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MA213: Numerical Analysis

Unit 5: Differential Equations   The subject addressed in this unit is where we have been headed from the start of this course.  We now have the tools we need to understand and construct methods to solve ordinary differential equations.  We will begin by carefully defining our problem, if and when it has a solution, and how we mean to approximate that solution.  Some methods will have memory; some will not.  Some can adapt to the problem; some cannot.  Some problems are particularly troublesome to some methods.  We will develop many methods, and the art of the numerical analyst is to match a given problem to an appropriate method.  Finally, we will implement an adaptive hybrid method and test it on a challenging problem.

Unit5 Learning Outcomes
 Upon successful completion of this unit, the student will be able to:
- Define a well-posed initial value problem. - Convert high order initial value problems to first order initial value problems. - Have an understanding of single-step methods. - Have an understanding of multi-step methods. - Be able to identify a stiff initial value problem. - Be able to identify stable methods. - Know the shooting method for boundary value problems.

5.1 Initial Value Problems   5.1.1 Definition and Slope Field   - Reading: University of Arkansas: Mark Arnold’s “The IVP and Euler’s Method” Link: University of Arkansas: Mark Arnold’s “The IVP and Euler’s Method” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Carefully read first three paragraphs of the pdf.  If it helps, I think of an initial value problem as analogous to tracking the path of a leaf floating in a stream on a windless day.  The current of the stream is our slope field, f(t,y).  Can you think of other analogies.
 
This resource should take approximately 1 hour to complete.
 
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5.1.2 Well-Posed Initial Value Problems   - Reading: University of Arkansas: Mark Arnold’s “Can We Solve This IVP?” Link: University of Arkansas: Mark Arnold’s “Can We Solve This IVP?” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. We have talked about the conditioning of a problem.  In fact, the idea of conditioning is pre-dated by this idea of ‘wellposed-ness’.  A problem is either well-posed or ill-posed.  The conditioning of a problem is a finer measure of its difficulty.  Here is the connection: A problem is ill-posed if it is infinitely ill-conditioned.  Justify that statement.  Then explain why the existence of a bounded partial derivative of f with respect to y is sufficient for a continuous (IVP) to be well-posed.
 
This resource should take approximately 1 hours to complete.
 
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5.2 All Initial Value Problems Are First Order (If You Like)   - Reading: University of Arkansas: Mark Arnold’s “Systems of Differential Equations” and “Example: High Order to First Order” Link: University of Arkansas: Mark Arnold’s “Systems of Differential Equations” (PDF) and “Example: High Order to First Order” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download pdf’s of the reading. What we are working on here is a first order IVP.  Explain why the ability to solve first order systems of IVP’s essentially gives the ability to solve arbitrarily high order IVP’s (or systems thereof).  Remind yourself that what when we are developing methods for first order IVP’s, we are developing something much more general.
 
This resource should take approximately 3 hours to complete.
 
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  • Lecture: YouTube: University of South Florida: Autar Kaw’s “Higher Order/Coupled Differential Equations” Link: YouTube: University of South Florida: Autar Kaw’s “Higher Order/Coupled Differential Equations” (YouTube)
     
    Instructions: Click on the link above, then watch the video lectures in the chapter listed above.  In this case there are 4 lectures that have been split into 8 videos.
     
    This resource should take approximately 1 hour to complete.

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5.3 Single-Step Methods   - Reading: University of Arkansas: Mark Arnold’s “The IVP and Euler’s Method” and “A Picture Euler’s Method” Link: University of Arkansas: Mark Arnold’s “The IVP and Euler’s Method” (PDF) and “A Picture Euler’s Method” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download the pdf’s of the reading. Carefully study paragraphs 4 and 5 of the pdf, including the pseudocode.  The second reading should help you get a visual understanding.  Euler’s method, while not used except by people who don’t know any better (or don’t need to worry about execution time or accuracy), is an excellent method to study.  Why?  It is as simple as one can get.  Every time stepping method is a descendant of Euler’s method.
 
This resource should take approximately 3 hours to complete.
 
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  • Lecture: YouTube: University of South Florida: Autar Kaw’s “Euler’s Method” Link: YouTube: University of South Florida: Autar Kaw’s “Euler’s Method” (YouTube)
     
    Instructions: Click on the link above, then watch the video lectures in the chapter listed above.  In this case there are 4 lectures that have been split into 4 videos.
     
    This resource should take approximately 1/2 hour to complete.

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5.3.1 Taylor Methods   5.3.1.1 Euler’s Method   - Reading: University of Arkansas: Mark Arnold’s “The IVP and Euler’s Method” Link: University of Arkansas: Mark Arnold’s “The IVP and Euler’s Method” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Finally read the remainder of the pdf.  Pay careful attention to the error bound.  Unfortunately, the error in Euler’s method could grow exponentially in time (notice the e{t_i-a} term in the formula).  In addition, when we include rounding errors, we see that this problem cannot be completely solved by making h small.  Find an optimal h for a given IVP assuming you know a Lipschitz constant L and an upper bound M for |f’’| on [a,b].  While I hope you are successful, note that we typically do not know L or M… A rule of thumb for Euler’s method is we should not take h smaller than sqrt{(machine epsilon)}, but taking h that small will typically require a very many time steps.
 
