CISE301_Topic8L8&9 1

CISE301: Numerical Methods

Topic 8
Ordinary Differential Equations (ODEs)
Lecture 28-36
KFUPM
(Term 101)
Section 04

Read 25.1-25.4, 26-2, 27-1
CISE301_Topic8L8&9 2
Outline of Topic 8
Lesson 1: Introduction to ODEs
Lesson 2: Taylor series methods
Lesson 3: Midpoint and Heuns method
Lessons 4-5: Runge-Kutta methods
Lesson 6: Solving systems of ODEs
Lesson 7: Multiple step Methods
Lesson 8-9: Boundary value Problems

CISE301_Topic8L8&9 3

Lecture 35
Lesson 8: Boundary Value Problems
CISE301_Topic8L8&9 4
Outlines of Lesson 8

Boundary Value Problem

Shooting Method

Examples

CISE301_Topic8L8&9 5
Learning Objectives of Lesson 8
Grasp the difference between initial value
problems and boundary value problems.

Appreciate the difficulties involved in solving the
boundary value problems.

Grasp the concept of the shooting method.

Use the shooting method to solve boundary
value problems.
CISE301_Topic8L8&9 6
Boundary-Value and
Initial Value Problems
Boundary-Value Problems

The auxiliary conditions are
not at one point of the
independent variable
More difficult to solve than
initial value problem
5 . 1 ) 2 ( , 1 ) 0 (
2
2
= =
= + +

x x
e x x x
t

Initial-Value Problems

The auxiliary conditions
are at one point of the
independent
variable

5 . 2 ) 0 ( , 1 ) 0 (
2
2
= =
= + +

x x
e x x x
t

same
different
CISE301_Topic8L8&9 7

Shooting Method
CISE301_Topic8L8&9 8
The Shooting Method
Target
CISE301_Topic8L8&9 9
The Shooting Method
Target
CISE301_Topic8L8&9 10
The Shooting Method
Target
CISE301_Topic8L8&9 11
Solution of Boundary-Value Problems
Shooting Method for Boundary-Value Problems
1. Guess a value for the auxiliary conditions at one
point of time.
2. Solve the initial value problem using Euler,
Runge-Kutta,
3. Check if the boundary conditions are satisfied,
otherwise modify the guess and resolve the
problem.
Use interpolation in updating the guess.
It is an iterative procedure and can be
efficient in solving the BVP.
CISE301_Topic8L8&9 12
Solution of Boundary-Value Problems
Shooting Method
8 . 0 ) 1 ( , 2 . 0 ) 0 (
2
) (
2
= =
= + +
y y
x y y y
BVP solve to x y Find

Boundary-Value
Problem
Initial-value
Problem
convert
1. Convert the ODE to a system of
first order ODEs.
2. Guess the initial conditions that
are not available.
3. Solve the Initial-value problem.
4. Check if the known boundary
conditions are satisfied.
5. If needed modify the guess and
resolve the problem again.
CISE301_Topic8L8&9 13
Example 1
Original BVP
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y

0 1 x
CISE301_Topic8L8&9 14
Example 1
Original BVP
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y



2. 0
0 1 x
CISE301_Topic8L8&9 15
Example 1
Original BVP
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y



2. 0
0 1 x
CISE301_Topic8L8&9 16
Example 1
Original BVP
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y

to be
determined


2. 0
0 1 x
CISE301_Topic8L8&9 17
Example 1
Step1: Convert to a System of First Order ODEs
2 y(1) have we until ) 0 ( y of values different for
0.01 h with RK2 using solved be will problem The
?
0
) 0 ( y
) 0 ( y
,
) 4(y
y
y
y
Equations order first of system a to Convert
2 ) 1 ( , 0 ) 0 (
0 4 4
2
2
1
1
2
2
1
=
=
(

=
(

=
(

= =
= +
x
y y
x y y

CISE301_Topic8L8&9 18
Example 1
Guess # 1
0 ) 0 (
1 #
= y
Guess

-0.7688
0 1 x
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y

CISE301_Topic8L8&9 19
Example 1
Guess # 2
1 ) 0 (
2 #
= y
Guess

0.99
0 1 x
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y

CISE301_Topic8L8&9 20
Example 1
Interpolation for Guess # 3
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y

