Numerical Solution of Ordinary Differential Equations
Euler Method:
dy
=f ( x , y ) , y (x ¿¿ 0)= y 0 ¿ (1)
dx
Suppose we wish to solve the eq.(1) for the values of y at
x=x n=x 0 +nh , n=1 ,2 , 3 ,. .
Integrate eq. (1) ,we have
x1
y 1= y 0 +∫ f ( x , y ) dx (2)
x0
Assuming that f ( x , y )=f (x 0 , y 0 ) in x 0 ≤ x ≤ x 1, this gives the Euler formula
y 1= y 0 + hf (x 0 , y 0 )
Similarly for the range x 1 ≤ x ≤ x 2, we have
x2
y 2= y 1 +∫ f ( x , y ) dx
x1
Substituting f (x 1 , y 1) for f ( x , y ) in x 1 ≤ x ≤ x 2, we obtain
y 2= y 1 +hf (x1 , y 1),
Proceeding in this way, we obtain the general formula
y n +1= y n + hf (x ¿ ¿ n , y n) , n=0 ,1 , 2 ,… … ¿ (3)
Example 1: Use the Euler method solve the following differential Equation
dy 2
=−2 x y , y ( 0 )=1 for h=0.2 over the interval [0,1].
dx
Solution: we have
y n +1= y n + hf (x ¿ ¿ n , y n) , n=0 ,1 , 2 ,3 , 4 ¿
With h=0.2. The initial condition gives y 0=1
For n=0 ; x 0=0 , y 0=1
y 1= y 0 + hf ( x 0 , y 0 )=1+0.2 ( −2 x 0 y 02 )=1+0.2 (−2 ×0 × 1 )=1
∴ y ( 0.2 )=1
For n=1; x 1=0.2 , y 1=1
y 2= y 1 +hf ( x 1 , y 1 ) =1+ 0.2 ( −2× 0.2× 12 )=0.92
∴ y ( 0.4 ) =0.92
For n=2; x 2=0.4 , y 2=0.92
y 3= y2 +hf ( x 2 , y 2) =0.92+0.2 ¿
∴ y ( 0.6 )=0.78458
For n=3 ; x3 =0.6 , y 3=0.78458
y 4 = y 3 +hf ( x 3 , y 3 ) =0.78458+0.2 ¿
∴ y ( 0.8 )=0.63648
For n=4 ; x 4 =0.8 , y 4 =0.63648
y 5= y 4 +hf ( x 4 , y 4 ) =0.63648+0.2 ¿
∴ y (1.0 )=0.50706
Example 2: Use the Euler method solve the following differential Equation
dy
=2 y /x , y (1 )=2 for h=0.25 over the interval [0,1].
dx
Solution: We have
y n +1= y n + hf (x ¿ ¿ n , y n), n=0 ,1 , 2 ,3 , 4 ¿…….
For n=0 ; x 0=1 , y 0=2, h=0.25.
y 1= y 0 + hf ( x 0 , y 0 )=2+ 0.25 ( 2 y 0 /x 0 ) =2+ 0.25 ( 2× 2/1 )=3
∴ y (1.25 )=3
For n=1; x 1=1.25 , y 1=3, h=0.25.
y 2= y 1 +hf ( x 1 , y 1 ) =3+0.25 ( 2 ×3/1.25 ) =4.2
∴ y (1.5 )=4.2
For n=2; x 2=1.5 , y 2=4.2, h=0.25.
y 3= y2 +hf ( x 2 , y 2) =4.2+ 0.25 ( 2 × 4.2/1.5 )=5.6
∴ y (1.75 )=5.6
For n=3 ; x3 =1.75 , y 3 =5.6, h=0.25.
y 4 = y 3 +hf ( x 3 , y 3 ) =5.6+0.25 ( 2 ×5.6 /1.75 )=7.2
∴ y ( 2. )=7.2
Modified Euler’s Method:
Instead of approximation f (x , y ) by f (x 0 , y 0 ) in the eq. (2), we now approximate the
integral given in eq. (2) by means of trapezoidal rule to obtain
h
y 1= y 0 + [f ( x 0 , y 0 )+ f ( x 1 , y 1 ) ] (4)
2
we thus obtain the iteration formula
h
= y 0+ [f ( x 0 , y 0 ) +f ( x 1 , y 1 ) ],n=0 , 1 ,2 , … … (5)
(n +1) (n)
y1
2
Where y (n1 ) is the nth approximation to y 1. The iteration formula (5) can be started
by choosing y (01 ) from Euler’s formula.
