UNIT 14 NUMERICAL SOLUTION OF

ORDINARY DIFFERENTIAL
EQUATIONS

Structure
14.1 Introductio~l
Objectives
14.2 Basic Co~lcepts
14.3 Taylor Series Method
14.4 Euler's Method
14.5 Richardson's Extrapolation
14.6 Sultnnary
14.7 SolutionslPu~swers

14.1 INTRODUCTION

In the previous two units, you have seen how a colnplicated or tabulated function call be
replaced by an approxunati~~g poly~~omial so that the fundatnental operations of calculus
v i ~ . ,differentiation and integratio~~
can be performed more easily. 111 this w i t we shall solve
a differential equation, that is, we shall find tl~cUILIUIOWII function which satisties a
colnbinatio~lof the indeyc~ldentvariable, dependenr variable and its derivatives. In physics,
eagiaeering, chetnistry and nlany other disciplines it has become necessary to build
nlathelnatical ~nodelsto represent complicated processes. Differential equations are one of
the rnost hnportant mathematic-al tools uscd hl nlodelling problenls in the engineering and
physical sciences. As it is 1101always possible to obtain the analytical solutio~lof differential
equations recourse must necessarily be niade to numerical rtlethods for solving differential
equations. In this unit, we shall h~troduretwo such methods namely, Euler's ?lethod and
Taylor series method to obain numerical solutio~~ of ordinary differential equations (ODEs).
We shall also introducx Richardsoa's extrapolatio~lmethod to obtain higher order solutio~ls
to ODEs using lower order nlethods. To begin with, we shall recall few basic concepts fro111
the theory of differential equations which we shall be refeml~gquite often.

Objectives
After studying this unit you should be able to :
identify the initial value problem for the first order ordinary differential equations;
obtain the solution or the initial value proble~nsby using Taylor series method and
Euler's method;
use Richardson's extrapolatio~~ technique. for ilnprovi~lgthe accuracy df the result
obtained by Euler's method. '

14.2 BASIC CONCEPTS

In this section we shall state a few defi~litio~ls

from the theory of differential equations
and define some concepis involved in the nu~nericalsolutio~lof differential equations.

Definition : equation involving one or lllore unknown f u ~ l c t i o ~(dependent

~s
variables) and its derivatives with respect to one or more known functions (independent
variables) is called a differential equation.

For example,
Numerical Differentiation Integration
and Solution of Differential Equations

are differential equations.

Differential equations of the form (I), involving derivatives w.r.t. a single independent
variable are called ordinary differential equations (ODEs) whereas, those involving
derivatives w.r.t. two or more i n d e p e ~ ~ d variables
e~~t are partial differential equations
(PDEs). Eqn. (2) is an example of PDE.

Definition : The order of a differential equation is the order of the highest order 1
!
derivative appearing in the equation a ~ t dits degree is the highest exponent of the
*
1

highest order derivative after the equation has been rationalised i.e., after it has been I
expressed in the forn~free from radicals and any fractional power of the derivatives or
negative Dower. For cxamale eauation

is of third order and second degree. Eauation 1

is of first order and second degree as it can be written in the form 1

Definition : When the depew'ent variable and its derivatives occur in the first degree
only and not as higher powers or products, the equation is said to be linear, otherwise
it is nonlinear. 1
Equ y = x2 is a linear ODE, whereas, ( x + ~ ) ' nonlinear ODE.

Sirn -- - = 0, is a nonlinear PDE.

ay2 (d$y)

In this unit we shall be concerned only with the ODEs.

The general form ,of a linear ODE of order n can be expressed in the form

~ [ y =] a, (t) (t) + a l (t) y(n-')(t) + . . . . . . + a,-, ( 9 Y (t) + an (t) Y (t) = r(t) (5)
where r(t), a, (t), i = 1, 2, . . . . . . ., n are known functions of t and
I
d
(t) -1
dtn-
..
+ . . . . . . . + a n - l ( t ) z + an(t),
is the linear differential operator. The general nonlinear ODE of order 11 can be
written as

F(t, y, y ' , y" , . . . . . . ., y(n)) = 0

or, y(n) = f(t, y, y ' , y " , . . . . . . ., y(n-1) )
Eqn. (7) is called a canonical representation of Eqn. (6). hl such a form, the highest order
derivative is expressed in tenns of lower order derivatives and the independent variable.

