Numerical Analysis

Simultaneous or Coupled
First Order ODEs

Systems of Ordinary Differential Eqs

In these two lecture we shall consider only first order
ODEs systems with initial conditions.

We shall develop numerical methods for solution of

Systems of Ordinary differential equations

Euler method

Improved Euler Method

Runge Kutta fourth order

Finally we shall talk about Stiff Equations as well.

Simultanous Differential Equations

Introduction
These equations occur in many situations in practice.
Simple examples can be for oscillating masses and
coupled electrical circuits.
We shall learn how to solve such equations
numerically.

Example of an Electrical Network Model

L = 1 henry
Switch

I1

t=0

I1

C = 0.25 farad
I2

I2

R1 =4 ohms
V = 12 Volts

R2 =4 ohms

This has two coupled loops. The Kirchoffs law for voltage
balance can yield the model equations:

Models for Coupled Electrical circuits

For the left loop, the voltage drops across each element of the circuit yields:
Voltage from the source = voltage drop across L + Voltage drop across R1

12 1 dI1 / dt 4( I1 I 2 )
or

dI1
4 I1 4 I 2 12
dt

Where I1 is the current in first loop and I2 is the current in the second
loop. For the next loop again the voltage balance gives:

0 6 I 2 4( I 2 I1 ) 4 I 2 dt
When we differentiate it we get the following balance equation:

dI 2
dI1
0 10
4
4I 2
dt
dt

dI 2
dI1
0.4
0.4 I 2 0
dt
dt

Models for Coupled Electrical circuits

L = 1 henry

dI1
4 I1 4 I 2 12
dt

dI 2
dI1
0.4
0.4 I 2 0
dt
dt

Switch

I1

t=0

I1

C = 0.25 farad
I2
R1 =4 ohms

V = 12 Volts

R2 =4 ohms

Initial conditions are : I1(0) = 0.0;

I2(0) =0.0

This model is a linear first order non-Homogeneous.

It ha coupled ODE Based equations

I2

Example of Models for mixing of salt and two tanks

The tank T1 has initially 100 liters of

T1

pure water. The tank T2 has 100 liters

of water in which 150 kg of salt is
mixed.
The liquid circulates through tanks at a
constant rate of 2 liter/minute and the
mixture is kept uniform by stirring.
Let us ask this question.
What is amount of salt y1(t) and y2(t) in T1 and T2 tanks respectively.

T2

Example of Models for mixing of salt and two tanks

As for a single tank the time rate of change of
y1(t) (amount of salt in tank-1) is equal to the
inflow minus the outflow.

T1

This is also true for Tank-2:

2
2
y2
y1 (T1 )
100
100
2
2
y 2 inflow/min - outflow/min
y1
y2 (T2 )
100
100
Hence, mathematical model is a system of first order ODEs:
y 1 inflow/min - outflow/min

y 1 0.02 y1 0.02 y1 (T1 )

y 2 0.02 y1 0.02 y2 (T2 )
There are two initial conditions: y1(0) = 0 (no salt in Tank-1); y2(0) = 150.

T2

Simultaneous ODEs
We have already gone through various methods to solve numerically
a single ODE such as dy/dt = f(t, y).
The methods can be modified easily to solve coupled (say two)
ODEs. For example, we have two first order simultaneous Ordinary
Differential Equations with initial conditions.

dx
f t , x, y ,
dx
dy
g t , x, y ,
dx

x t0 x0 , y t0 y0 , t t0

We shall also see how our solutions as successive estimates of x and y

compare with values obtained by analytical methods.

Simultaneous ODEs
The methods used for a single ODE were:
Euler method
Improved Euler
Runge Kutta, order 2
Runge Kutta, order 4
Now each of these will be used for two simultaneus first order
ODEs. The general form will be

dx
f t , x, y ,
dx
dy
g t , x, y ,
dx

x t0 x0 , y t0 y0 , t t0

Eulers Method for Simultaneous ODEs

Consider two first order simultaneous Ordinary Differential
Equations with initial conditions t time t = t0 :

dx
f t , x, y ,
dx
dy
g t , x, y ,
dx

x t0 x0 , y t0 y0 , t t0
h xi 1 xi
h yi 1 yi

Then successive estimates of x nd y can be obtained using following:

x1 x0 h f t0 , x0 , y0

y1 y0 h g t0 , x0 , y0

x3 x2 h f t 2 , x2 , y2

y3 y 2 h g t 2 , x2 , y 2

x2 x1 h f t1 , x1 , y1

xn 1 xn h f t n , xn , yn

y2 y1 h g t1 , x1 , y1

yn 1 yn h g t n , xn , yn

Example-1 on System of First Order ODEs

Consider two first order simultaneous ODEs and try to solve by Euler
method. Let us find answers of x and y at t=0.1, 0.2 and 0.3.

