Numerical Computation and

Optimization

Solution of Ordinary Differential

Equations

Runge-Kutta Method
By
Assist Prof. Dr. Ahmed Jabbar
Runge-Kutta 2nd Order Method

dy
For  f ( x, y ), y (0)  y0
dx

Runge Kutta 2nd order method is given by

yi 1  yi  a1k1  a2 k 2 h
where

k1  f xi , yi  k2  f xi  p1h, yi  q11k1h

 Heun’s Method
Heun’s method y

Here a2=1/2 is chosen

yi+1, predicted
1 Slope  f xi  h, yi  k1h 
𝑎1 =
2
𝑝1 = 1 Slope  f xi , yi 
yi
𝑞11 = 1
Average Slope 
1
 f xi  h, yi  k1h   f xi , yi 
resulting in 2 x
xi xi+1

Figure 1 Runge-Kutta 2nd order method (Heun’s method)

1 1
𝑦𝑖+1 = 𝑦𝑖 + 𝑘1 + 𝑘2 ℎ
2 2
where k1  f xi , yi  k 2  f xi  h, yi  k1h
 Midpoint Method
Here 𝑎2 = 1 is chosen, giving
1
a1  0 p1  q11 
1
2 2

resulting in
yi 1  yi  k2h
where
1 1
𝑘1 = 𝑓 𝑥𝑖 , 𝑦𝑖 𝑘2 = 𝑓 𝑥𝑖 + ℎ, 𝑦𝑖 + 𝑘1 ℎ
2 2
 Ralston’s Method
2
Here 𝑎2 = is chosen, giving
3

1 3 3
a1  p1  q11 
3 4 4

resulting in
1 2
𝑦𝑖+1 = 𝑦𝑖 + 𝑘1 + 𝑘2 ℎ
3 3

where 3 3
𝑘1 = 𝑓 𝑥𝑖 , 𝑦𝑖 𝑘2 = 𝑓 𝑥𝑖 + ℎ, 𝑦𝑖 + 𝑘1 ℎ
4 4
How to write Ordinary Differential Equation
How does one write a first order differential equation in the form of

𝑑𝑦
= 𝑓 𝑥, 𝑦
𝑑𝑥
Example
𝑑𝑦
+ 2𝑦 = 1.3𝑒 −𝑥 , 𝑦 0 = 5
𝑑𝑥

is rewritten as 𝑑𝑦
= 1.3𝑒 −𝑥 − 2𝑦, 𝑦 0 = 5
𝑑𝑥
In this case
𝑓 𝑥, 𝑦 = 1.3𝑒 −𝑥 − 2𝑦
 Example
A ball at 1200K is allowed to cool down in air at an ambient temperature of 300K.
Assuming heat is lost only due to radiation, the differential equation for the temperature of
the ball is given by

𝑑𝜃
= −2.2067 × 10−12 𝜃 4 − 81 × 108 , 𝜃 0 = 1200𝐾
𝑑𝑡

Find the temperature at t  480 seconds using Heun’s method. Assume a step size of
h  240 seconds.
𝑑𝜃
= −2.2067 × 10−12 𝜃 4 − 81 × 108
𝑑𝑡

f t ,   2.2067 10 12  4  81108 
1 1
𝜃𝑖+1 = 𝜃𝑖 + 𝑘1 + 𝑘2 ℎ
2 2
 Solution
Step 1:
𝑖 = 0, 𝑡0 = 0, 𝜃0 = 𝜃(0) = 1200𝐾

𝑘1 = 𝑓 𝑡0 , 𝜃𝑜 𝑘2 = 𝑓 𝑡0 + ℎ, 𝜃0 + 𝑘1 ℎ
= 𝑓 0,1200 = 𝑓 0 + 240,1200 + −4.5579 240
= −2.2067 = 𝑓 240,106.09
× 10−12 12004 − 81 × 108 = −2.2067 × 10−12 (106.094 − 81
= −4.5579 = 0.017595

1 1
𝜃1 = 𝜃0 + 𝑘 + 𝑘 ℎ
2 1 2 2
1 1
= 1200 + −4.5579 + 0.017595 240
2 2
= 1200 + −2.2702 240
= 655.16𝐾
 Solution Cont
Step 2:
𝑖 = 1, 𝑡1 = 𝑡0 + ℎ = 0 + 240 = 240, 𝜃1 = 655.16𝐾

𝑘1 = 𝑓 𝑡1 , 𝜃1 𝑘2 = 𝑓 𝑡1 + ℎ, 𝜃1 + 𝑘1 ℎ
= 𝑓 240,655.16 = 𝑓 (240 + 240,655.16
= −2.2067 = 𝑓 480,561.87
× 10−12 655.164 − 81 × 108 = −2.2067 × 10−12 (561.874 − 81
= −0.20206
= −0.38869

1 1
𝜃2 = 𝜃1 + 𝑘1 + 𝑘2 ℎ
2 2
1 1
= 655.16 + −0.38869 + −0.20206 240
2 2
= 655.16 + −0.29538 240
= 584.27𝐾
 Solution Cont
The exact solution of the ordinary differential equation is given by the
solution of a non-linear equation as

𝜃 − 300
0.92593 ln − 1.8519 tan−1 0.0033333𝜃 = −0.22067 × 10−3 𝑡 − 2.9282
𝜃 + 300

The solution to this nonlinear equation at t=480 seconds is

 (480)  647.57 K
 Comparison with exact results

1200

h=120
Temperature, θ(K)

Exact
800

h=240
400
h=480

0
0 100 200 300 400 500

-400
Time, t(sec)

Figure 2. Heun’s method results for different step sizes

 Effect of step size
Table 1. Temperature at 480 seconds as a function of step size, h

Step size, h (480) Et |єt|%

480 −393.87 1041.4 160.82

240 584.27 63.304 9.7756
120 651.35 −3.7762 0.58313
60 649.91 −2.3406 0.36145
30 648.21 −0.63219 0.097625

 (480)  647.57 K (exact)

Effects of step size on Heun’s Method
800
Temperature, θ(480)

600

400

200

0
0 100 200 300 400 500
-200 Step size, h

-400

Figure 3. Effect of step size in Heun’s method

 Comparison of Euler and Runge-
Kutta 2nd Order Methods
Table 2. Comparison of Euler and the Runge-Kutta methods

Step size, (480)

h
Euler Heun Midpoint Ralston
480 −987.84 −393.87 1208.4 449.78
240 110.32 584.27 976.87 690.01
120 546.77 651.35 690.20 667.71
60 614.97 649.91 654.85 652.25
30 632.77 648.21 649.02 648.61

 (480)  647.57 K (exact)

 Comparison of Euler and Runge-
Kutta 2nd Order Methods

Table 2. Comparison of Euler and the Runge-Kutta methods

Step size, t %
h
Euler Heun Midpoint Ralston
480 252.54 160.82 86.612 30.544
240 82.964 9.7756 50.851 6.5537
120 15.566 0.58313 6.5823 3.1092
60 5.0352 0.36145 1.1239 0.72299
30 2.2864 0.097625 0.22353 0.15940

 (480)  647.57 K (exact)

 Comparison of Euler and Runge-
Kutta 2nd Order Methods
1200

1100
Temperature, θ(K)

1000 Midpoint

900 Ralston

800 Heun

700
Analytical
600
Euler
500
0 100 200 300 400 500 600

Time, t (sec)

Figure 4. Comparison of Euler and Runge Kutta 2nd order methods with
exact results.