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A STUDY OF HIGHER ORDER IMPLICIT
RUNGE-KUTTA METHODS IN SOLVING STIFF
NONLINEAR PROBLEMS

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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

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

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

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

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

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

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

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