dx / dt f (t , x, y ) t x y,
dy / dt g (t , x, y ) 2t 3 x y,

x ( 0) 1 , y ( 0) 2

Solution:

t0 0
x0 1,

y0 2 ,

f (t , x, y ) t x y,

h 0.1;
f (t0 , x0 , y0 ) 0 1 2 3,

g (t , x, y ) 2t 3 x y, g (t0 , x0 , y0 ) 0 3 2 1,

Example 1:
1st point:

t1 t 0 h 0 0.1 0.1

x1 x0 h f t 0 , x0 , y0 1 (0.1)(3) 1.3

y1 y0 h g t 0 , x0 , y0 2 (0.1)(1) 2.1

2nd point:

t 2 t1 h 0.1 0.1 0.2

x2 x1 h f t1 , x1 , y1 1.3 (0.1)(0.1 1.3 2.1) 1.63

y2 y1 h g t1 , x1 , y1 2.1 (0.1)(2 0.1 3 1.3 2.1) 2.3

3rd point:

t3 t 2 h 0.2 0.1 0.3

x3 x2 h f t 2 , x2 , y2 1.63 (0.1)(0.2 1.63 2.3) 2.003

y3 y2 h g t 2 , x2 , y2 2.3 (0.1)(2 0.2 3 1.63 2.3) 2.599

A computer program
% It Uses Euler method to solve Simultaneous first order
odes:
%
dx/dt = -t + x + y ; x(0) = 1.0
%
dy/dt = 2*t + 3*x y ; y(0) = 2.0
%
Input: x0 = initial guess; h = step size (h = 0.1)
%
n = number of iterations; default: n = 10;
%
Output: estimate of x and y;
n = 10; t0 = 0.0; x0=1.0; y0 = 2.0; h = 0.1;
t = t0; x = x0;
y = y0;
% Initial Guess
fprintf('

time

x-est

y-est

\n');

for k=1:n
f = -t + x + y ;
g = 2*t + 3*x - y ;
t = t + h; x = x + h*f ; y = y + h*g ;
fprintf('%6.2f %12.6f
%12.6f \n', t, x, y );
end

Example 1 :
These results are approximate values of x and y as a function of
time and error is substantially large
time
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
1.00
>>

x-est
1.300000
1.630000
2.003000
2.433200
2.936520
3.531168
4.238277
5.082632
6.093519
7.305711

y-est
2.100000
2.300000
2.599000
3.000000
3.509960
4.139920
4.905278
5.826234
6.928400
8.243616

Initial Value Problems

When initial conditions are given and we need to solve numerically any set of
ODEs, the problem is termed as Initial Value Problem.
For example,
consider a set of first order ODEs about velocity and acceleration. The initial
conditions are also given with them.

x(t 0) x0
v(t 0) v0

dx
v f (t , x, v)
dt
dv
k
c

v x g (t , x, v)
dt
m
m

Now assume,
c=1
m=1
k =1

Example on Initial Value Problems

We can apply single step Euler method as following:

dx / dt f (t , x, y ) v, x(0) 0 , v(0) 1
dv / dt g (t , x, y ) x v,
t0 0
x0 0,

v0 1,

h 0.1;

f (t , x, v) v,

f (t0 , x0 , v0 ) 1

g (t , x, v) x v,

g (t0 , x0 , v0 ) 0 1 1,

x1 x0 h f t0 , x0 , y0 0 (0.1)(1) 0.1

v1 v0 h g t0 , x0 , y0 1 (0.1)(1) 0.9
t1 t0 h 0 0.1 0.1
This can be further continued for t = 0.2, 0.3 and so on.

Example on Initial Value Problems

Now Consider another example on simple second order differential
equation for a vibrating spring mass system.

d 2x k
d 2x
x
4x 0
2
2
dt
m
dt
The initial conditions are

x(0) =0.2,

x(0) =0

and t = 0.02.

The Exact solution = 0.2 cos(2t)

Then the above equation can be decomposed as two first order equations:

dx
v f (t , x, v)
dt
dv
g (t , x, v) 4 x
dt

The boundary conditions are ,

x(0) = 0.2 and
v(0) = 0.

