB session.

DIARY filename causes a copy of all subsequent command window input
and most of the resulting command window output to be appended to the
named file. If no file is specified, the file ’diary’ is used.
DIARY OFF suspends it.

DIARY ON turns it back on.
DIARY, by itself, toggles the diary state.
Use the functional form of DIARY, such as DIARY(’file’),

when the file name is stored in a string.
Note that the help facility uses capitals for the command name, capitals should NOT be
used when actually using the commands.
If you don’t know the name of the function then use

lookfor keyword
This will find all occurrences of functions or commands with the specified keyword.
For example
lookfor differentiate
returns all functions that mention differentiate
lookfor differentiate
POLYDER Differentiate polynomial.
FNDER Differentiate a function.
DIFF Differentiate.
Index FUNCTIONS IN MATLAB 9
1.7 Functions in MATLAB
Sometimes you will want to write your own function in MATLAB. For example an M-file
that takes some kind of input and returns some calculations on that input.
For example write a function that calculates
f (x) = x3 + 4x2 + 3
Create a file called calcf.m that looks like the following

MATLAB code
function f=calcf(x)
% this file is named calcf.m
% this function calculates f(x) and
% returns the answers in the variables f
%
f = xˆ3 + 4*xˆ2 + 3;
return
From within MATLAB type

calcf(3)
to calculate f (3) this results in the following output
calcf(3)
ans =
66
1.8 Functions in MATLAB – vector input
Since MATLAB deals with vectors of numbers it is more useful to write functions so that
they can handle vectors rather than an individual number. The only change needed to
achieve this is to ensure that the calculations within the function are done on an element-
by-element basis by using the .* notation instead of the * notation (and equivalently .ˆ,
./ etc).
For example write a function that calculates
f (x) = x3 + 4x2 + 3
for an input vector x. That is, it should calculate f (x) for each value of a vector x and
return the answer in a vector.
MATLAB code
function f=calcfvec(x)
% this file is named calcfvec.m
% this function calculates f(x) for a vector x and
% returns the answers in the variable f
%
f = x.ˆ3 + 4.*x.ˆ2 + 3;
return
From within MATLAB type

y=0:0.2:1.0
calcfvec(y)
to calculate f (y) this results in the following output
y=0:0.2:1.0
y =
0 0.2000 0.4000 0.6000 0.8000 1.0000
calcfvec(y)
ans =
3.0000 3.1680 3.7040 4.6560 6.0720 8.0000
Index PASSING FUNCTION NAMES 11
1.9 Passing function names
Often in MATLAB you need to pass the name of a function to another function. For
example if you want to numerically calculate the integral of a function MATLAB has an
inbuilt function that does this but somehow you need to tell it what function to integrate.
Hence you need to pass the functions name.
MATLAB has two inbuilt functions for calculating integrals
[A,count]=quad(’funcname’,a,b,tol,trace)
[A,count]=quad8(’funcname’,a,b,tol,trace)
quad uses Simpson’s rule, quad8 uses a degree 8 polynomial. tol is the tolerance for
the convergence using a comparison between successive approximations. trace is an
additional feature for plotting a trace of the integrand used. The answer is returned in A
and count is a count of how many function evaluations have been performed.
funcname is the name of the function to be passed. For example if integrating the function
defined in the M-file quadexamplefunc.m then use quadexamplefunc where ever you see
funcname.
Important Note: The function referenced by ’funcname’ must be written to take a vector
input and give a vector output.
Example
Calculate Z x
2 2
f (x) = √ e−t dt
π 0
For x = 1. This function is known as the error function (erf(x) in MATLAB)
MATLAB code
% quadexample.m
format long % use lots of decimal places
% the ’exact’ answer using MATLABs erf function
errorfunc=erf(1)
% numerically integrate using Simpsons rule (quad)
integral=quad(’quadexamplefunc’,0,1,1e-6)
% now do it again using an 8th order polynomial (quadl)
integral=quadl(’quadexamplefunc’,0,1)
% count the number of function calls using the trace switch
trace=1;
[integral,count]=quad(’quadexamplefunc’,0,1,1e-6,trace)
MATLAB code
function f=quadexamplefunc(x)
% quadexamplefunc.m
% the function to be integrated
f=(2/sqrt(pi))*exp(-x.ˆ2);
return
>> quadexample
errorfunc =
0.84270079294971
integral =
0.84270079342046
integral =
0.84270079427671
5 0.0000000000 1.00000000e+00 0.8427115995

7 0.0000000000 5.00000000e-01 0.5204995573
9 0.0000000000 2.50000000e-01 0.2763263864
11 0.2500000000 2.50000000e-01 0.2441734868
13 0.5000000000 5.00000000e-01 0.3222012775
15 0.5000000000 2.50000000e-01 0.1906557580
17 0.7500000000 2.50000000e-01 0.1315451622
integral =
0.84270079342046
count =
17
diary off
Index MATLAB FINDING ZEROS 13
1.10 MATLAB finding zeros
MATLAB has an inbuilt function for finding zeros of a function called fzero . Its use
is
r=fzero(’funcname’,x0)
searches for a region with a zero of the function defined in funcname.m then uses bisec-
tion method with linear or quadratic interpolation to find the zero.
>> help fzero
FZERO Scalar nonlinear zero finding.

X = FZERO(FUN,X0) tries to find a zero of FUN near X0. FUN
(usually an M-file): FUN.M should take a scalar real value
and return a real scalar value when called with feval:
F=feval(FUN,X). The value X returned by FZERO is near a point
where FUN changes sign, or NaN if the search fails.
X = FZERO(FUN,X0), where X is a vector of length 2, assumes

X0 is an interval where the sign of FUN(X0(1)) differs from
the sign of FUN(X0(2)). An error occurs if this is not true.
Calling FZERO with an interval guarantees FZERO will return
a value near a point where FUN changes sign.
X = FZERO(FUN,X0), where X0 is a scalar value, uses X0 as a

starting guess. FZERO looks for an interval containing a sign
change for FUN and containing X0. If no such interval is found,
NaN is returned. In this case, the search terminates when the
search interval is expanded until an Inf, NaN, or complex value
is found.
See also ROOTS.
>> diary off
Example
Find a zero of x3 − 2x2 − 9 = 0
>> fzero(’findzerof’,4)
Zero found in the interval: [2.72, 4.9051].
ans =
3.0000
>> diary off
MATLAB code
function f=findzerof(x)
% findzerof.m
f=x.ˆ3-2*x.ˆ2-9;
return
1.11 An Introduction to solving DEs numerically
MATLAB has many ways of numerically solving Differential Equations. Here we will
present one method, the details of the method and the mathematics behind it will be
explained in later lectures. This will give you enough now to be able to numerically solve
many of the DEs you will encounter early in this course. Consider a first order ODE
dy
= f (t, y)
dt
subject to some initial condition (at time t = 0)
y(0) = y0
The MATLAB function ode45 will solve these kind of problems. Here is an excerpt
from the help on ode45
ODE45 Solve non-stiff differential equations, medium order method.

[T,Y] = ODE45(ODEFUN,TSPAN,Y0) with TSPAN = [T0 TFINAL]
integrates the system of differential equations y’ = f(t,y) from
time T0 to TFINAL with initial conditions Y0. Function ODEFUN(T,Y)
must return a column vector corresponding to f(t,y). Each row in
the solution array Y corresponds to a time returned in the column
vector T. To obtain solutions at specific times T0,T1,...,TFINAL
(all increasing or all decreasing), use TSPAN = [T0 T1 ... TFINAL].
Example
[t,y]=ode45(@vdp1,[0 20],[2 0]);
plot(t,y(:,1));
solves the system y’ = vdp1(t,y), using the default relative error
tolerance 1e-3 and the default absolute tolerance of 1e-6 for each
component, and plots the first component of the solution.
There are 3 things you need to define to use MATLAB to solve this type of DE.
1. The range of t you wish to calculate the solution over (TSPAN=[T0,TFINAL])
2. The initial condition on y (Y0)
3. An M-file with the function f (t, y) (ODEFUN)
Notes
1. t is returned as a vector of all the times where the solution was determined.
2. Because ode45 is set up to solve systems of equations y is a matrix. The first

dimension corresponds to t, that is solutions at the times in t, the second dimension
is the number of equations which in this case is just 1. This has an impact on how
the ODEFUN function is written. See the next example to see how this works.
Index AN INTRODUCTION TO SOLVING DES NUMERICALLY 15
Example
Solve
dy
= y − 2π cost subject to y(0) = 3
dt
over the range t = [0, 5].
Note that you could solve this particular DE using the Integrating Factor method. The
numerical solution works for DEs that can not be solved analytically. This is the point of
developing numerical methods for solving DEs, they let you get solutions that can not be
obtained analytically.
MATLAB code
% odeex1.m
% solves y’= y-2*pi*cos(t) subject to y(0)=3
% over the range t=[0,5]
%
tspan=[0,5] % sets up the time span
y0=3 % the initial condition
% solve the DE and return solution in t and y
[t,y]=ode45(’odeex1fun’,tspan,y0)
% now plot the solution, note that t is a vector of all the
% points in time where the solution was calculated and y is a
% matrix whose first dimension corresponds to t and second
% dimension is the number of equations (here just 1)
plot(t,y(:,1))
% now send the plot to a file called odeex1.eps to be saved
print -deps odeex1
MATLAB code
function f=odeex1fun(t,y)
% odeex1fun.m
% the RHS of the system of DEs
% note using f(1) and y(1) as these can be vectors
% of longer than 1 if you have more than 1 equation
f(1)=y(1) - 2*pi*cos(t);
f=f(:); % forces f to be a column vector
return
−5
−10
−15
−20
0 1 2 3 4 5
The same files without all the extraneous comments

MATLAB code
% odeex1.m
tspan=[0,5]
y0=3
[t,y]=ode45(’odeex1fun’,tspan,y0)
plot(t,y(:,1))
print -deps odeex1
MATLAB code
function f=odeex1fun(t,y)
% odeex1fun.m
f(1)=y(1) - 2*pi*cos(t);
f=f(:);
return
To solve other single equation DEs simply alter the equation (f(1)=. . . ), the time range
(tspan) or the initial condition (y0).
Index SYMBOLIC MANIPULATION 17
1.12 Symbolic Manipulation
MATLAB can also do some (limited) symbolic manipulation of equations such as finding
roots of equations, simplifying, differentiating and integrating. Firstly one much declare
the variable(s) in question to be symbolic in nature (so that MATLAB knows they are not
just a number) and then it is possible to manipulate them.
1.12.1 Differentiating using MATLAB
An example of differentiation
MATLAB code
% diffexample.m
% an example of how to use MATLAB to differentiate functions
%
% make the variables x and y symbolic so that MATLAB

% knows to treat them as symbols rather than numbers
syms x y
% define a function of x
f=xˆ3-3*y-cos(xˆ2)-atan(x)
% differentiate f with respect to x

dfdx=diff(f,x)
% and the second derivative in 2 ways

d2fdx2=diff(dfdx,x)
d2fdx2=diff(f,x,2)
% function of 2 variables so need to do partial derivatives
% define a function of x and y

g=x*y-sin(x-y)+yˆ3*cos(1/y)
% find the partial derivatives

dgdx=diff(g,x)
dgdy=diff(g,y)
% find the second derivatives

% either take derivatives of above or use diff with extra parameter
d2gdx2=diff(dgdx,x)
d2gdx2=diff(g,x,2)
d2gdy2=diff(dgdy,y)
d2gdy2=diff(g,y,2)
% and the cross derivative is
d2gdxdy=diff(dgdx,y)
diffexample
f = xˆ3-3*y-cos(xˆ2)-atan(x)
dfdx = 3*xˆ2+2*sin(xˆ2)*x-1/(1+xˆ2)
d2fdx2 = 6*x+4*cos(xˆ2)*xˆ2+2*sin(xˆ2)+2/(1+xˆ2)ˆ2*x
d2fdx2 = 6*x+4*cos(xˆ2)*xˆ2+2*sin(xˆ2)+2/(1+xˆ2)ˆ2*x
g = x*y+sin(-x+y)+yˆ3*cos(1/y)
dgdx = y-cos(-x+y)
dgdy = x+cos(-x+y)+3*yˆ2*cos(1/y)+y*sin(1/y)
d2gdx2 = -sin(-x+y)
d2gdx2 = -sin(-x+y)
d2gdy2 = -sin(-x+y)+6*y*cos(1/y)+4*sin(1/y)-1/y*cos(1/y)
d2gdy2 = -sin(-x+y)+6*y*cos(1/y)+4*sin(1/y)-1/y*cos(1/y)
d2gdxdy = 1+sin(-x+y)
Index SYMBOLIC MANIPULATION 19
1.12.2 Integrating using MATLAB
An example of integration
MATLAB code
% integralexample.m
% examples of integrating in MATLAB
% make x a symbolic variable

syms x
% define a function f
f=xˆ2-sin(2*x)+cosh(3*x)-exp(-x)
% integrate f with repsect to x

intf=int(f,x)
% integrate f wrt x over the range (0,pi)

intfab=int(f,x,0,pi)
integralexample
f =
xˆ2-sin(2*x)+cosh(3*x)-exp(-x)
intf =
1/3*xˆ3+1/2*cos(2*x)+1/3*sinh(3*x)+exp(-x)
intfab =
1/3*exp(-3*pi)*piˆ3*exp(3*pi)+1/2*exp(-3*pi)*exp(3*pi)
-1/6*exp(-3*pi)+1/6*exp(-3*pi)*exp(6*pi)+exp(-3*pi)*exp(2*pi)-3/2
diary off
1.12.3 Solving equations
MATLAB has other symbolic routines for solving a variety of equations. For example
to solve systems of equations you can use solve and to solve differential equations
symbolically you can use dsolve. These will be discussed at a later time in the course.
1.13 Some Elementary MATLAB Commands
Input Output Comment

x = [-3:2:7] x = -3 -1 1 3 5 7 x is a vector that starts at –3
and goes up in steps of 2 to 7
x(2) -1 the second element of the
vector x
y = x.ˆ2 y = 9 1 1 9 25 49 using ’dot’ notation square
the vector x ’component by
component’
plot(x,y) 50 plot y versus x
45
40
35
30
25
20
15
10
0
−4 −2 0 2 4 6 8
plot(x,y,’r--’) plot y vs x with a red dash

50
45
line
hold on 40
35
hold the plot in place
plot(x,y,’bo’) 30 add blue circles to the plot
25
20
15
10
0
−4 −2 0 2 4 6 8
t = 0:pi/50:2*pi; t is a vector 0 to 2π in steps

of π /50
a=cos(t); Semicolon supressess the
0.8
1
output.
b=sin(t); 0.6
0.4
plot(a,b,’g.’) 0.2 The plot is a parametric plot

0
−0.2 of a circle with green dots

−0.4
−0.6
−0.8
−1
−1 −0.5 0 0.5 1
c=[-3:1.0:5]; 3D plotting
d=[-2:0.5:7]; Set up the domain in c and d
[x,y]=meshgrid(c,d) 100 Make a mesh of values in x
50
and y
The function z = 4x2 − 2y2
0
z=4*x.ˆ2-2*y.ˆ2; −50
mesh(x,y,z) −100
10
Plot the function in 3D
5 5
0 0
−5 −5
title(’text here’) add a title to a plot

xlabel(’text here’) add x axis label to a plot
axis([0 5 -3 8]) set the x axis to be from 0 to
5 and the y axis from -3 to 8
text(1,20,’blah’) place some text on the plot at
the point (1,20)
Index SOME ELEMENTARY MATLAB COMMANDS 21
Input Output Comment

x=[1 2 3] x = 1 2 3 define a vector
length(x) 3 calculate the size of the vector
y=x’ y = 1 y is the transpose of x
2
3
z=x*x error: dimensions dont agree
z=x*y z = 14 vector multiplication
dot(x,y) 14 dot product of vectors x and y
cross(x,y) 0 0 0 cross product of vectors x and y
A=[1,2;3,4] A = 1 2 enter the matrix A
3 4
eig(A) -0.3723 find the eigenvalues of A
5.3723
inv(A) -2.0000 1.0000 find the inverse of A
1.5000 -0.5000
det(A) -2.0000 the determinant of A
Aˆ3 37 54 A cubed (A*A*A)
81 118
A.ˆ3 1 8 each component of A cubed
27 64
A(1,:) 1 2 all of the first row of matrix A
A(:,2) 2 all of the second column of ma-
trix A
4
b=[1;4] b = 1 b is a column vector
4
c=A\b c = 2.0000 Solve Ac=b using backslash di-
vide
-0.5000
zeros(2) 0 0 a 2x2 matrix of zeros
0 0
ones(2) 1 1 a 2x2 matrix of ones
1 1
help plot help on the plot command
lookfor sinh find all references to the word
sinh
diary file.txt send all output to the file file.txt
hold on hold the plot on so that more can
be added to it
hold off turn the hold off so that a new
plot is made
load xdata read the contents of the file xdata
and store the results in a variable
called xdata
2 Laplace Transforms
2.1 Introduction
The majority of the theory of Laplace Transforms is given in the theoretical section of
this course. Here we will investigate how MATLAB can be used to help solve Laplace
Transform problems.
The notation we will adopt is
Z ∞
F(s) = L { f (t)} = e−st f (t) dt.
0
The inverse transform is denoted:
L −1 {F(s)} = f (t).
2.2 Some standard results in Laplace Transforms
For completeness sake what follows are some standard results often used in Laplace
Transforms.
2.2.1 Heaviside function
The Heaviside step function is defined as (see figure)

0 t <a
H(t − a) =
1 t ≥a
1 H(t-a)
t
a
The Heaviside Step function is like a switch. At time t = a it ’turns on’ with value 1.
The Heviside function is defined in MATLAB both as a numerical function and as a
symbolic function. Its usage is heaviside(x).
24 2. LAPLACE TRANSFORMS Index
Example
Plot
f (x) = H(x − 1)(x2 + 1)
MATLAB code
% heavisideexample.m
% plot H(x-1)*(xˆ2+1)
x=-2:0.05:3;
y=heaviside(x-1).*(x.ˆ2+1)
plot(x,y)
axis([-2 3 -1 10])
print -depsc heavisideexample
10
9
8
4
3
−1
−2 −1 0 1 2 3
Index SOME STANDARD RESULTS IN LAPLACE TRANSFORMS 25
2.2.2 Dirac delta function
Suppose that a constant force, f (t), of amount A acts on a body for a short time (of
duration ε ).
f(t)
force
A
t - ε/2 t + ε/2
time
The impulse delivered by f (t) is

Z t0 +ε /2
I= f (t) dt = ε A
t0 −ε /2
Note that the impulse, I, is a constant. Suppose I = 1, then A = 1/ε . As ε → 0, we must

have A → ∞. The width of the rectangle gets smaller and the height gets larger so that the
area (I) stays equal to 1.
force
time
We can see that in the limit as ε → 0

0, t 6= t0
f (t) =
∞, t = t0 ,
Z ∞ and
f (t) dt = 1.
−∞
The Dirac delta function1 , δ (t), is defined by the following properties
1. δ (t − t0 ) = 0, t 6= t0,
Z b
2. δ (t − t0 ) dt = 1 a < t0 < b.
a
Note that the Dirac delta function is not a proper function. It can be thought of as the limit
of a distribution of step functions (as in the previous diagram). It can also be thought of
as the derivative of the Heaviside function.
2.2.3 First shifting theorem
L eat f1 (t) = F1 (s − a)

2.2.4 The second shifting theorem
L { f1 (t − a)H(t − a)} = e−as F1 (s)

where H(t) is the unit step function (Heaviside function).
2.2.5 Transforms of derivatives
If the function f (t) has well defined derivatives and transform then:
f ′ (t) = sF(s) − f (0).

L
If the function f (t) has n well defined derivatives then:

n o
L f (n) (t) = sn F(s) − sn−1 f (0) − sn−2 f ′ (0) −
· · · − f (n−1) (0).
1 The
delta function was introduced by the British physicist P.A.M Dirac (1902-1984) in the paper “The
Physical Interpretation of the Quantum Mechanics”, Proceedings of the Royal Society of London, Series
A113, 1926-1927, pp. 621-641.
Index SOME STANDARD RESULTS IN LAPLACE TRANSFORMS 27
2.2.6 Multiplication by t
L {t f (t)} = −F ′ (s)
In general
d n F(s)
L {t n f (t)} = (−1)n
dsn
2.2.7 Integral theorem
The Laplace transform of an integral is:

Z t
1
L f (τ ) d τ = F(s)
0 s
2.2.8 Division by t
A corresponding theorem for integration is

Z∞
1
L f (t) = F(s)ds
t s
2.2.9 Convolution theorem
Often when we cannot get an inverse in terms of a known function we have to use the
convolution theorem
Z t
L −1
{F(s)G(s)} = f (τ )g(t − τ )d τ
0
2.2.10 Taking Laplace transforms using MATLAB
MATLAB can do Laplace Transforms and their inversions symbolically. Firstly you must
declare the variables that are used (eg t and s) as symbolic variables using the syms
command. The laplace function is then used to find the Laplace Transform.
Example
For example find the Laplace Transform of f (t) = e4t sin(3t)
MATLAB code
% find the Laplace Transform of

% f(t)=exp(4*t)*sin(3*t)
syms s t % make s and t symbolic variables

Fs=laplace(exp(4*t)*sin(3*t))
results in
Fs = 3/((s-4)ˆ2+9)
Example
−3t 2
Find
dthe −3t of the derivative of f (t) = e sinh(5t) + t , that is find
Laplace Transform
2
L dt e sinh(5t) + t
MATLAB code
% find the Laplace Transform of the derivative of a function

% f(t)=d/dt (exp(-3*t)*sinh(5*t) +tˆ2 )
% using the diff command that does symbolic differentiation

Fs=laplace(diff(exp(-3*t)*sinh(5*t)+tˆ2))
results in
Fs = -15/((s+3)ˆ2-25)+5*(s+3)/((s+3)ˆ2-25)+2/sˆ2
Index INVERSION OF LAPLACE TRANSFORMS 29
2.3 Inversion of Laplace transforms
The inversion of Laplace transforms can be done directly using an infinite integral in the
complex plane and finding residues around the singularities. Generally this is difficult to
do and beyond the scope of this course. It is much easier to modify our function F(s) to
look like something we already know the inverse transform of. For example we already
know that
s
L {cos at} = 2
s + a2
so that the inverse of
−1 2s
L = 2 cos 3t.
s2 + 9
All that is necessary is to get our solution in the same form as the tables and then do the
same process as the Laplace transform but in reverse.
2.3.1 Partial fractions
Partial Fractions are useful to convert complicated inversions into a form that can be used
from the tables. Partial fraction are used to convert a complicated rational expression
such as y = G(s)/F(s) into a sum of simpler terms each of which can be inverted using
the tables. F(s) must be written in a form so that it is a product of polynomials of as a low
order as possible.
Distinct Linear Factors
If the denominator has distinct linear factors then it is a simple matter of writing the
expression as a sum of terms with those linear factors as denominators and unknown
numerators. For example
3s + 13 A B
= +
(s + 3)(s + 1) s + 3 s + 1
where A and B are the unknown numerators that have to be found. To find these rewrite
the right hand side over a common denominator so that it resembles the left hand side and
then equate the coefficients of the different powers of s in the numerators.
3s + 13 A B
= +
(s + 3)(s + 1) s+3 s+1
A(s + 1) + B(s + 3)
=
(s + 3)(s + 1)
(A + B)s + A + 3B
=
(s + 3)(s + 1)
So then the coefficient of s gives
A+B = 3
and the constant term (s to the zero power) gives
A + 3B = 13
This is 2 equation in 2 unknowns which can be solved to give
A = −2 B = 5.
Hence
3s + 13 −2 5
= +
(s + 3)(s + 1) s + 3 s + 1
Repeated Linear Factors
Method 1
If the denominator has a repeated linear factor then the unknown numerator must be linear.
The procedure then follows the same as before. For example
2s + 1 A B +Cs
2
= +
s(s − 2) s (s − 2)2
A(s − 2)2 + (B +Cs)s
=
s(s − 2)2
where we thus have
2s + 1 = A(s − 2)2 + Bs +Cs2
so equating coefficients we get:
O(s2 ) : 0 = A +C
O(s1 ) : 2 = −4A + B
O(s0 ) : 1 = 4A
Or alternatively substitute values for s. Either way we get

1 −1
A = , B = 3, C =
4 4
and so
2s + 1 1/4 3 − s/4
= +
s(s − 2)2 s (s − 2)2
If the factor is repeated n times then the unknown numerator must be a polynomial of
degree n − 1. The numerator must always have a degree one less than the denominator.
For example
2s + 1 A + Bs C + Ds + Es2 + Fs3
= +
s2 (s − 5)4 s2 (s − 5)4
Method 2
Alternatively (this method often leads to a better form for doing the inversion) the un-
known right hand side can be written as
2s + 1 A D E
2
= + +
s(s − 2) s s − 2 (s − 2)2
where we thus have
2s + 1 = A(s − 2)2 + Ds(s − 2) + Es
so equating coefficients we get:
O(s2 ) : 0 = A+D
O(s1 ) : 2 = −4A − 2D + E
O(s0 ) : 1 = 4A
hence giving:
1 −1 5
A= , D= , E=
4 4 2
2s + 1 1/4 −1/4 5/2
2
= + +
s(s − 2) s (s − 2) (s − 2)2
Using this method you must make sure there are as many terms involving the factor as it
is repeated. For example
2s + 1 A B C D E F
= + 2+ + + +
s2 (s − 5)4 s s s − 5 (s − 5) 2 (s − 5) 3 (s − 5)4
Non Linear Factors
If the factors are not linear then use method 1 as for repeated linear factors. That is use a
numerator that has degree one less than the term in the denominator. For example if the
denominator has a quadratic that can not be reduced any further then the corresponding
numerator is linear
1 A Bs +C
2
= + 2
s(s + 4) s s +4
2.3.2 Application of partial fractions to inversion
The best way to illustrate this is by a series of examples.

