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Publ RIMS, Kyoto Univ.23 (1987), 583-611
Pseudo Runge-Kutta
By
Masaharu NAKASHIMA*
§ 0. Introduction
In this paper we shall stud y numerical methods for ordina rydifferential equ ations of the initial value problem :
y ' — (#9 y )( O . l ) r J * J(y (*o) =yo .W e shall assume that the function f(x 9 y ) satisfies the following
conditions :(A ) f ( x9 y ) is defined and continuous in the strip
(B) Th ere exists a constant L such that for any x with a
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5 8 4 M A S A H A R U N A K A S H I M A
(0. 2) y n+l = yn+h@ (xn,yn; h),
J C n ,
This method was first proposed by Runge [20] and subsequentlydeveloped by H eun [12] and K utta [13]. A ccord ing to the choice
of the stage number r and the parameters ah bih w,:, we shall derivevarious methods. In [1], [2], [3] and [4], B utch er has proved thefollowing results for Run ge-K utta method (0. 2) :
A(0=r (r = l , 2 , 3 , 4 ) ,A (5) =4,
Pi (6 ) = 5,A (7) =6,A 8) -6,
A 0) =7,A ( 1 0 ) = 7 ,A(H)=8,A(0=r-2 ( 1 2 < r ) ,
w h e re A (r) denotes the highest order that can be attained by ther-stage m ethod (0. 2) above.
A s we can see, th e r-stage Runge-K ut ta method (0. 2) requires rfunctional evaluations per step. W e shall look for other Run ge-K uttatype methods which have th e same order as (0. 2), but which requiresfewer funct ional evaluat ions than (0 .2 ) .
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PSEUDO RUNGE-KUTTA PROCESSES 585
A H =/(*», JO,
*u=/(*.+«A y. + h gX*u) (J=2, 3, •», r),
« < = S*«, ( i=2,3, - , r ) .y = i
In [6], [7] It is shown that the two-step Runge-Kutta method(00 3) has order
Gostabile [8] has also proposed the following pseudo-Runge-Kuttamethod :
( 0 . 4 ) JWi=J^ + Ai>,.*,.,
This method has the same order as that of the two-step Runge-Kuttamethod (0. 3) in the same stage0 Therefore, the two-step Runge-
Kutta method (0. 3) and the pseudo-Runge-Kutta method (0. 4)require fewer functional evaluations than Runge-Kutta method (0. 2).However computational experiments indicate that the local accuracyof the two methods (0. 3) and (0. 4) is frequently Inferior to that ofthe Runge-Kutta method 0.2).
To improve this defect, we [14], [15] have proposed anotherpseudo-Runge-Kutta method. O ur method is defined by
(0. 5) y n+l = vl j;M_i + v2 yn + h® *B_b xm j; n_ l9 jvn; A ) ,r
® x u-i, x m y n -i, y^ h)=ĥ w tki9z = 0
^0 =/ (*»- , JVn-l) , ki =J (X m y n ) ,
j=Q
The method (0. 5) has the following order :
In comparing our method and other three methods (0. 2) , (0. 3) and(0. 4) in the same order 3 our method requires fewer functional
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586 M A S A H A R U N A K A S H I M A
evaluations than the other methods and has almost the same accuracy
as Runge-Kutta method (0. 2) . Therefore our method is more economi-
cal than the other three methods.
The methods discussed above are all explicit. The main advantage
of explicit methods is that they give numerica l solutions explicitly at
each step. However, they are inadequate for the stiff problem [10].
A drawback of the classical Runge-Kutta method (0, 2) for the stiff
problem can be overcome by introducing stable methods.
J. C. Butcher [1], [3] was the first who considered an implicit
Runge-Kutta method, which is ^4-stable. The general r-stage implicit
Runge-Kutta method is defined by :
(0.6) y n+ i=
k,=f(x.+a,h, y n+h bukj),i=2
^ = 2^(1 = 2,3,4, - - . , r ) .
It is possible to consider some other implicit pseudo-Runge-Kuttamethods in a way similar to that of the implicit Runge-Kutta method
(00 6) . Our r-stage implicit pseudo-Runge-Kutta method is :
(0. 7) J n +i=vij n -i+v 2 yn +h0(x n - l, *M, jV- i?j y« ;A) ,r
0 (*»-i, * w j; n _ l5 y n ; A) =Z Wiki9z= 0
£o=(*„- , J>»-i) , * =(*», J)O
It will be seen that it is equivalent to certain implicit Runge-Kutta
methods in some special cases. For example, if we take r=2, V I = WQ= Wi=b 2=b 2o= ^2i
= 0, 02 = 1, w 2 = O o 5 , a 2 = 0. 5, 6 2 2 = 0. 5 in ( 0B7 ) , thenthe method (0. 7) becomes the second order Gauss-type implicit
method, and if r = 3, v 2 =l, Vi = wQ = Q, w 2~ ^ 3 = 0 « 5 , a 2 = 0.5 — V3/6 ,
fla=0. 5- V3/6, £ 2 = 6 2 0 = 0 , i a =0. 25, 6 22 -0. 25- V3/6, 63= 63o = 0,
631 = 0 8 2 5 — V 3/6 and 6 5 2 = 0. 25, then the method (0.7) becomes an
implicit Runge-Kutta method of order 4. In contrast with explicitmethods, implicit methods increase their attainable orders. In [3],
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Butcher proved for his method (0 . 6) , which is ,4-stable, th e followingresult :
W hereas our method (0. 7) has
A 0=r + 3 r = 2 , 3 ) .