Example 2: Use the Modified Euler method solve the following differential
dy
Equation dx =2 y /x , y (1 )=2 for h=0.25 over the interval [0,1].
Solution: We have
h
= y 0+ [f ( x 0 , y 0 ) +f ( x 1 , y 1 ) ],n=0 , 1 ,2 , … …
(n +1) (n)
y1
2
We take x 0=1 , y 0=2, h=0.25, we have f ( x 0 , y 0 )=4
Hence Euler formula gives
2
y 1 = y 0 +h [ f ( x 0 , y 0 ) ]= y 0 +h ( 2 y 0 / x 0 )=2+0.25 (2× )=3
(0 )
1
3
Further x 1=1.25 , and f ( x 1 , y 1 )=2 × 1.25 =4.8
(0 )
h 0.25
Therefore y 1 = y 0 + 2 [ f ( x 0 , y 0 ) + f ( x 1 , y 1 ) ]=2+ 2 [ 4+ 4.8 ] =3.1
(1 ) ( 0)
3.1
Now, f ( x 1 , y 1 ) =2 × 1.25 =4.96
(1 )
h 0.25
Therefore y 1 = y 0 + 2 [ f ( x 0 , y 0 ) + f ( x 1 , y 1 ) ] =2+ 2 [ 4 +4.96 ] =3.12
(2 ) ( 1)
3.12
Now, f ( x 1 , y 1 ) =2 × 1.25 =4.992
(2 )
h 0.25
Therefore y 1 = y 0 + 2 [ f ( x 0 , y 0 )+ f ( x 1 , y 1 ) ]=2+ 2 [ 4+ 4.992 ]
(3 ) ( 2)
¿ 3.124
∴ y (1.25 )=3.12
Here x 1=1.25 , y 1=3.12 , f ( x 1 , y 1) =4.992
y 2 = y 1 +h [ f ( x 1 , y 1) ]=3.12+0.25 × 4.992=4.368
(0 )
4.368
Further x 2=1.5 , and f ( x 2 , y 2 )=2 × 1.5 =5.824
(0 )
h 0.25
Now y 2 = y 1 + 2 [ f ( x 1 , y 1 ) +f ( x2 , y 2 ) ] =3.12+ 2 [ 4.992+5.824 ]
(1 ) (0 )
¿ 4.472
4.472
Now, f ( x 2 , y 2 ) =2 × 1.5 =5.9627
(1 )
h 0.25
Therefore y 2 = y 1 + 2 [ f ( x1 , y 1 ) +f ( x 2 , y 2 ) ]=3.12+ 2 [ 4.992+ 5.9627 ] =4.4893
(2 ) ( 1)
4.4893
Now, f ( x 2 , y 2 ) =2 × 1.5 =5.9857
(2 )
h 0.25
Therefore y 2 = y 1 + 2 [ f ( x 1 , y 1 ) +f ( x2 , y 2 ) ]=3.12+ 2 [ 4.992+5.9857 ] =4.4922
(3 ) (2 )
∴ y (1.5 )=4.49
Here x 2=1.5 , y 2=4.49 , f ( x 2 , y 2 )=5.9867
y 3 = y 2 +h [ f ( x 2 , y 2 ) ]=4.49+0.25 ×5.9867=5.9867
(0 )
5.9867
Further x 3=1.75 , and f ( x 3 , y 3 )=2 × 1.75 =6.8419
(0 )
h 0.25
therefore y 3 = y 2 + 2 [ f ( x 2 , y 2 ) +f ( x3 , y 3 ) ] =4.49+ 2 [ 5.9867+ 6.8419 ] =6.0936
(1 ) (0 )
6.0936
Now, f ( x 3 , y 3 ) =2 × 1.75 =6.9641
(1 )
h 0.25
(2 )
y3 = y2+
2
[ ]
f ( x 2 , y 2 ) + f ( x3 , y (31 )) =4.49+
2
[ 5.9867+6.9641 ] =6.1089
6.1089
Now, f ( x 3 , y 3 ) =2 × 1.75 =6.9816
(2 )
h 0.25
(3 )
y3 = y2+
2
[ ]
f ( x 2 , y 2 ) + f ( x 3 , y (32 )) =4.49+
2