Example

−1 3s + 13 −1 −2 5
L =L + (by partial fractions)
(s + 3)(s + 1) s+3 s+1
hence enabling the solution:

−2e−3t + 5e−t .
Example

−1 2s + 1 −1 1/4 −1/4 5/2
L = L + + (using partial fractions)
s(s − 2)2 s (s − 2) (s − 2)2
1 1 2t 5 2t
= − e + e t (using shifting theorem)
4 4 2
Example
1 A Bs +C
= + 2
s(s2 + 4) s s +4
We thus get
1 = A(s2 + 4) + (Bs +C)s
and by equating coefficients we get:
O(s2 ) : 0 = A+B
O(s1 ) : 0 = C
O(s0 ) : 1 = 4A
easily giving the solution A = 41 , B = − 41 ,C = 0 and hence the inverse

−1 1 −1 1/4 1/4
L = L − 2
s(s2 + 4) s s +4
1 1 sin 2t
= −
4 4 2
This following example uses the derivative formulae to transform a differential equation
into an algebraic equation.
Example
Let us solve the initial value problem:
y′′ + 4y′ + 3y = 0, y(0) = 3, y′ (0) = 1.
Taking the Laplace transform of both sides of the equation yields:
s2Y − y(0)s − y′ (0) + 4 (sY − y(0)) + 3Y = 0

where Y (s) = L {y(t)}. Using the initial conditions gives
s2Y − 3s − 1 + 4 (sY − 3) + 3Y = 0

which simplifies to
(s2 + 4s + 3)Y = 3s + 13
giving
3s + 13
Y =
(s + 3)(s + 1)
−2 5
= + (using partial fractions, see before)
s+3 s+1
As
L eat = 1/(s − a)

we can invert to obtain

y(t) = −2e−3t + 5e−t .
This illustrates how a transformation simplifies the solution to differential equations.
2.3.3 MATLAB functions for partial fractions
MATLAB has commands to do partial fractions (residue and poly).
Residue
The residue function takes a ratio of polynomials B(s) A(s) and returns the corresponding
partial fraction representation of it. It takes as input the coefficients of the polynomials
B(s) and A(s) (in descending powers of s) and returns the coefficients and the pole values
(the zeros of the denominator).
help residue
RESIDUE Partial-fraction expansion (residues).

[R,P,K] = RESIDUE(B,A) finds the residues, poles and direct term of
a partial fraction expansion of the ratio of two polynomials B(s)/A(s).
If there are no multiple roots,
B(s) R(1) R(2) R(n)
---- = -------- + -------- + ... + -------- + K(s)
A(s) s - P(1) s - P(2) s - P(n)
Vectors B and A specify the coefficients of the numerator and
denominator polynomials in descending powers of s. The residues
are returned in the column vector R, the pole locations in column
vector P, and the direct terms in row vector K. The number of
poles is n = length(A)-1 = length(R) = length(P). The direct term
coefficient vector is empty if length(B) < length(A), otherwise
length(K) = length(B)-length(A)+1.
If P(j) = ... = P(j+m-1) is a pole of multplicity m, then the

expansion includes terms of the form
R(j) R(j+1) R(j+m-1)
-------- + ------------ + ... + ------------
s - P(j) (s - P(j))ˆ2 (s - P(j))ˆm
[B,A] = RESIDUE(R,P,K), with 3 input arguments and 2 output arguments,

converts the partial fraction expansion back to the polynomials with
coefficients in B and A.
Warning: Numerically, the partial fraction expansion of a ratio of

polynomials represents an ill-posed problem. If the denominator
polynomial, A(s), is near a polynomial with multiple roots, then
small changes in the data, including roundoff errors, can make
arbitrarily large changes in the resulting poles and residues.
Problem formulations making use of state-space or zero-pole
representations are preferable.
See also POLY, ROOTS, DECONV.

Example
For example find the partial fraction representation of
3s − 1
F(s) =
s2 + 2s − 15
MATLAB code
% find the partial fraction representation of

% B(s) 3s-1
% ---- = -------------
% A(s) sˆ2 +2s -15
B=[3 -1] % coefficeints of B(s), in descending s

A=[1 2 -15] % coefficients of A(s)
[R,P,K]=residue(B,A) % find the residues and poles
and the output is
B =
3 -1
A =
1 2 -15
R =
2
1
P =
-5
3
K =
[]
The interpretation of this is as follows

K is the remainder, K empty means the partial fraction representation has no remainder
P gives the poles. So in this case the denominator factors into (s + 5)(s − 3).
R gives the coefficient of each of the poles, in the same order as they are listed in P so
here
2 1
F(s) = +
s+5 s−3
Example
MATLAB can also deal with repeated roots but care must be taken when interpretting the
output. For example find the partial fraction representation of
s2 + 4s − 2
F(s) =
s3 − 3s − 2
MATLAB code
% find the partial fraction representation of

% B(s) sˆ2 + 4s -2
% ---- = --------------
% A(s) sˆ3 -3s -2
B=[1 4 -2] % coefficeints of B(s), in descending s

A=[1 0 -3 -2] % coefficients of A(s)
[R,P,K]=residue(B,A) % find the residues and poles
and the output is
B =
1 4 -2
A =
1 0 -3 -2
R =
1.1111
-0.1111
1.6667
P =
2.0000
-1.0000
-1.0000
K =
[]
The interpretation of this is as follows

K is the remainder, K empty means the partial fraction representation has no remainder
P gives the poles. So in this case the denominator factors into (s − 2)(s + 1)(s + 1).
R gives the coefficient of each of the poles, in the same order as they are listed in P.
Repeated poles increase in their power. So here
10/9 −1/9 5/3

F(s) = + +
s − 2 s + 1 (s + 1)2
2.3.4 Inversion using MATLAB
Often it is not necessary to do the partial fraction steps yourself as MATLAB can do some
inversions symbolically using the MATLAB command ilaplace.
Example
Find the inversion of
s
F(s) =
s2 − 2s + 1
MATLAB code
% find the inverse Laplace Transform of

% s
% F(s) = ----------
% sˆ2-2s+1

Fs=s/(sˆ2-2*s+1)
ft=ilaplace(Fs)
results in
Fs = s/(sˆ2-2*s+1)
ft = t*exp(t)+exp(t)
More complicated expressions are also straightforward including ones that result in Heav-
iside functions.
Example
Find the inverse Laplace Transform of
e−5s
F(s) =
s3 − 3s − 2
MATLAB code
% find the inverse Laplace Transform of

% exp(-5*s)
% F(s) = ----------
% sˆ3-3s+-2

Fs=exp(-5*s)/(sˆ3-3*s-2)
ft=ilaplace(Fs)
results in
Fs = exp(-5*s)/(sˆ3-3*s-2)
ft = 1/9*Heaviside(t-5)*exp(2*t-10)
-1/3*Heaviside(t-5)*exp(-t+5)*t
+14/9*Heaviside(t-5)*exp(-t+5)
2.3.5 Systems of Equations
Laplace Transforms can be used to solve systems of differential equations. By taking the
Laplace Transform of a system of differential equations it is converted into an algebraic
system in the transformed variable. These can be solved to get the transformed functions
and then inverted to find the solutions to the original system.
Example
Solve the system
dx1
= −x1 + x2
dt
dx2
= 2x1
dt
subject to the initial conditions x1 (0) = 0 and x2 (0) = 1.
First take the Laplace Transform of both equations
(sX1 − x1 (0)) = −X1 + X2

(sX2 − x2 (0)) = 2X1
Now apply the initial conditions and rearrange to get
(s + 1)X1(s) = X2
sX2(s) − 1 = 2X1
Solve to get X1 (s) and X2 (s). Substitute the first equation into the second for X2 to get
s(s + 1)X1 − 1 = 2X1
Rearrange and factorise to give
(s2 + s − 2)X1 = 1
1
X1 =
(s + 2)(s − 1)
Substitute in to get X2
X2 = (s + 1)X1
s+1
=
(s + 2)(s − 1)
Note that MATLAB’s solve function could be used to solve the system for X1 and X2 .
Now use partial fractions then invert to get the solution to the original system as
1 1 1 1 1 t 1 −2t
X1 = − ⇒ x1 (t) = e − e
3 s−1 3 s+2 3 3
2 1 1 1 2 t 1 −2t
X2 = + ⇒ x2 (t) = e + e
3 s−1 3 s+2 3 3
Example
Solve the system
dx1 dx2
2 + − 2x1 = 1
dt dt
dx1 dx2
+ − 3x1 − 3x2 = 2
dt dt
subject to the initial conditions x1 (0) = 0 and x2 (0) = 0.
First take the Laplace Transform of both equations
1
2(sX1 − x1 (0)) + (sX2 − x2 (0)) − 2X1 =
s
2
(sX1 − x1 (0)) + (sX2 − x2 (0)) − 3X1 − 3X2 =
s
Now apply the initial conditions and rearrange to get
1
(2s − 2)X1(s) + sX2(s) =
s
2
(s − 3)X1(s) + (s − 3)X2(s) =
s
Now solve this to get X1 (s) and X2 (s). Rearrange the first equation to get
1
s − (2s − 2)X1
X2 =
s
Substitute into the second equation and simplify to find X1

1
− (2s − 2)X1 2
(s − 3)X1(s) + (s − 3) s =
s s
s2 (s − 3)X1(s) + (s − 3) (1 − s(2s − 2)X1) = 2s (multiply by s2 )
s2 (s − 3) − (s − 3)s(2s − 2) X1 (s) = 2s − s + 3

(collect X1 terms)
(s − 3)(−s + 2)sX1 = s + 3 (simplify)
−(s + 3)
X1 =
(s − 3)(s − 2)s
Substitute in to get X2

1 −(s+3)
s − (2s − 2) (s−3)(s−2)s
X2 =
s
(s − 3)(s − 2) + (2s − 2)(s + 3)
=
s2 (s − 3)(s − 2)
3s − 1
=
s(s − 3)(s − 2)
Now use partial fractions to get

−1 1 5 1 −2
X1 = + +
2 s 2 s−2 s−3
−1 1 −5 1 8 1
X2 = + +
6 s 2 s−2 3 s−3
Take the inverse Laplace Transform to get the solution to the original system as
−1 5
x1 (t) = + e2t − 2e3t
2 2
−1 −5 2t 8 3t
x2 (t) = + e + e
6 2 3
3 Initial Value Problems
3.1 Introduction
An Initial Value Problem (IVP) is a differential equation of nth order where the function
value and the first n − 1 derivatives are all specified at one given point known as the initial
point.
For examples
y′ = 2y2 with y(1) = 3
y′′′ + 3y′′ + 7y′ − 3y = 0 with y′′ (2) = 2 y′ (2) = −1 y(2) = 0.5
Also it can be a system of first order differential equations with each function given a
value at the same point.
For example
y′′′ + 3y′′ + 7y′ − 3y = 0 with y′′ (2) = 2 y′ (2) = −1 y(2) = 0.5
can be written as
42 3. INITIAL VALUE PROBLEMS Index
A numerical solution to this system of equations over t = [2, 6] using MATLAB is

MATLAB code
% system1.m
tspan=[2,6] % note starts at t=2 now
y0=[0.5,-1,2] % note its a vector now
[t,y]=ode45(’system1fun’,tspan,y0)
% plot all y, y’ and y’’ on one graph and add a legend
plot(t,y(:,1),t,y(:,2),’r-.’,t,y(:,3),’g:’)
legend(’y’,’dy/dt’,’d2y/dt2’)
print -depsc system1
MATLAB code
function f=system1fun(t,y)
% system1fun.m
f(1)=y(2);
f(2)=y(3);
f(3)=-3*y(3)-7*y(2)+3*y(1);
f=f(:);
return
2.5
y
dy/dt
2 d2y/dt2
1.5
0.5
−0.5
−1
2 2.5 3 3.5 4 4.5 5 5.5 6
Index NUMERICAL APPROACH 43
3.2 Numerical approach
For an IVP because all the derivatives are known at the one given initial point a Taylor’s
Series can be used to expand about that point to get an approximation to the solution at
neighbouring points. So for instance if you know the about the function at the point a
then information at a point x is given by
1 ′′
f (x) = f (a) + f ′ (a)(x − a) + f (a)(x − a)2 + . . .
2!
If you know something about f ′ (a), f ′′ (a),. . . then you can approximate the solution at
the point x.
The process for solving IVPs numerically is to start at the initial point and step forward
using information provided by the governing differential equation. This can be done in a
variety of ways. The simplest is Euler’s method.
3.3 Euler’s method
(Revision from first year)

Euler’s method is the simplest (and least accurate) method for solving IVPs numerically.
It consists of approximating the function by a straight line at each point that you step
forward at. Recall the definition of the derivative as
dy y(x + ∆x) − y(x)
≈
dx ∆x
If we are solving the IVP
dy
= f (x, y) with y(x0 ) = y0
dx
we start at the position x0 and hence y(x0 ) = y0 is known then
dy y(x0 + ∆x) − y(x0 )
(x0 , y0 ) = f (x0 , y0 ) ≈
dx ∆x
which rearranging gives the solution at the next space step (x0 + ∆x) to be
y(x0 + ∆x) = y(x0 ) + f (x0 , y0 )∆x
This is then repeated treating the new point as known. This gives
yi+1 = yi + fi ∆x
where yi is the approximation at the point xi = x0 + i∆x and fi = f (xi , yi ).
Euler’s method is equivalent to approximating the solution by using the first two terms in
the Taylor Series (the function value and the first derivative) and ignoring the higher order
terms. The first ignored term is
1 ′′ 1
f (a)(x − a)2 = f ′′ (a)(∆x)2
2! 2!
so each step in the process has an error of the order of (∆x)2 .
3.3.1 Graphically
3.3.2 Errors and order of the method
Assuming we are calculating the solution from x = a to x = b using N steps then ∆x =

(b − a)/N. The error in each step is proportional to (∆x)2 as this is the first term neglected
in the Taylor Series so then total error over the entire range of solution is proportional to
N(∆x)2 = N∆x∆x = (b − a)∆x
Hence the total error is proportional to (∆x)1 so this is known as a first order method.
A pth order method is one whose error is proportional to (∆x) p .
The higher the order the method the more accurate it is. This usually comes at a price of
being more difficult to program.
First order methods are usually very slow if you want any reasonable amount of accuracy.
Why is this?
Index EULER’S METHOD 45
Example
Solve
y′ = y with y(0) = 1
over the range x = [0, 1]. This has exact solution y = ex .
MATLAB code
% eulerexample.m
%
% solve y’=y subject to y(0)=1
% find the result at x=1 and calculate the error.
%
clear all;
N=100; % number of steps used
a=0; b=1; % endpoints of solution
dx=(b-a)/N; % step size
% save x and y values in vectors so we can plot solution
x(1)=a; y(1)=1; % initial x and y values
for i=1:N
f=y(i); % calculate the function value at (xi,yi)
y(i+1)=y(i)+dx*f;
x(i+1)=x(i)+dx;
end
plot(x,y,’b-’)
axis([0 1 1 2.8])
hold on
exact=exp(x);
plot(x,exact,’r--’);
legend(’Euler’,’Exact’,2)
hold off
print -depsc eulerexample
error=abs(exact(N+1)-y(N+1))
Results of running the above code for different number of points (N = 10, 100, 1000, 10000)
and hence different step sizes
N ∆x yN error
10 0.1 2.59374246010000 0.12453936835904
100 0.01 2.70481382942153 0.01346799903752
1000 0.001 2.71692393223590 0.00135789622315
10000 0.0001 2.71814592682523 0.00013590163356
What do you notice about how the error decreases as the step size decreases? How is this
related to the order of the method?
Exact solution and Euler’s method with N = 10 and N = 100 applied to
y′ = y with y(0) = 1
2.8 2.8
Euler Euler
2.6 Exact 2.6 Exact
2.4 2.4
2.2 2.2
2 2
1.8 1.8
1.6 1.6
1.4 1.4
1.2 1.2
1 1
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1
N = 10, ∆x = 0.1 N = 100, ∆x = 0.01
3.3.3 Adjusting the step size
How do you know how accurate the solution is? When should you use a smaller step size
to get a more accurate solution at the cost of increased computing time?
All you know about Euler’s method is that the error is proportional to the step size (∆x)
since it is a first order method, but you have no idea of what that constant of proportion-
ality is. It can change for each different problem and even within the one problem.
What would be ideal if we had some way of changing the step size so that in areas where
the solution changes rapidly we choose a small step size and in areas where it changes
slowly we can take a larger step size so that the error is about the same at each step. This
is something we would want to be able to do for any method not just Euler’s method.
All well written numerical ODE solvers will use some kind of adjustable step size that
takes account of how fast the solution is varying and the size of the errors involved.
Algorithm for adjusting the step size
1. For each step compare the result of using one step of size ∆x with the result of using
two steps of size ∆x
2 . Call the difference between the solutions ∆y. If the method
you are using is a pth order method then the error from a single step is (∆x) p+1 so
∆x
∆y = y(xi + ∆x) − y(xi + 2 )
2
p+1 !
∆x ∆x
p+1
≈ k(∆x) p+1 − k +k
2 2
k(∆x) p+1
= k(∆x) p+1 −
2p
1
= k(∆x) p+1 1 − p
2
= k′ (∆x) p+1
2. If you wish to make your solution accurate to some predetermined accuracy (call it
ε ) then |∆y/y| < ε . This corresponds to some ideal step size which we will call δ x.
Then ε 1/(p+1)
|∆y/y| = ε = k(δ x) p+1 so δ x =
k
in reality we used a step size ∆x which had
1/(p+1)
1
|∆y/y| = k(∆x) p+1
so ∆x = |∆y/y|
k
The ratio of the step sizes (R) is then a measure of how good our step size is com-
pared to the ideal step size
δx εy
1/(p+1)
R= =
∆x ∆y
3. If R > 1 then step size is too small so it can be increased at the next step.
If R < 1 then step size is too big so it must be decreased at the current step and the
process repeated until R > 1.
Use the size of R as a guide to how much to increase or decrease the step size.
For example let
∆xnew = mR∆xold
where m is a tuning parameter usually taken to be a little less than one (eg m = 0.95
or thereabouts).
MATLAB code
% euleradaptive.m
% Euler method with adaptive time stepping
%
% dy/dx + y = exp(-x) + 1 with y(0)=1
% which has exact solution y = xexp(-x) + 1
%
clear all;
p=1; m=0.95; eps=5.e-4;
a=0; b=1.0; % endpoints of solution
dx(1)=0.1; % initial step size
% save x,y and dx values in vectors so we can plot solution
x(1)=a; y(1)=a*exp(-a)+1; % initial x and y values
i=1;
while x(i) < b % keep going until you reach the end point
R=0;
while R < 1
% calculate solution in one step
yone=y(i)+dx(i)*feval(’eulerf’,x(i),y(i));
% calculate solution in two steps
yhalf=y(i)+dx(i)/2*feval(’eulerf’,x(i),y(i));
ytwo=yhalf+dx(i)/2*feval(’eulerf’,x(i)+dx(i)/2,yhalf);
R=(abs(eps*ytwo/(yone-ytwo)))ˆ(1/(p+1));
dx(i)=m*R*dx(i);
end
y(i+1)=ytwo; x(i+1)=x(i)+dx(i);
dx(i+1)=dx(i); i=i+1;
end
for j=1:i
exact(j)=x(j)*exp(-x(j))+1;
end
plot(x,y,’ro’)
hold on
plot(x,exact,’b-’);
legend(’Adaptive’,’Exact’,2)
hold off
print -depsc euleradaptive
plot(x,dx,’ro’)
print -depsc euleradaptivedx
MATLAB code
function fxy=eulerf(xx,yy)
fxy=exp(-xx)-yy+1;
return
Below are plots of the Euler method and adaptive Euler method and also a plot showing
the step size used. Notice that the step size increases as the solution flattens as larger steps
can be taken for the same error.
1.4
Adaptive
Exact
1.35
1.3
1.25
1.2
1.15
1.1
1.05
1
0 0.2 0.4 0.6 0.8 1 1.2 1.4
Exact, Euler and Adaptive Euler solution
0.08
0.075
0.07
0.065
0.06
0.055
0.05
0.045
0.04
0.035
0.03
0 0.2 0.4 0.6 0.8 1 1.2 1.4
Showing how the step size changes

3.4 Improvements to Euler’s method - midpoint method
Instead of using the slope at the starting point use the slope at the midpoint. This in
general will be a better approximation to the function.
Graphically
First estimate the value of y at the midpoint using Euler’s method
yi+1/2 = yi + f (xi , yi )∆x/2
The slope at the midpoint is then approximated by f (xi+1/2 , yi+1/2 ) so use this in an Euler
like formulation to get the formula
yi+1 = yi + f (xi+1/2 , yi+1/2 )∆x
This is known as the midpoint method.