A s we have mentioned a li t t le about the stiff problem, it is importantto derive ^4-stable methods. In this paper w e derive ^4-stable methodsfo r our me thod (0 .7 ) when r = 2 and 3. In these cases, we get
A 2) =2,
A 3) = ,
where A 00 i g the order that can be a t ta ined by an r-stage ^.-stablemethod.
We now outline th e organizat ion of this paper0 I n section 1 , wediscuss the attainable order with 2-, 3- and 4-stage methods ( 005 )8In section 2, we discuss the attainable order with 2 and 3 stageimplici t methods (0. 7) . In section 3 , we ana lyze a stability of theimplici t method (0 .7 ) . Finally, in section 43 w e give some num ericalexamples, which show some useful propert ies of our method. W ehave n ot discussed the selection of param eters app earin g in the me thod(0. 7) and other related results. These results will appear soon.
§ 1. Explicit M ethod
§1.1 N on-Bxlstence of O rder 5 with r= 2
T o investigate th e a t ta inable order of pseudo-Runge-Kutta method(0 .5) , w e are requi red to expand the formula ( 0 .5) as i ts Taylorseries about th e point (xm jyn) , where we a ss u m e t h a t j y O O — V n > Detailscan be f ound in [18], so shall be omit ted.
W e check whether it is possible for the method ( 00 5) to haveorder 5 with 2-stage, by investigating order conditions in two caseswhen w2 is equa l to zero and otherwise.
Case 1 .1 : w2=£Q. W e need the following order conditions.
( 1 . 1 ) C- 1 .)^ + £̂ -1̂ =4- (j = l , 2 , . . - , 5 ) ,3 i=0 3
(1 .2 ) ai=(-iy+l{b0+jb2Q} ( . / = 2 , 3 , 4 ) ,
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5 8 8 M A S A H A R U N A K A S H IM A
with a0= — I , a i—Q.The equation (1.2) implies that
S o we have
(1.3)
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§ l o 28 Non-Exlstence of Order 6 r = 3
B y going through the same procedure as in the case when r = 2, wecheck whether it is possible for the method (0. 5) to have order 6with 3-stage. We consider two cases (A) : a2=£a3 and (B) a 2 = a^
(A) : a 2 ^a 3 .S o we consider order conditions in the following four cases0
Case 2. 1: w 2±Q, ŵQ,W e need the following order conditions :
(1.4) (
~iyVl
+Earl
w i = 4~ (; = 1,2 ,. -,6),J * = ° J
(1.5) fli=(-D' +1 {
(1.6) ai=(-iy +l bs+j{(-iy +l b» + iil- lbx} (7=2,3,4).
The equations (1.5) and (1.6) imply that
(1.7) a 2 =-l,Q and fl 3 =-l,0.
If we define
A
/ J L _ i2
-— 1 a2 a23 2 3
1 alal
1 1 4 4
\ "5"
\ 1 »
6 fl2^3
/ 1 \
/ „ \
, ut=
1 I \
W 0
\ wJ
and V $ =
~2\13
1415
1 /\ ~ 6 7
then the equation (1.4) can be expresses as
In the case (1.7), we have
Rank(D 3 (a 25 0 3 ))=2 and Rank (A) =3.
Thus the equations (1. 4), (1.5) and (1.6) have no solution,,Case 2 0 2 :
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5 9 0 M A S A H A R U N A K A S H I M A
In this case, we need the condition (1. 4) with w 3 = 0. Define
A t e =
/ 1 , \T i «i\
-— 1 a l14 2
1 4/
y flz / 1
/ 2
i31415 /
V5 =
1
31415
16 J
, Ate) =
1 2\-y 02
I - . « i_ 1 14
5 fl2
-i- -1 al\ 6 fl2 /
, £/«=
Bl \a > o
w2
-I/
^ 4 ) 5 and
Then we need the conditions det ( A (^2) ) = det ( A fe) ) = 0» Since
i-« 2 -3) -0,
w e have
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PSEUDO RUNGE-KUTTA PROCESSES 59 1
(B): a 2 =a 3 .
In this case, we need the order condition (L 4) with a 2 =a^ If wedef ine
C/5WQ
_ I
then the equation (1.4) can be expressed as
5 = 0 and A(
Therefore we get a 2 = — l, 0 0 As we have seen In Case 2 0 2, the equa-
tion (1.4) has no solution.