This resource should take approximately 1.5 hours to complete.
 
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5.3.1.2 Local Truncation Error   - Reading: University of Arkansas: Mark Arnold’s “Single Step Methods and Local Truncation Error” Link: University of Arkansas: Mark Arnold’s “Single Step Methods and Local Truncation Error” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Carefully read the pfd.  A natural approach to addressing the drawbacks of Euler’s method would be to construct a more accurate alternative.  We will measure accuracy here by local truncation error.  Find the local truncation error for Euler’s method.  Our first higher order method is the Taylor method of order 2.  The Taylor method of order n is not any more difficult to understand.  Explain why the Taylor methods of order n > 1 are not general purpose.  As an exercise, please find a formula for d3/dt3 f(t,y) in terms of partial derivatives of f.
 
This resource should take approximately 2 hours to complete.
 
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5.3.2 Runge-Kutta Methods   5.3.2.1 Runge-Kutta Methods of Order 2   - Reading: University of Arkansas: Mark Arnold’s “Runge-Kutta Methods Order 2” Link: Reading: University of Arkansas: Mark Arnold’s “Runge-Kutta Methods Order 2” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Carefully read the pdf.  So the Runge-Kutta (RK) methods that give us higher order methods without the need for derivatives of f.  This makes these methods tremendously important.  How would you describe the RK method with respect to the average derivative of f over the interval [t_i, t_i + h]?
 
This resource should take approximately 2 hours to complete.
 
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  • Lecture: YouTube: University of South Florida: Autar Kaw’s “Runge-Kutta 2nd Order Method” Link: YouTube: University of South Florida: Autar Kaw’s “Runge-Kutta 2nd Order Method” (YouTube)
     
    Instructions: Click on the link above, then watch the video lectures in the chapter listed above.  In this case there are 6 lectures that have been split into 8 videos.
     
    This resource should take approximately 1 hour to complete.

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5.3.2.2 Higher Order Runge-Kutta Methods   - Reading: University of Arkansas: Mark Arnold’s “Runge-Kutta Methods” Link: University of Arkansas: Mark Arnold’s “Runge-Kutta Methods” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Carefully read the pdf.  Here we describe the RK methods as sampling f in the interval [t_i, t_i + h] in order to approximate the average value of y’ over that interval.  This subject is too rich to explore very deeply in this course, but notice that as the local truncation error becomes higher order, the number of function evaluations increases greater than linearly.
 
This resource should take approximately 1.5 hours to complete.
 
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  • Lecture: YouTube: University of South Florida: Autar Kaw’s “Runge Kutta 4th Order Methods” Link: YouTube: University of South Florida: Autar Kaw’s “Runge Kutta 4th Order Methods” (YouTube)
     
    Instructions: Click on the link above, then watch the video lectures in the chapter listed above.  In this case there are 2 lectures that have been split into 3 videos.
     
    This resource should take approximately 1/2 hour to complete.

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5.3.2.3 Adaptive Runge-Kutta Methods   - Reading: University of Arkansas: Mark Arnold’s “Adaptive Runge-Kutta Methods” Link: University of Arkansas: Mark Arnold’s “Adaptive Runge-Kutta Methods” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Carefully read the pdf.  We saw with the adaptive quadrature method that an error estimate provided the opportunity to adapt.  In the quadrature method, the adaptation was the subdivision of an interval of integration; here the adaptation will be our step size, h.  The idea is very general, and this is an active area of research.  We estimate y(t+h) using two different methods, and a truncation error analysis provides a new suggested step size.  This reading provided the details for a famous method that combines a RK method of order 4 and one of order 5.  You do the analysis for two methods of order 2 and 3.
 
This resource should take approximately 2 hours to complete.
 
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5.4 Multi-Step Methods   5.4.1 Adams-Bashforth Methods   - Reading: University of Arkansas: Mark Arnold’s “Multi-step Methods” Link: University of Arkansas: Mark Arnold’s “Multi-step Methods” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Carefully read the first 3 paragraphs of the pdf.  The multistep methods have a memory.  This is what can give them high order lte with fewer function evaluations.  But for the first m-1 steps, the history is incomplete.  In this sense, the RK methods are prior to, or more fundamental that the multistep methods.  The notation here may be confusing, so compute a few steps of the explicit method of order 2 (Adams-Bashforth 2-step) for the IVP y’(t)=t+2y,  y(0)=2, using h=0.1.  What order RK method should be used to generate w_1?
 
This resource should take approximately 2 hours to complete.
 
