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A STUDY OF HIGHER ORDER IMPLICIT

RUNGE-KUTTA METHODS IN SOLVING STIFF


NONLINEAR PROBLEMS
Amira binti Ismail
November 26, 2013
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 1:INTRODUCTION
1
Problem Statements.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 1:INTRODUCTION
1
Problem Statements.
2
Importance of Research.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 1:INTRODUCTION
1
Problem Statements.
2
Importance of Research.
3
Research Objectives.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 1:INTRODUCTION
1
Problem Statements.
2
Importance of Research.
3
Research Objectives.
4
Scope of Study
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 1:INTRODUCTION
1
Problem Statements.
2
Importance of Research.
3
Research Objectives.
4
Scope of Study
5
Thesis Outline
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Problem Statements
1
Solving an explicit method for sti problems is not advisable
due to the stability of the explicit methods which are not
A-stable (Butcher,1975)
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Problem Statements
1
Solving an explicit method for sti problems is not advisable
due to the stability of the explicit methods which are not
A-stable (Butcher,1975)
2
Implicit methods especially higher order methods are the
solution for solving sti problems since implicit methods have
good stability region (Dalquist,1963 )
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Problem Statements
1
Solving an explicit method for sti problems is not advisable
due to the stability of the explicit methods which are not
A-stable (Butcher,1975)
2
Implicit methods especially higher order methods are the
solution for solving sti problems since implicit methods have
good stability region (Dalquist,1963 )
3
It is shown that the higher the order if the methods the more
accuracy the methods will be although the implementation for
implicit methods are dicult compared to explicit methods
(S. Gonzalez-Pinto, J.I Montijano and L.Randez, 2001)
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Importance of Research
1
Most real life problems ( chemical reaction, biomedical, solar
systems etc) using numerical methods are sti and nonlinear.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Importance of Research
1
Most real life problems ( chemical reaction, biomedical, solar
systems etc) using numerical methods are sti and nonlinear.
2
Numerical analysts are still nding the best methods to use
when solving this real life problems.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Importance of Research
1
Most real life problems ( chemical reaction, biomedical, solar
systems etc) using numerical methods are sti and nonlinear.
2
Numerical analysts are still nding the best methods to use
when solving this real life problems.
3
Implementation nonlinear problems with implicit methods are
more advisable since they are more stable and ecient
especially the well known Radau II A methods (Hairer and
Wanner,1993)
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Importance of Research
1
Most real life problems ( chemical reaction, biomedical, solar
systems etc) using numerical methods are sti and nonlinear.
2
Numerical analysts are still nding the best methods to use
when solving this real life problems.
3
Implementation nonlinear problems with implicit methods are
more advisable since they are more stable and ecient
especially the well known Radau II A methods (Hairer and
Wanner,1993)
4
Implicit methods are shown to be ecient in solving partial
dierential equations problems using semi-implicit approach
(Scheel.J (2006))
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Research Objectives
1
To extend the study of symmetric Runge-Kutta method
especially the higher order Gauss methods in solving sti
non-linear problems.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Research Objectives
1
To extend the study of symmetric Runge-Kutta method
especially the higher order Gauss methods in solving sti
non-linear problems.
2
To study the eciency of the symmetric methods numerically
for nonlinear problems.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Research Objectives
1
To extend the study of symmetric Runge-Kutta method
especially the higher order Gauss methods in solving sti
non-linear problems.
2
To study the eciency of the symmetric methods numerically
for nonlinear problems.
3
To investigate the order behavior of symmetric Runge-Kutta
methods for sti problem theoretically.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Research Objectives
1
To extend the study of symmetric Runge-Kutta method
