0% found this document useful (0 votes)

8 views65 pages

Lecture 9

The document provides an overview of numerical methods for solving ordinary differential equations (ODEs), including Euler's method and Runge-Kutta methods. It discusses the classification of differential equations, error analysis, and stability considerations. Additionally, it includes examples and applications of these methods in MATLAB.

Uploaded by

hoangbv.23ba14118

We take content rights seriously. If you suspect this is your content, claim it here.

Available Formats

Download as PDF, TXT or read online on Scribd

0% found this document useful (0 votes)

8 views65 pages

Lecture 9

Uploaded by

hoangbv.23ba14118

We take content rights seriously. If you suspect this is your content, claim it here.

Available Formats

Download as PDF, TXT or read online on Scribd

You are on page 1/ 65

Numerical Methods

ODE

Thai Minh Quan - Numerical Methods 1

Contents
1. Introduction
2. Roots of Non-linear equations
3. Systems of linear equations
4. LU decomposition
5. Linear Programming
6. Numerical Differentiation and Integration
7. ODE

Thai Minh Quan - Numerical Methods 2

ODE

 Overview

Thai Minh Quan - Numerical Methods 3

Thai Minh Quan - Numerical Methods 4
ODE

 Overview
• The fundamental laws of physics, mechanics, electricity, and
thermodynamics are usually based on empirical observations
that explain variations in physical properties and states of systems.
Rather than describing the state of physical systems directly, the
laws are usually couched in terms of spatial and temporal
changes.
• Such equations, which are composed of an unknown function
and its derivatives, are called differential equations

Thai Minh Quan - Numerical Methods 5

ODE

 Overview

ODE

• g is the gravitational constant, m is the mass, and c is a drag

coefficient
• v: the dependent variable.
• t: the independent variable

Thai Minh Quan - Numerical Methods 6

ODE

 Overview
• When the function involves one independent variable, the
equation is called an ordinary differential equation (or ODE)
• This is in contrast to a partial differential equation (or PDE) that
involves two or more independent variables

ODE PDE

Thai Minh Quan - Numerical Methods 7

ODE

 Overview

• Differential equations are also classified as to their order

Eq. above is called a first-order

A second order equation would
equation because the highest
include a second derivative
derivative is a first derivative

Thai Minh Quan - Numerical Methods 8

ODE

 Overview

Thai Minh Quan - Numerical Methods 9

Euler’s method

 Overview

• This part is devoted to solving ordinary differential equations of the form

the method was of the general form

where the slope f is called an increment function

Thai Minh Quan - Numerical Methods 10
Euler’s method

 Euler’s method

• The first derivative provides a

direct estimate of the slope at ti

where f(ti,yi) is the differential

equation evaluated at ti and yi . This
estimate can be substituted into

Thai Minh Quan - Numerical Methods 11

Euler’s method

Example

Hint: Euler’s method

Thai Minh Quan - Numerical Methods 12

Euler’s method

Example

Thai Minh Quan - Numerical Methods 13

Euler’s method

Example

The true solution at t = 2 .0 is 14.84392 and, therefore, the true

percent relative error is 23.19%. The computation is repeated

Thai Minh Quan - Numerical Methods 14

Euler’s method

Example

this error can be

reduced by using a
smaller step size.

Thai Minh Quan - Numerical Methods 15

Euler’s method

Thai Minh Quan - Numerical Methods 16

Euler’s method

Error Analysis for Euler’s Method

1. Truncation, or discretization, errors caused by the nature of the

techniques employed to approximate values of y.

2. Round off errors caused by the limited numbers of significant

digits that can be retained by a computer.

The sum of the two is the total error. It is referred to as the

global truncation error.

Thai Minh Quan - Numerical Methods 17

Euler’s method

Stability of Euler’s Method

• The truncation error of Euler’s method depends on the step size in
a predictable way based on the Taylor series.
• A numerical solution is said to be unstable if errors grow
exponentially for a problem for which there is a bounded solution.
• The stability of a particular application can depend on three
factors:
 the differential equation,
 the numerical method,
 the step size

Thai Minh Quan - Numerical Methods 18

Euler’s method

Stability of Euler’s Method

• Insight into the step size required for stability can be examined by
studying a very simple ODE

If y (0 ) = y0, calculus can be used to determine the solution as

Thus, the solution starts at y0 and asymptotically approaches zero

Thai Minh Quan - Numerical Methods 19

Euler’s method

Stability of Euler’s Method

• Now suppose that we use Euler’s method to solve the same
problem numerically:

We have

The parenthetical quantity (1 − ah) is called an amplification factor. If

its absolute value is greater than unity, the solution will grow in an
unbounded fashion
Thai Minh Quan - Numerical Methods 20
Euler’s method

Stability of Euler’s Method

• So clearly, the stability depends on the step size h, That is, |1 − ah|
must be less than 1

h<2/a

Euler’s method is said to be conditionally stable: h<2/a.