The general solution of an nth order ODE contains n arbitrary constants. In order to
determine these arbitrary constants, we require n conditions. If these conditions are
given at one point, then these conditions are known as initial conditions a ~ l dthe
differential equation together with the initial conditions is called an initial value
problem (IVP). The nth order IVP can be written as

y'n' (t) = f(t,y,y',yt',. . . . . ...,y(n-1) )

I
l f ' t h e 11 co~rditionsare prescribed at Inore (ha11 onr point then these 'onditions are Nunicrical Solution of Ordinary
Differen~ialEqualions
k11ow11a s I>oundary cbnditions. The differential cquation togetIrcr with the boundary
1
c o ~ r d i t i o ~is~then
s k~rownas a Ijoundary value prohlem (BVP).
t
i T h c nth order IVP ( 8 ) is equivalent to the tollowing syslen~of 11 first order equations :
t
I S r t y = yl. Then

In vector notation, this systenl can be written a s a single equation as

stf = f (t, y), Y (to) = a

dt
........., y n f , ..... f(t,yl,. .....
where y = yl,y2
( i
f(t,y) = YrYi,.

Heocc, it is sufficient to study numerical ~rlcthodsfor the solution of the first order IVP.
Y' = f(t, Y) ~ ( t " )= Yo
9 (10)
The vector fonlr of thrse neth hods can their be used to solve Eqn. (9). Before attempting to
obtain ~lunleriralsoIutions to Eqn, (lo), we lust make sure (hat the proble~nhas a unique
solution. Thc Lollowhg (heorem cllsures the existence and uniqueiress ot (he solution to IVP (10).

Thenren~1 : If f(t, y) satisfies the conditions

i) f(t, y) is a real f u n c t i o ~ ~
ii) 1(t, y) is dcfinrd and C O I I ~ ~ I I U O Ufor
S t E [t0b] ,

iii) thcre e.xist.5 a cclnstant L such that for any t E

I
t b and for any.two numbers yl and y2
[o,

then for any yo, the IVP (10) has a unique solution. This condition is called the
Lipschitz condition and L is called the 1,ipschitz constant.

W e assunre the existence and uniqueness of the solution and also that f(t, y) has
continuous partial derivatives w.r.t. t and y of a s high order as w e desire.

I
Let us assume that t b b e an interval over which the solution of the IVP (10) is
[o,
required. If w e subiivide the interval t b into
[ n I 11 subintervals using a steysize

. where tn = b, we obtain (he mesh points or grid points to, t,, t2 ...... 7 tn

a s shown in Fig. 1.

Fig. 1
W e can then write t, = to + kh, k = 0, 1, . . . . . n. A numerical method for the solution
of the IVP ( l o ) , will produce approximate values y, at the grid points tk.
Numerical :renliation Integration Remember that the approximate values yk may contain the truncation and round-off errors.
and Solutb Differential Equations
We shall now discuss the cot~structionof numerical methods and related basic concepts
with reference to a simple ODE.

Let the grid points be defined by

where = a and b + Nh = b. 1
Separating the variables and integrating, we find that the exact solution of Eqn. (11) is
eY' - I',)
~ ( t =) Y(Q (12)
In order to obtain a relation connecting two successive solution values, we set t = t,
and gtl in Eqn. (12). Thus we get

y(b) = y(f) eY'n-.'J

and

y ( t , + ~= y(b) eYt- 1

Dividing, we get

Hence we have

y(t,,),n=O, 1,.....,N-1
Ah
y(t,+J=e

Eqn. (13) gives the required relation between y(t,,) and y(t,,,).

.
Setting 11 = 0,1, 2, . . . ., N-1, successively, we can find y(tl), Y(~J,,.. . ., Y ( ~ N )
from the given value y(fo).
I
An approximate methgd or a numerical method can be obtained by approximating ehh in
Eqn. (13). For example, we may use the followiilg polynomial ayroxhations. I

and so on.