§1.3. Non-Existence of Order 7 with r=4
Proceeding as before, we check whether it is possible for the method
(0. 5) to have order 7 with 4-stage 0 We consider the two cases (A) :
a* = £f l,( i =£.;') and (B) : f l , -= f ly ( i=£ / ) -(A): ai *aj (i*j).
Let us consider the order conditions in the following eight cases,
Case 3 B 1 : w 2 ^0 9 w^O and w±=£Qa In this case, we need the
following order conditions:
(1.8)J i= Q J
(1.9) 0*=(
(1. 10) flH(
(1. 11) fli=(
The equations (1.9) , (L 10) and (1.11) imply that
(L 12) 02= -1,0, fl 3 = -1,0 and a,= -l,Q e
Define
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« =H^0
5 9 2 M A S A H A R U N A K A S H I M A
— —1 U 2U3U±\ ui -y-
--Q- 1 "2"3"4 «XO -Q-
— — 1 a2alal , C/6 = w2 and V Q -4
- i -i -•
Then the equation (1.8) can be expressed as
In the case (1. 12), we have
Rank (A) =2, Rank (A) =3,
where A=(A, F 6 ).Therefore, the equations (1.8), (1.9), (1.10) and (1.11) have no
solution.
Case 3 . 2 : w 2 = Q, w^O and z e >4= £ 0 . In the case b & W z + b&Wt^Q,we need the same conditions as that of case 3. 1. And in the case^32^3 + ^ 4 2 ^ 4 — 0 , we need the conditions (1.8), (1.10) and (1.11)with b&=b42 = Q9 which imply a 3= — 1,0 and a 4= — 1 ? 0. Thus we
can prove the non-existence of the solution of (1. 8) in a way similar
to that of Case 2. 2,
Case 3 .3: z e ^ ^ O , w 3 = 0 and w^Q, In this case, we need thefol lowing condition, in addition to (1.8):
(1.13) flj=(-l)' +1 02+iU (f=2,3,4,5).
The equation (1. 13) implies that a 2 = Q. Therefore, as we haveconsidered in Case 2 .2 , there are no solutions satisfying (1.8).
Case 3 . 4 : w 2 = 0, w 3 = 0 and w^Q. In this case, we need thesame order conditions as that of Case 2. 2. Therefore we can prove
the non-existence of solutions of (1.8).
Case 3.5: ^ 2 ^0, w 3 ^0 and z e >4 = 0. In this case, we need thesame conditions as that of the case r = 3 (see Section 1 .2 ) . Thus wecannot get order 7.
Case 3. 6: z#2 = 0, le^O and ^ 4 = 0. This is equivalent to Case 2. 2 eCase 3 . 7 : w23=Q9 w 3 = Q and w 4 = Q. This is equivalent to Case
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2,2,
Case 3, 8: w 2 = Q, w 3 = 0 and w± = Qa In this case9 as we haveconsidered in Case 1.2, the equation (1.8) has no solution,, Nowlet us go on to
(B): fl,-=fly (i*j).Let us consider the order conditions in the six cases.
Case 3.9: b b w^Q. In this case, we need the conditions (1.8)
and (1.9) without assuming a i= â j(i^j) B Therefore we can prove
the non-existence of solutions of (1.8) and (1.9) in a way similar
to that of Case 2, 2,
Case 3. 10: w 4 = 0 e This is equivalent to Case 3 0 6 0Case 3 0 11 : £ 4 3 = 0,, 632^3 + 6 4 2 ^ 4 ̂ 0 , In this case9 w e need th e
condition (1. 13) without assuming 0. = 0 , - ( z = £ ; ) > and we get < 22 = 00Therefore we can prove the non-existence of solutions of (L 8) in a
w ay similar to that of Case 20 28Case 3 , 1 2 : 6 4 3 = 0 5 , 6 3 2 ^ 3 + 6 4 2 ^ 4 = 0. In this case9 if we assume a 2 = a
then w e need the condition (1.11) with 6 4 2 = 6 4 3 = 03 which implies< z4= — 1, O o If we assume a 2 ~a^ then we need th e condition (1. 10)
with 632 = 0 which implies < 23= — 1909 and if we assume < 23 = < 24 9 then weneed the condition (1 ,9 ) which implies a 2 = — 1.0. Therefore we can
prove the non-existence of solutions of (L 8) in a way similar to that
of Case 28 2 .Case 3 0 13: 6 32 = 0D In this case, if we assume a 2=â then we
need the condition (1.11) with 642 = 643 = 0 3 j= 3 9 4 9 5 9 which implies< 24= — 19 08 I f we assume a2 = a ̂ then w e need the condition (1 . 10)with 632 = 0 which implies a3= —19 00 If we assume < 23 = < 24 9 then weneed the condition (L 9) with which implies a 2 = — 1 9 0 0 Therefore
w e can prove the non-existence of solutions of (L 8) in a way similarto that of Case 2a 20
Case 3. 14: a 2 = a ̂= a4a In this case, we can prove the non-existenceof solutions (1. 8) in a way similar to that of Case 2e 2a Consequentlyw e can conclude the fo l lowing result,,
Theorem, The attainable order is 49 5 and 6 for the explicit pseudo-Runge-Kutta method (08 5) o f 29 3 and 4 stage respectively.