[ 5.9867+ 6.9816 ] =6.1110
∴ y (1.75 )=6.11
Here x 3=1.75 , y 3=6.11 , f ( x 3 , y 3 )=6.9829
y 4 = y 3 +h [ f ( x3 , y 3 ) ]=6.11+0.25 ×6.9829=7.8557
(0 )
7.8557
Further x 4 =2.0 , and f ( x 4 , y 4 ) =2 × 2.0 =7.8557
( 0)
h 0.25
therefore y 4 = y 3 + 2 [ f ( x 3 , y 3 ) + f ( x 4 , y 4 ) ]=6.11+ 2 [ 6.9829+7.8557 ] =7.9648
(1 ) (0 )
7.9648
Now, f ( x 4 , y 4 ) =2× 2.0 =7.9648
( 1)
h 0.25
(2 )
y4 = y3+
2
[ ]
f ( x 3 , y 3 ) + f ( x 4 , y (41) ) =6.11+
2
[ 6.9829+7.9648 ] =7.9785
7.9785
Now, f ( x 4 , y 4 ) =2× 2.0 =7.9785
( 2)
h 0.25
(3 )
y4 = y3+
2
[ ]
f ( x 3 , y 3 ) + f ( x 4 , y (42) ) =6.11+
2
[ 6.9829+7.9785 ] =7.9802
∴ y ( 2.0 )=7.98
Runge-Kutta Method:
Example 2: Use the Runge-Kutta second order (RK-2) method solve the
dy
following differential Equation dx =2 y /x , y (1 )=2 for h=0.25 over the interval [1,2].
Solution: We have RK-2 method
y i+ 1= y i+ [ k 1 +k 2 ) ¿ /2 , i=0 , 1 ,2 , … …
k 1=h∗f ( x i , y i )
k 2=h∗f ( x i+ h , y i+ k 1 )
For i=0 ; x 0=1 , y 0=2, h=0.25, we have
k 1=h × f ( x 0 , y 0 )=0.25× 2 × ( 21 )=1
k 2=0.25 × f ( x 0 +h , y 0 + k 1 )=0.25 × f ( 1.25 ,3 )=0.25 × 4.8=1.2
1
y 1= y 0 + [ k + k ) ¿=2+ 0.5 ( 1+1.2 ) =2+1.1=3.1
2 1 2
y ( 1.25 )=3.1
For i=1 ; x 1=1.25 , y 1 =3.1, h=0.25, we have
k 1=h × f ( x 1 , y 1) =0.25 × 2 × ( )
3.1
1.25
=1.24
k 2=0.25 × f ( x 1 +h , y 1 +k 1 ) =0.25 × f ( 1.5 , 4.34 )=1.4467
1
y 2= y 1 + [ k + k ) ¿=3.1+0.5 ( 1.24+ 1.4467 )=4.4433
2 1 2
y (1.5)=4.4433
For i=2 ; x 2=1.5 , y 2=4.4433 , h=0.25, we have
(
k 1=h × f ( x 2 , y 2 )=0.25 × 2 ×
4.4433
1.5 )
=1.4811
k 2=0.25 × f ( x 2 +h , y 2 +k 1 ) =0.25 × f ( 1.75 , 5.9244 )=1.6927
1
y 3= y2 + [ k + k ) ¿=4.4433+0.5 ( 1.4811+1.6927 )=6.0302
2 1 2
y (1.75)=6.0302
For i=3 ; x 3=1.75 , y 3=6.0302 , h=0.25 , we have
(
k 1=h × f ( x 3 , y 3 )=0.25 × 2 ×
6.0302
1.75 )
=1.7229
k 2=0.25 × f ( x 3 +h , y 3 +k 1 ) =0.25 × f ( 2.0 ,7.7531 )=1.9383
1
y4= y3+ [ k +k ) ¿=6.0302+0.5 ( 1.7229+1.9383 ) =7.8608
2 1 2
y (2)=7.8608
Example 2: Use the Mid Point method solve the following differential Equation
dy
=2 y /x , y (1 )=2 for h=0.25 over the interval [0,1].