Let us retain (p+l) terms in the expansion of ehy and denote the approximation to ehy
by E(Ah). Tbe ~~umerical method for obtaining the approximate values y, of y(t,) can
then be written as

yn+,= E ( U ) y,, n = 0, 1, . . .. . . . .,N-1 (17)

The truncation error (TE) of the method is defined by

TE = ~ ( h t , -Yntr
)
Sinc'e (p+l) tenns are re.tained in the expa~lsionof ehh,we have
 Numerical Solution of Ordinary
Differential Equations

The TE is of order p+l. The integer p is then called the order of the method.

We say that a ~~umerical method is stable if the error at ally stage, i.e. y, - y($) = E,
remains bounded as n + m. Let us examine the stability of the numerical method (17).
Putting Y , + ~ = ~ ( t , + ~+ )E , + ~ and y, = y(t,) + en in Eqn. (17), we have

= E ( U ) [y(t,) + en] - eAhy(tn)

(using Eqn. (13))

We note from Eqn. (18) that the error at t,,, consists of two parts. The first part E [ U ]
- eAhis the local truncation error and can be made as small as we like by suitably
deterttlit~illgE [ U ] . The second part ( E ( U )1 E, is the propagation error from the
previous step t, to $+, and will not grow if IE(&h)l < 1. If I E ( U ) ( c 1, then as
11 + m the 'propagation error tends to zero and method is said to be absolutely stable.
Formally we give the followil~gdefinition.
Defintion : A numerical method (17) is called absolutely stable if ( E ( U ) ( s 1.
You may also observe here that the exact value y(t,) given by Eqn. (13) increases if h
> 0 and decreases if h c 0, with the growth factor eAh.The approximate value yn given
by Eqn. (17) grows or decreases with the factor IE(U) 1. Thus, in order to have
mea~li~lgful~~umericalresults, it is necessary that the growth fact-r 6f the nu~tierical
method should not increase faster than the growth factor of exact solution when h > 0
and should decay at least as fast as the growth factor of the exact solution when h c 0.
Accordilrgly, we give here the following definitioa.

Defil~itiol~
: A numerical method is said to he relatively stal,le if IE ( U ) l s eAh,h > 0.

The poly~lomialapproximations (14), (15) and (16) always'give relatively stable

methods. Let us now find when the methods Y , + ~ = E ( U ) y, are absolutely stable where
E(hh) is givem by (14). (15) or (16).

This methods are given by

First order : Y,+, = ( l + U ) Y,

Thcse n~t.lhodsare absolutely stable whelk

Firstorder: I l + h h l 4 1

or-1s U s 1

or-2s hhs 2

Second order : I 1 + hh +-
h:2(sl

The right inequality gives

Numerical Differentiation Integration
and Solution oPDifferential Equalions

The second condition gives -2 a hh. Hence the right inequality gives -2 5 Ah a 0 . The
left inequality gives

For -2 a Ah a 0, this equation is always satisfied. Hence the stability col~ditiol~

is

h2h2 h3h3
Thirdorder: ( + A h + - + -2l a 1 6

Usinge the right and left inequalities, we get

-2.5rhhsO.

These intervals for Ah are know as stability intervals.

Numerical methods for finding the solution of IVP given by Eqn. (10) may be broadly
classified as
i) Singlestep methods
ii) Multistep methods
Singlestep methods ehable us to find y,+,, an approximation to y(t,+,), if y,, y,' and h
are known.

Multistep methods enable us to find y,+,, an approximation to y(t,+,), if yi, yi , i = n,

tl-1, . . . . . . . n-m+l and h are known. Such methods are called m-step multistep methods.

In this course we shall be discussing about the singlestep methods only.

A singlestep method for the solution of the IVP

y' = f(t,y), Y (to)= Yo, tE tab

( 9 )

is a recurrence relation of the form

where $ (t,,, yn, h) is known as the increment function

If yn+l can be determined from Eqn. (19) by evaluatilig the right hand side, then the
singlestep method is known as an explicit method, otherwise it is known as an implicit
method. The local truncation error of the method (19) is defined by

The largest integer p such that

is called the order of the singlestep method.