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594 M A S A H A R U N A K A S H I M A
§2. Implicit MethodIn this section, we consider the r-stage implicit pseudo-Runge-
Kutta method ( 00 7 ) . The functions kt ( i = 2, 3 , • • • , r) are no longerdefined explicitly but b y the set of r— 1 implicit equations. W eassume that the solution o f each o f r — l implicit equations. W eassume that the solution of each function k{ may be expressed in thefo rm:
l) (i = 2, 3, »., r),
and
§ 2 1 Non-Existence of Order 6 with r= 2
In [16], we have alrea dy proved the existence of order 5 with
2-stage. We now check whether there exists order 6 with 2-stage,
by investigating the order conditions in the two cases when w 2 is
equal zero and otherwise.
Case I: w2=£Q. We need the following order conditions:
Let us define
A=
A=
i2
~ yi4
i213
15
i
- 1
1
-1
l
, U 7 =\ w 0 1 and F 7 = 1 0 2
J_
2J_3
J_4 /
1 \2 5
, A=
13
±
16
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PSEUDO RUNGE-KUTTA PROCESSES 595
A = ( A , F T ) .
Then the equation (2. 1) can be expressed as
D7U7= V7, DaUz=0 and D9C/g= 0.
A n d w e have
( 2 . 2 ) det(A) = -^fl»(«« + l) (5«S-fl,-2),
det (A) = - ̂ 1 fa + 1 ) (6«i - a, - 3) .
Therefore, in order to have th e solution of (20 1 ) we havefl2=-l,0.
However, for a2= — l ,Q we have
Rank (A) =2, and Rank (A) =3.
Thus the eq uation (2. 1) has no solution,
Case II: w2 = Q. I n this case, w e need the condition (2 . 1) with^2 = 0, as we have seen in Case 1. 19 th e equat ion (2. 1) has no solution.
§ 2 * 2 , Non-Exlstenee of Order 7 with r = 3
In [15], w e have already proved th e existence of order 6 with3-stage. Proceeding as before, w e check whether there exists order 7with 3-stage, by investigating the order conditions on the two caseswhen w3 is equal zero and otherwise.
Case I: ^3^0. In this case, we need the following orderconditions :
(2 .3 ) ( zz
( 2 . 4 ) (~iyJ
with
+ai-1*. /} ( i=2, 3, •», 7, j= 2, 3),
?»=(-DI
'-1
,?a = 0.Define
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5 9 6 M A S A H A R U N A K A S H I M A
L 2/ i
1 3
14
1
\ 5
\l
2 3
I 9 3
1 3 30 2 03
1 4 409 03
— 1 01 03 //
' DU
-1 -2 2a 2 1a 3 \ + ̂~i\j «31
1 0 Q 2 Q 2O O0 2 303 —:4
= — 1 — 4 40 | 401 -=-+-^ — £ e > o5 5
1 R R 4 R 4 _ »11 O »30 2 v)03 >-. "7̂ ~0 D
1 l— 1 — 6 60 2 60 3 -=- + -=- — W QI
/ ~ ~ 3 ~
1415
i
ry
1 02 ^11
~~ 1 02 a l
1 4 40 2 0 3
-1 a al
1 a| flS|
, £ / n =
M l
-' 10 ~
2 '
13
1415
1 /
/ 1 \
-' 12 ~
6/
r i415
16
1
T/
U*= Vi , WQ, W 2 , W — 1 ) , Ao=( Ao f/io), A2=(-Dl2
Then the equations (2. 3) and (2 e 4) can be expressed as
D1 0U= Q9 A i C A i = 0 and D^U=Q.
Therefore, in order to have the solutions of (2 B 3) and (2. 4) we need
det(Ao)=0, det(Ai)=0 and det(5 12 )=0. And we have
det ( Ao) = ~ ^2^3 ( f l2 + 1 ) (fl3 + 1 ) (02 - 03) fl O* ^3) ,
det ( Ai) = ~ a\al (a2 + 1 ) (a* + 1 ) (a 2 - a 3 ) det (As) ,
det ( A 2) = ~ ^fl§ te + 1 ) Os + 1 ) (02 - 03) & fe 3 03) ,
where
(2. 5) gi (a2, fl 3) = 1 S f l f f li - 3 (22< 23 (fl2 + 03 ) — 6 (a2 + 03) 2
(2. 6) & (fla, 03) = 42a|a| - 7< 22f l3 (a 2 + < 23) - 2 1 (01 + 01)
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1 0 3
-0.4 4 0.8 0.8As- 9
1 5(a 2 + a3— 1) — 1— 5a2a3 — -y
12 6(al + a2a3 + a| fi , , n 6 8--S- —
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598 M A S A H A R U N A K A S H I M A
Thus, the equations (2. 3) and (2. 4) have no solution,,
Case II: ^ 3 = 0. In this case, we need the order conditions (2 9 3)with ^3 = 0. Therefore , as we have seen in §2. 1, the equation (2.3)
has no solution. Thus, we can conclude the following results.