It can be shown that the midpoint method is a second order method (as opposed to Euler’s
method that is first order) but this comes at the price of having to calculate twice the
number of function evaluations (since we calculate the function at the midpoints as well).
How will this effect the methods efficiency? That is, how will the extra function evalua-
tions be offset by the improvement in the calculation as it is a higher order method?
Index IMPROVEMENTS TO EULER’S METHOD - MIDPOINT METHOD 51
Example
Solve
y′ = xy with y(0) = 1
2 /2
on [0, 1]. This has exact solution y = ex .
1.8
Euler
Exact
1.7
Midpoint
1.6
1.5
1.4
1.3
1.2
1.1
1
0 0.2 0.4 0.6 0.8 1
Midpoint method and Euler method with N = 10, ∆x = 0.1
Below are the results of calculation with the Euler and Midpoint methods for various step
sizes. Compare the size of the errors for the same number of flops∗ .
N ∆x error Euler flops∗ error Midpoint flops∗

Euler Midpoint
10 0.1 0.10161087269011 60 0.00257111404563 120
100 0.01 0.01090081247050 600 0.00002730016798 1200
1000 0.001 0.00109823249901 6000 0.00000027460827 12000
20 0.05 0.05277960435958 120 0.00066472539344 240
200 0.005 0.00547295587046 1200 0.00000684735089 2400
∗ A flop is a measure of how many operations (addition, multiplication) where necessary for the
calculation.
The Midpoint method is a second order method. That is the total error is proportional to
(∆x)2 . Hence for a 10 fold decrease in the step size (∆x) you get an approximate 100 fold
decrease in the error.
For the same amount of computing effort (flops) the Midpoint method is far superior to
Euler’s method. Just compare the errors for the Euler 120 flops calculation (N = 20,
error≈ 0.05278) with the Midpoint 120 flops calculation (N = 10, error≈ 0.00257).
MATLAB code
% midpoint.m
%
% solve y’=xy subject to y(0)=1
% find the result at x=1
% for Euler and Midpoint methods and count flops.
%
clear all;
N=10; % number of points,
a=0; b=1; % initial and end points
dx=(b-a)/N; % step size
x(1)=a; y(1)=1; % initial x, y(Euler) values
z(1)=y(1); % initial z(Midpoint) value
flops(0)
for i=1:N % Euler method
y(i+1)=y(i)+dx*feval(’midf’,x(i),y(i));
x(i+1)=x(i)+dx;
end
eulerflops=flops
flops(0);
for i=1:N % Midpoint method
zhalf=z(i)+dx/2*feval(’midf’,x(i),z(i));
z(i+1)=z(i)+dx*feval(’midf’,x(i)+dx/2,zhalf);
x(i+1)=x(i)+dx;
end
midptflops=flops
plot(x,y,’b-’)
hold on
exact=exp(0.5.*x.ˆ2);
plot(x,exact,’go’);
plot(x,z,’r-’)
legend(’Euler’,’Exact’,’Midpoint’,2)
hold off
print -depsc midptexample
erroreuler=abs(exact(N+1)-y(N+1))
errormidpt=abs(exact(N+1)-z(N+1))
MATLAB code
function f=midf(xx,yy)
% midf.m
f=xx*yy;
return
Index SECOND ORDER RUNGE-KUTTA METHOD 53
3.5 Second order Runge-Kutta method
Named after 2 German Mathematicians, Carl David Tolme Runge (1856–1927) and Wil-
helm Kutta (1867–1944)
The previous methods (Euler, Midpoint) have all used some approximation to the slope.
Euler: the slope at the left point
Midpoint: the slope at the midpoint.
The Runge-Kutta method uses a weighted average of the the slope of the left point and
some as yet unknown intermediate point. So the general formula is
yi+1 = yi + ∆x favg
where favg is a weighted average given by
favg = a fi + b fi′
where fi = f (xi , yi ) and fi′ = f (xi′ , yi′ ) is the function evaluated at some undetermined
point given by
xi′ = xi + α ∆x
yi′ = yi + β fi ∆x
The method consists of finding the values of the weights a, b and the position of the
intermediate point given by α and β .
Recall the Taylor Series expansion for yi+1 = y(xi + ∆x) is
dy (∆x)2 d 2 y
yi+1 = yi + ∆x |i + |i + . . .
dx 2 dx2
(∆x)2 d f
= yi + ∆x fi + |i + . . .
2 dx
(∆x)2 ∂ f ∂ f dy

= yi + ∆x fi + |i + |i + . . .
2 ∂x ∂ y dx
(∆x)2 ∂ f ∂f

= yi + ∆x fi + |i + f |i + . . .
2 ∂x ∂y
But expanding fi′ in a 2D Taylor Series gives
fi′ = f (xi′ , yi′ )

= f (xi + α ∆x, yi + β fi ∆x)
∂f ∂f
= f (xi , yi ) + α ∆x |i + β fi ∆x |i + . . .
∂x ∂y
So the Runge-Kutta formulation gives
yi+1 = yi + ∆x favg
= yi + ∆x (a fi + b fi′ )
∂f ∂f

≈ yi + ∆x a fi + b f (xi , yi ) + α ∆x |i + β fi ∆x |i
∂x ∂y
∂f ∂f

= yi + ∆x a fi + b fi + bα ∆x |i + bβ fi ∆x |i
∂x ∂y
Comparing this with the Taylor Series expansion for yi+1 gives
1 1
a+b = 1 bα = bβ =
2 2
Which is 3 equations in the 4 unknowns a, b, α and β so there is still some degree of
freedom of choice.
For example setting
1
a=0 b=1 α =β =
2
gives the midpoint method.
These methods are second order. Because there is still a degree of freedom in the equa-
tions for specific problems it is possible to make a choice of a, b, α and β that will make
the method third order. This method has been precoded in MATLAB and is used with a
call to ode23
To solve the IVP

dy
= ode f unc(t, y) with y(a) = c
dt
over the interval [a, b] a call to ode23 would be like
y0=[c];
tspan=[a b];
[t,y] = ode23(’odefunc’,tspan,y0);
Use help ode23 to find out more about the MATLAB command and how to use it. In
particular how to choose the accuracy.
ode23 also uses an adaptive step size as well if it needs to find the solution more accu-
rately in a given region of the interval.
Index SECOND ORDER RUNGE-KUTTA METHOD 55
Example
Solve
dy
= ty with y(0) = 1
dt
2 /2
on [0, 1]. This has exact solution y = et .
MATLAB code
% o23example.m
% solve dy/dt=odefunc(t,y) on [a,b] given y(a)=c
a=0; b=1; c=1; % interval and initial value
y0=[c]; % initial condition
tspan=[a b]; % interval of integration
[t,y]=ode23(’odefunc’,tspan,y0);% soln in vectors t and y
plot(t,y)
hold on
exact=exp(0.5.*t.ˆ2);
plot(t,exact,’ro’)
legend(’ode23’,’Exact’,2)
print -depsc o23example
MATLAB code
function f=odefunc(t,y)
% odefunc.m
% the rhs of the IVP dy/dt=f(t,y)
f=t*y;
return
1.8
ode23
Exact
1.7
1.6
1.5
1.4
1.3
1.2
1.1
1
0 0.2 0.4 0.6 0.8 1
3.6 Fourth order Runge-Kutta method
In exactly the same way as the second order Runge-Kutta method was developed higher
order methods can be developed. By including more sampling points in the interval
greater accuracy can be obtained. The second order method used the left-hand point
and one other point to determine an approximation to the solution. Hence two function
evaluations were required for each step. The Runge-Kutta fourth order method uses the
left-hand point and 3 other points to hence four function evaluations are required for each
step. The method is fourth order accurate that is the total error is proportional to (∆x)4 .
1
yi+1 = yi + (z1 + 2z2 + 2z3 + z4 )
6
where
z1 = f (xi , yi )∆x
1 1
z2 = f (xi + ∆x, yi + z1 )∆x
2 2
1 1
z3 = f (xi + ∆x, yi + z2 )∆x
2 2
z4 = f (xi+1 , yi + z3 )∆x
The MATLAB command for using this method is ode45 and is used exactly the same
way as ode23. The fourth order Runge-Kutta method is by far the most commonly used
method for solving IVPs.
Index ODE45 57
3.7 ode45
>> help ode45
ODE45 Solve non-stiff differential equations, medium order method.

[T,Y] = ODE45(’F’,TSPAN,Y0) with TSPAN = [T0 TFINAL] integrates
the system of differential equations y’ = F(t,y) from time T0
to TFINAL with initial conditions Y0. ’F’ is a string
containing the name of an ODE file. Function F(T,Y) must
return a column vector. Each row in solution array Y
corresponds to a time returned in column vector T. To obtain
solutions at specific times T0, T1, ..., TFINAL (all increasing
or all decreasing), use TSPAN = [T0 T1 ... TFINAL].
[T,Y] = ODE45(’F’,TSPAN,Y0,OPTIONS) solves as above with

default integration parameters replaced by values in OPTIONS,
an argument created with the ODESET function. See ODESET for
details. Commonly used options are scalar relative error
tolerance ’RelTol’ (1e-3 by default) and vector of absolute
error tolerances ’AbsTol’ (all components 1e-6 by default).
[T,Y] = ODE45(’F’,TSPAN,Y0,OPTIONS,P1,P2,...) passes the

additional parameters P1,P2,... to the ODE file as
F(T,Y,FLAG,P1,P2,...) (see ODEFILE). Use OPTIONS = [] as
a place holder if no options are set.
It is possible to specify TSPAN, Y0 and OPTIONS in the ODE

file (see ODEFILE). If TSPAN or Y0 is empty, then ODE45 calls
the ODE file [TSPAN,Y0,OPTIONS] = F([],[],’init’) to obtain
any values not supplied in the ODE45 argument list. Empty
arguments at the end of the call list may be omitted, e.g.
ODE45(’F’).
As an example, the commands
options = odeset(’RelTol’,1e-4,’AbsTol’,[1e-4 1e-4 1e-5]);

ode45(’rigidode’,[0 12],[0 1 1],options);
solve the system y’ = rigidode(t,y) with relative error

tolerance 1e-4 and absolute tolerances of 1e-4 for the first
two components and 1e-5 for the third. When called with no
output arguments, as in this example, ODE45 calls the default
output function ODEPLOT to plot the solution as it is computed.
See also ODEFILE and

other ODE solvers: ODE23, ODE113, ODE15S, ODE23S, ODE23T
options handling: ODESET, ODEGET
output functions: ODEPLOT, ODEPHAS2, ODEPHAS3, ODEPRINT
odefile examples: ORBITODE, ORBT2ODE, RIGIDODE, VDPODE
Example
Solve
y′′ = t 2 cos(t)y s.t. y(0) = 2 and y′ (0) = 3
MATLAB code
% o45ex1.m
% solve y’’=tˆ2*y*cos(t)on [0,5] given y(0)=2, y’(0)=3
% this can be written as a system of first order DEs
% y1’=y2 y1(0)=2
% y2’=tˆ2*y1*cos(t) y2(0)=3
a=0; b=5; % interval
y0=[2 3]; % initial condition
tspan=[a:.1:b]; % interval of integration
[t,y]=ode23(’o45ex1func’,tspan,y0);% soln in vectors t and y
plot(t,y(:,1),t,y(:,2),’r--’) % plot y1 and y2 versus t
legend(’y’,’dy/dt’,2)
xlabel(’t’); ylabel(’y and dy/dt’)
print -depsc o45ex1 % output to postscript file
MATLAB code
function f=o45ex1func(t,y)
% o45ex1func.m
% the RHS of the system of DEs
f(1)=y(2);
f(2)=tˆ2.*y(1).*cos(t);
return
30
y
dy/dt
20
10
y and dy/dt
−10
−20
−30
0 1 2 3 4 5
t
Index ODE45 59
The MATLAB function ode45 has a vast array of options that can be used.
Finding solutions at given points.

use tspan = [T0 T1 ... TFINAL]
eg tspan=[0.1 0.2 0.3 0.4 0.5] will return solutions at t = 0.1, 0.2 etc.
Error tolerances
There is an extra parameter that can be added to the parameter list called ’options’. The
call to ode45 is then
ode45(’func’,tspan,y0,options)
The options parameter is set using the command odeset. For example
options = odeset(’RelTol’,1e-3,’AbsTol’,[1e-4 1e-4 1e-5]);
Would set the relative error tolerance to 1 × 10−3 and the absolute error tolerance to
1 × 10−4 for the first two components and 1 × 10−5 for the third. This is useful if you
know (or expect) that some of the variables will be substantially different is magnitude
than others.
Stopping the integration

It is possible to stop the integration when certain events occur. For example when any of
the variables pass through a given value.
options = odeset(’Events’,’on’);
[t,y] = ode45(’func’,tspan,y0,options)
For this to work the file func.m must return appropriate information. func.m is coded so
that if ode45 passes it a flag with a value of ’events’ it determines the .m file that tells it
information about the stopping criteria. If the flag is empty it determines the .m file that
is actually used to calculate the integration (the DEs).
3.8 Projectile example
Consider the problem of a projectile fired from a fixed position. If you know the initial
velocity and angle of the projectile it is possible to determine the trajectory of the projec-
tile. Other factors such as drag on the projectile and lift can also be taken into account. A
system of differential that governs the motion of the projectile is given by
dv 1
m = −mg sin φ − ρ ACD v2
dt 2
dφ 1
mv = −mg cos φ + ρ ACL v2
dt 2
where φ = angle from horizontal, v = velocity, m = mass. ρ = density, A = area, CD drag
coefficient, CL lift coefficient, g gravity.
The trajectory of the projectile is governed by
dx
= v cos φ
dt
dy
= v sin φ
dt
If the initial position (x, y coordinates), initial velocity (v) and angle (φ ) are known then
the trajectory of the projectile can be easily determined.
This is a system of 4 nonlinear differential equations in the 4 unknowns x, y, v and φ .
Solving these equations analytically is not possible but solving them numerically is very
easy using MATLAB. Rearrange the equations into a standard form where the left hand
side is just the derivative of each variable.
dv ρ ACD v2
= −g sin φ −
dt 2m
dφ −g cos φ ρ ACL v
= +
dt v 2m
dx
= v cos φ
dt
dy
= v sin φ
dt
Then just numerically integrate these equations forward in time form the known initial
position, velocity and angle.
Index PROJECTILE EXAMPLE 61
MATLAB code
% This file is projectile.m

% It calculates the trajectory of a projectile
% with a predefined initial velocity and an
% inputted angle (theta, in degrees).
%
% This file calls the other file
% projectiledes.m the governing differential equations for
% the velocity, angle, x and y
%
format compact
v0=10; % initial velocity
theta=0;
while theta >= 0
theta=input(’enter theta, use < 0 to stop...’)
if theta<0
break
else
% initial point [velocity angle x y]
y0=[v0 theta*pi/180 0 0];
% make the time span large enough that it gets to the target
tspan=[0 1];
[t,y]=ode45(’projectiledes’,tspan,y0);
plot(y(:,3),y(:,4)) % plot the trajectory
hold on
% determine how long the solution vector is
lgthy=length(y);
range=y(lgthy,3) % the range is the last x value
end
end
hold off
print -deps projectile
MATLAB code
function f=projectiledes(t,y)
% projectiledes.m the governing DEs for the projectile
% y(1) is velocity, y(2) is angle, y(3) is x, y(4) is y.
% values for a spinning soccer ball
g=9.8; rho=1.23; A=0.038; m=0.42; D=0.22; Cd=0.20; Cl=0.05;
v=y(1); phi=y(2);
f(1)=(-g.*sin(phi)-rho.*A.*Cd./(2..*m).*v.ˆ2); % velocity
f(2)=(-g.*cos(phi)./v + rho.*A.*Cl./(2.*m).*v);% angle
f(3)=v.*cos(phi); % x coordinate
f(4)=v.*sin(phi); % y coordinate
f=f(:); % force f to be a column vector
return
>> projectile
enter theta, use < 0 to stop...30
theta =
30
range =
8.2272
theta =
45
range =
6.7203
theta =
60
range =
4.7443
enter theta, use < 0 to stop...-1
theta =
-1
>> diary off
3.5
2.5
1.5
0.5
0
0 2 4 6 8 10
MATLAB can be set up to integrate the DE until a specific event occurs, for example
here that might be when y = 0 (ie when the projectile hits the ground). You can then use
fzero to find the initial angle that gives a specific range (ie hits the target).
4 Phase Plane Analysis
4.1 Introduction
Phase plane analysis is useful in determining the behaviour of solutions to systems of dif-
ferential equations without necessarily solving the system analytically. More importantly
this technique is not limited to studying linear equations.
For systems of 2 autonomous first order differential equations it is possible to plot solu-
tions of one dependent variable against the other dependent variable with the time depen-
dence varying along the curves. This is known as a phase plane. The goal is to sketch
enough solution curves so that the general behaviour of the system can be summarised by
looking at the graph.
The system
dx1
= x2
dt
dx2
= −2x1 − x2
dt
has phase plane consisting of spirals converging to the origin.
2
x2
−1
−2
−1 −0.5 0 0.5 1 1.5 2 2.5
x
1
64 4. PHASE PLANE ANALYSIS Index
MATLAB code
% ppexample.m
% drawing phase plane for
% x1’=x2
% x2’=-2x1-x2
%
tend=10;
tspan=[0 tend];
y0=[0 5];
[t,y]=ode45(’ppexamplef’,tspan,y0);
plot(y(:,1),y(:,2))
xlabel(’x_1’); ylabel(’x_2’);
print -depsc ppexample
MATLAB code
function f=ppexamplef(t,y)
% shootingexamplef.m
f(1)=y(2);
f(2)=-2*y(1)-y(2);
f=f(:);
return
Index INTRODUCTION 65
Or with multiple initial points put the whole thing into a for loop and update the initial
points as you go through the loop.
MATLAB code
% ppexample2.m
% drawing phase plane for
% x1’=x2
% x2’=-2x1-x2
%
tend=10;
tspan=[0 tend];
for s=-2:1:3
y0=[s 5];
[t,y]=ode45(’ppexamplef’,tspan,y0);
plot(y(:,1),y(:,2))
xlabel(’y_1’); ylabel(’y_2’);
hold on
end
hold off
print -depsc ppexample2
1
2
y
−1
−2
−3
−4
−2 −1 0 1 2 3 4 5
y1
4.1.1 Quiver plots
A very simple way in MATLAB to quickly get a feel for the solutions of a system of DEs
is to draw the velocity field.
The MATLAB command quiver is designed to do precisely this.
help quiver
QUIVER Quiver plot.

QUIVER(X,Y,U,V) plots velocity vectors as arrows with
components (u,v) at the points (x,y). The matrices X,Y,U,V
must all be the same size and contain corresponding position
and velocity components (X and Y can also be vectors to
specify a uniform grid). QUIVER automatically scales the
arrows to fit within the grid.
QUIVER(U,V) plots velocity vectors at equally spaced points

in the x-y plane.
QUIVER(U,V,S) or QUIVER(X,Y,U,V,S) automatically scales the

arrows to fit within the grid and then stretches them by S.
Use S=0 to plot the arrows without the automatic scaling.
QUIVER(...,LINESPEC) uses the plot linestyle specified for

the velocity vectors. Any marker in LINESPEC is drawn at
the base instead of an arrow on the tip. Use a marker of
’.’ to specify no marker at all. See PLOT for other
possibilities.
QUIVER(...,’filled’) fills any markers specified.
H = QUIVER(...) returns a vector of line handles.
Example:
[x,y] = meshgrid(-2:.2:2,-1:.15:1);
z = x.*exp(-x.ˆ2 - y.ˆ2);
[px,py] = gradient(z,.2,.15);
contour(x,y,z), hold on
quiver(x,y,px,py), hold off, axis image
See also FEATHER, QUIVER3, PLOT.
diary off
Index INTRODUCTION 67
MATLAB code
% vfield.m
%
% plots velocity vectors for the following system
% dx/dt = y
% dy/dt = -2x-y
%
a=-5; b=5; % size of the grid
[x,y]=meshgrid(a:1:b,a:1:b);% a square grid (a to b)x(a to b)
dx=y; % the DEs
dy=-2*x-y; %
quiver(x,y,dx,dy,’r’) % plot the vector field
axis square % make the plot square
axis tight % make axis tight on data
hold on
w=[a-1 b+1];
plot(w,0*w,’k-’,0*w,w,’k-’) % adds x and y axes to plot
xlabel(’x’); ylabel(’y’);
hold off
% make an eps version of the plot called vfield.eps
print -depsc vfield
% if you dont want the arrow heads then just use
% quiver(x,y,dx,dy,’.’);
% the arrows are automatically scaled to fit the plot space
% if you want bigger or smaller arrows use a scaling
% quiver(x,y,dx,dy,3) % makes the arrow 3 times longer
% for more help type help quiver
0
y
−1
−2
−3
−4
−5
−5 0 5
x
4.2 Predator-Prey model
Predator-Prey models are used to model the interaction between a predator and its prey.
The simplest is known as the Lotka-Volterra Model. For example the number of rabbits
(prey) and foxes (predator). Let y1 be the number of predators and y2 be the number of
prey then the governing differential equations are
dy1
= −ay1 + by1 y2
dt
dy2
= −cy1 y2 + dy2
dt
Here the terms are explained as
−ay1 If there is no prey (y2 = 0) the number of predators must decline.

dy2 Number of prey increases if there are no predators
by1 y2 Number of predators increases if it meets (eats) a prey.
−cy1 y2 Number of prey decreases if it meets (and is eaten) by a predator.
Critical points
Set derivatives equal to zero and solve for y1 and y2 .
This gives the critical points as (y1 , y2 ) = (0, 0) and (y1 , y2 ) = (d/c, a/b)
Calculate the Jacobian and classify each of the critical points. The Jacobian is
" ∂ ∂
#
∂ y1 (−ay1 + by1 y2 ) ∂ y2 (−ay1 + by1 y2 )
J(y1 , y2 ) = ∂ ∂
∂ y1 (−cy1 y2 + dy2 ) ∂ y2 (−cy1 y2 + dy2 )
−a + by2

by1
=
−cy2 −cy1 + d
So substituting each critical point gives

−a 0
J(0, 0) =
0 d
Which is a diagonal matrix so the eigenvalues are λ1 = −a and λ2 = d hence (0, 0) is a
saddle.
0 bd/c
J(d/c, a/b) =
−ac/b 0
√
Calculating the eigenvalues gives λ = ±i ad and so (d/c, a/b) is (probably) a centre.
How does the population of both the predator and prey species vary with time?
Index PREDATOR-PREY MODEL 69
MATLAB
MATLAB code
% predprey.m
% Predator-Prey system
%
clear all
global a b c d % variables global to all functions
a=0.1; b=0.002; c=0.0025; d=0.2;
y0=[10 50]; % initial point
tspan=[0 120]; % range to integrate over
[t,y]=ode45(’predpreyf’,tspan,y0);
plot(t,y(:,1),’b-’) % plot predator popoluation vs time
hold on % hold the plot
plot(t,y(:,2),’r--’) % plot prey popoluation vs time
legend(’predator’,’prey’)
hold off % turn off plot hold
print -depsc predprey % send plot to postscript file
plot(y(:,1),y(:,2),’g-’) % plot trajectories in (y1,y2)space
print -depsc predpreytraj% send plot to postscript file
MATLAB code
function f=predpreyf(t,y)
% predpreyf.m
global a b c d
f(1)=-a*y(1) + b*y(1)*y(2);
f(2)=-c*y(1)*y(2) + d*y(2);
f=f(:);
return
300 300
predator
prey
250 250
200 200
150 150
100 100
50 50
0 0
0 20 40 60 80 100 120 0 50 100 150 200 250 300
Time plot A trajectory in (y1 , y2 ) space

4.3 Competition model
Competition models are used to model the competition between two (or more) species
(companies, people) who are competing for the same resource.
dy1 r1
= y1 (K1 − y1 − ay2 )
dt K1
dy2 r2
= y2 (K2 − y2 − by1 )
dt K2
If there is no second species (y2 = 0) then the first population grows until it approaches
the steady population K1 . Similarly for the other species.
Critical points
Set derivatives equal to zero and solve for y1 and y2 .
(y1 , y2 ) = (0, 0)
(y1 , y2 ) = (K1 , 0)
(y1 , y2 ) = (0, K2)
and a fourth point is located at the intersection of the two lines K1 − y1 − ay2 = 0 and
K2 − y2 − by1 = 0.
Look at the Jacobian to classify each critical point.
MATLAB code
% compjacobian.m
%
format compact
clear all
a=0.75; b=3.0; r1=0.2; r2=0.1; K1=50; K2=100;
% store critical points in a vector

y1=[0 K1 0 20];
y2=[0 0 K2 40];
for i=1:4
fprintf(’\nFor critical point (%5.2f %5.2f)\n’,y1(i),y2(i))
Jac=[r1-2*r1*y1(i)/K1-a*r1/K1*y2(i) -a*r1*y1(i)/K1;...
-b*r2/K2*y2(i) r2-r2*2*y2(i)/K2-r2*b*y1(i)/K2]
[V,D]=eig(Jac)
end
Index COMPETITION MODEL 71
>> compjacobian
For critical point ( 0.00 0.00)

Jac =
0.2000 0
0 0.1000
V =
1 0
0 1
D =
0.2000 0
0 0.1000
For critical point (50.00 0.00)

Jac =
-0.2000 -0.1500
0 -0.0500
V =
1.0000 -0.7071
0 0.7071
D =
-0.2000 0
0 -0.0500
For critical point ( 0.00 100.00)

Jac =
-0.1000 0
-0.3000 -0.1000
V =
0 0.0000
1.0000 1.0000
D =
-0.1000 0
0 -0.1000
For critical point (20.00 40.00)

Jac =
-0.0800 -0.0600
-0.1200 -0.0400
V =
-0.6661 0.4885
-0.7458 -0.8726
D =
-0.1472 0
0 0.0272
>> diary off
How does the population of both the species vary with time? Does one species dominate
the other?
MATLAB code
% competition.m
%
clear all
global a b r1 r2 K1 K2 % variables global to all functions
a=0.75; b=3.0; r1=0.2; r2=0.1; K1=50; K2=100;
for i=0:10 % loop through various initial points
for j=0:1
y0=[j*50+5 i*10+5]; % initial points
tspan=[0 200]; % range to integrate over
[t,y]=ode45(’competitionf’,tspan,y0);
plot(y(:,1),y(:,2)) % plot trajectories in (y1,y2)space
hold on
end
end
print -depsc competitiontraj % send plot to postscript file
hold off % turn off plot hold
MATLAB code
function f=competitionf(t,y)
% competitionf.m
global a b r1 r2 K1 K2 % variables global to all functions
f(1)=r1/K1*y(1)*(K1 - y(1) - a*y(2));
f(2)=r2/K2*y(2)*(K2 - y(2) - b*y(1));
f=f(:);
return
120
100
80
60
40
20
0
0 10 20 30 40 50 60
Index SIR DISEASE MODEL 73
4.4 SIR disease model
Disease models can give great insight into how diseases spread through a population.
They can be used to determine suitable strategies for inoculation, such as what percentage
of the population need to be inoculated to prevent the spread of a disease. Or simply as a
guide to how widespread a disease will become if left alone.
Consider a fixed population of size K. A fixed population size is a reasonable assumption
if the birth rate is approximately the same as the death rate and the disease does not
actually kill the person. For instance measles in the developed world is rarely a fatal
disease and has no impact on the overall birth or death rate.
Consider three distinct classes of people:
Susceptibles (S): those people who are susceptible to catching the disease
Infectives (I): those people who have the disease and can pass it on
Recovered (R): those people who have had the disease and recovered from it.
They are no longer susceptible as they have immunity now.
This is (for obvious reasons) known as an SIR model. The total population is fixed so that
S+R+I = K
The general birth rate of people (who are all born susceptible) is µ . Because the pop-
ulation is assumed to be constant the death rate must also be µ but any of susceptibles,
infectives or recovereds can die. The disease is assumed not to alter the death rate.
Consider how the population of susceptibles can change.
Susceptibles catching the disease and becoming infective, births of susceptibles, or dying.
To catch the disease a susceptible must come in contact with an infective hence the chance
of catching the disease is proportional (with constant β ) to the product of the number of
susceptibles and infectives. The DE that models the susceptible population is therefore
dS
= −β SI + µ K − µ S
dt
contact birth death
Consider how the population of infectives can change.