Let us now take up an example to understand how the singlestep method works.
Example 1 : find the solution of the IVP y' = hy, y(0) = 1 in 0 < t a 0.5, using the
first order method
-
Y , + ~ = (1 t Ah) yn with h = 0.1 and h = 1.

0.5 0.5
Solution : Here the number of intervals are N = -= -=
h 0.1
We have yo = 1
 11, =(1 t Ah) y,=(l t A h ) = ( l tO.1A) Numerical Solution of Ordinary
Differential Equations
y 2 = (1 t Ah) y, =(1 tAh12 =(1 t 0 . 1 ~ ) ~

y, = (1 t Ah)' = (1 t 0.1 A)'

The exact solution is y(t) = ekt.

'We now give in Table 1 the values of y, for h = * 1 together with exact values.

Solution of y' = Ay, y(0) = 1, 0 r t r 0.5 with h = 0.1

A = l A=-1
t First Order Exact First Order Exact
method Solution method Solution
0 1 1 1 1
0.1 1.1 1.10517 0.9 0.90484
0.2 1.21000 1.22140 0.81 0.81873
0.3 1.33100 1.34986 0.729 0.74082
0.4 1.46410 1.49182 0.6561 0.67032
0.5 1.61051 1.64872 0.59049 0.60653

In the same way you can obtain the solution using the second order method and
compare the results obtained in the two cases.

El) Find the solution of the IVP

y' = h y , y(O)= 1

in 0 r t r0.5 using the second order method

(
y,+, = 1 t Ah t - y, with h = d.1 and A = 1.

*
We are now prepared to consider numerical methods for integrating differential
equations. The first method we discuss is the Taylor series method. It is not strictly a
numerical method, but it is the most fundamental method to which every numerical
method must compare.

14.3 TAYLOR SERIES METHOD

Let us consider the IVP given by Eqn. (lo), i.e.,

The function f may be linear or nonlinear, but we assume that f is sufficiently

differentiable w.r.t. both t and y.
The Taylor series expansion of y(t) about any point tl, is given by

Substituting t = \+,in Eqn. (22) w e have

Numerical DifferentiationIntegration where tk+l = tk+ h. Neglecting the terms cf order hp+' and higher order terms, we have
and Solution o f Differential Equations
the approxinlation

h
where + (tk, yk, h) = y; + 21 yrlk+ . . . + -yk
h ~ - l (P)
P!
This is called the Taylor Series method of order p. The truncation error of the lllethod
is given by

hp+l
--
- y(P+l) (tk + Oh), 0 < 0 < 1
(p+l) !

When p = 1, we get from Eqn. (24)

which is the Taylor series method of order one.

T o apply (24), we must know y ( 9 , yl(tk), y"(t3, . . . - . . -,Y(P) (tk).

However, y(tk) is known to us and if f is sufficiently differentiable, then higher order
derivatives can be obtained by calculating the total derivative of the given differential
equation w.r.t. t, keeping in mind that y is itself a function of t. Thus wz obtain for the
first few derivatives as :

Y' =f(t,y)
yl'=f,+f$

y"' = 4, + 2 f ty+ ?fyy + $ (f, + f $) etc.

where f, = aWat, f,, = a2f/at2etc.

The number of terms to be included in the method depends on the accuracy

requirements.

Let p = 2. Then the Taylor Series method of 0(h2) is

h3
with t h e T E = - y U ' ( a ) , t,, < a < 4,'
6
The Taylor series method of 0(h3), (p=3) is

h4
with the TE = y(P) (a), t,, c a < C+,.

Let us con~idetthe following examples.

Example 2 : Using the third order Taylor series method find the solution of the
differential equation

xy' = x - y , y(2) = 2 at x = 2.1 taking h=0.1

Solution : We have the derivatives and their values at x=2, y=2 as follows :
yr=l-Y y' (2) = 0
X
 Numerical Solution of Ordinary
Differential Equations

Using taylor series method of 0(h3) given by Eqn. (28), we obtain

y(2.1) = 2 + 0.0025 - 0.000125 = 2.002375.

