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This document discusses numerical methods for solving ordinary differential equations (ODEs). It begins by defining ODEs and initial value problems. It then discusses first-order ODE systems and methods for numerically solving first-order ODEs, including Euler's method, implicit methods like Backward Euler, and multi-step methods. The document focuses on stability of solutions and step size selection for various numerical methods. It also discusses stiff differential equations.
This document discusses numerical methods for solving ordinary differential equations (ODEs). It begins by defining ODEs and initial value problems. It then discusses first-order ODE systems and methods for numerically solving first-order ODEs, including Euler's method, implicit methods like Backward Euler, and multi-step methods. The document focuses on stability of solutions and step size selection for various numerical methods. It also discusses stiff differential equations.
This document discusses numerical methods for solving ordinary differential equations (ODEs). It begins by defining ODEs and initial value problems. It then discusses first-order ODE systems and methods for numerically solving first-order ODEs, including Euler's method, implicit methods like Backward Euler, and multi-step methods. The document focuses on stability of solutions and step size selection for various numerical methods. It also discusses stiff differential equations.
Lecture 10. Ordinary differential equations. Initial value problems. Differential equations Differential equations involve derivatives of unknown solution function
Ordinary differential equation (ODE): all derivatives are with
respect to single independent variable, often representing time
Solution of differential equation is function in infinite-dimensional
space of functions
Numerical solution of differential equations is based on finite-
dimensional approximation
Differential equation is replaced by algebraic equation whose
solution approximates that of given differential equation Order of ODE Order of ODE is determined by highest-order derivative of solution function appearing in ODE
ODE with higher-order derivatives can be
transformed into equivalent first-order system
We will discuss numerical solution methods only for
first-order ODEs
Most ODE software is designed to solve only first-
order equations Higher-order ODEs Example: Newton’s second law
u1 = solution y of the original
equation of 2nd order u2 = velocity y’ Can solve this by methods for 1st order equations ODEs Initial value problems Initial value problems Example Example (cont.) Stability of solutions Solution of ODE is Stable if solutions resulting from perturbations of initial value remain close to original solution
Asymptotically stable if solutions resulting from
perturbations converge back to original solution
Unstable if solutions resulting from perturbations
diverge away from original solution without bound Example: stable solutions Example: asymptotically stable solutions Example: stability of solutions Example: linear systems of ODEs Stability of solutions Stability of solutions Numerical solution of ODEs Numerical solution to ODEs Euler’s method Example Example (cont.) Example (cont.) Example (cont.) Numerical errors in ODE solution Global and local error Global vs. local error Global vs. local error Global vs. local error Order of accuracy. Stability Determining stability/accuracy Example: Euler’s method Example (cont.) Example (cont.) Example (cont.) Example (cont.) Stability in ODE, in general Step size selection Step size selection Implicit methods Implicit methods, cont. Backward Euler method Implicit methods Backward Euler method Backward Euler method Unconditionally stable methods Trapezoid method Trapezoid method Implicit methods Stiff differential equations Stiff ODEs Stiff ODEs Example Example, cont. Example (cont.) Example (cont.) Example (cont.) Numerical methods for ODEs Taylor series methods Taylor series methods Runge-Kutta methods Runge-Kutta methods Runge-Kutta methods Runge-Kutta methods Extrapolation methods Multistep methods Multistep methods Multistep methods Example of multistep methods Example (cont.) Multistep Adams methods Properties of multistep methods Properties of multistep methods Multivalue methods Multivalue methods Example Example (cont.) Example (cont.) Example (cont.) Multivalue methods, cont. Variable-order/Variable-step methods