Thai Minh Quan - Numerical Methods 21

Euler’s method

Explicit and Implicit

• Explicit

Thai Minh Quan - Numerical Methods 22

Euler’s method

Explicit and Implicit

• Explicit

• Implicit: An implicit form of Euler’s method can be developed by

evaluating the derivative at the future time

Thai Minh Quan - Numerical Methods 23

Euler’s method

Explicit and Implicit

• Implicit: An implicit form of Euler’s method can be developed by

evaluating the derivative at the future time

This is called the backward, or implicit, Euler’s method

For this case, regardless of the size of the step, | yi| → 0 as i → ∞ .

Hence, the approach is called unconditionally stable.
Thai Minh Quan - Numerical Methods 24
Euler’s method

Example
Use both the explicit and implicit Euler methods to solve

where y(0) = 0.
(a)Use the explicit Euler with step sizes of 0.0005 and 0.0015 to solve
for y between t = 0 and 0.006.
(b)Use the implicit Euler with a step size of 0.05 to solve for y
between 0 and 0.4.

Thai Minh Quan - Numerical Methods 25

Euler’s method

Example
For this problem, the explicit Euler’s method is

the implicit Euler’s method is

Thai Minh Quan - Numerical Methods 26

Euler’s method

Example
For this problem, the explicit Euler’s method is

Thai Minh Quan - Numerical Methods 27

Euler’s method

Example
For this problem, the implicit Euler’s method is

Thai Minh Quan - Numerical Methods 28

Euler’s method

Example
For this problem, the implicit Euler’s method is

Thai Minh Quan - Numerical Methods 29

Euler’s method

Use the explicit Euler with step sizes of 0.1 to solve for y between
t = 0 and 1.

Thai Minh Quan - Numerical Methods 30

Euler’s method

Thai Minh Quan - Numerical Methods 31

Project
• Introduction
The objective of this project is to determine the Heat Transfer through a wall by
conduction using the heat equation:
T   2T  2T  2T 
cp   2  2  2 
t  x y z 

Thai Minh Quan - Numerical Methods 32

Project
• Project
Let a bar of length L, consisting of a homogeneous and isotropic material. We suppose
that The bar is perfectly insulated with the exception of the ends. The thermal
properties of material will be taken constant

The 1D-equation describe the thermal

transfers in this bar:

Where    /  c p is called the thermal diffusivity.

Thai Minh Quan - Numerical Methods 33

Project
To obtain the temperature filed in the bar, we define the following
mesh: the bar is "cut" in M intervals of length Δx. Temperatures are
calculated at different separate times by an interval Δt. The
temperature T(xi, tn) is denoted . We choose to define the coordinates
spatial and temporal as well:

Thai Minh Quan - Numerical Methods 34

Project

Thai Minh Quan - Numerical Methods 35

Differentiation

T Ti n 1  Ti n

t t
Thai Minh Quan - Numerical Methods 36
? Differentiation

 2T
express the right term of equation (*):  2
x

 2T Ti n1  2Ti n  Ti n1

 2 
x x 2
Thai Minh Quan - Numerical Methods 37
Matlab

Question 3

Thai Minh Quan - Numerical Methods 38

Euler’s method

Matlab

Thai Minh Quan - Numerical Methods 39

Euler’s method

Matlab

dydt=@(t,y) 4exp(0.8t) - 0.5*y;

[t,y] = eulode(dydt,[0 4],2,1);

disp([t,y])

plot([t,y])

Thai Minh Quan - Numerical Methods 40

Euler’s method

Matlab

this error can be

reduced by using a
smaller step size.

Thai Minh Quan - Numerical Methods 41

Matlab

ODE Solvers in Matlab

Thai Minh Quan - Numerical Methods 42

Matlab

Solve the ODE:

y’ = 2t

Use a time interval of [0,5] and the initial condition y0 = 0.

Thai Minh Quan - Numerical Methods 43

Matlab

Thai Minh Quan - Numerical Methods 44

Euler’s method

Thai Minh Quan - Numerical Methods 45

Runge-Kutta methods

Thai Minh Quan - Numerical Methods 46

Runge-Kutta methods

Runge-Kutta (RK) methods achieve the accuracy of a Taylor series approach

without requiring the calculation of higher derivatives. Many variations exist but all
can be cast in the generalized form

Thai Minh Quan - Numerical Methods 47

Runge-Kutta methods

Thai Minh Quan - Numerical Methods 48

Runge-Kutta methods

The second-order version

With

Thai Minh Quan - Numerical Methods 49

Runge-Kutta methods

The second-order version

With