Example 3 : Solve the equation x2y' = 1 - xy - x2y2, y(1) = - 1 from x=l to x=2 by
using Taylor series method of 0(h2) with h = ln
and 114 and find the actual error at
x=2 if the exact solution is y = - llx.

Solution : h o r n the given equation, we have y1

-2- 1x - y2
Differentiating it w.r.t. x, we get

Using the second order method (27),

we have the following results

Since the exact value is y(2) = -0.5, we have the actual errors as

1
e, = 0.0583 with h = -
3
1
e2 = 0.0321 with h = -
4

Note that error i s small when the step size h is small.

Your may now trjm, the following exercises-

- - - - - - -

Write the Taylor series method of order four and solve the IVPs E2) and E3).

E2) y' = x - y2, y(0) = 1. Find y(0.1) taking h = 0.1.

Numerical Differentiation Integration
and Snllrtion o f Differential Equations ~ 3 ) yf = x2 + y2, y ( ~ =) oa5.'~indy(0.4)'taking h = 0.2.

E4) Using second order Taylor series method solve the IVP

y' = 3. +,: y(0) = 1. Find y(0.6) taking h = 0.2 and h = 0.1.

Find the actual error at x = 0.6 if the exact solution is y = - 6x - 12.

Notice that though the Taylor series method of order p gives us results of desired accuracy
in a few number of steps, it requires evaluation of the higher order derivati. and becomes
tedious to apply if the various derivatives are complicated. Also, it is d f l .*'t to determine
the error in such cases. We now consider a method, the Eukr's metbod -.,hichcan be
regarded as Taylor series method of order one and avoids tbese difficulties.

14.4 EULER'S METHOD

I
Let the given IVP be

Let
[t o ,bI be the interval over which the solution of the given IVP is to be
determined. Let h be the steplength. Then the nodal points are defined by tk = to + kh,
k = 0 , 1 , 2 ,........, N w i t h t N = t O + N h = b .

Fii. ;I

The exact solution y(t) at t = t,.+, can be written by Taylor series as

Neglecting the term of 0(h2) and higher order terms, we get

Yk+l = Yk +h ~ ' k

with TE =
(TI
- y"(a), tk < a < t,

From the given IVP,y' (Q = f(p, y& = 4

We can rewrite Eqn. (30) as

Eqn. (32) is known as the Euler's method and it calculates recursively the solution at
the nodal points &, k = 0, 1, ., N... . ..
Since the truncation error (31) is of order b2, Euler's method is of first order. It is also
called an 0@)method.
 Let us now see the geometrioal representation of the Euler's method. Numerical Solution of Ordinary
Differential Equations

Geometrical Interpretation
Let y(t) be the solution of the given IVP, Integrating
we get
dt
*
= f(t, y) from tk to tk+l,

(y$ dt = j'.'f(t,y) dt
tk
=~ ( t ~-+y(tk)
~) (33)

We know that geometrically f(t, y) represents the slope of the curve y(t). Let us
approximate the slope of the curve between $ and tk+,by the slope at $ only. If we
approximate y(tk+J and y(tJ by yk+, and yk respectively, then we have

yk+l - yk = f(tk, ylc)Jhl dt (34)

t,

Thus in Euler's method the actual curve is approximated by a sequence of line

segments and the area under the curve is approximated by the area of the quadrilateral.
(see Fig.3)

+.1 Fig. 2 : Geometriul representation of Euler's method

Let us now consider the following examples.

Example 4 : Use Euler method to find the solution of y' = t + ly 1, given y(0) = 1.
Find the solution on [O, 0.81 with h = 0.2.