) 0 ( y

Guess
y(1)
1 0 -0.7688
2 1 0.9900
0.99
0 1 2 y(0)
-0.7688
y(1)
CISE301_Topic8L8&9 21
Example 1
Interpolation for Guess # 3
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y

) 0 ( y

Guess
y(1)
1 0 -0.7688
2 1 0.9900
0.99
0 1 2 y(0)
-0.7688
1.5743
2
y(1)
Guess 3
CISE301_Topic8L8&9 22
Example 1
Guess # 3
5743 . 1 ) 0 (
3 #
= y
Guess

2.000
0 1 x
2 ) 1 ( , 0 ) 0 (
0 4 4
= =
= +
y y
x y y

This is the solution to the
boundary value problem.
y(1)=2.000
CISE301_Topic8L8&9 23
Summary of the Shooting Method
1. Guess the unavailable values for the
auxiliary conditions at one point of the
independent variable.
2. Solve the initial value problem.
3. Check if the boundary conditions are
satisfied, otherwise modify the guess and
resolve the problem.
4. Repeat (3) until the boundary conditions
are satisfied.
CISE301_Topic8L8&9 24
Properties of the Shooting Method

1. Using interpolation to update the guess often
results in few iterations before reaching the
solution.

2. The method can be cumbersome for high order
BVP because of the need to guess the initial
condition for more than one variable.

CISE301_Topic8L8&9 25

Lecture 36
Lesson 9: Discretization Method
CISE301_Topic8L8&9 26
Outlines of Lesson 9

Discretization Method
Finite Difference Methods for Solving Boundary
Value Problems

Examples

CISE301_Topic8L8&9 27
Learning Objectives of Lesson 9

Use the finite difference method to solve
BVP.

Convert linear second order boundary
value problems into linear algebraic
equations.
CISE301_Topic8L8&9 28
Solution of Boundary-Value Problems
Finite Difference Method
8 . 0 ) 1 ( , 2 . 0 ) 0 (
2
) (
2
= =
= + +
y y
x y y y
BVP solve to x y Find

y
4
=0.8
0 0.25 0.5 0.75 1.0 x
x0 x1 x2 x3 x4
y
y
0
=0.2
y
1
=?
y
2
=?
y
3
=?
Boundary-Value
Problems
Algebraic
Equations
convert
Find the unknowns y
1
, y
2
, y
3
CISE301_Topic8L8&9 29
Solution of Boundary-Value Problems
Finite Difference Method
Divide the interval into n sub-intervals.
The solution of the BVP is converted to
the problem of determining the value of
function at the base points.
Use finite approximations to replace the
derivatives.
This approximation results in a set of
algebraic equations.
Solve the equations to obtain the solution
of the BVP.
CISE301_Topic8L8&9 30
Finite Difference Method
Example
8 . 0 ) 1 ( , 2 . 0 ) 0 (
2
2
= =
= + +
y y
x y y y
y
4
=0.8
0 0.25 0.5 0.75 1.0 x
x0 x1 x2 x3 x4
y
y
0
=0.2
Divide the interval
[0,1 ] into n = 4
intervals
Base points are
x0=0
x1=0.25
x2=.5
x3=0.75
x4=1.0
y1=?
y2=?
y3=?
To be
determined
CISE301_Topic8L8&9 31
Finite Difference Method
Example
8 . 0 ) 1 ( , 2 . 0 ) 0 (
2
2
= =
= + +
y y
x y y y

2
1 1
2
1 1
2
1 1
2
1 1
2
2
2
2
2
2
Replace
i i
i i i i i
i i
i i i
x y
h
y y
h
y y y
Becomes
x y y y
f ormula dif f erence central
h
y y
y
f ormula dif f erence central
h
y y y
y
= +