especially the higher order Gauss methods in solving sti
non-linear problems.
2
To study the eciency of the symmetric methods numerically
for nonlinear problems.
3
To investigate the order behavior of symmetric Runge-Kutta
methods for sti problem theoretically.
4
To apply extrapolation technique and compare the eciency
with other well-known method such as the Radaus method
numerically.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Scope of Study
This research is focusses on the higher order implicit Runge-Kutta
methods such as the 2-stage and 3-stage Gauss methods. These
methods are tested numerically particularly for sti nonlinear
problems.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Thesis Outline
1
Chapter 1 is about introduction of the the research including
some knowledge about ordinary dierential equations,
numerical methods, objective and scope of study.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Thesis Outline
1
Chapter 1 is about introduction of the the research including
some knowledge about ordinary dierential equations,
numerical methods, objective and scope of study.
2
Chapter 2 is the literature review. In this chapter, we will
discuss the theoritical concept of Runge-Kutta methods and
some history. This part is important to know the theory and
order condition of Runge-Kutta methods.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Thesis Outline
1
Chapter 1 is about introduction of the the research including
some knowledge about ordinary dierential equations,
numerical methods, objective and scope of study.
2
Chapter 2 is the literature review. In this chapter, we will
discuss the theoritical concept of Runge-Kutta methods and
some history. This part is important to know the theory and
order condition of Runge-Kutta methods.
3
In Chapter 3, we will discuss the construction of higher order
implicit Gauss Runge-Kutta methods.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Thesis Outline
1
Chapter 1 is about introduction of the the research including
some knowledge about ordinary dierential equations,
numerical methods, objective and scope of study.
2
Chapter 2 is the literature review. In this chapter, we will
discuss the theoritical concept of Runge-Kutta methods and
some history. This part is important to know the theory and
order condition of Runge-Kutta methods.
3
In Chapter 3, we will discuss the construction of higher order
implicit Gauss Runge-Kutta methods.
4
Chapter 4 is about the analysis of this research. This chapter
will discuss about solving sti problem using Matlab software.
This analysis based on numerical and theoretical approach.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Thesis Outline
1
Chapter 1 is about introduction of the the research including
some knowledge about ordinary dierential equations,
numerical methods, objective and scope of study.
2
Chapter 2 is the literature review. In this chapter, we will
discuss the theoritical concept of Runge-Kutta methods and
some history. This part is important to know the theory and
order condition of Runge-Kutta methods.
3
In Chapter 3, we will discuss the construction of higher order
implicit Gauss Runge-Kutta methods.
4
Chapter 4 is about the analysis of this research. This chapter
will discuss about solving sti problem using Matlab software.
This analysis based on numerical and theoretical approach.
5
Discussion about this research is given in Chapter 5.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 2:Literature Review
1
Ordinary Dierential Equations (ODEs).
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 2:Literature Review
1
Ordinary Dierential Equations (ODEs).
2
Runge-Kutta Methods.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 2:Literature Review
1
Ordinary Dierential Equations (ODEs).
2
Runge-Kutta Methods.
3
Explicit Methods.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 2:Literature Review
1
Ordinary Dierential Equations (ODEs).
2
Runge-Kutta Methods.
3
Explicit Methods.
4
Implicit Methods.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 2:Literature Review
1
Ordinary Dierential Equations (ODEs).
2
Runge-Kutta Methods.
3
Explicit Methods.
4
Implicit Methods.
5
Explicit vs Implicit.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Ordinary Dierential Equations (ODEs)
1
All derivatives of unknown solution in the dierential
equations are respect to a single independent variable.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Ordinary Dierential Equations (ODEs)
1
All derivatives of unknown solution in the dierential
equations are respect to a single independent variable.
2
Consider an ODE in this form
y