They can be a susceptibles who becomes infectives (as described above), they can recover
(with rate γ ) or they can die (with rate µ as described above). The DE that models the
infective population is therefore
dI
= β SI − γ I − µ I
dt
contact recover death

Consider how the population of recovereds can change.

They are infectives who have recovered, or they can die. The DE that models the recov-
ered population is therefore
dR
= γI − µR
dt
recovered death
Note that the recovered equation does not effect the susceptible or infective equations
and in fact since the population is assumed constant the number of recovereds can always
be determined from the number of susceptibles and the number of infectives. This last
equation is not needed in the model.
So we have two first oder nonlinear differential equations in two unknowns (S and I).
dS
= −β SI + µ K − µ S
dt
dI
= β SI − γ I − µ I
dt
These are nonlinear equations hence we need to calculate the critical points and analyse
the behaviour near those critical points.
Critical points
Set derivatives equal to zero and solve for S and I.
0 = −β SI + µ K − µ S
0 = β SI − γ I − µ I
Look at the Jacobian to classify each critical point.

" ∂ ∂
∂ S (−β SI + µ K − µ S) (−β SI + µ K − µ S)
#
∂I
J(S, I) =
∂ ∂
∂ S (β SI − γ I − µ I) ∂I (β SI − γ I − µ I)
−β I − µ −β S
" #
=
βI βS−γ −µ
So for critical point (S, I) = (K, 0)
−µ −β K

J(K, 0) =
0 βK −γ −µ
Which is a triangular matrix so the eigenvalues are λ = −µ < 0 and λ = β K − γ − µ
If β K − γ − µ < 0 then the critical point (S, I) = (K, 0) is a stable node and hence the
S → K, I → 0, that is the disease dies out.
If β K − γ − µ > 0 then the critical point (S, I) = (K, 0) is a saddle and hence (K, 0) is
not the final state. So what is the final state in his case? Presumably it must be the other
critical point since the model is bounded. Why is the model bounded?
Example
Consider the case with K = 100, β = 0.001, µ = 0.02, γ = 0.03
MATLAB code
% sir.m
% this M-file plots velocity vectors for the SIR model, plots
% some trajectories, calculates e’values and e’vectors of Jacobian
%
global beta K mu gamma % makes these global variables
format compact
beta=0.001; K=100; mu=0.02; gamma=0.03;
%
% use quiver to plot the vector field
a=0; b=100; % size of the grid
[S,I]=meshgrid(a:10:b,a:10:b);% a square grid (a to b)x(a to b)
dS=-beta*S.*I+mu*K-mu*S; % the DEs
dI=beta*S.*I-gamma*I-mu*I; %
quiver(S,I,dS,dI,2.5,’r’) % plot vector field scaled by 2.5
axis square % make the plot square
axis([a b a b]) % restrict the axes to be a to b
hold on
w=[a b];
plot(w,0*w,’k-’,0*w,w,’k-’) % adds x and y axes to plot
xlabel(’Susceptibles’); ylabel(’Infectives’); title(’SIR model’)
%
% now add some trajectories by numerically solving the DE
tspan=[0 250];
for icS=0:100:100
for icI=5:10:95
initcond=[icS icI];
[t,y]=ode45(’sirfunc’,tspan,initcond);
plot(y(:,1),y(:,2),’b-’)
end
end
hold off
print -depsc sirtraj
%
% now set up the critical points and calculate the Jacobian
% and the eigenvalues and eigenvectors so you can classify the
% critical points
cpS=[K (gamma+mu)/beta];
cpI=[0 mu*K/(gamma+mu)-mu/beta];
for i=1:1:2
fprintf(’\nCritical point number %d is (%5.2f,%5.2f) \n’,...
i,cpS(i),cpI(i))
Jacobian=[-beta*cpI(i)-mu -beta*cpS(i);...
beta*cpI(i) beta*cpS(i)-gamma-mu]
[Jeigvec, Jeigval]=eig(Jacobian)
end;
MATLAB code
function f=sirfunc(t,y)
% sirfunc.m
% the DEs for the SIR model
global beta K mu gamma
S=y(1); I=y(2);
f(1)=-beta*S.*I+mu*K-mu*S;
f(2)=beta*S.*I-gamma*I-mu*I;
f=f(:);
return
sir
Critical point number 1 is (100.00, 0.00)

Jacobian =
-0.0200 -0.1000
0 0.0500
Jeigvec =
1.0000 -0.8192
0 0.5735
Jeigval =
-0.0200 0
0 0.0500
Critical point number 2 is (50.00,20.00)

Jacobian =
-0.0400 -0.0500
0.0200 0.0000
Jeigvec =
0.8452 0.8452
-0.3381 - 0.4140i -0.3381 + 0.4140i
Jeigval =
-0.0200 + 0.0245i 0
0 -0.0200 - 0.0245i
diary off
SIR model
100
90
80
70
60
Infectives
50
40
30
20
10
0
0 20 40 60 80 100
Susceptibles
5 Boundary Value Problems
5.1 Introduction
In contrast to Initial Value Problems where all function values and derivatives are given at
one point Boundary Value Problems (BVP) have function values and derivatives at two
points. Hence it is not possible to construct a Taylor Series about one point and use this
to build up the solution as was done with IVPs.
Examples
y′′ + 3y′ + 2y = x where y(a) = 1 y(b) = 3
y′′′′ + y′′ + 2y = sin x where y(a) = 1 y′ (a) = 3 y′′ (a) = 6 y(b) = 3
BVPs do not necessarily have unique solutions . For example
y′′ + ω 2 y = 0 where y(0) = 0 y(π ) = 0
There are two general methods for solving BVPs numerically, shooting method and re-
laxation method.
80 5. BOUNDARY VALUE PROBLEMS Index
5.2 Shooting method
5.2.1 Shooting method using guesses
Example
How might you go about numerically solving
y′′ + 3y′ + 2y = 2x where y(0) = 1 y(2) = 3
1. Guess a value for y′ (0). Now the problem is an IVP.
2. Integrate forward to x = 2 using any of the previous methods (Euler, midpoint, R-K,
ode45, . . . )
3. If |y(2) − 3| > ε make a new guess and repeat from 2.
MATLAB code
% shootingexample.m
% trying to solve y’’ + 3y’ + 2y = 2x y(0)=1 y(2)=3
clear all
c=1; % the first guess for y’(0)
tspan=[0 2];
while c > -999 % loop through different c values
c=input(’enter c, -1000 to stop ’);
if c==-1000 break; end % if c=-1000 jump out of loop
y0=[1 c]; % initial condition [y(0) y’(0)]
[t,y]=ode45(’shootingexamplef’,tspan,y0);
plot(t,y(:,1)) % plot current solution
hold on % keep the plot
lgthy=length(y); % find the length of the vector y
disp([y(lgthy,1)]) % show y(x=2) value
cc=num2str(c); % convert value of c to a string variable
text(2.1,y(lgthy,1),cc) % write value of c on rhs of graph
end
text(2.1,5,’c guess’) % write c guess on the plot at (2.1,5)
hold off
print -deps shootingexample
MATLAB code
function f=shootingexamplef(t,y)
% the DE y’’ + 3y’ + 2y = 2x written as a system
f(1)=y(2);
f(2)=-3*y(2)-2*y(1)+2*t;
f=f(:);
return
Index SHOOTING METHOD 81
5.5
5 c guess
4.5
3.5 20
18
3 16
2.5
10
2
1.5
1
0 0.5 1 1.5 2
Hence there is a solution that has y(2) = 3 somewhere between y′ (0) = 16 and y′ (0) = 18.
How do you go about finding this value of y′ (0) that gives the correct value of y(2) ?
Treat the problem as a zero finding problem. That is find the value of y′ (0) = c that results
in f (c) = y(2) − 3 = 0. So use one of MATLABs methods for finding zeros of functions.
5.2.2 Shooting method using fzero
So back to the problem of solving

y′′ + 3y′ + 2y = 2x where y(0) = 1 y(2) = 3
Set it up so that there is a MATLAB function that takes as input the guess for the initial
slope and returns the error in the right hand boundary condition. Then call this function
from fzero to find the correct slope that integrates to the correct right hand boundary
condition.
MATLAB code
% shootingexamplemain.m
% the main M-file for using the shooting method to solve the
% DE defined in shootingexamplef.m
% Uses fzero to solve the equation y’(0)=3 where y’(0) is
% determined in shootingfunc.m by shooting forward using ode45
%
myguess=4; % a guess at the value of y’(0)
actualvalue=fzero(’shootingfunc’,myguess)
% use ode45 to get correct solution using actualvalue and plot
tspan=[0 2]; y0=[1 actualvalue];
plot(t,y(:,1))
print -deps shootingexampleplot
MATLAB code
function f=shootingfunc(c)
% set up as a function, the input (c) is the initial slope
% y’(0) and the output (f) is the difference between the value
% of y at x=2 and the number 3 (since y(2)=3 for the correct
% solution. This function is called by MATLABs fzero
%
% shootingfunc.m
% trying to solve y’’ + 3y’ + 2y = 2x y(0)=1 y(2)=3
% using y(0)=1 and y’(0)=c
tspan=[0 2]; y0=[1 c];
f=y(length(y),1)-3; % set function value to y(2)-3
return
MATLAB code
function f=shootingexamplef(t,y)
% the DE y’’ + 3y’ + 2y = 2x written as a system
f(1)=y(2);
f(2)=-3*y(2)-2*y(1)+2*t;
f=f(:);
return
Index SHOOTING METHOD 83
>> shootingexamplemain
actualvalue = 16.9727
5.5
4.5
3.5
2.5
1.5
1
0 0.5 1 1.5 2
5.3 Relaxation methods
Relaxation methods differ substantially from the previous shooting methods. The func-
tion is not integrated but rather an approximate solution is made that fits the governing
differential equation. This results in a system of equations where the unknowns are the
values of the function at the interior points. To do this we need to determine some ap-
proximations to the derivatives in any given differential equation.
5.3.1 Finite differences
Finite differences is the procedure where we replace any derivatives by a finite difference
approximation. For example recall the definition of the derivative
dy y(x + ∆x) − y(x)

≈
dx ∆x
alternatively this could be written

dy yn+1 − yn
≈
dx n xn+1 − xn
yn+1 − yn
=
h
where yn = y(xn ) and h is the difference in x steps or just the space between x points. This
is known as a forward approximation to the first derivative as it uses the current point
(n) and the next point (n + 1). There is also a backward approximation that uses the
current point (n) and the previous point (n − 1). This is given by

dy yn − yn−1
≈
dx n h
Both the forward and backward approximations are first order accurate, that is the first
neglected term is order ∆x.
There is in fact a second order accurate approximation known as the central approxima-
tion given by
dy yn+1 − yn−1
≈
dx n 2h
These can be used to find approximations to the higher derivatives.
d 2 y

yn+1 − 2yn + yn−1
2
≈
dx n h2
This is the central approximation to the second derivative and is second order accurate.
Index RELAXATION METHODS 85
5.3.2 Using finite differenes to solve a BVP
Finite differences can be used to solve a BVP. What results is simply solving a system of
linear equations which is simple in MATLAB.
Algorithm
1. Divide up the region into N equal subintervals. Note that the differential equation
must be true at each grid point in the region.
2. Replace the derivatives in the differential equation by thier finite difference approx-
imations at each grid point in the region.
3. If possible use the boundary conditions to replace some of the values. This is usu-
ally only possible for the equations at each end of the interval.
4. Rearrange the equations so that they are written as a matrix system of equations.
The unknowns are the value of the solution at each grid point.
5. Solve the matrix system of equations. This then gives the solution at each grid
point.
Example
Numerically solve
y′′ + 3y′ + 2y = 2x where y(0) = 1 y(2) = 3
1. First divide up the region into N subintervals of width h where

b−a
h=
N
so
xn = a + hn for n = 0 . . . N
2. Replace each derivative by its approximate value at each interior point.

yn+1 − 2yn + yn−1 yn+1 − yn−1
2
+3 + 2yn ≈ 2xn for n = 1 . . . N − 1
h 2h
This results in N − 1 equations in the N − 1 unknowns y1 , y2 , . . . yN−1 .
3. The values at the edge points are known (y0 = y(a) = 1, yN = y(b) = 3 in this
case) The equations for n = 1 and n = N − 1 are slightly different to the others
(n = 2, . . . N − 2) as they involve y0 and YN respectively which are known as they
are just the boundary values.
y2 − 2y1 + y0 y2 − y0
2
+3 + 2y1 ≈ 2x1 for n=1
h 2h
yn+1 − 2yn + yn−1 yn+1 − yn−1
2
+3 + 2yn ≈ 2xn for n = 2 . . .N − 2
h 2h
yN − 2yN−1 + yN−2 yN − yN−2
2
+3 + 2yN−1 ≈ 2xN−1 for n = N − 1
h 2h
4. Mutiply by h2 to simplify, collect all terms with the same unknown value and writ-
ten out in full we have
(1 − 3h/2)y0 + (2h2 − 2)y1 + (1 + 3h/2)y2 = 2h2 x1
(1 − 3h/2)y1 + (2h2 − 2)y2 + (1 + 3h/2)y3 = 2h2 x2
(1 − 3h/2)y2 + (2h2 − 2)y3 + (1 + 3h/2)y4 = 2h2 x3
.. .. ..
. . .
(1 − 3h/2)yN−3 + (2h2 − 2)yN−2 + (1 + 3h/2)yN−1 = 2h2 xN−2
(1 − 3h/2)yN−2 + (2h2 − 2)yN−1 + (1 + 3h/2)yN = 2h2 xN−1
Now y0 and yN are known (since they are the boundary conditions) so put them on
the right hand side with all the other known parts gives
(2h2 − 2)y1 + (1 + 3h/2)y2 = 2h2 x1 − (1 − 3h/2)y0
(1 − 3h/2)yn−1 + (2h2 − 2)yn + (1 + 3h/2)yn+1 = 2h2 xn for n = 2...N − 2
(1 − 3h/2)yN−2 + (2h2 − 2)yN−1 = 2h2 xN−1 − (1 + 3h/2)yN
5. This is a system of N − 1 equations in the N − 1 unknowns y1 , y2 , . . . yN−1 . Sub-

stituting the known end points (y0 = 1 and yN = 3) and writing in matrix form this
can be easily solved in MATLAB using any number of solution methods depending
on the size of the matrix (direct inversion, iterations etc.). In matrix form it can be
written
AY = b
where the matrix A has coefficients as above, Y is the vectors of unknowns
Y = (y1 , y2 , . . . , yN−1 )T and b is the known right hand side vector.
2h2 − 2
 
1 − 3h/2 0 0 0 ... 0
 
 1 − 3h/2
 2h2 − 2 1 + 3h/2 0 0 ... 0 

 
0 1 − 3h/2 2h2 − 2 1 + 3h/2 0 ... 0
 
 
 
1 − 3h/2 2h2 − 2 1 + 3h/2 ...
 
A= 0 0 0 
 
.. .. .. .. .. .. ..
 
. . . . . . .
 
 
 
2h2 − 2
 
 0 ... 0 0 1 − 3h/2 1 + 3h/2 
 
0 ... 0 0 0 1 − 3h/2 2h2 − 2
2h2 x1 − (1 − 3h/2)y0
 
 

 2h2 x2 

 
2h2 x3
 
 
 
2h2 x4
 
b=



..
 
.
 
 
 
2h2 xN−2
 
 
 
2h2 xN−1 − (1 + 3h/2)yN
What do you notice about the matrix A? You will see that it is ’tri-diagonal’ (only
3 diagonals are non-zero) and each diagonal has the same value. This makes it
particularly easy to program in MATLAB using the diag command.
Once you have coded A, and b it is a simple matter to solve the system AY = b to
get the solution Y . This is then the approximation to the solution of the original
ODE.
Coding the diagonal matrix A is relatively easy in MATLAB as there is a command
diag that is used to enter values into a diagonal matrix. The ones command
is also useful for making vectors of a certain length with the same value in each
position.
Solving the system AY = b is easy using the ’backslash divide’ command y=A\b .
>> help diag
DIAG Diagonal matrices and diagonals of a matrix.

DIAG(V,K) when V is a vector with N components is a square
matrix of order N+ABS(K) with the elements of V on the K-th
diagonal. K = 0 is the main diagonal, K > 0 is above the main
diagonal and K < 0 is below the main diagonal.
DIAG(V) is the same as DIAG(V,0) and puts V on the main

diagonal.
DIAG(X,K) when X is a matrix is a column vector formed from

the elements of the K-th diagonal of X.
DIAG(X) is the main diagonal of X. DIAG(DIAG(X)) is a diagonal

matrix.
Example
m = 5;
diag(-m:m) + diag(ones(2*m,1),1) + diag(ones(2*m,1),-1)
produces a tridiagonal matrix of order 2*m+1.
See also SPDIAGS, TRIU, TRIL.
Overloaded methods
help sym/diag.m
>> diary off
>> help ones
ONES Ones array.

ONES(N) is an N-by-N matrix of ones.
ONES(M,N) or ONES([M,N]) is an M-by-N matrix of ones.
ONES(M,N,P,...) or ONES([M N P ...]) is an
M-by-N-by-P-by-... array of ones.
ONES(SIZE(A)) is the same size as A and all ones.
See also ZEROS.
>> diary off

MATLAB code
% fdexample.m
%
% solve y’’ + 3y’ + 2y = 2x y(0)=1 y(2)=3
% using finite differences
a=0; b=2; % endpoints
y0=1; yN=3; % y values at endpoints
N=100; % number of points
h=(b-a)/N; % x step size
x=a+h:h:b-h; % set up vector of x points (interior points)
% set up the matrix and solve Ay=RHS for y
A=(2*hˆ2-2)*diag(ones(1,N-1)); % main diagonal elements
A=A+(1-3*h/2)*diag(ones(1,N-2),-1); % one below main diagonal
A=A+(1+3*h/2)*diag(ones(1,N-2),1); % one above main diagonal
RHS=2*hˆ2*x;
RHS(1)=RHS(1)-(1-3*h/2)*y0;
RHS(N-1)=RHS(N-1)-(1+3*h/2)*yN;
y=A\RHS’;
plot(x,y)
5.5
4.5
3.5
2.5
1.5
1
0 0.5 1 1.5 2
Example
Solve
y′′ + 5y′ + 6y = cos x where y(0) = 2 y(3) = 6
using finite differences.
MATLAB code
% fdexample2.m
%
% solve y’’ + 5y’ + 6y = cos x y(0)=2 y(3)=6
% using finite differences
a=0; b=3; % endpoints
ya=2; yb=6; % y values at endpoints
N=100; % number of points
h=(b-a)/N; % x step size
x=a+h:h:b-h; % set up vector of x points (interior points)
% set up the matrix and solve Ay=RHS for y
A=(6*hˆ2-2)*diag(ones(1,N-1)); % main diagonal elements
A=A+(1-5*h/2)*diag(ones(1,N-2),-1); % one below main diagonal
A=A+(1+5*h/2)*diag(ones(1,N-2),1); % one above main diagonal
RHS=hˆ2*cos(x);
RHS(1)=RHS(1)-(1-5*h/2)*ya;
RHS(N-1)=RHS(N-1)-(1+5*h/2)*yb;
y=A\RHS’;
plot(x,y)
N=5 N = 10
160 400
140 350
120
300
100
250
80
200
60
150
40
20 100
0 50
−20 0
0.5 1 1.5 2 2.5 0 0.5 1 1.5 2 2.5 3
N = 20 N = 100
400 400
350 350
300 300
250 250
200 200
150 150
100 100
50 50
0 0
0 0.5 1 1.5 2 2.5 3 0 0.5 1 1.5 2 2.5 3
5.3.3 Comments on solving matrix equations
There are many numerical problems with solving the matrix equation Ax = b
The matrix equations that result from the finite difference method are tridiagonal. That is
they have entries down the 3 central diagonals and zeros elsewhere. These are relatively
efficient to solve Ax = b for.
Suggested Solution Methods
1. Inverse This can be very slow for large matrices.

What if inverse doesn’t exist?
2. Iteration
Make a guess and use the equations to refine that guess until some convergence
criteria is met.
Usually the best method for large matrices (bigger than 25 × 25).
Most common method is known as the Gauss-Seidel Iteration method
3. Row reduction then back-substitution

5.3.4 Finite elements
Finite differences are only one of the many method of solving BVPs. Another very pop-
ular method is known as the finite element method. The concept underlying finite dif-
ference methods is that approximations are made to the derivatives in the differential
equation. In contrast to this for finite element methods the solution is approximated by a
sequence of model functions and the error in using these functions is minimized.
For finite element methods it is more convenient to work on a BVP that has homogeneous
boundary conditions. That is the value of the function at the end points is zero. Fortunately
we can make a change of variable to ensure this. For example consider the problem
y′′ + p(x)y′ + q(x) = r(x) y(xL ) = yL y(xR ) = yR
we can transform this to a problem with homogeneous boundary conditions by the trans-
formation
y(x) = Y (x) + ax + b
Which can be shown to give
1 1
a= (yL − yR ) b= (−xR yL + xL yR )
xL − xR xL − xR
Example
What does
y′′ + 3y′ + 2y = 5x2 y(0) = 2 y(2) = 3
become when it is transformed to have homogeneous boundary conditions
5.3.5 Symbolic form of a BVP
Consider an ordinary differential equation with homogeneous boundary conditions this

can be written in sysmbolic form as
L y = r(x) y(xL ) = 0 y(xR ) = 0
where L is a sysmbol that represents all the differential operators in the differential equa-
tion.
Example
The ODE
y′′ + 3x2 y′′ + 2ex y = 5x2
can be represented as
2 d2 d
L y = 5x where L ≡ 2 + 3x2 + 2ex
dx dx
5.3.6 Finite element theory
For the BVP given by
L y = r(x) y(xL ) = 0 y(xR ) = 0
Algorithm
1. Select a set of n independent expansion functions. Call these φi (x) for i = 1, . . . , n.