Theorem. Th e attainable order is 5 and 6 for the implicit pseudo-Runge-Kutta method (0. 7) o f 2 and 3 stage respectively.
§ 3. Stability Analysis
In this section we attempt to derive -4-stable methods. We definethe stability of the numerical method (0. 7) in the following way.Let us apply the method (0.7) to the test function y' = ly where Xis a complex constant with negative real, we have the followingdifference equation:
(3 . i) A0yn + l - AI y n - A * y n - i =o ,
where A0, A I and A2 are the function of Xh , involving th e coefficientsfl.-j b
{, b
u, v
h Wi. The numerical method (0. 7) is called
.4-stable if
( 1 ) | n l < l i = l ,2.(2) the root | 7* , - |=1 is simple.
where 7- are the characteristic roots of the difference equation (3. 1).If the method satisfies the conditions (1) and (2) for any negative
real ,̂ it is said to be 4̂ 0-stable. If we impose the [̂-stability on the
method (0.7), we can obtain the highest orders of the ^4-stability
fo r each stage r, using some results due to Wanner, Hairer andNorsett [23].
Proposition. In the method (0. 7) with A-stability imposed on, thehighest possible order of the A-stability is of order 2(r — 1) for each stager.
Proof. The proof goes as follows (see [23, §6]):
Let
be a characteristic algebraic equation of multistep method, satisfying
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PSEUDO RUNGE-KUTTA PROCESSES 599
the following conditions;
( a) Q,(z,R) is irreducible, Q,o(0) ^ 09 |£L ( 0 , 1) ^ = 0 ,( b) deg(Q, r ) 3 £ )8 Then G , Wanner, E , H airer
and S . Po N orsett [239 Theorem 2] showed that if Q,fe # ) i s 4-stablethen the highe st possible orde r is 2/. In our case5 as we will seelater In Section 4. 1 and 4 . 23 th e characteristic equation of ( 0 . 7 )satisfies the conditions (a) and (b ) , thus we get the above proposition,,
§ 3*1. ^-stable Method of Orde r 2 with 2-Stage
W e apply the method (0 .7) wi th r = 2 to the test function jp ' = .̂This yields
3 .2)
where
AI = -— — = [v2 + (w 1 — b22v21 — 6 22 /Z
2 IK .
We see that the method (0B 7) is of order 2 if2 1
(3.3) (-1)'-
and fur thermore we add the following conditions (3. 4) and (3. 5) ,under wh ich the method (0. 7) becomes of order 3 if 5 = 0:
(3 .4) (-D +̂Z>X- = 4-+̂3 j=0 6
— 0. 5b2 —
(3. 5) — ̂ 22^1 + £21^2 = 0,
H ere we note that the condition (3. 5) is nece ssary for J.0-stability0From (3.3), (3 .4 ) and ( 385)3 w e have
(3 .6 ) V1 = 5
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6 0 0 M A S A H A R U N A K A S H IM A
With these values plugged in ( 382 ) , th e characteristic polynomial of(3. 2) becomes
(3. 7) (1 -0. 5*%,, +1 - (6^-4-6(5)
(2-2. 5̂ + 33) %„_ = (),
If we take £ = 1 and d= — ? the difference eq uation (3. 7) has charac-
teristic roots:
r a = ( l + 0 . 5A ) / ( l - 0 . 5 A ) .
I t follows that th e method (0. 7) of order 2 with 2-stage is A-
stable. With th e values z = l and 8=—, the constants (3. 6 ) are given
b y
* > i = 05 v2 = l, w 0= -o--- T, Wl =—-— , i a =i a = o.5,-
2 a 2{a 2+l) 2
§ 3.2. .̂-stable Method of Order 4 with 3-Stage
By the same pro ced ure as in the 2-stage, we discuss the ^ 4-stabilityof order 4 with 3-stage. Let us apply the method (0. 7) with r = 3to the test function y r =ty. Then we obtain th e difference equation:
(3.8)
where
O n + Z 0 i ) A + ^2A2
2 + fei + ô) K + e22h2
31+632(1 +W-^(1 +63)} ̂3,
( ~ ~ 621633 + 623631) w2 + ( — 622631 4- 621632) ^3,— 62^2 + 63̂3) ,
62o + 62633 — 62363) w 2 + 630 + 62263 — 62632) w^
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PSEUDO RUNGE KUTTA PROCESSES 601
First, w e consider th e case when th e method is of order 40 Theconditions of order 4 with r = 3 are given by
3.9) -l)^ + Z«rX---i (i = 1,2, 3, 4)
(-1)1-1K l=Q K
3
In addition 3.9) , w e consider the following conditions where (38 10)and (3 e 11) are the conditions of order 5,
3.11) (_l)»-iA, Z = 0
(3 .12) — U + wo + S ( - t , - + 4 S a^ ;,) ^ = -i— Z (4af + 2a?) z5 i=2 J=0 5 i=2
From 3.9), 3.10), 3.11) and 3.12) we have
/ •Q iQ __ _ 2 ( 5 f l j — flg — 2) ___
2
_10a 2 — 7 — 12a 3 a 3+l) (a2 —
o = 0. S z / i + a2u >2 + a3w3 — 0.5,
A,o= -
«=2,3).