.
Solution : We have
Numerical Differentiation Integration
and Solution of Differential Equations y(0.81= Y, = Y, + (0.2) f,
= 1.856 + (0.2) [0.6 + 1.856)
= 2.3472
Example 5 : Solve the differential equation y' = t+y, y(0) = 1. t E [0,1] by Euler's
method using h = 0.1. If the exact value is y(1) = 3.436564, find the exact muT.
Solution : Euler's inethod is
= Yn + hy',
Yn+,
For the given problem, we have

= (1 + h)yn + ht,
h = O.l,y(O) = 1,
y1 = yo = (1 + 0.1) + (0.1) (0) = 1.1
y2=(1.1)(1.1)+(0.1)(0.1)= 1.22, y,= 1.362
y, = 1.5282, y, = 1.72102, y, = 1.943122,
y, = 2.197434, y, = 2.487178, y, = 2.815895
ylo = 3.187485 = y(1)
actual error = y(1) - ylo = 3.436564 - 3.187485 = 0.2491.
Remark': Since Euler's method is of O(h), it requires h to be very small to attain the
desired accuracy. Hence, very often, the number of steps to be carried out becomes very

large. In such cases, we need higher order methods to obtain the required accuracy in a
limited number of steps.

Euler's method construct yk = y(tk) for each k = 1, 2, . . . ., N,

where

This equation is called the difference equation associated with Euler's method. A
. . . . . . ., Y , + ~ soine
difference equation of order N is a relation involving y,, Y,+~,
simple difference equations are

where n is an integer.

A difference equation is said to be linear if the unknown functions (k = 0,

.
1, . . . . . . ., N) appear linearly in the difference equation. The general fonn of a
,linear noiihoinogeneous difference equation of order N is

where the coefficients aN-,, aN,, ..... . . ., a. and b may be functions of n but not of
y. All the Eqns. (35) are linear. It is easy to solve the difference Eqn. (36), when the
coefficients are constant or a function of n say linear of a quadratic function of n.

The general solutioi~of Eqn. (36) can be written in the form

where y, (c) is the complementary solution of the homogeneous equation associated

with Eqn. (36) and y,(p) is a particular solution of Eqn. (36). To obtain the
complementary solution of the homogeneous equations, we start with a solution in the
form yn = pn and substitute it in the given equation. This gives us a polynomial of
.
degree N. We assume that its roots pl, p2, . . . . . ., PN are all real aiid distinct.
 The11 by linearity it follows that Numerical Solution of Ordinary
Differential Equations
y n = c , p : + c 2 p ; + ........ +CNp",
I for arbitrary constants C,, is a solutio~iof the honiogeneous equation associated with
I
Eqn. (36). A particular solution of Eqo. (36) when b is a constant call be obtained by

I
setting y,(p) = A (a c o ~ ~ s t a ~inl tEqn.
) (36) and detrrmillil~gthe value of A. For detail,
you call refer to ele~tlentarynumerical analysis by Coate- deBoor. We illustrate this
method by considering a few examples.
Example 6 : Find the solution of the initial-value difference equations
Ynt2-4~,+, + 3yn = 2", Yo = 0, Y, = 1

Solution : The homogeneous equation of the given proble~uis

~ n + 2 - 4 ~ n + l3 ~ =n O

Let y, = p". Then Eqn. (37) reduces to

pnt2- 4pnt1 + 3P" = 0.
Dividing by fin, we obtain the characteristic equation
L p2-4~+3=0
i.e., P = 1, 3

I
t
.-. y, (C) = C, (1)" + C, (3)"

This gives
= C, + 3"C2
For obtaining the particular solutio~lwe try y,(p) = A2".

I 2 " " ~ - 4 x 2 " " ~ + 3 x 2"A = 2"

I or, A = -1

i Therefore, the general solution of the given problem is

I Using conditioris for 11 = 0, 1, we obtain

:. C2= 1/2, C , = 112 and

which is the required solution.

Note : In the above method we can obtain y, for all n from one formula given by
Eqn. (39). Whereas, in the Eulers's method for obtahing'the value at each iteration, we
require the previous iterated value. We illustrate it by considering another example.
Example 7 : Using difference method find the solution of yk+, = yk + h(5+3yJ, given
y(0) = 1. Find the solution y(O.6) with h = 0.1.
Solution : We have
Yk+l + 3h) yk = 5h (40)
Solution of the homogeneous equation is

ydc) = C (1 + 3h)'.
For obtaining the particular solution we try yk(p) = Ah.

