CSU 07320: COMPUTING MATHEMATICS

Lecture 4: Numerical Methods for Ordinary Differential Equations

January 10, 2023

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Introduction

Many problems in science and engineering can be reduced to the problem of solving differential
equations satisfying certain given conditions.

The analytical methods of solutions, with which you (students) are assumed to be familiar,
can be applied to solve only a selected class of differential equations.

Those equations which goven physical systems do not possess, in general closed form solutions,
and hence recourse must be made to numerical methods for solving such differential equations.

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To describe various numerical methods for solution of ordinary differential equations, we
consider the general first order differential equation
dy
= f (x, y ) (1)
dx
with the initial condition,
y (x0 ) = y0 (2)
and illustrate the theory with respect to this equation.

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Euler’s Method
Consider an ordinary differential equation

y 0 = f (x, y ), y (x0 ) = y0 . (3)

Solving the equation (3) for values of y at x = xr = x0 + rh, r = 1, 2, . . . we have to integrate

(3) as follows:
Z x1 Z x1
y 0 dx = f (x, y ) dx, x0 ≤ x ≤ x1
x0 x0
Z x1
x1
[y (x)]x0 = f (x, y ) dx
x0
Z x1
y (x1 ) − y (x0 ) = f (x, y ) dx
x0
Z x1
y (x1 ) = y (x0 ) + f (x, y ) dx (4)
x0

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Assuming f (x, y ) = f (x0 , y0 ) in x0 ≤ x ≤ x1 , we find that,
Z x1
y1 ≈ y0 + f (x0 , y0 ) dx
x0
y1 ≈ y0 + (x1 − x0 )f (x0 , y0 )
⇒ y1 ≈ y0 + hf (x0 , y0 ). (5)

Similarly for the range x1 ≤ x ≤ x2 , we have

Z x2
y2 = y1 + f (x, y ) dx. (6)
x1

Substituting f (x1 , y1 ) for f (x, y ) in x1 ≤ x ≤ x2 , we obtain

y2 ≈ y1 + hf (x1 , y1 ). (7)

For subsequent iterations, the Euler’s method requires that,

yn+1 = yn + hf (xn , yn ), n = 0, 1, 2, . . . (8)

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The process is very slow and to obtain reasonable accuracy with Euler’s method, we need to
take a smaller value for h.

Because of this restriction on h, the method is unsuitable for practical use and a modification
of it, known as the modified Euler method, which gives more accurate results, is also described
in this lecture.

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Example
Use Euler’s method to find y (0.04) given that y satisfies the differential equation

dy + ydx = 0; y (0) = 1.

Compare your answer with exact solution. Use h = 0.01.

Solution: The given differential equation can be written as
dy
= −y or y 0 = −y
dx
or
f (x, y ) = −y .

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Example
This implies that, successive application of eqn. (8) with h = 0.01 gives

y1 = y (0.01) = y0 + hf (x0 , y0 )
= 1 + 0.01(−1) = 0.99
y2 = y (0.02) = y1 + hf (x1 , y1 )
= 0.99 + 0.01(−0.99) = 0.9801
y3 = y (0.03) = y2 + hf (x2 , y2 )
= 0.9801 + 0.01(−0.9801) = 0.9703
y4 = y (0.04) = y3 + hf (x3 , y3 )
= 0.9703 + 0.01(−0.9703) = 0.9606.

The exact solution of the given d.e. is y = e −x , and from this, the value at x = 0.04 is 0.9608.

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Modified Euler’s Method
From Euler formula, Z x1
y1 = y0 + f (x, y ) dx, (9)
x0
we approximate an integral in (9) by means of trapezoidal rule. This gives
h
y1 = y0 + [f (x0 , y0 ) + f (x1 , y1 )], (10)
2
from which we obtain iterations formula
(n+1) hh (n)
i
y1 = y0 + f (x0 , y0 ) + f (x1 , y1 ) , n = 0, 1, 2, . . . (11)
2
(n)
where y1 is the nth approximation to y1 . The iteration formula (11) can be started by
(0)
choosing y1 from Euler’s formula:
(0)
y1 = y0 + hf (x0 , y0 ). (12)

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Example
Determine the value of y when x = 0.1 given that y (0) = 1 and y 0 = x 2 + y . Take h = 0.05.
Solution:
We write the given ode in the form

f (x, y ) = x 2 + y , x0 = 0, y0 = 1.
(0)
Use improved (modified) Euler’s method. Now y1 can be obtained from Euler’s formula:
(0)
y1 = y0 + hf (x0 , y0 )
= 1 + 0.05 × f (0, 1) = 1 + 0.05(1) = 1.05.

Since x0 = 0, then x1 = x0 + h = 0.05. It follows that, using the modified Euler’s formula
(11),

(1) h (0) 0.05

y1 = y0 + [f (x0 , y0 ) + f (x1 , y1 )] = 1 + [1 + f (0.05, 1.05)] = 1.0513.
2 2
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Example

(2) h (1)
y1 = y0 + [f (x0 , y0 ) + f (x1 , y1 )]
2
0.05
= 1+ [1 + f (0.05, 1.0513)] = 1.0513.
2
(n)
Stop the iterations when y1 repeats itself, and that will be the value of y corresponding to
the value of x. That is,
y (0.05) = 1.0513.
(n)
Next we find y2 . Using the basic Euler’s method, we have
(0)
y2 = y1 + hf (x1 , y1 ) = 1.0513 + f (0.05, 1.0513)
= 1.10399
≈ 1.1040.

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Example
Since x1 = 0.05, then x2 = x1 + h = 0.05 + 0.05 = 0.1. It follows that, using the modified
Euler’s formula (11),

(1) h (0)
y2 = y1 + [f (x1 , y1 ) + f (x2 , y2 )]
2
0.05
= 1.0513 + [f (0.05, 1.0513) + f (0.1, 1.1040)] = 1.1055.
2
(2) h (1)
y2 = y1 + [f (x1 , y1 ) + f (x2 , y2 )]
2
0.05
= 1.0513 + [1.0538 + f (0.1, 1.1055)] = 1.1055.
2
⇒ y (0.1) = 1.1055.

Hence, we conclude that the value of y when x = 0.1 is 1.1055.

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Exercises

Z 1
1
1 Evaluate I = dx correct to 3 decimal places with 8 strips (n = 8) by using
0 1+x
(a) trapezoidal rule and
(b) Simpson’s 1/3 rule.
Compare with the exact solution and state which method gives the best approximation
and why?
dy
2 Given that = x 2 + y , y (0) = 1, determine y (0.02), y (0.04) and y (0.06) using Euler’s
dx
modified method.

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