The most direct way for investigating ^4-stability conditions of themethod (0. 7) is usually the root-locus method, however we use the
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60 2 M A S A H A R U N A K A S H IM A
Schur criterion. The stability conditions for the method (0. 7) with
r = 3 are(3.14) (A ) \A 2 \ thefollowing conditions are necessary
(3.15) (W>33 ~~ *23*32) W+ —
(3.16) ( 22*33 — £23*32) w Q +( —(3. 17) \v2 + e2l+wQK +e22
(3. 18) \v l+e ll + w lh+e l2 h2 \
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PSEUDO RUNGE-KUTTA PROCESSES 603
Case I: J^O.
From th e .4-stability conditions (30 17) and (3. 18)9 we have(3 .22) e1 2 = Q, e22 = Q, |̂ | i = y, d l -e 2l -w Q =-— e
We see that the condition (3, 25) contradicts the condition (3. 17) =Thus the method (0.7) with r = 3 is unstable in the case J^0 0
Case II: J = 0.We use the m axim um m odulus pr incip le for the analysis of stability
conditions (A ) and (B) in (3 . 14), and we u se the following l e m m aawhose proof is not hard and so left for the reader,,
Lemma* Suppose that
diQ in ( 3 . 8 ) ,
then we have
-r- is analytic for Re (X )
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6 0 4 M A S A H A R U N A K A S H IM A
(3. 30) (/l3-/? 3 )/+ (/I 2 -2/ 21 / 2 3-/
and from ( 30 28) we have
(3.31)
where
(3. 32)
•
1 2J 21 —J llj
— C/23 2 — 22gl3 +/12 3 —
/21 2 — /22 fl l
2= — (/23 1 +/21 3 —
The fo rmula (3. 30) may be rewritten as
3. 33)
with
si
If we use the conditions ( 38 9 )5 (3 . 15) and (3. 16), then we see that
(3.34) £ 3 = 0, ̂= 0.
W e used REDUCE III to obtain (3.34), which requires rather
complicated computation. Consequently ^4-stability conditions for themethod (0.7) with (3.13), (3.19) and J = 0 are given by
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PSEUDO RUNGE-KUTTA PROCESSES 605
3. 35) (/| 3 -/? 3 )/+ (/i 2 -2/ 21 / 2 3-
(/l2
-2/21
/23
)/+/3
/̂ 0 for
We find the suitable parameters a2, a% and &23 by using computer,which satisfy (3. 35) „ These regions, where in particular we takep(=b22b'& — 623632) = 0. 83 and 03 = 0. 74 respectively., are sketched inFigures I and II. If we take a2 = Q.7, a 3 = Q074 and 0 = 0.83, whosepoints are in the stability region, then th e constants in (00 7) aregiven by :
_ 125 _ 644 50662 _ 98044 __ 500 ? V 2 ? Wo
~ _76 9 ? 2 76 9 ? o~ 1 137351 ? l~ 199171 3 2~ 9 1 5 11 '_ 1562500 , __ 1235187911 , _ 3895148891
3 5 2 9 2 02475411 5 2 442175000 9 2 0 247618000 J
33
8668547 , _ 25847383643 , __ 11907931606721 ' 22 J 23
_910951248 22 19234612500 J 23 114523325000
1019782373527 , __ 54331704350559 , _ 3381538061 _31
_ __3 386903125000 30 3683317750000 3 31 247618000
4156771908011 , _ 275520080942732
3288676562500 ^ 33 2708321875000
1 O r
0.5
p=O.83
J0.5 1.0
Figure (1) : The region (a2, «a) which satisfy ^4-stable condition (4.32).
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6 0 6 M A S A H A R U N A K A S H IM A
1.0 r
0.5
3 =0.743
0.5 1.0
a aFigure (2) : The region (a 2 , p) which satisfy ,4-stable condition (4. 32) .
§ 4. Numerical Examples
In this section, w e presen t some num erical results for the e qua tionswhich have been often taken on in the li terature of the numericalanalysis. W e use the following initial-value problems :
= -0.0001, *(*) = -0.001 exp(-1000*)+*.