The exact form of these functions will be specified later. The crux of the finite
element method is that the approximate solution (denoted Y (x)) is written as some
linear combination of these expansion functions, namely
n
y(x) ≈ Y (x) = ∑ ci φi (x)
i=1
The aim is to find the coefficients ci to get the best solution possible.
2. Construct what is known as a residual function (denoted ∆(x)) which is a measure

of the error of the approximate solution
∆(x) = L Y (x) − r(x)

n
= L ∑ ciφi(x) − r(x)
i=1
n
= ∑ ciL φi(x) − r(x)
i=1
3. Establish a set of conditions that allow us to find the coefficients ci . To do this

choose a set of weight functions wi (x) for i = 1, . . . , n. Again these are as yet un-
specified. These weight functions have the following properties
(a) They are normalised so that

Z xR
w j (x)dx = 1 for j = 1, . . . , n
xL
(b) The weighted residual for each fucntion is zero

Z xR
w j (x)∆(x)dx = 0 for j = 1, . . ., n
xL
4. It is this last condition 3(b) that gives conditions that enable the coefficients ci to be
found. By substituting the definition of ∆(x) above into this expression we get for
each j = 1, . . ., n
Z xR
w j (x)∆(x)dx = 0
xL
" #
Z xR n
xL
w j (x) ∑ ciL φi(x) − r(x) dx = 0
i=1
Z xR n Z xR
w j (x) ∑ ci L φi (x)dx − w j (x)r(x)dx = 0
xL i=1 xL
n Z xR Z xR
∑ ci xL
w j (x)L φi (x)dx =
xL
w j (x)r(x)dx
i=1
If the weight functions (w j (x)) and the expansion functions (φ j (x)) are specified
then the right hand side of the last expression is known.
Z xR
bj = w j (x)r(x)dx
xL
and the part Z xR

w j (x)L φi (x)dx = M ji
xL
is also known. Hence the equation reduces to
n
∑ ci M ji = b j for j = 1, . . . , n
i=1
This is just the matrix equation

Mc = b
So provided w j (x) and φ j (x) are specified then the coefficients to use as the linear
combination of the expansion functions to give the approximate solution are given
by solving Mc = b. This gives the ci in
n
y(x) ≈ Y (x) = ∑ ci φi (x)
i=1
and so the approximate solution has been found.

Choice of weight and expansion functions

There are many choices that can be made for the weight functions (w j (x)) and the
expansion functions (φ j (x)). Different choices give different types of methods. By
far the most common and what has come to be known as the collocation method
is to choose them equal, namely w j (x) = φ j (x). The finite element method uses
“triangular hat” functions for both the weight functions (wi (x)) and the expansion
functions (φi (x)).
 1

 h (x − xi−1 ) for xi−1 < x < xi

φi (x) = 1
h (xi+1 − x) for xi < x < xi+1



0 otherwise
These functions are triangles that span 3 grid points and are zero everwhere else.
For example φ3 is a triangle that begins at zero at x2 increases to a maximum at x3
and then decreases to zero at x4 .
φ3
x0 x1 x2 x3 x4 x5 x6
The benefit of these functions is that they are local. That it is only nonzero in the
immediate neighbourhood of the central point. This guarantees that the resulting
matrix eqaution will be sparse (have many zero entries) and hence can be solved
effeciently using iterative methods.
These triangular hat functions are useful as they have some special properties that
make calculating the M matrix easier.
Z xR
F(x) φi F(x) dx
xL
φi 2h/3
φi±1 h/6 (zero for all other indices)
φi±1
′ ±1/2 (zero for all other indices)
φi′′ −2/h
φi±1
′′ 1/h (zero for all other indices)
1 h
x ih2
x2 (i2 + 1/6)h3
x3 i(i2 + 1/2)h4
5.3.7 Finite element example
Solve
y′′ + y = 1 y(0) = 0 y(π /2) = 0
d2
Now L ≡ dx2
+ 1 so to calculate M ji break it down into each term such that
Z π /2
M ji = φ j (x)L φi (x)dx
0
Z π /2 2
d
= φ j (x) + 1 φi (x)dx
0 dx2
Z π /2 Z π /2
d 2 φi (x)
= φ j (x) dx + φ j (x)φi (x)dx
0 dx2 0
and so from the table of special properties of the triangular functions

   
−2/h 1/h 0 ... 0 0 2h/3 h/6 0 ... 0 0
 1/h −2/h 1/h . . . 0 0   h/6 2h/3 h/6
  ... 0 0 
 
 .. .
. .
. . .. .
. ..  +  .. .. .. .. .. ..
M= .

. . . .  .
  . . . . .
 
 
 0 0 0 . . . −2/h 1/h   0 0 0 . . . 2h/3 h/6 
0 0 0 . . . 1/h −2/h 0 0 0 . . . h/6 2h/3
Calculating the right hand side gives

Z π /2
bj = w j (x)r(x)dx
0
Z π /2
= φ j (x) 1 dx
0
and so from the tables  

h

 h 

 h 
b=
 
.. 

 . 

 h 
h
Now find the coefficients ci in
n
y(x) ≈ Y (x) = ∑ ci φi (x)
i=1
by solving the matrix equation

Mc = b
with M and b above.
MATLAB code
% feexample.m
%
% solving L{y} = y’’ + y = 1 with y(0)=0 y(pi/2)=0
% using finite element method
% Exact solution is y(x) = -sin(x) - cos(x) + 1
%
clear all
global a b N
a=0; b=pi/2; N=10; % N interior points
h=(b-a)/(N+1);
xk=a+h:h:b-h; % interior points
% set up and solve Mc=RHS
M=(-2+2/3*hˆ2)*diag(ones(1,N)); % main diagonal elements
M=M+(1+hˆ2/6)*diag(ones(1,N-1),-1); % one below main diagonal
M=M+(1+hˆ2/6)*diag(ones(1,N-1),1); % one above main diagonal
M=M/h; % multiplicative factor
RHS=h*ones(N,1); % right hand side vector
c=M\RHS % solve for c the coefficients
% plot numerical solution and exact solution and calculate error
npts=26;
x=a:(b-a)/(npts-1):b; % vector to calculate solution at
% call feexamplef.m which is a function that calculates the solution
% at a given point i.e. it works out y(x)=sum(c(i)*phi_i(x))
% where the phi_i are the ’triangular hat’ functions
for k=1:npts
y(k)=feval(’feexamplef’,c,x(k));
end
plot(x,y)
hold on
exact=-sin(x)-cos(x)+1;
plot(x,exact,’ro’)
ylabel(’exact and numerical’)
error=abs(exact-y);
maxerror=max(error)
hold off
MATLAB code
function f=feexamplef(c,x)
% feexamplef.m
% function that calculates y(x)=sum(c(i)*phi_i(x))
% where the phi_i are the ’triangular hat’ functions centered around x
%
global a b N
h=(b-a)/(N+1);
xk=a+h:h:b-h;
if (x <= xk(1)) % left most function
f=c(1)*(x-a)/h;
end
for i=1:N-1 % all interior functions that have left and right parts
if (x >= xk(i)) & (x <= xk(i+1))
right=c(i)*(xk(i+1)-x)/h;
left =c(i+1)*(x-xk(i))/h;
f=left+right;
end
end
if (x >= xk(N)) % right most function
f=c(N)*(b-x)/h;
end
return
−0.05
−0.1
−0.15
−0.2
−0.25
−0.3
−0.35
−0.4
−0.45
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6
5.3.8 Finite element summary
For the BVP

L y = r(x) y(xL ) = 0 y(xR ) = 0
1. Choose n expansion functions φi (x) for i = 1, 2, . . ., n.
2. Choose n weight functions wi (x) for i = 1, 2, . . ., n.
3. Let  1

 h (x − xi−1 ) for xi−1 < x < xi

wi (x) = φi (x) = 1
h (xi+1 − x) for xi < x < xi+1



0 otherwise
n
4. Numerical solution Y (x) = ∑ ci φi (x)
i=1
5. Solve Mc = b for the ci ’s where

Z xf
M ji = w j (x)L φi (x) dx
x0
Z xf
bj = w j (x)r(x) dx
x0
6. Properties of triangular functions

Z xf
F(x) φi F(x) dx
x0
φi 2h/3
φi±1 h/6 (zero for all other indices)
φi±1
′ ±1/2 (zero for all other indices)
φi′′ −2/h
φi±1
′′ 1/h (zero for all other indices)
1 h
x ih2
x2 (i2 + 1/6)h3
x3 i(i2 + 1/2)h4
Index DIFFERENTIAL EIGENVALUE EQUATIONS 101
5.4 Differential eigenvalue equations
Recall the example
y′′ + ω 2 y = 0 where y(0) = 0 y(π ) = 0
which has solution many solutions each one of which is
yn = An sin ωn x
where An is an unknown constant and ωn = n = 0, ±1, ±2, . . .

This equation is known as a Differential Eigenvalue Equation as there are only particular
values (eigenvalues) for which a solution exists.
How would you solve this numerically given you don’t know the eigenvalues ω ?
Treat the eigenvalues as one of the unknowns of the problem. But how ?
We know that the eigenvalue is a constant so we can write a differential equation for it as
dω
=0
dx
but then we also need an extra boundary condition.
ω (0) = ω0
where ω0 is the eigenvalue we need to find. So putting y = y1 , dy/dx = y2 and ω = y3 the

system to date is
dy1
= y2
dx
dy2
= −(y3 )2 y1
dx
dy3
= 0
dx
subject to
y1 (0) = 0 y1 (π ) = 0 y3 (0) = ω0
Note that now that the system is nonlinear (the second equation).
How do you solve this numerically we have 3 boundary conditions but one of them is
unknown (ω0 ) and one of them is at x = π not x = 0. To be able to integrate forward from
x = 0 we need three initial conditions at x = 0 and we also need three known conditions
in total for the problem to have a unique solution.
To use a shooting method you need 3 boundary conditions at the same point so introduce
a new boundary condition
y2 (0) = c
where c is a value that has to be determined to satisfy the boundary conditions at the other
end and ω0 is a value that also has to be determined.
But there is still not enough information to find the solution as there are only 2 known
boundary conditions (y1 (0) = 0 y1 (π ) = 0) so we must introduce another boundary con-
dition that is considered to be known. Looking at the analytic solutions that were found
earlier
yn = An sin ωn x
note that they are only defined to within some arbitrary constant (An ). To specify a specific
solution another condition would also have to be used. This condition is known as the
normalising condition and consists of choosing some given value for one of the unknown
values. So in fact we are free to choose the value of y2 (0) = c to be any (non zero) value
as this just fixes the unknown constant.
The system of equations is now
dy1
= y2
dx
dy2
= −(y3 )2 y1
dx
dy3
= 0
dx
subject to
y1 (0) = 0 y2 (0) = c (known) y3 (0) = ω0 (unknown) y1 (π ) = 0
So there are the required 3 known boundary conditions but 1 unknown one at x = 0 that
has to be determined to satisfy the boundary conditions at x = π .
So choose a value for ω0 integrate forward to x = π and check the value of y1 (π ) if it is
equal to zero it is the correct ω0 if it is not zero then change the ω0 guess. This can be
done using the MATLAB command fzero.
MATLAB code
function f=deig(omega0)
% deig.m
%
% solving y’’ + omegaˆ2 y = 0 y(0)=0 y(pi)=0
% This function takes as input the value of omega0 and returns
% the value at y(pi). If this equals zero then that value of
% omega0 gave a valid solution to the ODE.
% Note the system of equations becomes 3rd order!
% This function is called by fzero to find the value of omega0
% that gives the correct solution.
%
format compact
tspan=[0 pi];
y0=[0 1 omega0]; % y_1(0)=0, y_2(0)=1, y_3(0)=omega0
[t,y]=ode45(’deigf’,tspan,y0);
plot(t,y(:,1));
i=length(y); % determine length of solution vector
f=y(i,1); % set function value = y_1(pi)
return
MATLAB code
function f=deigf(t,y)
% deigf.m
f(1)=y(2);
f(2)=-y(3).ˆ2.*y(1);
f(3)=0;
return
>> omega=fzero(’deig’,1.4,0.0001)
omega = 1.0000
1.2
0.8
0.6
0.4
0.2
0
0 0.5 1 1.5 2 2.5 3 3.5
>> omega=fzero(’deig’,1.6,0.0001)
omega = 2.0000
0.5
0.4
0.3
0.2
0.1
−0.1
−0.2
−0.3
−0.4
−0.5
0 0.5 1 1.5 2 2.5 3 3.5
Example
Consider the differential equation
dz √
= 3 z − αt2 with z(0) = 2 z(1) = 4
dt
There is one DE but two boundary conditions. Is the system overdetermined?

No since there is a parameter α . This is like an eigenvalue in that there might be a
particular value (or values) that make the equation satisfied.
How do you find that particular value?
MATLAB code
% alpha.m
% get the correct value of alpha by calling fzero
% fzero in turn calls findalpha.m which is the function that
% integrates the DEs with a guess for alpha.
% The actual DEs are in alphaf.m
%
format compact
format long
initialguess=11
correctalpha=fzero(’findalpha’,initialguess)
% now use that value of alpha to integrate the
% equations and plot the solution
y0=[2 correctalpha]; % values at t=0
tspan=[0 1]; % integrate equation over t=(0,1)
[t,y]=ode45(’alphaf’,tspan,y0);
plot(t,y(:,1)) % plot y vs t
print -depsc alpha
MATLAB code
function f=findalpha(alphaguess)
% findalpha.f
% this function takes as input a guess for the constant
% alpha and returns y(1)-4
% if this is close to zero then its a good guess
y0=[2 alphaguess]; % values at t=0
tspan=[0 1]; % integrate equation over t=(0,1)
[t,y]=ode45(’alphaf’,tspan,y0);
lgthy=length(y); % determine how long the vector is
% f is a measure of how good the solution matches the desired
% boundary condition which is y(1)=4
% if f is close to zero then this is a good solution.
currentguess=alphaguess ;
f=y(lgthy,1)-4;
sprintf(’Current guess for alpha =%10.8f y(1)-4 = %10.8f’...
,currentguess,f)
return ;
MATLAB code
function f=alphaf(t,y)
% alphaf.m the governing DEs the alpha
% eigenvalue problem
%
% y(1) is z, y(2) is alpha
%
z=y(1); alpha=y(2);
% set up the functions
f(1)=3*sqrt(z)-alpha*t.ˆ2; % the DE
f(2)=0; % since alpha is a constant
f=f(:); % force f to be a column vector
return ;
alpha
initialguess =
11
ans =
Current guess for alpha =11.00000000 y(1)-4 = 0.15451914
ans =
ans =
ans =
ans =
Current guess for alpha =11.44000000 y(1)-4 = -0.02266307
ans =
ans =
ans =
ans =
correctalpha =
11.38377327554915
diary off
4.5
3.5
2.5
2
0 0.2 0.4 0.6 0.8 1
6 Partial Differential Equations (PDEs)
6.1 Overview
Partial differential equations arise in a lot of applications. In this introductory section, I

will try to give you a bit of a feeling for the diversity of some of these applications. First,
however, I will define exactly what a partial differential equation (PDE) is and define what
is meant by a boundary condition and an initial condition.
6.2 Functions of more than one variable
6.2.1 Types of problems
Partial differential equations come from problems where there is variation in more than
one variable. For example, the temperature in a room will normally be a function of both
time and the position in the room — four different variables t, x, y and z. To describe rates
of change with respect to each of these variables we need partial derivatives.
6.2.2 Examples of PDEs
A partial differential equation is a differential equation with partial derivatives. Some

examples are
∂ u ∂ 2u ∂f ∂f ∂c ∂c ∂c
2
= 2, = , + + = c. (6.1)
∂t ∂x ∂x ∂y ∂x ∂y ∂z
In the first example the dependent variable u is a function of the two independent variables
x and t. In the second example the dependent variable f is a function of x and y and in the
third example the dependent variable c is a function of x, y, and z.
110 6. PARTIAL DIFFERENTIAL EQUATIONS (PDES) Index
6.3 Basic definitions
6.3.1 Order of a PDE
The order of a PDE is the order of the highest derivative in the PDE, no matter which
variable. In the above examples, the order of the 1st PDE in equation (6.1) is 2, the order
of the 2nd and 3rd PDEs in equation (6.1) are both 1.
6.3.2 Linear PDEs
A PDE is said to be linear if it is a linear combination of the dependent variable and its
various partial derivatives. For example,
∂ u ∂ 2u ∂f ∂f ∂f ∂ 4c ∂ 2c
= 2, +x =z , + +c = 0 (6.2)
∂t ∂x ∂x ∂y ∂z ∂ x4 ∂ x2
are linear, whereas
∂u ∂u ∂f ∂ 4c
2
= , = ef , + c2 = 0 (6.3)
∂t ∂x ∂x ∂ x4
are not.
6.3.3 Why use numerical methods
For analytic methods we will be concentrating on linear PDEs. In general nonlinear PDEs
are too difficult to solve analytically with notable exceptions. One reason for this is that
linear PDEs allow superposition. This means that if we have any two solutions of a PDE
then their sum is also a solution. This is a useful way of building up the entire solution of
a linear PDE analytically. The method of superposition (adding solutions) does not work
for nonlinear PDEs.
Numerical methods aren’t restricted to solving just linear problems. This is the entire
point of studying numerical solutions to these types of problems in that they can not be
solved by any other means. The analytic methods used for linear PDEs often provide a
useful check on the numerical methods in particular circumstances. This is important if
you want to have any confidence in your numerical solutions.
Broadly speaking there are three types of PDEs. The type of numerical solution method
is different for each type. What we will do is study an example of each type.
Index THREE COMMON PDES IN APPLICATIONS 111
6.4 Three common PDEs in applications
Three of the most common PDEs in applications are the wave equation, the diffusion
equation and Laplace’s equation. These equations are defined as follows:
∂F ∂ 2F
1-D Diffusion equation: =D 2
∂t ∂x
∂ 2F ∂ 2F
2-D Laplace’s equation: + =0
∂ x2 ∂ y2
∂ 2F 2∂ F
2
1-D Wave equation: =c
∂ t2 ∂ x2
6.5 The diffusion equation
The diffusion equation in one dimension is
∂F ∂ 2F
=D 2 (6.4)
∂t ∂x
where D is a positive constant and is called the diffusion coefficient. This partial differ-
ential equation occurs in studies of heat conduction and diffusion of mass (eg. pollutants
or chemicals).
6.5.1 Heat conduction
In heat conduction the dependent variable F(x,t) is the temperature inside a material,
where heat is conducted in only one direction. Solving this PDE gives the temperature at
any point and at any time.
The derivation of the diffusion equation when related to heat uses the principle of con-
servation of heat energy. The RHS of (6.4) physically comes from the net conduction
of heat through the material, whereas the LHS comes from the heat being used to raise
the temperature of the material. The diffusion equation when related to heat is sometmes
known as the heat equation.
6.5.2 Mass diffusion
The diffusion equation also arises in the study of mass transport by molecular diffusion.
For example, a drop of dye spreads out in a beaker of liquid or a pollution spreading out
in a lake. Here the dependent variable is the concentration.
6.5.3 Diffusion equation in 2D and 3D
It is also possible to derive the diffusion equation in two or three dimensions. For heat
conduction, we again use conservation of heat energy. In two and three dimensions, the
diffusion equations are
∂F ∂ F ∂ 2F ∂F ∂ F ∂ 2F ∂ 2F
2 2
=D + 2 , =D + 2 + 2 . (6.5)
∂t ∂ x2 ∂y ∂t ∂ x2 ∂y ∂z
respectively. We can also write these as
∂F
= D∇2 F.
∂t
Index LAPLACE’S EQUATION 113
6.6 Laplace’s equation
6.6.1 Equilibrium solutions
Laplace’s equation, in two dimensions, is
∂ 2F ∂ 2F
+ 2 =0 (6.6)
∂ x2 ∂y
This equation arises in many different applications. One common application is in 2D or
3D heat conduction problems, where we assume the temperature is in thermal equilib-
rium. In thermal equilibrium, there is no time dependence on the temperature. Setting the
time derivative in (6.5) to zero, we thus obtain (6.6).
6.6.2 Other applications
Laplace’s equation also arises in electrostatics (where the electrical potential, measured
in Volts, satisfies Laplace’s equation) and in fluid mechanics (where the velocity potential
satisfies Laplace’s equation). Laplace’s equation also arises in ground-water flow exam-
ples.
More generally, we write Lapalce’s equation as
∇2 F = 0.
6.7 The wave equation
The wave equation in one dimension is
∂ 2F 2∂ F
2
= c (6.7)
∂ t2 ∂ x2
where c is a constant. This partial differential equation describes small amplitude wave
propagation for a number of applications. Here the constant c is the speed of a wave in a
given medium.
6.7.1 Sonar, radar, seismic waves
The wave equation arises in sonar, electromagnetic waves, radar, and seismic prospecting
for example.
6.7.2 2D and 3D waves
In two and three dimensions, the wave equations are
∂ 2F 2 ∂ F ∂ 2F ∂ 2F 2 ∂ F ∂ 2F ∂ 2F
2 2
=c + 2 , =c + 2 + 2 (6.8)
∂ t2 ∂ x2 ∂y ∂ t2 ∂ x2 ∂y ∂z
respectively. More generally, we write
∂ 2F
= c2 ∇2 F.
∂ t2
Index POISSON’S EQUATION 115
6.8 Poisson’s equation
A forced Laplace’s equation is known as a Poisson Equation.
∇2 F = g(x, y, z).
6.9 Other co-ordinate systems
So far all the examples given have been in Cartesian co-ordinates (x, y, z). These equations
can also be considered in other co-ordinate systems such as cylindrical (r, θ , z) or spherical
(ρ , φ , θ ).
For example Laplace’s equation in cylindrical co-ordinates is
∂ 2F 1 ∂ F 1 ∂ 2F ∂ 2F
∇ F= 2 +
2
+ +
∂r r ∂ r r 2 ∂ θ 2 ∂ z2
and in spherical co-ordinates is
∂ 2F 2 ∂ F 1 ∂ 2F 1 ∂ 2 F cot θ ∂ F
∇ F=
2
+ + + + 2
∂ ρ 2 ρ ∂ ρ ρ 2 sin2 θ ∂ φ 2 ρ 2 ∂ θ 2 ρ ∂θ
Sometimes this can make the solution process (both analytic and numerical) easier. Can
you think of an example?
6.10 Boundary and initial conditions
6.10.1 ICs and BCs
Partial differential equations require additional conditions to obtain unique solutions.