dx
Solution: We have Mid-Point method
y i+ 1= y i+ k 2 ,i=0 ,1 , 2 , … …
k 1=h∗f ( x i , y i )
k 2=h∗f ( x i+ h/2 , y i+ k 1 /2 )
For i=0 ; x 0=1 , y 0=2, h=0.25, we have
( 21 )=1
k 1=h × f ( x 0 , y 0 )=0.25× 2 ×
k 2=0.25 × f ( x 0 +h /2 , y 0 + k 1 /2 )=0.25 × f ( 1.125 ,2.5 )=1.1111
y 1= y 0 + k 2=2+1.1111=3.1111
y ( 1.25 )=3.1111
For i=1 ; x 1=1.25 , y 1 =3.1111,h=0.25, we have
(
k 1=h × f ( x 1 , y 1) =0.25 × 2 ×
3.1111
1.25 )
=1.2444
k 2=0.25 × f ( x 1 +h /2 , y 1 +k 1 /2 ) =0.25 × f ( 1.375 , 3.7333 )=1.3576
y 2= y 1 +k 2=3.1111+1.3576=4.4687
y ( 1.5 )=4.4687
For i=2 ; x 2=1.5 , y 2=4.4687 , h=0.25, we have
(
k 1=h × f ( x 2 , y 2 )=0.25 × 2 ×
4.4687
1.5 )
=1.4896
k 2=0.25 × f ( x 2 +h /2 , y 2 +k 1 /2 ) =0.25 × f ( 1.625 , 5.2135 )=1.6042
y 3= y2 + k 2=4.4686 +1.6042=6.0728
y ( 1.75 )=6.0728
For i=3 ; x 3=1.75 , y 3=6.0728 , h=0.25, we have
(
k 1=h × f ( x 3 , y 3 )=0.25 × 2 ×
6.0728
1.75 )
=1.7351
k 2=0.25 × f ( x 3 +h /2, y 3 +k 1 /2 ) =0.25 × f (1.875 , 6.9404 )=1.8508
y 4 = y 3 +k 2=6.0302+ 1.8508=7.9236
y ( 2.0 )=7.9236
Example 2: Use the RK-4 method solve the following differential Equation
dy
=2 y /x , y (1 )=2 for h=0.25 over the interval [0,1].