This give
Numerical DifferentiationIntegration Therefore, the general solution of the given problem is
and Solution of Differential Equations
5
y k = ~+3l1)~--.
(l
3
Using the condition y(0) = 1, we obtain C = 8/3.

Thus
8 5
y k = y (1 +3i1)~--.
3

Eqn. (41) gives the formula for obtaining yk + k.

8
y6 = y(0.6) = - (1
3
+ 3 X 0 . 1 ) ~- -53

Now Euler's method is .

Yk+l = + 3h) yk + 5h

and we get for h = 0.1

Y1 = 1.8, Y2 = 2.84, y3 = 4.192, y, = 5.9496, y5 = 8.23448, y6 = 11.204824.

You may now try the following exercises

Solve the following IVPs using Euler's method

E5) y' = 1 - 2xy, y(0.2) = 0.1948. Find y(0.4) with h = 0.2

E6) y' = -
x2 - 4y
Ly(4) ,
= 4. Find y(4.l) taking h = 0.1

E7) y' = F,y(0) = 1. Find y(0.1) with h = 0.1

Y+X

E8) y' = 1 + y2, y(0) = 1. Find y(0.6) taking h = 0.2 and h = 0.1.

You may recall that in Unit 12 we studied Richardson's extrapolatio~~ technique to

increase the order of a numerical differentiation formula without increasing the h ~ ~ c t i o ~ ~
evaluations. In Unit 13, we introduced Romberg integration which is the Richardscl~~'s
extrapolation technique applied to the integration rules. In both the cases, the order of
the numerical value was improved by the application of the Richardson's extrapolation.
In the next section we shall use this technique to obtain higher order solutions to
differential equations using lower order methods.

14.5 RICHARDSON'S EXTRAPOLATION

Consider the Euler's method

which is au O(h) method. Let F(h) and F(h/2) be the solutions obtained by using step
lengths h and h/2 respectively.

Recall that the Richardson's extrapolation method of combining two computed values with two
different step sizes, to obtain a higher order method is given by (ref.. Formula (54) Unit 12)

where p is the order of the method.

Thus, in the case of Euler's Ph
tocIwhich is of first order, once we know the values F(h)
and F(h/2) at two differentstep sizes h and hf2, Formula (42) for r = la p=l, reduces to
2 4 ~- )F(h)
F(') (h) =
2-1
Before illustrating this technique, we give you a method of determining numerically, the
order of a method.

Let y1(4) and y2(t,J be the two values obtained by a numerical method of order p with
step sizes hl and b. If e: and 5 are the corresponding errors, then
P

By taking logarithms, we get

Hence the order y of the method is

Let us now consider the followit~gexamples.

Example 6 : Using the Euler's method tabulate the solution of the IVP

in the interval (0, I ] taking h = 0.2, 0.1. Using Richardson's extrapolation technique
obtain the improved value at t = 1.

Solution : Euler's method gives

yk+l = yk + h fk where j = - 2 j yk2

=Yk-2h4yc .

Starting with t, = 0, yo = 1, we obtain the following table of values for h - 0.2.

Table 2 : h = 0.2
- - -

Thus, y(1.0) = 0.50706 with h = 0.2

Similarly, starting with t, = 0, yo = 1, we obtain the following table of values for h = 0.1.

Table 3 : h = 0.1

y(1.0) = 0.50364 with h = 0.1

hn1crica1Differmtia'iOn Integration Using formula (43), the extrapolated value at y(1) is given by
and Solution of Differential Equations

2F(0.1) - F(0.2)
(0.1) =
1
= 2(0.50364) - (0.50706)
= 0.50022

Let us consider another example

Example 7 : Use Euler's method to solve numerically the initial value: proble
y' = t t y , y(0) = 1 with h = 0.2, 0.1 and 0.05 in the interval [0, 0.61. Apply
Richardson's extrapolation technique to compute y(0.6).

Solution : Eu!er's method gives

YkeI = YL + h fk
= Yk (tk + ~3
= (lth)ykth$

Starting with = 0, yo = 1, we obtain the following table of values.