Conditions on time are called initial conditions, usually at t = 0. Conditions on spa-
tial variables are called boundary conditions. Boundary conditions refer to the endpoints
of the region we are interested in.
6.10.2 Number of initial and boundary conditions
The number of initial and boundary conditions needed is determined by the order of the
respective derivatives in the PDE. The diffusion equation (6.4) requires one initial condi-
tion since its time derivative is of order one. It requires two boundary conditions, since the
x-derivative is second-order. For the wave equation (6.7) we need to specify two initial
conditions (since there is a second-order derivative with respect to t) and two boundary
conditions. Laplace’s equation (6.6) requires four boundary conditions, two for the x-
variable and two for the y-variable.
6.10.3 A typical initial condition
A typical initial condition is

f (x, 0) = 100.
This states the initial value of f is a constant value 100.
6.10.4 Typical boundary conditions
Typical boundary conditions include
∂F
F(0,t) = 30, (10,t) = 100.
∂x
The first condition specifies the value of F, at the point x = 0, and the second specifies the
value of the derivative of f at the point x = 10, for all time.
Index TYPES OF BOUNDARY CONDITIONS 117
6.11 Types of boundary conditions
There are 3 types of Boundary Conditions. The type of boundary condition has an impact
on which numerical solution method you can use for a problem hence it is important to
be able to classify the boundary conditions.
Dirichlet
The values of the function are given at the boundary.
For example F(0,t) = 30
Neumann
The value of the normal derivative is given at the boundary.
For example ∂∂Fx (10,t) = 100 which can also be written ∂∂Fx = 100 at x = 10
Cauchy
Values of both the function and its normal derivative are given at the boundary.
For example ∂∂Fx = F at x = 10
Classify (with reason) each boundary condition of the following PDEs as Dirichlet, Neu-
mann or Cauchy.
d2T 2
(a) dy2
+ ddxT2 = 4 with T (0, y) = 0 T (x, 0) = 2 T (L, y) = sin y dT
dy (x, M) = 0
dT d2 T dT
(b) dt = dx2
with T (0,t) = 0 dx (L,t) = 0 T (x, 0) = f (x)
dT d2T dT
(c) dt = dx2
with T (0,t) = sint dx (L,t) = T − Ta T (x, 0) = f (x)
Index DIFFERENT SOLUTION APPROACHES 119
6.12 Different solution approaches
Partial differential equations (PDEs) can be solved analytically or numerically. It is im-

portant to realize that not all PDEs have solutions. Numerical techniques can be used on
a wider range of PDEs but analytical techniques sometimes give more information or can
be used to check numerical solutions of PDEs in special cases.
6.12.1 Separation of variables
Analytic methods mainly involve reducing a PDE to one or more ordinary differential
equations. The approach we will explore in this course is separation of variables. This
involves assuming the dependent variable as a product of functions of each independent
variable.
6.12.2 Other approaches
We only have time in this course to learn the above method for solving PDEs. But you
should at least be aware that other techniques exist. One technique is to use Laplace trans-
forms. The Laplace transform of an ordinary differential equation reduces the differential
equation to an algebraic equation. Applying Laplace transforms to a PDE (which is a
function of two variables) reduces the PDE to an ODE which is a function of one vari-
able. One then solves the ODE and then inverts the Laplace transform. Another method
for solving PDEs involves finding transformations of variables. These are called similarity
solutions.
6.12.3 Numerical techniques
Most practicing engineers or mathematicians would use numerical techniques for solving
PDEs. These are often customised to a particular class of applications. The two most
common numerical techniques for solving PDEs are finite differences and finite elements.
In finite differences, the partial derivatives are approximated with derivative quotients,
evaluated on a rectangular grid. In finite elements, the region is divided up into small
panels, or elements, and the quantity you are solving for is expressed as a basis of simple
functions defines over just the finite element. Both finite difference and finite element
methods lead to matrix equations where the matrices can be large sparse matrices.
6.12.4 Value of analytic solutions
While numerical techniques are often used for practical problems, knowledge of the basic
analytical solutions, such as those obtained in this course, can provide valuable incite
into the problems and may also provide a simple check on the accuracy of the numerical
program in particular circumstances. It is always a wise idea to check numerical methods
on a solution with a known analytic solution to try and guarantee that the method and the
coding is correct.
6.13 Examples
Heat in a rod
Consider an insulated rod of steel of length L were one end is held at 100◦ C and the
other can lose heat according to Newton’s Law of Cooling (heat loss is proportional to the
difference in the temperature of the rod and the surrounding ambient air). The ambient
air is at 25◦ C.
Write down the governing equation, the initial and boundary conditions.
Index EXAMPLES 121
Steady state Temperature in a slab

Consider a slab of wood of size 10cm (wide) by 5cm (long) by 2cm (high) that has reached
thermal equilibrium. If the bottom of the slab is insulated, the top loses heat by Newton’s
Law of Cooling, the sides are held at 20◦ C, write down the governing equation and bound-
ary conditions.
Plucked String
Consider a string of length L that is held fixed at both ends. The string is pulled out to
a triangular shape and then released. Write down the governing equation, boundary and
initial conditions.
Index EXAMPLES 123
Drum
Consider a drum of radius 10cm. If the drum is beaten so that the velocity of the surface
is initially f (r) (r is the radius) Write down the governing equation, boundary conditions
and initial conditions.
6.14 Classification of PDEs
The numerical solution of the 3 standard types of linear PDEs (Diffusion, Laplaces and
Wave equations) differs for each type of equation. In fact these PDEs are examples of
more general classes of PDEs known as Parabolic, Elliptic and Hyperbolic PDEs. The
numerical methods for solving PDEs differ depending on which type of PDE you are
solving.
Consider a general PDE that depends on 2 variables (a and b).
∂ 2u ∂ 2u ∂ 2u ∂u ∂u
A + 2B +C = F(a, b, u, , )
∂a 2 ∂ a∂ b ∂b 2 ∂a ∂b
where A, B and C are constants and F(a, b, u, ∂∂ ua , ∂∂ ub ) is an arbitrary function of those
variables.
The classification of a PDE (and hence the type of numerical method used to solve it)
depends on the the quantity B2 − AC.
B2 − AC = 0 Parabolic eg Diffusion equation
B2 − AC < 0 Elliptic eg Laplaces equation
B2 − AC > 0 Hyperbolic eg Wave equation
One Dimensional Diffusion equation

Has A = D, B = 0, C = 0, a = x (the space variable), b = t (the time variable) and the
function F = ∂∂ut .
Two Dimensional Laplaces equation

Has A = 1, B = 0, C = 1, a = x, b = y (the space variables), F = 0.
One Dimensional Wave equation

Has A = 1, B = 0, C = −1
c2
, a = x (the space variable), b = t (the time variable) and F = 0.
7 Parabolic Equations: Diffusion Equation
7.1 Finite differences
Finite differences can be used to solve PDEs. Each derivative is approximated by a finite
difference and then the equation is rearranged to enable a solution to be determined.
7.1.1 First Derivative
Recall the finite difference approximations

First derivative Forward Approximation

dy yn+1 − yn
≈
dx n xn+1 − xn
yn+1 − yn
=
∆x
where yn = y(xn ) and ∆x is the difference in x steps or just the space between x points.
First derivative Backward Approximation

dy yn − yn−1
≈
dx n ∆x
Both the forward and backward approximations are first order accurate, that is the first
neglected term is order ∆x.
First derivative Central Approximation given by

dy yn+1 − yn−1
≈
dx n 2∆x
7.1.2 Second Derivative
Second derivative Central Approximation given by
d 2 y

yn+1 − 2yn + yn−1
2
≈
dx n (∆x)2
126 7. PARABOLIC EQUATIONS: DIFFUSION EQUATION Index
7.2 FTCS method
Consider the diffusion equation in one space dimension
∂F ∂ 2F
=D 2 (7.1)
∂t ∂x
with boundary conditions
F(a,t) = Fa (t) F(b,t) = Fb (t)
and initial condition

F(x, 0) = F0 (x)
We require the solution in the region a ≤ x ≤ b and over the time span 0 ≤ t ≤ T
7.2.1 Discretise the region
To use finite differences we need to divide the region up into discrete points where we
calculate the solution. This is known as discretising the region.
Take Nx points in the x direction so that the spacing between points is then given by
b−a
∆x =
Nx
and let the variable i be the index that refers to the discrete x points. That is
xi = a + i∆x i = 0, 1, . . ., Nx
Do a similar process for the t direction. Take Nt points in the t direction so that the spacing
between time steps is then given by
T −0
∆t =
Nt
and let the variable j be the index that refers to the discrete time steps. That is
t j = j∆t j = 0, 1, . . ., Nt
This has now divided the (x,t) plane into a grid. The aim is to calculate the solution at
each of the grid points.
Index FTCS METHOD 127
t
j = 10 t
u bc bc bc bc bc bc bc t
u
j=9 t
u
j=8 t
u
j=7 t
u
j=6 t
u
j=5 t
u
j=4 t
u
∆x ∆t
j=3 t
u
j=2 t
u
j=1 t
u
t =0 rs rs rs rs rs rs rs rs rs
i=0 i=1 i=2 i=3 i=4 i=5 i=6 i=7 i=8 x
x=a x=b
sr Initial condition – known F(x, 0) = F0 (x)

t
u Boundary conditions – known F(a,t) = Fa (t) and F(b,t) = Fb (t)
bc Interior points – unknown
j
Let the solution at the point (xi ,t j ) be denoted by Fi , that is
Fi j = F(xi ,t j ) = F(a + i∆x, j∆t)
Now approximate the diffusion equation
∂ F ∂ 2F
= 2
∂t ∂x
around the point (xi ,t j ) by using a forward finite difference approximation for the time
derivative
j+1 j
∂ F j Fi − Fi

≈
∂ t i ∆t
and a centred finite difference approximation for the spatial second derivative
j j j j
∂ 2 F Fi+1 − 2Fi + Fi−1
≈
∂ x2 i (∆x)2
This gives the PDE as approximately

j j j
!
j+1 j
Fi − Fi Fi+1 − 2Fi + Fi−1
=D
∆t (∆x)2
j+1
now make Fi the subject
j j j
!
j+1 F − 2Fi + Fi−1 j
Fi = ∆tD i+1 + Fi
(∆x)2
= γ Fi+1 + (1 − 2γ )Fi + Fi−1
j+1 j j j
Fi (7.2)
where
D∆t
γ=
(∆x)2
Equation (7.2) is known as the Forward Time Centered Space (FTCS) approximation to
the diffusion equation.
The FTCS equation enables solutions at time level j +1 to be calculated from information
at time level j.
Given that we know the initial condition (level j = 0) then we are able to use this to
calculate the solution at time level j = 1. This is then used to get the solution at level
j = 2 and so on.
At a given time level you use the FTCS equation to sweep across in the i direction calcu-
j+1
lating the value of Fi .
The FTCS method is an explicit method as at each time step there is an explicit equation
for the values at the next time step.
7.2.2 Template for the FTCS Method
t
u
t
u
t
u
t
u
t
u
j+1 u
t bc bc bc bc bc bc bc t
u
j t
u
t
u
t
u
t
u
i−1 i i+1
x=a x=b
sr Initial condition – known F(x, 0) = F0 (x)

t
u Boundary conditions – known F(a,t) = Fa (t) and F(b,t) = Fb (t)
bc Interior points – unknown
7.2.3 FTCS example
Solve the heat diffusion problem of a steel bar of length 2m with one end held at 0◦ C the
other end at 0◦ C and initially the bar is at at 100◦ C.
∂T ∂ 2T
=D 2
∂t ∂x
where for steel D = 5 × 10−6 m2 /s
The boundary and initial conditions can be written
T (0,t) = 0 T (2,t) = 0 T (x, 0) = 100
Find the temperature distribution at times t = 60, 120, 180, . . .600 minutes
The exact solution can be found analytically using the method of separation of variables
to be
∞
−Dm2 π 2t mπ x

T (x,t) = ∑ am exp sin
m=1 4 2
where
−200 ((−1)m − 1)
am =
mπ
Temperature in metal bar at steps of 60 minutes

100
numerical
90 exact
80
70
Temperature
60
50
40
30
20
10
0
0 0.5 1 1.5 2
x
MATLAB code
% ftcsdiffusion.m
% Solve heat diffusion in a steel bar of length 2
% with ends at 0oC and initially the bar is 100oC.
% Use FTCS finite difference method
% dT/dt = D d2T/dx2
% subject to boundary conditions T(0,t)=0 T(2,t)=0
% and initial condition T(x,0)=100
%
clear all;
a=0; b=2; % x boundaries
Nx=10; % number of x points to use
dx=(b-a)/Nx; % x step
x=[a:dx:b]; % x points
fa=0; fb=0; % boundary values
D=5e-6; % steel bar diffusivity = 5.0x10ˆ-6 mˆ2/s
dt=3600 % time step in seconds (=60 minutes)
tfinal=36000; % final time in seconds (=600 minutes)
gamma=D*dt/(dxˆ2)
T(1)=fa; T(Nx+1)=fb;% boundary conditions, note that index for
% i starts at 1 not 0 as matlab doesnt
% allow zero indexing
T=100*ones(1,Nx+1); % initial temperature in bar is 100
% plot initial temperature distribution

plot(x,T,x,T,’r--’); xlabel(’x’); ylabel(’Temperature’);
title(’ Temperature in metal bar at steps of 60 minutes’)
hold on
%
% step through the time in steps of dt from dt to tfinal
for t=dt:dt:tfinal
% sweep across the bar calculating the Temperature
for i=2:Nx
Tnext(i)=gamma*(T(i-1)+T(i+1))+(1-2*gamma)*T(i);
end
Tnext(1)=fa; Tnext(Nx+1)=fb;
T=Tnext; % update the temperature
% exact solution from separation of variables method

Texact=0;
for m=1:20 % use 20 terms in the sum, is that enough?
Am=-200*((-1)ˆm-1)/(m*pi);
Texact=Texact+Am*exp(-D*(mˆ2*piˆ2/4).*t).*sin(m*pi/2.*x);
end
% plot the numerical and the exact solution (red dashed)

plot(x,T,x,Texact,’r--’);
legend(’numerical’,’exact’)
end % end of the time loop
hold off
7.2.4 Stability
The stability of a time stepping numerical method is all to do with whether errors grow or
decay as you step in time.
Consider the forward time approximation to the time derivative at the point (xi ,t j )
j+1 j
∂ F j Fi − Ti

≈
∂ t i ∆t
This has an error of order (∆t)2 so at each time step there is an error introduced.
The question is do these errors build up and swamp the solution or do they get damped
out?
It turns out that for an FTCS (Forward Time Centred Space) approximation to the diffu-
sion equation as given by
= γ (Ti+1 + Ti−1 ) + (1 − 2γ )Ti

j+1 j j j
Fi
where
D∆t
γ=
(∆x)2
that if
1
γ< then the method is stable and errors do not grow
2
1
γ> then the method is unstable and errors grow
2
If γ > 12 then the method is totally useless! So it is essential that you keep track of the
size of γ and ensure that it stays below 12 at all times. This is particularly important if the
diffusion coefficient varies in the problem.
How does this effect the usefulness of the FTCS method?
If you have a metal bar with diffusion constant of D = 5 × 10−6 m2 /s of length 2m and
you want 100 points along the bar to get an accurate representation of the temperature in
the bar what value of the time step do you need to use?
Now if you double the number of space points how is the time step effected?
7.2.5 Unstable Example
Go back to original FTCS example.

For the original problem what would happen if we increase the time step from dt = 3600
seconds to dt = 7200 seconds. Then γ = 0.9
Temperature in metal bar at steps of 120 minutes

250
numerical
exact
200
150
100
Temperature
50
−50
−100
−150
0 0.5 1 1.5 2
x
Disaster !
γ = Ddt/(dx)2 > 0.5
so the FTCS method is unstable and hence useless.

If you wanted to use this time step you would need to increase the x step size to get γ
below 0.5. But then the solution would be less accurate.
The γ < 0.5 condition for the FTCS method to be stable is in practice a very restrictive
condition as a halving of the spatial step (twice as many x points) results in a time step a
factor of 4 smaller. If any degree of accuracy is required (that is a small x step is required)
then method can take a very long time to run as a very small time step is required.
7.3 Crank-Nicolson method
In contrast to the FTCS method the Crank-Nicolson method uses an average of the old
and new time step for the spatial derivative.
j+1 j!
∂ F j 1 ∂ 2 F ∂ 2 F

=D +
∂ t i 2 ∂ x2 i ∂ x2 i
j+1 j+1 j+1 j j j

!
j+1 j
Fi − Fi D Fi+1 − 2Fi + Fi−1 F − 2Fi + Fi−1
= + i+1
∆t 2 (∆x) 2 (∆x)2
Which rearranges to
−γ j+1 γ j
Fi+1 + Fi−1 + (1 + γ )Fi Fi+1 + Fi−1 + (1 − γ )Fi
j+1 j+1 j j
=
2 2
where
D∆t
γ=
(∆x)2
The left hand side has the unknowns at time j + 1 the right hand side the known values
at time j. These are for each value of i as you step across the region. Hence it is really n
equations in n unknowns (recall the finite-difference work for ODEs).
This is known as an implicit method as there is now no longer an explicit equation for the
solution at time j + 1 in terms of time level j values but rather a system of equations to
solve.
7.3.1 Template
bc bc bc bc bc
j+1 bc bc bc bc bc
j bc bc bc bc bc
bc bc bc bc bc
i−1 i i+1
Index CRANK-NICOLSON METHOD 135
7.3.2 Matrix Representation
The boundary conditions at i = 0 and i = Nx are known so the equations are slightly
different for i = 1 and i = Nx − 1 to account for this.
The system of equations can be written in matrix form (recall the finite difference work
on ODEs) as
AF j+1 = BF j + d j
where
1 + γ −γ /2
 
0 ... 0 0

 −γ /2 1 + γ −γ /2 ... 0 0


A=
 .. .. .. .. .. ..

. . . . . .
. . . 1 + γ −γ /2 
 
 0 0 0
0 0 0 . . . −γ /2 1 + γ
1 − γ γ /2
 
0 ... 0 0

 γ /2 1 − γ γ /2 ... 0 0


B=
 .. .. .. .. .. ..

. . . . . .
. . . 1 − γ γ /2 
 
 0 0 0
0 0 0 . . . γ /2 1 − γ
 
j
F1j+1
 
 j j+1  F1
Fa + Fa j
F2j+1
 
 0  
 F2 
  
 
  0 0
γ
 
0 j j+1
 
F = =
 
F
 
dj = 

..
 ..  .. 
2 .

 
 . 


 . 

0 0
   
0
   
 
j j+1
j
Fb + Fb
j+1 FNx −1 FNx −1
This system of equations can be easily solved in MATLAB using the ’backslash divide’
command. For example something like
Fnext=A\(B*F+d)
One of the advantages of the implicit scheme such as Crank-Nicolson is that it is stable
irespective of the value of γ . That is errors do not build up to catastrophic proportions even
for large time steps. Hence large time steps can be taken only limited by the accuracy at
each step.
This is the major advantage of the implicit Crank-Nicolson scheme over the explicit FTCS
scheme. This stability comes at a price, namely that a matrix equation must be solved at
each time step. This is not too bad in this case as the matrix A is tri-diagonal and hence
there are fast and efficient methods available to invert it. Also since in this case A does
not change from one tme step to the next then it is even possible to determine the inverse
of A once and store it for future use thereby speeding up the calculations even more.
As a general rule explicit schemes suffer from stability problems and implicit schemes
are usually stable.
7.3.3 Example
Solve the heat diffusion problem of a steel bar of length 2m with one end held at 100◦C
the other end at 0◦ C and initially the bar is at at 0◦ C.
∂T ∂ 2T
=D 2
∂t ∂x
where for steel D = 5 × 10−6 m2 /s
The boundary and initial conditions can be written
T (0,t) = 100 T (2,t) = 0 T (x, 0) = 0
Find the temperature distribution at times t = 4, 8, 12 . . .40 hours
Temperature in bar at steps of 4 hours

100
90
80
70
Temperature
60
50
40
30
20
10
0
0 0.5 1 1.5 2
x
Index CRANK-NICOLSON METHOD 137
MATLAB code
% cranknic.m
% Solve the heat diffusion equation on a steel bar of length 2
% with one end held at 100oC the other at 0oC and initially
% the bar is 0oC. Use Crank-Nicolson finite difference method
%
% dT/dt = D d2T/dx2 boundary conditions T(0,t)=100 T(L,t)=0
% and initial condition T(x,0)=0
%
clear all;
n=40; L=2; dx=L/n;
x=[0:dx:L]; % x points
fa=100; fb=0; % boundary values
D=5e-6; % diffusivity = 5x10ˆ-6 mˆ2/s
dt=144 % time step in seconds (plot every 100th)
tfinal=144000; % final time in seconds (=4 hours)
gamma=D*dt/(dxˆ2)
%
T=zeros(n-1,1); % initial condition
Tplot=[fa;T;fb]; % add in the boundary condition for plot
plot(x,Tplot); xlabel(’x’); ylabel(’Temperature’);
title(’ Temperature in bar at steps of 4 hours’)
hold on
%
% set up left and right hand tri-diagonal matrices
Aleft=diag((1+gamma)*ones(n-1,1))...
+diag((-gamma/2)*ones(n-2,1),1)...
+diag((-gamma/2)*ones(n-2,1),-1);
Aright=diag((1-gamma)*ones(n-1,1))...
+diag((gamma/2)*ones(n-2,1),1)...
+diag((gamma/2)*ones(n-2,1),-1);
%
% loop through time calculating T at each new step and plot
% each 100th calculation (see the mod function for how to do this)
for t=dt:dt:tfinal % take time steps of dt
d=gamma*[fa;zeros(n-3,1);fb];% adjust for known boundary values
T=Aleft\(Aright*T+d); % solve for T using backslash divide
if (mod(t,dt*100)==0) % plot each 100th step
Tplot=[fa;T;fb]; % add boundary values for plotting
plot(x,Tplot);
end
end
print -depsc cranknic
hold off
7.4 Method of lines
The method of lines is a way of numerically solving PDEs using the efficient techniques
(eg Runge-Kutta) developed to solve ODEs.
Consider the 1D diffusion equation
∂T ∂ 2T
=D 2
∂t ∂x
with Dirichlet boundary conditions at the boundaries x = a and x = b and initial condition
given by
T (a,t) = fa (t) T (b,t) = fb (t) T (x, 0) = f0 (x)
discretise this in the x-direction using the variable i to indicate which x point you are
at. That is, divide the x-direction into N subintervals with i = 0, 1, 2, . . ., N. Use centred
space approximation to the second derivative at each of those points but leave the time
derivative as it is. So we get
∂ Ti Ti−1 − 2Ti + Ti+1
≈D
∂t (∆x)2
where Ti is the temperature at the ith space position and ∆x = (b − a)/N.

Now T0 and TN are known because of the boundary condition.
T0 = fa (t) TN = fb (t)
For i = 1, 2, 3, . . ., N −1 we now have a system of (N −1) ODEs in the variables T1 , T2 , T3 , . . . , TN−1 .