dx
Solution: We have RK-4 method
y i+ 1= y i+ [ k 1 +2 k 2 +2 k 3 +k 4 ) ¿/6 , i=0 , 1 ,2 , … …
k 1=h∗f ( x i , y i )
k 2=h∗f ( x i+ h/2 , y i+ k 1 /2 )
k 3=h∗f ( x i +h/2 , y i+ k 2 /2 )
k 4=h∗f ( xi +h , y i +k 3 )
For i=0 ; x 0=1 , y 0=2, h=0.25, we have
k 1=h∗f ( x 0 , y 0 ) =0.25 × f ( 1, 2 )=0.25× 2 × ( 21 )=1
k 2=h∗f ( x 0 +h/2 , y 0 +k 1 /2 ) =0.25 ×f ( 1.125 , 2.5 )=1.1111
k 3=h∗f ( x 0 +h/2 , y 0 +k 2 /2 ) =0.25 × f ( 1.125 , 2.5556 )=1.1358
k 4=h∗f ( x0 + h , y 0 + k 3 )=0.25 × f ( 1.25 , 3.1358 )=1.2543
1 1+2 ×1.1111+2 ×1.1358+1.2543
y 1= y 0 +
6
[ k 1 +2 k 2 +2 k 3 +k 4 ) ¿=2+
6
=3.1247
y ( 1.25 )=3.1247
For i=1 ; x 1=1.25 , y 1 =3.1247, h=0.25, we have
k 1=h∗f ( x 1 , y 1 )=0.25× f ( 1.25 , 3.1247 )=0.25× 2× ( 3.1247
1.25 )
=1.2499
k 2=h∗f ( x 1+ h/2 , y1 + k 1 /2 )=0.25 × f ( 1.375 ,3.7497 )=1.3635
k 3=h∗f ( x 1+ h/2 , y 1+ k 2 /2 )=0.25 × f ( 1.375 , 3.8065 )=1.3842
k 4=h∗f ( x1 +h , y 1 +k 3 ) =0.25 × f (1.5 , 4.5089 )=1.5030
1 1.2499+2 ×1.3635+2 ×1.3842+1.5030
y 2= y 1 +
6
[ k 1+ 2 k 2+ 2 k 3+ k 4 ) ¿=3.1247+
6
=4.4994
y ( 1.5 )=4.4994
For i=2 ; x 2=1.5 , y 2=4.4994 , h=0.25, we have
k 1=h∗f ( x 2 , y 2 )=0.25× f ( 1.5 , 4.4994 )=0.25 × 2 × ( 4.4994
1.5 )=1.4998
k 2=h∗f ( x 2+ h/2 , y 2+ k 1 /2 )=0.25 × f ( 1.625 ,5.2493 )=1.6152
k 3=h∗f ( x 2 +h/2 , y 2+ k 2 /2 )=0.25 × f ( 1.625 , 5.3070 )=1.6329
k 4=h∗f ( x2 +h , y 2 +k 3 ) =0.25 × f (1.75 ,6.1323 )=1.7521
1 1.4998+2 ×1.6151+2 ×1.6329+1.7521
y 3= y2 +
6
[ k 1 +2 k 2 +2 k 3 +k 4 ) ¿=4.4994+
6
=6.1240
y ( 1.75 )=6.1240
For i=3 ; x 3=1.75 , y 3=6.1240, h=0.25, we have
(
k 1=h∗f ( x 3 , y 3 ) =0.25 × f ( 1.75 , 6.1240 ) =0.25 × 2×
6.1240
1.75 )=1.7497
k 2=h∗f ( x 3 +h/2 , y 3+ k 1 /2 )=0.25× f ( 1.875 , 6.9989 )=1.8664
k 3=h∗f ( x 3 +h/2 , y 3+ k 2 /2 )=0.25× f ( 1.875 , 7.0572 )=1.8819
k 4=h∗f ( x3 +h , y 3 +k 3 )=0.25 × f ( 2.0 , 8.0059 )=2.0015
1 1.7497+2 ×1.8664+ 2× 1.8819+2.0015
y4= y3+
6
[ k 1+2 k 2+2 k 3 + k 4 ) ¿=6.1240+
6
=7.9986
y ( 2.0 )=7.9986
Table 1: Example of 2 by different methods.
x Euler Modified Euler RK-2 Mid Point RK-4 Exact y=2 x 2
x=1.25 3.0 3.12 3.10 3.1111 3.1247 3.125
x=1.50 4.2 4.49 4.4433 4.4687 4.4994 4.50
x=1.75 5.6 6.11 6.0302 6.0728 6.1240 6.125
x=2.00 7.2 7.98 7.8608 7.9236 7.9986 8.00