= f (x, y), y(x


0
) = y
0
, f : [x
0
, x
n
] R
N
R
N
. (1)
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Ordinary Dierential Equations (ODEs)
1
All derivatives of unknown solution in the dierential
equations are respect to a single independent variable.
2
Consider an ODE in this form
y

= f (x, y), y(x


0
) = y
0
, f : [x
0
, x
n
] R
N
R
N
. (1)
3
If the value of x
0
and y
0
is given, then equation (1) is known
as initial values.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Ordinary Dierential Equations (ODEs)
1
All derivatives of unknown solution in the dierential
equations are respect to a single independent variable.
2
Consider an ODE in this form
y

= f (x, y), y(x


0
) = y
0
, f : [x
0
, x
n
] R
N
R
N
. (1)
3
If the value of x
0
and y
0
is given, then equation (1) is known
as initial values.
4
It can be solve analytically for linear equations and numerically
for nonlinear equations especially higher order equations.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
One step methods due to Runge (1895), Heun (1990) and
Kutta (1991).
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
One step methods due to Runge (1895), Heun (1990) and
Kutta (1991).
2
Generalization Euler method that computes f only once in
each step to evaluate f two or more times with dierent
argument.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
One step methods due to Runge (1895), Heun (1990) and
Kutta (1991).
2
Generalization Euler method that computes f only once in
each step to evaluate f two or more times with dierent
argument.
3
Give greater accuracy and better stability compared Euler
method.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta Methods
Dene as
Y
i
= y
n1
+ h
s

j =1
a
ij
f (x
n1
+ c
j
h, Y
j
) , (2a)
y
n
= y
n1
+ h
s

j =1
b
j
f (x
n1
+ c
j
h, Y
j
). (2b)
Y
i
represent the internal stage value,
y
n
represent the update of y at the n
th
step.
y
0
y
n
x
0
x
n
| | |
Y
< >
h
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
We can display (2a) and (2b) by a Butcher tableau of the form
c A
b
T
,
c is the vector of abscissae, Matrix A are the coecients, Vector b
represents the quadrature of weight indication.
Where
c
i
=
s

j =1
a
ij
, i = 1, 2, . . . , s. (3)
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
Divided into two main types according to the style of the
matrix A
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
Divided into two main types according to the style of the
matrix A
Explicit methods - Where the matrix A is strictly lower
triangular.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
Divided into two main types according to the style of the
matrix A
Explicit methods - Where the matrix A is strictly lower
triangular.
Implicit methods:-
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
Divided into two main types according to the style of the
matrix A
Explicit methods - Where the matrix A is strictly lower
triangular.
Implicit methods:-
Fully implicit - Matrix A is not lower triangular,
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
Divided into two main types according to the style of the
matrix A
Explicit methods - Where the matrix A is strictly lower
triangular.
Implicit methods:-
Fully implicit - Matrix A is not lower triangular,
Semi-implicit - Matrix A is lower triangular with at least one
non-zero diagonal element,
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
Divided into two main types according to the style of the
matrix A
Explicit methods - Where the matrix A is strictly lower
triangular.
Implicit methods:-
Fully implicit - Matrix A is not lower triangular,
Semi-implicit - Matrix A is lower triangular with at least one
non-zero diagonal element,
Diagonal implicit - Matrix A is a lower triangular with all
elements are equal and non-zero,
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Runge-Kutta methods
1
Divided into two main types according to the style of the
matrix A
Explicit methods - Where the matrix A is strictly lower
triangular.
Implicit methods:-
Fully implicit - Matrix A is not lower triangular,
Semi-implicit - Matrix A is lower triangular with at least one
non-zero diagonal element,
Diagonal implicit - Matrix A is a lower triangular with all
elements are equal and non-zero,
Singly implicit - Matrix A is a non-singular matrix with single
eigenvalue.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit Methods
1
Example of explicit methods
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit Methods
1
Example of explicit methods
Euler method
0 0
1
,
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit Methods
1
Example of explicit methods
Euler method
0 0
1
,
Midpoint method
0 0 0
1
2
1
2
0
0 1
,
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit Methods
1
Example of explicit methods
Euler method
0 0
1
,
Midpoint method
0 0 0
1
2
1
2
0
0 1
,
Trapezoidal rule
0 0 0
1 1 0
1
2
1
2
.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Implicit Methods
1
3 Family of implicit methods
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Implicit Methods
1
3 Family of implicit methods
Radau methods - Implicit Euler
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Implicit Methods
1
3 Family of implicit methods
Radau methods - Implicit Euler
Gauss methods - Implicit midpoint
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Implicit Methods
1
3 Family of implicit methods
Radau methods - Implicit Euler
Gauss methods - Implicit midpoint
Lobatto IIIA - Implicit Trapezoidal
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Implicit Methods
1
3 Family of implicit methods
Radau methods - Implicit Euler
Gauss methods - Implicit midpoint
Lobatto IIIA - Implicit Trapezoidal
2
Example of implicit methods
Table: Family of Implicit Method
1 1
1
1
2
1
2
1
1
1
2
1
2
1
2
1
2
Implicit Euler Implicit Midpoint Rule Implicit Trapezoidal Rule
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit vs Implicit
Table: Explicit vs Implicit
Subject Explicit Implicit
Implementation Very easy Expensive and dicult
Sti problem Cannot solve Can solve
Stability Poor Better Stability
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit vs Implicit:Implementation
Example: Lets y
0
= 1
Explicit Euler:
y
1
= y
0
+ hf (y
0
)
Implicit Midpoint rule:
Y = y
0
+
h
2
f (x
0
+
1
2
h, Y)
y
n
= y
0
+ hf (Y)
*Hard to solve nonlinear equations for implicit midpoint rule.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit vs Implicit:Stiness
By applying Dahlquist test problem to any methods,
y