-0. 0001*) +200 00 exp(-*)'=-*+(0.9999)exp(-0.0001*),
y(x) =2 exp(-*) -exp(- 10000* )*(*) = -exp(-*) +exp(-0. 0001*) .
The eigenvalues of Jacobian m atrix of problems I and II are(-1000, 0) and (-10000, -1) respectively. In using the method( 0 . 7 ) , it is necessary to solve a set of algebraic equations at eachstep to calculate an implicit function k{. O f course, the evaluation of
k{ requires some type of i terative procedure. W e will discuss in detailthose problems in another paper. W e use the N ewton-Raphson
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PSEUDO RUNGE-KUTTA PROCESSES 607
Iteration method for obtaining an approximate real solution of an
implicit function ki9 setting the initial approximation kf* on theiterative processes by
and we use the quant i ty :
as control of the iteration num ber. The iteration is continued untilE^+i ̂ become smaller than £'*3 where E * is a pre-a ssigned tolerance.The value y i necessary for the evaluation, when w e use the m ethod(0, 7) of order 2, is computed by the implicit R — K method of order4S and the value y± necessary for the method (09 7) of order 4 iscomputed by an implicit R — K m ethod of order 6. In solving animplicit function o f R — K method and the trapezoidal rule, we usethe N ew ton-R aphso n iteration. From Tables we can see that theadvan tage of our m ethod over other m ethods lies In its accura cy,Computations are done in double precision arithmetic on the FA G O MM-230 of Kyushu Universi ty.
Problem I, h=l/2 1 3 5* = 0. I E — 7 , (M: number of iterations).A bsolute Error
(Im) Pseudo-Runge-Method2-stage 3-stage
X
0.51.0
5.0
10.015.020.0
with (4.6)a2 = 0.5, z= l, < 5 = l / 6
yn— y ( x n )
0. 144E-150.0
0.0
0 .00 .00 .0
Z n — z(Xn)
0. 1165-140.2445-140.1175-120.2625-120.4065-120.2255-11
M
33
3
3
33
with (3.13)az= 0. 70, 0 3 = 0.74, p=Q. 83
y * — y (* n )
-0. 328E-8-0.328E-8-0.765E-12-0.815E-10-0.236^-12-0.246E-11
Z a -z(Xn)
0.3285-110.3285-110.1455-120.4075-120.5075-120.2375-11
M
44
4
4
4
4
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60 8 M A S A H A R U N A K A S H I M A
Trapezoidal Rule
X
0.5
1.0
5.0
10.015.02 0 . 0
yn-y(Xn) Z n -Z(x»}
-0.4035-8 0.8075-11-0.1415-8 0.1415-11-0.1505-8 0.3115-12-0.2365-8 0.2495-12-0.6005-8 0.4135-12-0.3455-8 0.1225-12
M5
5
5
5
6
5
( I m ) Runge-Method
Order-4
*-X*.)
0.5 0.2095-9 -0.1.0 0.1515-8 -0.5.0 0.2205-9 -0.
10.0 0.1675-8 -0.15.0 0.3365-9 -0.20 .0 0.2795-8 -0.
Order-6—z(xn) M y*—y(xd Zn-z(Xn) M
2095-12 3 0.3115-10 -0.3065-13 51515-11 3 0.3255-8 0.3255-11 51635-12 3 0.6335-9 -0.5755-12 21555-11 2 -0.2075-8 0.2205-11 21675-12 4 0.6825-8 -0.6615-11 21695-11 2 0.3475-10 0.1115-11 5
Relative Error(Im) Pseudo-Runge-Method
2-stage 3-stage
J.-JMy(xn)
0.5
1.0
5.0
10.015.0
20.0
Zn - z( Xn ) | jfc-X*.)* (* „ ) X*»)
zn -z(x tt }z(Xn)
0.2295-14 0.2025-2 0.6475-110.2425-140.2355-130.2625-130.2705-13
0.1125-12
(Im) Runge-Kutta MethodTrapezoidal Rule O rder 4
yn-y(xj z tt -zy(xn} z(:
(*.) yn-yM *.-*(*.) }O X*.) z(Xn)
0.3525-140.2895-130.4075-130.3385-13
0.1185-12
Order-6
>n—y(xH) z a -z(x n )y(Xn} Z(x a }
0.5 0.4035-11 0.3415+0 0.1505-11 0.2215-9 0.3225-111.0 0.1415-11 0.1505-115.0 0.1555-11 0.3265-13
10.0 0.2495-11 0.1545-12
15.0 0.6195-11 0.1115-1320 .0 0.4595-11 0.8485-13
0.3225-110.1145-120.2205-12
0.4415-120.5595-13
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PSEUDO RUNGE-KUTTA PROCESSES
Computational time
Pseudo-methods2-stage 3-stage
1.60(sec) 1.81 (sec) 1.87 (sec)
6 09
R-K(0.6)
Order-4
1.68 (sec)
Order-6
2. 18 (sec)
Problem II, A = l / 273 5* = 0. IE- 7, (M: number of iterations) .