+
+
= + +

=
+
=
+ +
+
+

Divide the interval
[0,1 ] into n = 4
intervals
Base points are
x0=0
x1=0.25
x2=.5
x3=0.75
x4=1.0
CISE301_Topic8L8&9 32
Second Order BVP
2
1 1
2 2
2
1
4 3 2 1 0
2
2
2
2 ) ( ) ( 2 ) (
) ( ) (
1 , 75 . 0 , 5 . 0 , 25 . 0 , 0
Points Base
25 . 0
8 . 0 ) 1 ( , 2 . 0 ) 0 ( 2
h
y y y
h
h x y x y h x y
dx
y d
h
y y
h
x y h x y
dx
dy
x x x x x
h Let
y y with x y
dx
dy
dx
y d
i i i
i i
+
+
+
=
+ +
~

=
+
~
= = = = =
=
= = = + +
CISE301_Topic8L8&9 33
Second Order BVP
( ) ( )
2
1 1
2
1 1 1
4 3 2 1 0
4 3 2 1 0
2
1
2
1 1
2
2
2
16 39 24
8 2 16
8 . 0 ?, ?, ?, , 2 . 0
1 , 75 . 0 , 5 . 0 , 25 . 0 , 0
3 , 2 , 1 2
2
2
i i i i
i i i i i i i
i i
i i i i i
x y y y
x y y y y y y
y y y y y
x x x x x
i x y
h
y y
h
y y y
x y
dx
dy
dx
y d
= +
= + + +
= = = = =
= = = = =
= = +

+
+
= + +
+
+ +
+ +
CISE301_Topic8L8&9 34
Second Order BVP
0.7436 0.6477, 0.4791,
) 8 . 0 ( 24 75 . 0
5 . 0
) 2 . 0 ( 16 25 . 0
39 16 0
24 39 16
0 24 39
16 39 24 3
16 39 24 2
16 39 24 1
16 39 24
3 2 1
2
2
2
3
2
1
2
3 2 3 4
2
2 1 2 3
2
1 0 1 2
2
1 1
= = =
(
(
(

=
(
(
(

(
(
(

= + =
= + =
= + =
= +
+
y y y Solution
y
y
y
x y y y i
x y y y i
x y y y i
x y y y
i i i i
CISE301_Topic8L8&9 35
Second Order BVP
( ) ( )
2
1 1
2
1 1 1
100 99 2 1 0
100 99 2 1 0
2
1
2
1 1
2
2
2
10000 20199 10200
200 2 10000
8 . 0 ?, ... ?, ?, , 2 . 0
1 , 99 . 0 ... 02 . 0 , 01 . 0 , 0
100 ,..., 2 , 1 2
2
2
i i i i
i i i i i i i
i i
i i i i i
x y y y
x y y y y y y
y y y y y
x x x x x
i x y
h
y y
h
y y y
x y
dx
dy
dx
y d
= +
= + + +
= = = = =
= = = = =
= = +

+
+
= + +
+
+ +
+ +
CISE301_Topic8L8&9 36

CISE301_Topic8L8&9 37
Summary of the Discretiztion Methods
Select the base points.
Divide the interval into n sub-intervals.
Use finite approximations to replace the
derivatives.
This approximation results in a set of
algebraic equations.
Solve the equations to obtain the solution
of the BVP.
CISE301_Topic8L8&9 38
Remarks
Finite Difference Method :
Different formulas can be used for
approximating the derivatives.
Different formulas lead to different
solutions. All of them are approximate
solutions.
For linear second order cases, this
reduces to tri-diagonal system.
CISE301_Topic8L8&9 39
Summary of Topic 8
Solution of ODEs













Lessons 1-3:
Introduction to ODE, Euler Method,
Taylor Series methods,
Midpoint, Heuns Predictor corrector methods
Lessons 4-5:
Runge-Kutta Methods (concept & derivation)
Applications of Runge-Kutta Methods To solve first order ODE
Lessons 6:
Solving Systems of ODE
Lessons 8-9:
Boundary Value Problems
Discretization method
Lesson 7:
Multi-step methods