= qY, y(0) = 1, y(x) = y


0
e
qx
.
where q is sti constant.
A methods are sti if there are sti constant with large negative
value.
Example of problem with large negative value is Holsapple, Iyer
and Domans problem :
y

= 1000y + sin(x)
By applying implicit Runge-Kutta methods, the problem can be
solved. Explicit methods also can solve the problem, but we need
to use small h which will have lot of iterations.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Example of implementation of Holsapple, Iyer and
Domans problem using explicit method with h=0.01
5 4.5 4 3.5 3 2.5 2
14
12
10
8
6
4
2
0
Log of stepsize
L
o
g

o
f

E
r
r
o
r


Holsapple, Iyer & Doman problem for explicit method
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Example of implementation of Holsapple, Iyer and
Domans problem using Implicit method with h=0.01
3.6 3.4 3.2 3 2.8 2.6 2.4 2.2 2
11
10.5
10
9.5
9
8.5
8
7.5
Log of stepsize
L
o
g

o
f

E
r
r
o
r


Implicit RK method for Hosaple
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit vs Implicit:Stability
Applying Dahlquist test equation on an s-stage Runge-Kutta
methods yields,
Y = ey
0
+ hAF(Y),
= ey
0
+ hqAY,
= (I zA)
1
ey
0
,
y
n
= y
0
+ hb
T
F(Y),
= y
0
+ hb
T
(qY),
= y
0
+ zb
T
(I zA)
1
ey
0
,
= (1 zb
T
(I zA)
1
)ey
0
,
y
n
= R(z)y
0
,
where e is a vector of unit 1. The stability function is therefore
dened by
R(z) = 1 zb
T
(I zA)
1
e.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Explicit vs Implicit:Stability
For explicit Euler methods, stability function is
R(z) = 1 zb
T
(I zA)
1
e = 1 + z
It is show polynomial function and does not satisfy A-stable
condition where R(z) 1.
For implicit methods, stability function is
R(z) = 1 zb
T
(I zA)
1
e =
1
1 z
Implicit Euler method show rational function and will satisfy
A-stable condition.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Extrapolation
1
Consider numerical integration of an initial value problem over
the time interval from t = t
0
to t = t
n
. If h is the constant
step size used, then the number of steps taken is given by
n =
t
n
h
.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Extrapolation
1
Consider numerical integration of an initial value problem over
the time interval from t = t
0
to t = t
n
. If h is the constant
step size used, then the number of steps taken is given by
n =
t
n
h
.
2
Let y
h
(t
n
) denote the numerical approximation of a given
method at time t
n
using stepsize h and yh
2
(t
n
) the numerical
solution at time t
n
using stepsize
h
2
.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Extrapolation
1
Consider numerical integration of an initial value problem over
the time interval from t = t
0
to t = t
n
. If h is the constant
step size used, then the number of steps taken is given by
n =
t
n
h
.
2
Let y
h
(t
n
) denote the numerical approximation of a given
method at time t
n
using stepsize h and yh
2
(t
n
) the numerical
solution at time t
n
using stepsize
h
2
.
3
Extrapolation means apply the linear combination of y
h
(t
n
)
and yh
2
(t
n
) to eliminate error term.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Extrapolation
Extrapolation formula is given as
2
p
yh
2
(t
n
) y
h
(t
n
)
2
p
1
(4)
as extrapolation formula for rst level.
By applying extrapolation, 2
nd
methods resulted order 3, if the
methods is unsymmetrical methods and order 4 if it is symmetry.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 3:Methodology
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 4: Numerical Analysis
1
Some studies about explicit RK methods: Accuracy and
eciency graph.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 4: Numerical Analysis
1
Some studies about explicit RK methods: Accuracy and
eciency graph.
2
Implementation and extrapolation of implicit method for
Prothero Robinsons problem:
y

= (q(y sin(x)) + cos(x)), q = 10.


Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Chapter 4: Numerical Analysis
1
Some studies about explicit RK methods: Accuracy and
eciency graph.
2
Implementation and extrapolation of implicit method for
Prothero Robinsons problem:
y

= (q(y sin(x)) + cos(x)), q = 10.


3
Eciency graph of Prothero Robinsons problem with and
withot extrapolation.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Some studies about explicit RK methods: Accuracy graph
2 1.8 1.6 1.4 1.2 1 0.8 0.6 0.4 0.2
11
10
9
8
7
6
5
4
3
2
Log of stepsize
L
o
g

o
f

E
r
r
o
r
The Accuracy Diagram


Midpoint
Euler
Trapezoidal
3/8 RK
1/6 2/6 1/6 RK
Classical
1/6 2/6 1/6 RK2
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Some studies about explicit RK methods: Eciency graph
1 0.5 0 0.5 1 1.5 2
11
10
9
8
7
6
5
4
3
2
Log of Cputime
L
o
g

o
f

E
r
r
o
r
The Efficiency Diagram


Midpoint
Euler
Trapezoidal
3/8 RK
1/6 2/6 1/6 RK
Classical
1/6 2/6 1/6 RK2
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Implementation and extrapolation of implicit method for
Prothero Robinsons problem
3.5 3 2.5 2 1.5 1 0.5 0
15
10
5
0
Prothero Robinson Problem with and without Extrapolation
Log of stepsize
L
o
g

o
f

E
r
r
o
r


IMR without extrapolation
IMR with extrapolation
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Eciency graph of Prothero Robinsons problem with and
withot extrapolation
0.5 0 0.5 1 1.5 2 2.5 3
15
10
5
0
Log of Cputime
L
o
g

o
f

E
r
r
o
r
The Efficiency Diagram


With extrapolation
without extrapolation
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Reerence
1
J. C. Butcher, A Stability Property of Implicit Runge-Kutta
methods, BIT., 15, 358-361, 1769.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Reerence
1
J. C. Butcher, A Stability Property of Implicit Runge-Kutta
methods, BIT., 15, 358-361, 1769.
2
J.C. Butcher and G.Wanner, (1996). Runge-Kutta methods:
some historical notes. Applied Numerical Mathematics 22
(113-151)
3
G. Dahlquist, A special stability problem for linear multistep
methods, BIT.,3,27-43, 1963.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Reerence
1
J. C. Butcher, A Stability Property of Implicit Runge-Kutta
methods, BIT., 15, 358-361, 1769.
2
J.C. Butcher and G.Wanner, (1996). Runge-Kutta methods:
some historical notes. Applied Numerical Mathematics 22
(113-151)
3
G. Dahlquist, A special stability problem for linear multistep
methods, BIT.,3,27-43, 1963.
4
E. Hairee, G. Wanner, Solving ordinary dierential equations,
II. Sti and dierential-algebraic problems, Springer Series in
Computational Mathematics, 14. Springer-Verlag, Berlin,
1993.
5
S.Gonzalez-Pinto, J.I. Montijano and L.Randez,
Implementation of Higher Order Implicit Runge-Kutta
Methods, Computer and Maths. with applications, 41,
1009-1024,2001.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS
Reerence
1
J. C. Butcher, A Stability Property of Implicit Runge-Kutta
methods, BIT., 15, 358-361, 1769.
2
J.C. Butcher and G.Wanner, (1996). Runge-Kutta methods:
some historical notes. Applied Numerical Mathematics 22
(113-151)
3
G. Dahlquist, A special stability problem for linear multistep
methods, BIT.,3,27-43, 1963.
4
E. Hairee, G. Wanner, Solving ordinary dierential equations,
II. Sti and dierential-algebraic problems, Springer Series in
Computational Mathematics, 14. Springer-Verlag, Berlin,
1993.
5
S.Gonzalez-Pinto, J.I. Montijano and L.Randez,
Implementation of Higher Order Implicit Runge-Kutta
Methods, Computer and Maths. with applications, 41,
1009-1024,2001.
6
J. Scheel, Solution of Systems of Nonlinear Equations- A
Semi-implicit Approach, KTH Electrical Engineering, Royal
Institute of Technology, Sweden, 2006.
Amira binti Ismail A STUDY OF HIGHER ORDER IMPLICIT RUNGE-KUTTA METHODS