For example
dT1
= β (T0 − 2T1 + T2 ) = β ( fa − 2T1 + T2 )
dt
dT2
= β (T1 − 2T2 + T3 )
dt
dT3
= β (T2 − 2T3 + T4 )
dt
... = ...
dTN−2
= β (TN−3 − 2TN−2 + TN−1 )
dt
dTN−1
= β (TN−2 − 2TN−1 + TN ) = β (TN−2 − 2TN−1 + fb )
dt
where β = D/(∆x)2 .
With the initial condition giving us the initial values for each of T1 , T2 , T3 , . . ., TN−1 .
This system of ODEs is easily solved numerically using any of the ODE solvers men-
tioned previously (eg Euler’s, midpoint, Runge-Kutta, ode45,. . . ). The more points used
across the domain (larger the value of N) the more accurate the solution will be and the
longer it will take to run.
Index METHOD OF LINES 139
MATLAB code
% mol.m
%
% method of lines on diffusion equation
%
% bar length 2m, with T(0,t)=100, T(2,t)=50
% initially quadratic temperature profile T(x,0)=100-25x(x-1)
% diffusion coefficient of D=1x10ˆ(-6) m2/s
% integrated from t=0 to 1,000,000sec in steps of 100,000sec
global n Ta Tb beta
n=50; xa=0; xb=2;

dx=(xb-xa)/n
Ta=100; Tb=50;
timeend=1e6;
D=1e-6
beta=D/(dx.*dx)
numsteps=10
timestep=timeend/numsteps;
% setup the time points solution is wanted at

tspan=timestep:timestep:timeend;
% x is the interior points,

% w the entire domain (ie put boundary points in)
x=xa+dx:dx:xb-dx;
w=[xa x xb];
% set up initial quadratic temperature profile and plot it

y0=100-25*x.*(x-1);
plot(w,[Ta y0 Tb],’r-’)
title(’ Heat Diffusion using Method of Lines’)
xlabel(’x’); ylabel(’Temperature’)
hold on
% integrate the system of equations

[t,y]=ode45(’molf’,tspan,y0);
% plot the solution, including the boundary values

for i=2:numsteps
v=[Ta y(i,:) Tb];
plot(w,v,’b-’)
end
print -depsc mol

hold off
MATLAB code
function f=molf(t,y);
%
% molf.m
% the system of equations
global n Ta Tb beta
f(1)=beta*(Ta-2*y(1)+y(2));
for i=2:n-2
f(i)=beta*(y(i-1)-2*y(i)+y(i+1));
end;
f(n-1)=beta*(y(n-2)-2*y(n-1)+Tb);
f=f(:);
return
Heat diffusion in a steel bar with D = 1 × 10−6 m2 /s
∂T ∂ 2T
=D 2
∂t ∂x
with
T (0,t) = 100 T (2,t) = 50 T (x, 0) = 100 − 25x(x − 1)
Heat Diffusion using Method of Lines

110
100
90
Temperature
80
70
60
50
0 0.5 1 1.5 2
x
Index OTHER BOUNDARY CONDITIONS 141
7.5 Other boundary conditions
So far all the examples have used Dirichlet Boundary Conditions (the value of the function
given on the boundary). What changes if instead the boundary conditions are Neumann or
Cauchy type? Now the value of the function is not known and hence the boundary should
also be considered an unknown point.
Example
Left edge has a Dirichlet (u = 0) boundary condition and hence the value is known. Right
edge has a Cauchy ( ∂∂ ur = h(25 − u)) boundary condition and hence the value is unknown.
t
u bc bc bc bc bc bc bc bc
∂u
u=0 u t bc bc bc bc bc bc bc bc ∂ r = h(25 − u)
boundary boundary
value t
u bc bc bc bc bc bc bc bcvalue
known unknown
t
u bc bc bc bc bc bc bc bc
rs rs rs rs rs rs rs rs rs
sr known initial condition

bc unknown points
t
u known boundary points
Example
The different types of boundary conditions can all be derived from Newton’s Law of
cooling. For example consider a steel bar where the end at x = 0 loses heat according to
Newton’s Law of cooling with a heat transfer coefficient of h, and an ambient temperature
of Ta , that is at x = 0
∂T
= h(T − Ta )
∂x
If h = 0 then the boundary is fully insulated as no heat can flow through that boundary
∂T
= 0 insulated
∂x
If h is very large then divide each side by h to give approximately
T = Ta Dirichlet condition
Each of these three boundary conditions need to be treated slightly differently.

7.5.1 Neumann Boundary Condition
The function value is not known at the boundary so the boundary is an unknown value that
must also be determined. After discretizing in the x-direction use centred differencing on
the derivative term, for example centred differencing about i = 0 gives
∂ T

T1 − T−1
≈
∂ x i=0
2∆x
where T−1 is a fictitious point. That is it is an artificial point that is not in the domain of
interest. So how does this help?
∂T
Consider the case of an insulated boundary ∂x = 0.
∂T
Using the above expression and the fact that the boundary is insulated so that ∂x = 0 we
get a relationship between T−1 and T1 in this case this is simply that
T−1 = T1
But recall that we are dealing with the Diffusion Equation

∂T ∂ 2T
=D 2
∂t ∂x
using centred differencing on the second derivative around the point i = 0 results in
∂ 2 T

T−1 − 2T0 + T1
≈
∂ x i=0
2 (∆x)2
the fictitious point T−1 can then be replaced by T1 to give
∂ 2 T

2T1 − 2T0
≈
∂ x2 i=0 (∆x)2
Hence it is possible to incorporate the boundary condition into the scheme that is used
with the value of the temperature at the boundary being one of the unknowns.
For example in the Method of Lines the system of equations is modified to include an
extra equation for the T0 point and the T1 equation is also altered to still include the T0
which is unknown, the other equations remain unchanged.
dT0
= β (T−1 − 2T0 + T1 ) = β (2T1 − 2T0 )
dt
dT1
= β (T0 − 2T1 + T2 )
dt
dT2
= β (T1 − 2T2 + T3 )
dt
... = ...
dTN−2
= β (TN−3 − 2TN−2 + TN−1 )
dt
dTN−1
= β (TN−2 − 2TN−1 + TN ) = β (TN−2 − 2TN−1 + fb )
dt
Example
Heat diffusion in a steel bar with D = 1 × 10−6 m2 /s
∂T ∂ 2T
=D 2
∂t ∂x
with
∂T
(0,t) = 0 T (2,t) = 50 T (x, 0) = 100 − 25x(x − 1)
∂x
MATLAB code
% molinsulated.m
%
% method of lines on diffusion equation
%
% bar length 2m, with dT/dx(0,t)=0, T(2,t)=50
% initially a quadratic temperature profile T(x,0)=100-25x(x-1)
% diffusion coefficient of D=1x10ˆ(-6) m2/s
% integrated from t=0 to 1,000,000 sec in steps of 100,000 sec
global n Tb beta
n=50; xa=0; xb=2; dx=(xb-xa)/n; Tb=50;

timeend=1e6; D=1e-6; beta=D/(dx.*dx);
numsteps=10; timestep=timeend/numsteps;
% setup the time points solutionis wanted at

tspan=timestep:timestep:timeend;
% x is the interior points and left point,

% w the entire domain (ie put right boundary point in)
x=xa:dx:xb-dx;
w=[x xb];
% set up initial quadratic temperature profile and plot it

y0=100-25*x.*(x-1);
plot(w,[y0 Tb],’r-’)
title(’Method of Lines: Insulated left edge’)
xlabel(’x’); ylabel(’Temperature’)
hold on
% integrate the system of equations

[t,y]=ode45(’molinsulatedf’,tspan,y0);
% plot solution, dont forget the right boundary value

for i=2:numsteps
v=[y(i,:) Tb];
plot(w,v,’b-’)
end
print -depsc molinsulated
hold off
MATLAB code
function f=molinsulatedf(t,y);
%
% molinsulatedf.m
% the system of equations
global n Tb beta
% recall that MATLAb vectors start at index 1 so that T_0

% is in y(1), T_1 in y(2), ... , T_n-1 in y(n)
f(1)=beta*(2*y(2)-2*y(1));
for i=2:n-1
f(i)=beta*(y(i-1)-2*y(i)+y(i+1));
end;
f(n)=beta*(y(n-1)-2*y(n)+Tb);
f=f(:);
return
Heat Diffusion using Method of Lines: Insulated left edge

110
100
90
Temperature
80
70
60
50
0 0.5 1 1.5 2
x
7.5.2 Cauchy Boundary Condition
As an example for the full Newtonian heat loss boundary condition
∂T
= h(T − Ta )
∂x
the derivative of the function is given in terms of the unknown value at the boundary that
must also be determined. After discretizing in the x-direction use centered differencing
on the derivative term, for example centred differencing about i = 0 gives
∂ T

T1 − T−1
≈ = h(T0 − Ta )
∂ x i=0
2∆x
where T−1 is a fictitious point and Ta is the ambient temperature.

This can be rearranged to get the fictitious point T−1 in terms of the known points T0 and
T1 .
T−1 = T1 − 2∆xh(T0 − Ta )
Now use this to expression to incorporate the Cauchy boundary condition into the expres-
sion for the second derivative at the point i = 0.
7.6 Nonlinear Example
Reaction Diffusion Example: Combustion of a sawdust layer

Consider a reaction-diffusion problem where the temperature in a fuel not only diffuses
but also causes a feedback so that a higher temperature results in a faster increase in
temperature. This type of scenario is typical of a combustion problem where as a fuel
burns it raises the temperature thereby making the reaction happen even faster. Assume
that the reaction is occurring in a region of length 2m and is such that the ends are held at
some ambient temperature Ta and initially the temperature is ambient everywhere except
a small hot spot in the centre.
This could be used to model scenarios such as a small piece of hot metal falling into a
layer of sawdust for example.
∂T ∂ 2T
= D 2 + (T − Ta )2
∂t ∂x
where for sawdust D = 0.08 m2 /s. The boundary conditions are ambient temperature
T (0,t) = Ta = 25 T (2,t) = 25 and an initial condition of ambient temperature every-
where except at a hotspot in the centre

50 if x = 1 the hot spot
T (x, 0) =
25 elsewhere
Not that this equation can not be solved analytically! Use FTCS finite differences to get
Ti, j+1 = γ (Ti+1, j + Ti−1, j ) + (1 − 2γ )Ti, j + ∆t(Ti, j − Ta )2
Temperature at steps of 0.1 seconds: Final Temperature 1.5 seconds

90
80
70
Temperature
60
50
40
30
20
0 0.5 1 1.5 2
x
Index NONLINEAR EXAMPLE 147
MATLAB code
% reactdiff.m
% Solve the heat reaction-diffusion equation on a length 2 with
% both ends at ambient=25oC and initially the bar is ambient.
% A hot spot of T=50oC at the centre (x=1)
% Use FTCS finite difference method
%
% dT/dt = D d2T/dx2 + (T-Ta)ˆ2
% subject to boundary conditions T(0,t)=Ta T(L,t)=Ta
% and initial condition T(x,0)=Ta (for x=/=1) and T(1,0)=50
%
clear all;
n=100; L=2; dx=L/n;
x=[0:dx:L]; % x points
D=0.08; % diffusivity of wood = 0.08 mˆ2/s
dt=.001; % time step in seconds
tfinal=1.48; % final time in seconds
gamma=D*dt/(dxˆ2)
Ta=25; % ambient Temperature
T=Ta*ones(1,n+1); % ambient Temperature everywhere except hot spot
T(n/2+1)=Ta+25; % hot spot at centre
% plot initial temperature distribution
plot(x,T); xlabel(’x’); ylabel(’Temperature’);
title(’ Temperature at steps of 0.1 sec: Final Temperature 1.5 sec’)
hold on
%step across the bar calculating the Temperature at next time level
for i=2:n
Tnext(i)=gamma*(T(i-1)+T(i+1))+(1-2*gamma)*T(i)+dt*(T(i)-Ta)ˆ2;
end
Tnext(1)=Ta; Tnext(n+1)=Ta;
T=Tnext; % update the temperature
if (mod(t,dt*100)==0) % plot each 100th step
plot(x,T);
end
end
plot(x,T);
print -depsc reactdiff
hold off
7.7 Other co-ordinate systems
So far all the examples given have been in Cartesian co-ordinates (x, y, z). These equations
can also be considered in other co-ordinate systems such as cylindrical (r, θ , z) or spherical
(ρ , φ , θ ).
For example the Laplacian in cylindrical co-ordinates is
∂ 2F 1 ∂ F 1 ∂ 2F ∂ 2F
∇2 F = + + +
∂ r 2 r ∂ r r 2 ∂ θ 2 ∂ z2
The benefit of using a coordinate system that matches the object is that often it is possible
to reduce the dimension of the problem.
7.7.1 Disc example
Consider the case of a circular disc of metal with a radius of 50cm. The base and top are
insulated which means the only directions of interest are in the plane of the disc ((x, y)
plane) and hence the problem is two dimensional. The disc is initially at 100◦C and
loses heat through the edge according to Newton’s law of cooling. The ambient air is at
25◦C. The diffusivity of the metal is D = 5 × 10−6m2 /s and the Newtonian heat transfer
coeeficient is h = 10m−1 .
∂u
= −h(u − ua ) at r = 0.5
∂r
The governing differential equation is the 2-D heat equation
∂u
= D∇2 u
∂t
which can be written in circular coordinates as
∂u ∂ F 1 ∂ F 1 ∂ 2F
2
=D + +
∂t ∂ r2 r ∂ r r2 ∂ θ 2
Now since the boundary condition is applied uniformly over the boundary and the initial
condition is also uniform then the temperature in the disc will not depend on the angle
Index OTHER CO-ORDINATE SYSTEMS 149
around the disc. Hence there will not be any θ dependence and so any derivatives with
respect to θ are zero. So the governing PDE becomes
∂u ∂ u 1 ∂u
2
=D +
∂t ∂ r2 r ∂ r
This has reduced the problem form a 2-D one down to a 1-D one.
What about the boundary and initial conditions?

There is one initial condition as expected
u(r, 0) = 100
and there should be two boundary conditions since the PDE is second order in the space
variable r. One boundary condition is obvious, namely
∂u
= −h(u − ua ) at r = 0.5
∂r
The other boundary condition is derived from the fact that the temperature is independent
of θ and hence at the origin the derivative with respect to r must be zero. That is the
temperature distribution must be centred on the origin. So the other boundary condition
is
∂u
= 0 at r = 0
∂r
Look at the governing PDE. There is a problem at r = 0 as the term 1r ∂∂ ur appears to be

undefined at r = 0. In fact this term is not undefined since at r = 0 ∂∂ ur = 0 as well due to
the boundary condition. This difficulty can be overcome by using L’Hopital’s Rule.
7.7.2 L’Hopital’s Rule
L’Hopitals rule is a consequence of Taylor series and states in this particular situation that
f (r) f ′ (r)
if lim f (r) = 0 and lim g(r) = 0 then lim = lim ′
r→0 r→0 r→0 g(r) r→0 g (r)
∂u
hence in this case f (r) = ∂r and g(r) = r so that at r = 0 the governing PDE is modified
by
∂ 2 u ∂∂ ur
!
∂u
= D +
∂t ∂ r2 r
∂ 2u
!
∂ 2 u ∂ r2
= D +
∂ r2 1
∂ 2u
= 2D
∂ r2
So in any numerical method this alternative PDE must be used if at the point r = 0.
7.7.3 FTCS Method
Now derive the FTCS system for solving this problem. The only space dimension of
interest is the radius r = 0 to 0.5. Set up a grid in space and time. Discretise the region so
j
that ui = u(i∆r, j∆t) with i = 0, 1, . . ., Nr and j = 0, 1, . . ., Nt with ∆r = 0.5/Nr
t
j = 10 bc bc bc bc bc bc bc bc bc
j=9 bc bc bc bc bc bc bc bc bc
∂u ∂u
∂r =0 ∂r = h(25 − u)
∆r ∆t
i=0 i=1 i=2 i=3 i=4 i=5 i=6 i=7 i=8 r
r=0 r = 0.5
sr Initial condition – known u(r, 0) = 100

bc unknown points
FTCS formulation
Provided r 6= 0 the governing PDE is
∂u ∂ u 1 ∂u
2
=D +
∂t ∂ r2 r ∂ r
so use Forward Time and Centred Space finite difference around the point (i, j) to approx-
imate this by
j j j j j
!
j+1 j
ui − ui ui+1 − 2ui + ui−1 1 ui+1 − ui−1
=D +
∆t (∆r)2 i∆r 2∆r
Rearranging this to get the new time level as the subject results in
γ
ui = γ ui+1 − 2ui + ui−1 +
j+1 j j j j j j
ui+1 − ui−1 + ui
2i
where γ = (∆r)
D∆t
2 . This is the FTCS formulation for the internal points. Points at the two
edges (r = 0 and r = 0.5) require special attention.
External edge r = 0.5

Use a fictitious point beyond the region of interest. The boundary condition is
∂u
∂ r = −h(u − ua ) which on using central finite differences is
j j
∂ u j uNr +1 − uNr −1

j
≈ = −h(uNr − ua )
∂ r Nr 2∆r
which rearranges so that the fictitious point uNj r +1 can be written as
j j j
uNr +1 = −2∆rh(uNr − ua ) + uNr −1
j
This value is then used in the FTCS scheme above whenever uNr +1 is used.
Internal edge r = 0
Do a similar process for the internal edge but recall that the PDE is altered there. The
boundary condition is ∂∂ ur = 0 which on using central finite differences is
j j
∂ u j u1 − u−1

≈ =0
∂ r 0 2∆r
j
which rearranges so that the fictitious point u−1 can be written as
j j
u−1 = u1
The PDE at r = 0 (which is i = 0) was found previously using L’Hopital’s Rule to be
∂u ∂ 2u
= 2D 2
∂t ∂r
so use Forward Time and Centred Space finite difference around the point (0, j) to ap-
proximate this by
j j j
j+1 j
!
u0 − u0 u1 − 2u0 + u−1
= 2D
∆t (∆r)2
j
Using the value for the fictitious point (u−1 ) above and rearranging gives the governing
FTCS equation for the r = 0 point as

u0 = 4γ u1 − u0 + u0
j+1 j j j
It is now possible to code this FTCS method in MATLAB.

MATLAB code
% ftcs_cyl.m
% Solve the heat diffusion equation on a steel disc radius 0.5m
% with Newton’s law of cooling dT/dr=-h(T-Ta) Ta=25oC at r=0.5m
% initially the disc is 100oC. Use FTCS finite difference method
% dT/dt = D d2T/dr2 + D 1/r dT/dr
% initial condition T(x,0)=100
% boundary conditions dT/dr=0 at r=0
% dT/dr=-h(T-25) at r=0.5m
%
clear all;
n=20; % number of points
L=0.5; % radius of disc
dr=L/n; % space step
Ta=25; % ambient temperature
r=[0:dr:L]; % r points
D=5e-6; % steel diffusivity = 5x10ˆ6 mˆ2/s
h=10.0; % heat loss coefficient
dt=30 % time step in seconds
tfinal=30000; % final time in seconds
gamma=D*dt/(drˆ2)
% calculate and plot initial temperature distribution
T=ones(1,n+1)*100;
plot(r,T,’r-’); xlabel(’radius’); ylabel(’Temperature’);
title(’ Temperature in disc at 900 second intervals’)
hold on
% loop through time

% step across the radius calculating the Temp at the next time level
% remember to index from 1 not zero hence shift all indexes up one
% r=0 special case uses a fictitious point beyond region

Tnext(1)=4*gamma*(T(2)-T(1))+T(1);
% internal r points
for i=2:n
Tnext(i)=gamma*(T(i-1)-2*T(i)+T(i+1))...
+gamma/(2*(i-1))*(T(i+1)-T(i-1))+T(i);
end
% external r point uses a fictitious point beyond region

Tfict=T(n)-2*dr*h*(T(n+1)-Ta); % calculate ficticous point
Tnext(n+1)=gamma*(T(n)+Tfict)...
+(1-2*gamma)*T(n+1)+gamma/(2*(n))*(Tfict-T(n));
% update the temperature and plot each 30th solution

T=Tnext;
if (mod(t,dt*30)==0)
plot(r,T);
end
end % t loop
hold off
Temperature in disc at 900 second intervals

100
90
80
70
Temperature
60
50
40
30
20
0 0.1 0.2 0.3 0.4 0.5
radius
8 Elliptic Equations: Laplace’s Equation
Elliptic equations (such as Laplace’s Equation) do not allow ’time-stepping’ since there is
no ’time-like’ variable to step in. Instead the solution must somehow be found in the entire
demand simultaneously. The best method for this is to use some kind of iterative scheme
where you use the equation to update an initial guess of the solution until it converges to
a steady solution. This is a sort of pseudo ’time-stepping’ but it is not necessary to keep
the intermediate ’times’ hence some short cuts and speed ups can be done.
8.1 Example with Dirichlet boundary conditions
Consider a steady state heat problem on a rectangular domain with Dirichlet Boundary
conditions. For example a slab of wood of size 10cm (wide) by 5cm (long) that has
reached thermal equilibrium. The left and right edges are held at 20◦ C the bottom at
20◦ C and the top is subjected to to a quadratic temperature such that the maximum in the
middle is 70◦ C. What is the steady state temperature distribution in the slab?
y
(2x(10 − x) + 20)◦C
5
20◦C 20◦C
20◦C 10 x
The governing PDE is Laplace’s Equation in 2D
∂ 2T ∂ 2T
+ 2 =0
∂ x2 ∂y
subject to the boundary conditions
T (0, y) = 20 T (10, y) = 20 T (x, 0) = 20 T (x, 5) = 2x(10 − x) + 20

156 8. ELLIPTIC EQUATIONS: LAPLACE’S EQUATION Index
Divide the region up into a grid so that there Nx sections in the x-direction and Ny sections
in the y-direction. Let i be the index for the x-direction and j the index for the y-direction.
So in this case
(10 − 0) (5 − 0)
∆x = ∆y =
Nx Ny
with i = 0, 1, . . ., Nx and j = 0, 1, . . ., Ny . Let Ti, j be shorthand notation for the temperature
at the position (xi , y j ) where xi = 0 + i∆x and y j = 0 + j∆y.
Turning to the governing PDE discretise the second derivative terms using centred differ-
encing in the appropriate direction to get
Ti+1, j − 2Ti, j + Ti−1, j Ti, j+1 − 2Ti, j + Ti, j−1
+ ≈0
(∆x)2 (∆y)2
That is the template used is a cross pattern
bc bc bc bc bc
j+1 bc bc cb bc bc
j bc bc cb cb bc
j−1 bc bc cb bc bc
bc bc bc bc bc
i−1 i i+1
Rearrange the equation to get

2 (∆y)2 + (∆x)2 Ti, j = (∆y)2 Ti+1, j + Ti−1, j + (∆x)2 Ti, j+1 + Ti, j−1

and so we get an equation for the central point in terms of its 4 neighbours as
1/2 2
2

Ti, j = (∆y) Ti+1, j + Ti−1, j + (∆x) Ti, j+1 + Ti, j−1
(∆y)2 + (∆x)2
But how does this help?

Use this equation as the basis for an iterative scheme. Start with some initial guess for the
temperature in the slab (that is an initial guess for all the Ti, j ), recalling that the temper-
ature on the boundary is known. Now use the above equation to update the central point
from the values of its 4 neighbours. Sweep across the x and y directions repeatedly until
the solution converges. So the equation is
1/2
Ti,n+1 (∆y)2 Ti+1,
n n 2 n n

j = j + Ti−1, j + (∆x) Ti, j+1 + Ti, j−1
(∆y)2 + (∆x)2
where n is a counter that keeps track of which iteration you are up to. n = 0 corresponds
to your original guess. You stop when the change in the solution from one iteration to the
next is less than some tolerance.
Index EXAMPLE WITH DIRICHLET BOUNDARY CONDITIONS 157
MATLAB code
% laplace_direct.m
% Solve Laplaces equation d2u/dx2 + d2u/dy2 = 0
% subject to u(0,y)=20 u(x,0)=20 u(10,y)=20 u(x,5)=2x(10-x)+20
%
L=10; M=5; Nx=30; Ny=30; dx=L/Nx; dy=M/Ny; eps=1.0; delta=100;
dx2=dxˆ2; dy2=dyˆ2; x=0:dx:L; y=0:dy:M;
V=20*ones(Nx+1,Ny+1); % initialise solution everywhere to 20
V(:,Ny+1)=2*x’.*(10-x’)+20; % boundary condition on y=5
Vnext=V;
number_iter=0;
denom=2*(dx2+dy2); % this is used often so calculate it outside loop
% loop through until solution converges
while delta > eps
number_iter=number_iter+1;
maxdiff=0;
for i=2:Nx
for j=2:Ny
Vnext(i,j)=(dy2*(V(i-1,j)+V(i+1,j))+dx2*(V(i,j-1)+V(i,j+1)))/den
dV=V(i,j)-Vnext(i,j); % the difference between successive solut
% keep track of the maximum difference
if abs(dV) > maxdiff;
maxdiff = abs(dV);
end
end
end
V=Vnext;
delta=maxdiff;
end
number_iter % show how many iterations were used
% plot the solution in 3D in 3 ways, surface plot, mesh plot, contour
figure(1)
surf(x,y,V’) % surf plots the surface
colorbar % put a color bar next to it showing what each color
shading interp % use interpolation for the coloring (smooths the col
xlabel(’x’); ylabel(’y’); zlabel(’Temperature’);
title(’Steady State Temperature’);
print -depsc laplace_direct_3D
figure(2)
mesh(x,y,V’) % mesh plots the surface with the mesh stretched over
colorbar % put a color bar next to it showing what each color
xlabel(’x’); ylabel(’y’); zlabel(’Temperature’);
title(’Mesh plot of temperature’)
print -depsc laplace_direct_mesh
figure(3)
contour(x,y,V’) % cont plots a contour plot
axis image
xlabel(’x’); ylabel(’y’); title(’Contour plot of temperature’)
print -depsc laplace_direct_contour
158 Steady
8. ELLIPTIC EQUATIONS: State EQUATION
LAPLACE’S Temperature Index
70
65
70 60
60 55
Temperature
50 50
40 45
40
30
35
20
6 30
4 10
25
2 5
20
y 0 0 x
Mesh plot of temperature

70
65
70 60
60 55
Temperature
50 50
40 45
40
30
35
20
6 30
4 10
25
2 5
20
y 0 0 x
Contour plot of temperature

5
y
4.5
1 2 3 4 5 6 7 8 9
x
Index IMPROVING THE CONVERGENCE 159
8.2 Improving the convergence
8.3 Gauss-Seidel
The previous method where the new values are calculated over the entire domain using
the existing values is known as the Jacobi method. This requires storing 2 matrices of
values (the old and the new) and is relatively inefficient.
The speed of the iterative scheme convergence can be substantially improved if instead of
sweeping across using the old values we make sure we use the most recently calculated
values. This has the added advantage of not requiring the storing of two matrices.
for i=2:Nx
for j=2:Ny
Vnext=(dyˆ2*(V(i-1,j)+V(i+1,j))+dxˆ2*(V(i,j-1)+V(i,j+1)))/denom;
dV=V(i,j)-Vnext;
V(i,j)=V(i,j)+dV;
if abs(dV) > maxdiff; maxdiff = abs(dV); end
end
end
This is known as the Gauss-Seidel method. Because the most recent value of the solu-
tion is used it greatly improves the efficiency of the method. Typically the Gauss-Seidel
method uses approximately 25% to 50% less iterations for the same level of accuracy.
Can you see any problems with this method?
How could you improve on it?