Table 4 : h = 0.2

:. y(0.6) = 1.856 with h = 0.2

Table 5 : h = 0.1

.: y(0.6) = 1.943122 with h = 0.1

Table 6 : h = 0.05

:. y(0.6) = 199171 with h = 0.05

 By Richardson's extrapolation method (43)' we have Numericill Solution of Ordinary
Differential Equations
F(')(0.~5)= 2 F(O.05) - F(O.l)
= 2.040298
~("(0.1)= 2 F(O.l) - F(0.2)
= 2.030244
L
Repeating Richardson's technique and using formula (42) with p=2, we obtain

= 2.043649
The exact solution is y = - (l+t) + 2et

Hence y(0.6) = 2.044238.

The actual error of the extrapolated value is

I error = y(0.6) - F(2)(0.05)

1 = 2.044238 - 2.043649

i
I
= 0.000589
Aad now a few exercises for you

E9) The IW

is given. Find (0.6) with h = 0.2 and h = 0.1, using EulerTs method and extrapolate
the value y(0.6). Compare with the exact solution.
1 E10) Extrapolate the value y(0.6) obtained in B).
i

We now end this unit by giving a summary of what we have cwered in it.

In this unit, we have covered the following

1) Taylor series method of order p for the solution of the IVP

is given by

2, , . . . .. ..N, tN= b. The enor of approximation is given by

2) Euler's method is the Taylor series method of order one. The steps involved in
solving the IVP given by (10) by Euler's method are as follows :
Step 1 : Evaluate f(t,,, yo)
Step 2 : Find y, = yo + h f(t, yo)
Step 3 : If t,, < b, change b to b + h and yo to y, and repeat steps 1 and 2
Numerical Differentiation Integration
and Solution o f Differential Equations Step 4 : If t, = b, write the value of y
3) Richardson's extrapolation method given by Eqn. (42) can be used to improve the
values sf the function evaluated by the Euler's method.

El) We have yo= 1, A = 1, h =0.1

y2= (1.105)~
------------------
ys = (1.105)~
Table giving the values of y, together with exact values is

Table 7
t Second order method Exact solution
0 1 1
0.1 1.105 1.10517
0.2 1.22103 1.22140
0.3 1.34923 1.34986
0.4 1.49090 .1.49182
0.5 s X 34745 ' 1.64872

E2) Taylor series method of 0(h4)to solve y' = x - y2,y(0) = 1 is

yiv = -2yyu1--6y1 y"

Substituting

E3) Taylor series method :

y1=x2 + y2 , y(0) = 0.5, y' (0) = 0.25, y' (0.2) = 0.35175
y" = 2x + 2yy' y" (0) = 0.25, y" (0.2) = 0.79280
y"' = 2 + 2 y y U+2(y92 y"' (0) = 2375, y"' (0.2) = 3.13278
Yiv = 2yy'" + 6y' y" Yiv (0) = 2.75, Yiv (0:)' = 5.17158
~(0.2)= 0.55835, y(0.4) = 0.64908
E4) Second order Taylor's method is
 Numaical Solution of Ordinary
Differential Equations

E5) Euler's method is yk+,= yk + hE, = yk + h (1-2xk y,J

~(0.4)= 0.1948 + (0.2) (1 - 2 x 0.2 x 0.1948)
= 0.379216.

E7) Euler's method y' = (y-x) / (y+x), y(0) = 1, ~ ' ( 0 )= 1

y(0.1) = 1 + (0.1) (1) = 1.1

E8) Euler's method is

2
Yk+l = + Yk + h ~ t
Starting with 6 = 0 and yo = 1,we have the following tables of valdes

Table 8 : h = 0.2

Table 9 : h = 0.1

Starting with to = 0, yo = 1, we have the following table of values

Table 10 : h = 0.2
Numerical Diff6rentiation Integration Table 11 : h = 0.1
and Solution of Differential Equations

Using fonnula (42), we have

F(') (0.1) = 2F(0.1) -F(0.2)
= 1.93944
Exact solution is
1
-t
y = -6(t+2) + 13eZ
Hence

The actual error of the extrapolated value is

error = y(0.6) - ~(')(0.1)

E10) From E8),we have F(O.l) = 3.5691 and F(0.2) = 2.9856