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5.4.2 Adams-Moulton Methods   - Reading: University of Arkansas: Mark Arnold’s “Multi-step Methods” Link: University of Arkansas: Mark Arnold’s “Multi-step Methods” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Read the remainder of the pdf carefully.  The implicit multistep methods are not explicitly solved for w_{i+1} (it appears on both sides of the equation and as an argument to f).  This is part of the reason we investigated solving equations early in this course.  We could use a few iterations of the Newton or secant method to approximate w_{i+1} (possibly using w_i as an initial guess).  Conceptually this is not a problem, but it requires costly function evaluations.  Compute a few steps of the implicit method of order 2 (Adams-Moulton 2-step) for the IVP y’(t)=t+2y,  y(0)=2, using h=0.1.  Use 2 secant iterations to compute w_2, using w_1 and your w_2 from the previous unit.
 
This resource should take approximately 2 hours to complete.
 
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5.4.3 Predictor Corrector Methods   - Reading: University of Arkansas: Mark Arnold’s “Adaptive Multi-step Methods” Link: University of Arkansas: Mark Arnold’s “Adaptive Multi-step Methods” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. Carefully read the pdf.  In the last unit we met a fundamental difficulty associated with implicit methods: the need to solve an equation at each time step.  We will see later that implicit methods are so important that we should not dismiss them simply because of this complication.  One rather elegant approach is to use an explicit method to predict w_{i+1}, and then to correct the prediction by substituting  w_{i+1} in the right hand side by that prediction.  Naturally enough, this is called a predictor-corrector method, and since we are using two distinct methods to arrive at w_{i+1}, we can implement a step size correction if we like.  Compute a few steps of a predictor-corrector method using an Adams-Bashforth 2-step and an Adams-Moulton 2-step  for the IVP y’(t)=t+2y,  y(0)=2, using (a constant) h=0.1.  Discuss the difficulties of changing step size for a multistep method.
 
This resource should take approximately 2 hours to complete.
 
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5.5 Stiff Problems   - Reading: University of Arkansas: Mark Arnold’s “Stiff Problems” Link: University of Arkansas: Mark Arnold’s “Stiff Problems” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading. We have seen that adaptive step sizes can lead to much greater efficiencies than uniform steps.  Stiff differential equations can easily fool some methods, forcing them to take small step sizes when there is little or no variation in the solution.
 
This resource should take approximately 1 hour to complete.
 
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5.6 Stability of Methods   - Reading: Scholarpedia: John Butcher’s “Stability” Link: Scholarpedia: John Butcher’s “Stability” (HTML)

 Instructions: Click on the link above and read the article.  All
things being equal, we would like to use stable methods; but of
course, we would also like to use the fastest most general methods. 
Regions of stability give us a necessary condition for bounding a
time step.  Methods with large stability regions are especially
important in the case of stiff systems.  Methods with large
stability regions are usually implicit methods.  
    
 This resource should take approximately 1 hour to complete.  
    
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5.7 Shooting Methods for Boundary Value Problems   - Reading: University of Arkansas: Mark Arnold’s “Shooting Methods” Link: University of Arkansas: Mark Arnold’s “Shooting Methods” (PDF)

 Instructions: Click on the link above, then select the appropriate
link to download a pdf of the reading. 

This resource should take approximately 1 hour to complete. 
  • Lecture: YouTube: University of South Florida: Autar Kaw’s “Shooting Method” (YouTube) Link: University of South Florida: Autar Kaw’s “Shooting Method” (YouTube)
     
    Instructions: Click on the link above, then watch the video lectures in the chapter listed above.  In this case there are 3 lectures that have been split into 6 videos.
     
    This resource should take approximately 50 minutes to complete.

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  • Lecture: YouTube: University of South Florida: Autar Kaw’s “Finite Difference Method” Link: YouTube: University of South Florida: Autar Kaw’s “Finite Difference Method” (YouTube)
     
    Instructions: Click on the link above, then watch the video lectures in the chapter listed above.  In this case there are 3 lectures that have been split into 6 videos.
     
    This resource should take approximately 50 minutes to complete.

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5.8 Programming Case Study: A Predictor Corrector Implementation   - Reading: University of Arkansas: Mark Arnold’s “Predictor-Corrector Program” Link: University of Arkansas: Mark Arnold’s “Predictor-Corrector Program” (PDF)
 
Instructions: Click on the link above, then select the appropriate link to download a pdf of the reading.
 
This resource should take approximately 4 hours to complete.
 
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Unit 5 Assessment   - Assessment: The Saylor Foundation's "Unit 5 Assessment" Link: The Saylor Foundation's "Unit 5 Assessment" (PDF) and “Guide to Responding” (PDF).

 Instructions: Carefully answer the four questions below.  The first
three are entirely computational, and while it may be tedious, it
will be good for you to do them by hand.  If you keep 7 or more
significant (decimal) digits throughout your computations, then your
results should match the answers given in the guide.  Most mistakes
arise from using the wrong value for the time parameter t.  Question
4 also has an essay question asking you to reflect on the results of
your experiment; you can then compare your conclusions with the
guide.  Now that you have done this by hand at least once, please
feel free to construct other similar experiments which you can
implement with your programs.