8.3.1 Successive Over Relaxation
It turns out that the Gauss-Seidel method always converges monotonically to the solution.
For example
It is quicker if there is an overshoot so that the solution converges in an oscillatory manner
This is obtained by artificially increasing the incremental change to the solution
for i=2:Nx
for j=2:Ny
Vnext=(dyˆ2*(V(i-1,j)+V(i+1,j))+dxˆ2*(V(i,j-1)+V(i,j+1)))/denom;
dV=V(i,j)-Vnext;
>>> V(i,j)=V(i,j)+omega*dV; <<<
end
end
Introduce a new parameter ω which is the ’over-relaxation’ amount. This method is

known as Successive Over-Relaxation.
If 0 < ω < 1 then the method is under-relaxed and converges slower.
If 1 < ω < 2 then the method is over-relaxed and converges quicker.
If ω > 2 then the method does not converge.
Index GAUSS-SEIDEL 161
The optimum value of ω (the one resulting in the fastest convergence) is not a specific
value but is different for each problem. So how do you know what value to use? The
best method is to find the approximate value by considering the problem with fewer grid
points and then using that optimal value for the full problem with many more grid points.
A typical behaviour of the number of iterations versus the relaxation parameter is for
the number of iterations to slowly decrease as ω increases to the optimal value and then
to rapidly rise (see figure below). Hence it is usually best to take a value of ω that is
slightly less than the optimal value to ensure that you stay in the region where the best
convergence is obtained. Note that for this example (solving Laplaces equation as before)
the number of iterations decreased from about 115 for ω = 1 (no relaxation) to about 34
for ω ≈ 1.83. This results in the program taking approximately a third of the time to run
for no more effort.
Successive Over-relaxation is particularly important for very large complicated problems
in many dimensions where run time and convergence issues become critical. Most com-
mercial software will involve some form of Successive Over-relaxation when solving
steady state problems such as Laplace’s equation.
Iterations verses omega for SOR

120
110
100
number of iterations
90
80
70
60
50
Optimal value of omega
40
30
1 1.2 1.4 1.6 1.8 2
omega
8.3.2 Example
Temperature in a house wall on a Canberra winter night
Consider the problem of a long house wall 2m high and 25cm thick. The wall is at thermal
equilibrium. The outside temperature is −5◦C the inside temperature 22◦C. The wall
foundations are in the ground at 15◦C. The top of the wall is insulated by insulation in the
ceiling of the house.
The governing PDE is Laplace’s Equation in 2D
∂ 2T ∂ 2T
+ 2 =0
∂ x2 ∂y
∂T
= h(T − 22) on x=0
∂x
∂T
= −h(T + 5) on x = 0.25
∂x
T (x, 0) = 15
∂T
= 0 on y=2
∂y
Contours of Steady State Temperature

2 20
1.8 18
1.6 16
1.4 14
1.2 12
10
1
8
0.8
6
0.6
4
0.4
2
0.2
0
0
0 0.05 0.1 0.15 0.2 0.25
MATLAB code
% wall.m Solve Laplaces equation d2u/dx2 + d2u/dy2 = 0
% in a 2m x 0.25m wall subject to du/dx(0,y)=h(u-Tin) u(x,0)=Tground
% u(.25,y)=h(u-Tout) du/dy(x,2)=0
% Set up all the various constants, vectors and matrices needed

insidetemp=22; outsidetemp=-5; groundtemp=15;
L=.25; M=2; Nx=40; Ny=160; dx=L/(Nx-1); dy=M/(Ny-1); eps=0.2; delta=100;
h=100; x=[0:dx:L]’; y=[0:dy:M];
V=groundtemp*ones(Nx,Ny); % initialise solution everywhere to bottomtemp

V(1,:)=insidetemp*ones(1,Ny); % initialise inside edge to insidetemp
V(Nx,:)=outsidetemp*ones(1,Ny);% initialise outside edge to outsidetemp
number_iter=0;
denom=2*(dxˆ2+dyˆ2); % this is used often so calculate it outside loop

while delta > eps
number_iter=number_iter+1; maxdiff=0;
% step across in x-direction doing i=1, then internal points, then i=Nx
i=1; % the inside edge i=1 V(i-1,j)=V(i+1,j)-2*dx*h*(V(i,j)-insidetemp)

j=1; % the bottom j=1 V(i,j)=bottomtemp
V(i,j)=groundtemp;
for j=2:Ny-1
dV=(dyˆ2*(V(i+1,j)-2*dx*h*(V(i,j)-insidetemp)+V(i+1,j))...
+dxˆ2*(V(i,j-1)+V(i,j+1)))/denom-V(i,j);
V(i,j)=V(i,j)+dV;
end
j=Ny; % the top insulated so V(i,j+1)=V(i,j-1)
dV=(dyˆ2*(V(i+1,j)-2*dx*h*(V(i,j)-insidetemp)+V(i+1,j))...
+dxˆ2*(V(i,j-1)+V(i,j-1)))/denom-V(i,j);
V(i,j)=V(i,j)+dV;
% the interior points i=2,...,Nx-1

for i=2:Nx-1
j=1; % the bottom j=1 V(i,j)=groundtemp
V(i,j)=groundtemp;
for j=2:Ny-1
dV=(dyˆ2*(V(i-1,j)+V(i+1,j))+dxˆ2*(V(i,j-1)+V(i,j+1)))/denom - V(i,j);
V(i,j)=V(i,j)+dV;
end
j=Ny; % the top j=Ny insulated so V(i,j+1)=V(i,j-1)
dV=(dyˆ2*(V(i-1,j)+V(i+1,j))+dxˆ2*(V(i,j-1)+V(i,j-1)))/denom - V(i,j);
V(i,j)=V(i,j)+dV;
end
i=Nx; % the outside edge i=Nx V(i+1,j)=V(i-1,j)-2*dx*h*(V(i,j)-outsidetemp)

j=1; % the bottom j=1 V(i,j)=bottomtemp
V(i,j)=groundtemp;
for j=2:Ny-1
dV=(dyˆ2*(V(i-1,j)+V(i-1,j)-2*dx*h*(V(i,j)-outsidetemp))...
+dxˆ2*(V(i,j-1)+V(i,j+1)))/denom-V(i,j);
V(i,j)=V(i,j)+dV;
end
j=Ny; % insulated so V(i,j+1)=V(i,j-1)
dV=(dyˆ2*(V(i-1,j)+V(i-1,j)-2*dx*h*(V(i,j)-outsidetemp))...
+dxˆ2*(V(i,j-1)+V(i,j-1)))/denom-V(i,j);
V(i,j)=V(i,j)+dV;
delta=maxdiff;
fprintf(’number of iterations = %3.0f max(dV) = %6.4f\n’,number_iter,maxdiff)
end % while loop finishes when convergence is obtained to accuracy eps
contlevels=[outsidetemp:1:max(max(V))];
contour(x,y,V’,contlevels) % plot contours of the solution at contlevels
title(’Contours of Steady State Temperature’);
colorbar
print -depsc wall_contour
8.3.3 Example
A cylinder of height 2m and radius 1m has the bottom and sides held at 0◦C and the top
satisfies a quadratic temperature distribution with maximum 1◦C at the centre and 0◦C at
the edge.
Write down the governing equation, boundary conditions and find the steady state tem-
perature distribution using MATLAB.
MATLAB code
% laplace_cylinder.m
% Solve Laplaces equation d2u/dz2 + 1/r du/dr + d2u/dr2 = 0
% subject to du/dr(0,z)=0 u(r,0)=0 u(r,2)=1-rˆ2 u(1,z)=0
%
L=1; M=2; Nz=30; Nr=20; dr=L/Nr; dz=M/Nz; eps=0.001; delta=1;
r=0:dr:L; z=0:dz:M;
V=zeros(Nr+1,Nz+1); % initialise solution everywhere to zero
V(:,Nz+1)=(1-r.ˆ2)’; % boundary condition on z=2 (j=Nz+1)
number_iter=0;
denom=2*(drˆ2+dzˆ2); % used often so calculate outside loop

while delta > eps
number_iter=number_iter+1;
maxdiff=0;
for j=2:Nz
i=1;
Vnext=(4*dzˆ2*(V(i+1,j))+drˆ2*(V(i,j-1)...
+V(i,j+1)))/(2*drˆ2+4*dzˆ2);
V(i,j)=Vnext;
for i=2:Nr
Vnext=(dzˆ2*(V(i-1,j)+V(i+1,j))+drˆ2*(V(i,j-1)+V(i,j+1))...
+dzˆ2/(2*(i-1))*(V(i+1,j)-V(i-1,j)))/denom;
dV=V(i,j)-Vnext;
V(i,j)=Vnext;
end
end
delta=maxdiff;
end
number_iter % show how many iterations were used

figure(1)
mesh(r,z,V’) % plot the solution in 3D
title(’Steady State Temperature’);
print -depsc laplace_cylinder_3D
figure(2)
contour(r,z,V’) % plot contours of the solution
title(’Contours of Steady State Temperature’);
print -depsc laplace_cylinder_contours
Steady State Temperature
0.8
0.6
0.4
0.2
0
2
1.5 1
0.8
1
0.6
0.5 0.4
0.2
0 0
Contours of Steady State Temperature

2
1.8
1.6
1.4
1.2
0.8
0.6
0.4
0.2
0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
9 Hyperbolic Equations: Wave Equation
9.1 Finite Differences
The wave equation

∂ 2F
= c2 ∇2 F
∂t 2
allows time stepping as was used for the diffusion equation but with a significant differ-
ence at the beginning of the process. Since the time derivative is 2nd order there are 2
initial conditions. For example for a one dimensional problem they could be
∂F
F(x, 0) = F0 (x) (x, 0) = V0 (x)
∂t
Divide the region up into a grid so that there are Nx sections in the x-direction and Nt
sections in the t-direction. Let i be the index for the x-direction and j the index for the t-
j
direction. So in this case Let Fi be shorthand notation for the value at the position (xi ,t j ).
Using centred time and space finite differences to approximate the derivatives in the wave
equation gives
j+1 j j−1 j j j
Fi − 2Fi + Fi 2 Fi+1 − 2Fi + Fi−1
=c
(∆t)2 (∆x)2
This can be rearranged so that the solution at the new time ( j + 1) can be written in terms
of the current time ( j) and the previous time ( j − 1) as

= γ 2 Fi+1 − 2Fi + Fi−1 + 2Fi − Fi
j+1 j j j j j−1
Fi
where
c2 (∆t)2
γ2 =
(∆x)2
That is the template used is a cross pattern
bc bc bc bc bc
j+1 bc bc rsbc bc bc
j bc bc bc bc bc
j−1 bc bc bc bc bc
bc bc bc bc bc
i−1 i i+1
The significant difference between this scheme and the FTCS scheme for the diffusion
equation is that here the new value depends on the previous two time steps. The problem
168 9. HYPERBOLIC EQUATIONS: WAVE EQUATION Index
with this is at the beginning of the process as initially only values at one time level (the
initial time) are known. To overcome this the easiest method is to make a forward time
approximation of the initial derivative boundary condition to get values at the next time
level. If the initial derivative boundary condition at the ith space point is
∂ F

= V0 i
∂ t i
then approximate this by a forward time difference to get
∂ F Fi1 − Fi0

= = V0 i
∂ t i ∆t
Rearrange to get values at time level j = 1 as
Fi1 = Fi0 +V0 i ∆t
Now the first two time levels are known and the method can proceed.
9.1.1 Stability
As with the FTCS method for the diffusion equation this explicit method also suffers from
stability problems.
If γ 2 < 1 the method is stable.
If γ 2 > 1 the method is unstable and not useable.
9.2 Example
Consider a string 1 metre long that is fixed at the ends. Initial the string is pulled to a
parabolic shape between x = 25 and 33cm and then released. The governing differential
equation is the one dimensional wave equation
∂ 2F 2∂ F
2
= c
∂ t2 ∂ x2
F(0,t) = 0 F(100,t) = 0
and initial conditions

∂F
F(x, 0) = given parabolic shape (x, 0) = 0
∂t
Index EXAMPLE 169
MATLAB code
% waveqn.m Finite difference solution to the wave equation

g2 = .6; c = 30; N = 500; L = 100; dx = L/(N);
x = [dx:dx:L-dx]’; n = length(x); dt = sqrt(g2)*dx/c;
% set initial pulse for L/6 < x < L/4 as a quadratic
xleft = x(round(n/6)); xright = x(round(n/4));
Y0 = zeros(n,1);
I = find(x >= xleft & x <= xright);
Y0(I) = (x(I)-xleft).*(xright-x(I));
Y0 = Y0/max(Y0);
%
A = sparse(diag(2*(1-g2)*ones(n,1)) + ...
g2*diag(ones(n-1,1),1) + g2*diag(ones(n-1,1),-1));
Y1 = Y0; % use same initial condition for first 2 time steps
for i = 2:1:400 % loop through time step
t = i*dt;
Y2 = A*Y1-Y0; % calculate solution at next time
Y0 = Y1; Y1 = Y2; % update solutions
end
% plot solution
plot([0 0],[1 -1]); hold on; plot([100 100],[1 -1]);
text(-8,0,’y’); text(-8,.95,’1’); text(-10,-.95,’-1’);
plot(x,Y1); axis([0 L -1 1]); axis off; hold off
1 t=0 1 t = 0.10328 1 t = 0.20656
y y y
−1 −1 −1
1 t = 0.30984 1 t = 0.41312 1 t = 0.5164
y y y
−1 −1 −1
1 t = 0.61968 1 t = 0.72296 1 t = 0.82624
y y y
−1 −1 −1
1 t = 0.92952 1 t = 1.0328 1 t = 1.1361
y y y
−1 −1 −1
1 t = 1.2394 1 t = 1.3426 1 t = 1.4459
y y y
−1 −1 −1
170 9. HYPERBOLIC EQUATIONS: WAVE EQUATION Index
You will notice that the initial pulse broke into two waves each moving in opposite direc-
tions. This is typical behaviour for solutions of the wave equation. You will also notice
form the time snapshots that the wave reflects from the rigid (fixed) ends.
A closer look at a future time plot reveals small wiggles developing in the solution. This
is numerical error beginning to show up. This sort of error is typical of what is found with
numerical solutions of hyperbolic equations.
−1
10 Concluding Remarks
10.1 Irregular Boundaries
All the examples used for PDEs have involved regular boundaries that are easily described
within the coordinate system in use (cartesian, cylindrical etc). These kinds of problems
involving regular boundaries are ideally suited to finite difference methods as it is rela-
tively simple to set up a grid that accurately represents the shape of interest.
Shapes with irregular boundaries are better dealt with using Finite Element Methods
rather than Finite Difference Methods. This is because for the finite element method mesh
points can be arbitrarily placed on the boundary and the mesh is ’triangularated’ thus al-
lowing for complicated shapes to be easily covered. Contrast this to the finite difference
method where typically you use a regular grid which fitting complicated boundaries to
is often difficult. One difficulty with the finite element method is then choosing how to
distribute the mesh points. This needs some knowledge of how you expect the solution to
behave.
10.2 Commercial Software
There are many commercially available software packages for solving ODEs and PDEs.
Some are designed for specific types of problem (fluid flow, heat transfer etc) while others
are more multipurpose.
MATLAB PDE Toolbox:
solves fairly general Parabolic, Hyperbolic, and Elliptic equations using finite element
methods. Graphical interface for inputting equations and boundary conditions.
FASTFLO:
Solves almost any PDE using finite element methods. Relatively difficult to use but very
powerful.
FLUENT:
Solves many general PDEs using finite element methods. Primarily used for heat and
mass flow problems.
FlexPDE:
Solves many general PDEs using finite element methods. Best at 2D, the demo version is
available free (for Windows and Linux) at http://www.pdesolutions.com. It only takes a
few minutes to download and has numerous very good examples. Easy to use.
There are numerous others as well. Most commercial software uses finite elements rather
than finite differences specifically so that more complicated regions can be analysed.
172 10. CONCLUDING REMARKS Index
10.3 Finally
This has only been a very brief look at numerical solutions of ODEs and PDEs. The
complexities and subtleties go way beyond what we have presented here. Hopefully you
have now an appreciation of at least some of the ideas of numerical solutions and why it
is important to be able to calculate at least some analytic solutions.
Index
analytic solutions, 119 template, 129

boundary conditions, 117, 141 functions, 9
passing names, 11
Cauchy, 117, 141, 145
vector input, 10
Dirichlet, 117, 141
fzero, 13, 102
mixed, 117, 141, 145
Neumann, 117, 141, 142 Gauss-Seidel, 92, 159
BVP, 79 ground water, 113
relaxation, 84
shooting, 80, 82 heat conduction, 112
Heaviside function, 23
Cauchy boundary condition, 117, 141, 145 help, 8
centre, 68 hyperbolic PDE, 124, 167
competition model, 70
convergence, 159 implicit, 135
convolution theorem, 27 initial conditions, 116
Crank-Nicolson method, 134 irregular boundaries, 171
critical points, 68, 70, 74 iterative scheme, 156
cylindrical coordinates, 115, 148 IVP, 41
intoduction, 41
delta function, 25 numerical, 43
diag, 88 system, 41, 101
diagonal matrix, 87, 92, 135
diary, 7 Jacobi method, 159
differential eigenvalue equation, 101 jacobian, 70, 75
diffusion equation, 111, 112, 125, 138
Dirac delta function, 25 L’Hopitals rule, 149
Dirichlet boundary condition, 117, 138, 141, Laplace transform, 23
155 convolution theorem, 27
discretisation, 126, 156, 167 definition, 23
disease, 73 derivative, 26, 27
drum, 123 first shifting theorem, 26
integral, 27
eigenvalue, 7, 75 inversion, 29
electrical potential, 113 MATLAB, 33
elliptic PDE, 124, 155 second shifting theorem, 26
errors, 44 systems, 38
Euler’s method, 43 theorems, 27
example, 45 Laplace’s equation, 111, 113, 155
explicit, 135 Laplacian, 113, 148
linear, 110
Fastflo, 171 linear equations, 6
finite differences, 84, 125, 156, 167, 171 Lokta-Volterra, 68
finite element, 93 lookfor, 8
finite elements, 171
FlexPDE, 171 M files, 1
Fluent, 171 running, 7
FTCS, 126, 150, 151 web site, 1
ftcs, 167 MATLAB
example, 130 ilaplace, 36
174 INDEX Index
laplace, 28 plotting, 3
Laplace transform, 33 3D, 5
partial fractions, 33 data, 4
residue, 33 Poisson’s equation, 115
MATLAB commands, 20 predator-prey, 68
diag, 88 projectile, 60
diary, 7
eig, 7 quiver, 66
fzero, 13 radar, 114
help, 8 relaxation method, 84
lookfor, 8 example, 85
ode23, 54 Runge-Kutta, 53, 138
ode45, 14, 56 fourth order, 56
odeset, 59 second order, 53
ones, 88 running scripts, 7
quad, 11
quiver, 66 saddle, 68, 75
MATLAB PDE toolbox, 171 seismic, 114
matrix equations, 92 sending output to a file, 7
method of lines, 138, 142 shooting, 102
midpoint method, 50, 54 example, 82
shooting method, 80, 82
Neumann boundary condition, 117, 141, 142 Simpson’s rule, 11
Newtonian heat loss, 141, 145 SIR disease model, 73
node, 75 software, 171
ode23, 54 sonar, 114
ode45 spherical coordinates, 115, 148
example, 14 stability, 132, 135, 168
options, 59 step function, 23
Runge-Kutta, 56 step size, 46
ones, 88 algorithm, 47
order, 44 successive over relaxation, 160
susceptible, 73
parabolic PDE, 124, 125 system of equations, 41
partial fractions, 29
Taylor series, 43, 53, 54, 79, 149
distinct factors, 29
inversion, 31 vector field, 66
MATLAB, 33 velocity potential, 113
non linear factors, 31
repeated factors, 30 wave equation, 111, 114, 167
PDE, 109 web site, i, 1
classification, 124
definitions, 110
elliptic, 124, 155
examples, 109
hyperbolic, 124, 167
linear, 110
parabolic, 124, 125
separation of variables, 119
phase plane, 63

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ZPEM3311

Mathematical Methods for

Using the electronic version of these notes

3 Initial Value Problems 41

4 Phase Plane Analysis 63

5 Boundary Value Problems 79

6 Partial Differential Equations (PDEs) 109

6.3.1 Order of a PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . 110

7 Parabolic Equations: Diffusion Equation 125

7.3.2 Matrix Representation . . . . . . . . . . . . . . . . . . . . . . . 135

8 Elliptic Equations: Laplace’s Equation 155

9 Hyperbolic Equations: Wave Equation 167

10 Concluding Remarks 171

1.1 Access to MATLAB

1.2 Using MATLAB

1.3 A few simple examples

x=-5:0.2:5; % define a vector x with values

% Fit a linear regression line to the data

% add some text to the plot and a legend (the number is

data and line of best fit

5. Solving Linear Equations

A=[1,2,3;4,5,6;7,8,10]; % define the matrix A

6. Extracting Segments of Matrices

1.4 Running MATLAB scripts

1. Create a file called example1.m

format compact % this outputs in a compact form

3. From within MATLAB type

1.5 Sending output to a file

1.6 MATLAB help facility and lookfor command

MATLAB has a comprehensive help facility. It is accessed by typing help followed by

DIARY Save text of MATLAB session.

DIARY OFF suspends it.

Use the functional form of DIARY, such as DIARY(’file’),

If you don’t know the name of the function then use

1.7 Functions in MATLAB

Create a file called calcf.m that looks like the following

From within MATLAB type

1.8 Functions in MATLAB – vector input

From within MATLAB type

1.9 Passing function names

5 0.0000000000 1.00000000e+00 0.8427115995

1.10 MATLAB finding zeros

FZERO Scalar nonlinear zero finding.

X = FZERO(FUN,X0), where X is a vector of length 2, assumes

X = FZERO(FUN,X0), where X0 is a scalar value, uses X0 as a

See also ROOTS.

>> diary off

>> diary off

1.11 An Introduction to solving DEs numerically

ODE45 Solve non-stiff differential equations, medium order method.

1. The range of t you wish to calculate the solution over (TSPAN=[T0,TFINAL])

2. The initial condition on y (Y0)

3. An M-file with the function f (t, y) (ODEFUN)

2. Because ode45 is set up to solve systems of equations y is a matrix. The first

The same files without all the extraneous comments

1.12 Symbolic Manipulation

1.12.1 Differentiating using MATLAB

% make the variables x and y symbolic so that MATLAB

% differentiate f with respect to x

% and the second derivative in 2 ways

% function of 2 variables so need to do partial derivatives

% define a function of x and y

% find the partial derivatives