A bsolute Error(Im) Pseudo-Runge-Method
X
0.5
1.0
5.0
10.015.020.0
2-stage
with (3. 6)02= 0 . 55 z = 1.0, 3=1/6yn-yM Z R -z(Xn) M
-0.2775-1 -0.1535-5 3-0. 1045-2 -0. 1855-5 3-0. 5605-9 -0. 1705-6 3-0.4005-11 -0.2295-8 3-0.2855-13 -0.2315-10 3-0.2025-15 -0.2055-12 3
Trapezoidal Rule
x yn-y(x^) zn
0.5 0.2795-1 -0.1.0 -0.7795-3 -0.5.0 -0.2575-8 -0.
10.0 0.2585-8 -0.15.0 0.2235-8 -0.
3-stage
with (3 .a 2 =0. 70, f la^O .
y.-yM-0.7215-2-0. 6295-4-0.1495-10-0.3435-13-0.5695-14-0.5715-15
-z(*.) M
1545-5 211875-5 211715-6 142305-8 142335-10 13
13)74, p=Q. 83zn—z(xn)
0.1165-90. 1415-90.1295-100.1765-120.3995-140.2275-14
M
5
5
5
5
5
5
20.0 -0.7325-8 -0.2105-12 11
( Im) Runge-Method
X
0.5
1.0
5.0
10.015.020.0
Order-4
yn—y(x ̂ ztt—z(x ̂ M
-0.3965-4 0.1555-11 4-0.6845-7 0.1885-11 4-0.1215-8 0.1735-12 4-0.8185-11 0.3135-14 4-0.4655-11 0.2085-15 4-0.8605-9 0.7355-15 4
O rder-6
y.-yM
-0.2135-80.2955-110.5225-130.3575-15
-0.2045-16-0.1405-11
z « — zC*,)
0.3465-150.5555-150.8885-150.8325-150.8325-150.6665-15
M
5
5
5
5
5
5
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61 0 M A S A H A R U N A K A S H IM A
Relative Error( I m ) Pseudo-Runge-Method
2-stage 3-stage
X y.-yMX * « )
0.5 0.230E-11.0 0. 143E-25.0 0.418E-7
1 0 . 0 0.444£-71 5 . 0 0.4695-72 0 . 0 0.494E-7
za —z(x n }zx a)
0.384E-50.292£-50. 171E-60.229E-80. 2315-100.2055-12
y * — y (x jyM
0.5995-20. 8625-40.1125-80. 3805-90.9835-80. 1395-6
zn— z( xn)z(xn)
0.2925-90.2225-90.1305-100.1765-120. 4005- 140.2285-14
( I m ) Rung e-Kutta MethodTrapezoidal Rule O rder 4 Order-6
y.-y(*3X*.)
0.5 0.2305-11.0 0. 1055-25.0 0. 1905-6
10. 0 0. 2825-41 5 . 0 0.3645-2
2 0 . 0 0.1775+1
zn-z( Xn )z x n )
0. 3925-50.2965-50. 172£-60.231E-80.233E-10
0.210E-11
y.-y(xn)y x n )
0. 329E-40.937E-70. 9085- 70.908E-70.7665-5
0.2105+0
Zn-z(Xn)
z(xj
0.3915-110.2975-110.1755-120.3135-140.2085-15
0.7365-15
jfc-X*.)X * » )
0. 1775-80.4045-110.3915-110.3965-110.3365-10
0.3445-3
Zn-z(Xn)
ZM
0.8715-150.8745-150.8945-150.8335-150.8335-15
0.6675-15
Computational time
Pseudo-methods R-K (0. 6)Trapezoid
2-stage 3-stage O rder-2 O rder-4
1 . 4 8 ( s e c ) 1 . 7 7 ( s e c ) 2.9 3(sec) 1.55 (sec) 2.78(se c)
Acknowledgments
This work w as done during m y stay at Research Inst i tute forM athematical S ciences, Ky oto Universi ty. I wish to express my heartythanks to Professor S . H itotumatu, Professor M . Yamagut i of KyotoUniversity and Professr T8 Mitsui of N agoya Universi ty for theirinvaluable suggestions and advice. A lso I wish to thank Professor R0Jeltsch o f TH. A a c h e n (Fed. Rep.) for his stimulating discussion andto the referee for his invaluable guidance and criticisms.
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PSEUDO RUNGE-KUTTA PROCESSES 6 11
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[13] Kutta, W., Beitrag zur naherungsweisen Integration totater Differentialgleichungen, Z.Math. Pyhs., 46 (1901), 435-453.[14] Nakashima, M. , On a Pseudo-Runge-Kutta Method of order 6 , P roc. Japan Acad., 58
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[21] Tanaka, M., Pseudo-Runge-Kutta methods and their application to the estimation oftruncation errors in 2nd and 3rd order Runge-Kutta methods, Joho Short , 6 (1969) s406-417, in Japanese.
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