Example on Initial Value Problems

Here we display the large errors of the Euler method.
time
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90

x-est
0.200000
0.192000
0.176000
0.152320
0.121600
0.084787
0.043110
-0.001958
-0.048751

y-est
-0.080000
-0.160000
-0.236800
-0.307200
-0.368128
-0.416768
-0.450683
-0.467927
-0.467144

exact-x
0.196013
0.184212
0.165067
0.139341
0.108060
0.072472
0.033993
-0.005840
-0.045440

error (%)
2.033884
4.227625
6.623292
9.314291
12.529596
16.993771
26.819805
66.473972
7.284645

1.00

-0.095465

-0.447644

-0.083229

14.701077

Example on Initial Value Problems

The example

Euler Example

xi 1 xi t vi

0.5

vi 1 vi t 4vi

0.4

0.3

actual value

There is problem with

the step sizes (t)
causing an instability.
When it is sufficiently
small, the answer
becomes closer to the
actual.

Displacement

0.2
0.1
0
-0.1

0.5

-0.2
-0.3
-0.4
-0.5

Time (t)

1.5

Use of Improved Euler Method

The errors introduced by the use of Euler method can be reduced
by the IMPROVED EULER METHOD

x f t , x, y ,
y g t , x, y ,

x t0 x0 , y t0 y0 , t t0

h xi 1 xi
h yi 1 yi

Then successive estimates of x nd y can be obtained using following:

.

x1p x0 h f t 0 , x0 , y0 ;

y1p y0 h g t 0 , x0 , y0

h / 2 g t , x , y g t , x , y
h f t , x , y ;
y y h g t , x
h / 2 f t , x , y f t , x , y
h / 2 g t , x , y g t , x , y

x1c x0 h / 2 f t 0 , x0 , y0 f t 0 , x 1p , y 1p
y1c y0
x 2p x 1c
x2c x 1c
y 2c y 1c

c
1

c
1

p
2

p
2

p
2

p
2

c
,
y
1
1

Use of Improved Euler Method

The improved Euler method is
also called Predicted
Corrector method.

y
True
value

In this method we first

estimate both x1 and y1 as
predicted values

Slope f(x0, y0)

Then Using these values we

can find accurate or
corrected value as a mean
or average of two slopes for
both x and y.

Slope f(x0, y0)

y1

y0
h

xo

x1

Use of Improved Euler Method

The (n+1)th step will be calculated using predictor and corrector as

h xi 1 xi

xnp1 xnc h f t n , x cn , ync

c
n 1

h
x f (t n , xnc , ync ) f t n , xnp1 , ynp1
2
c
n

ynp1 ync h g xn , ync

c
n 1

h
y g (t n , xnc , ync ) g t n , xnp1 , ynp1
2
c
n

Example 2: Use of Improved Euler

Method
dx / dt f (t , x, y ) t x y,
dy / dt g (t , x, y ) 2t 3 x y,

x ( 0) 1
y ( 0) 2

1st step:
t1 t0 h 0 0.1 0.1

x1p x0 f t0 , x0 , y0 h 1.0 (0 1 2) 0.1 1.3

y1p y0 g t0 , x0 , y0 h 2.0 (2 0 3 1 2) 0.1 2.1

f t1 , x1p , y1p 0.1 1.3 2.1 3.3

g t1 , x1p , y1p 2 0.1 3 1.3 2.1 2.0

x1c 1.0 (0.1 / 2)(3. 3.3) 1.315
y1c 2.0 (0.1 / 2)(1. 2.) 2.15

Example 2: Use of Improved Euler

Method
dx / dt f (t , x, y ) t x y,
dy / dt g (t , x, y ) 2t 3 x y,

x ( 0) 1
y ( 0) 2

2nd step:
t 2 t1 h 0.1 0.1 0.2
x2p 1.315 (0.1 1.315 2.15) 0.1 1.315 0.3365 1.6515
y2p 2.15 (2 0.1 3 1.315 2.15) 0.1 2.15 0.1995 2.3495

g t , x

2 0.2 3 1.6415 2.3695 3.005

f t 2 , x2p , y2p 0.2 1.6415 2.3695 3.801

2

p
2

, y2p

x2c 1.315 (0.1 / 2)(3.365 3.801) 1.6733

y2c 2.15 (0.1 / 2)(1.995 3.005) 2.4000

A computer program
% It Uses Improved Euler method to solve two Simultaneous first order odes:
%
dx/dt = -t + x + y ; x(0) = 1.0
%
dy/dt = 2*t + 3*x y ; y(0) = 2.0
% Input: x0 = initial guess; h = step size (h = 0.1)
%
n = number of iterations; default: n = 10;
% Output: estimate of x and y;
n = 10; t0 = 0.0; x0=1.0; y0 = 2.0; h = 0.1;
t = t0; x_c = x0; y_c = y0; % Initial Guess
fprintf(' time

x-p

x_c

y_p

y_c

\n');

for k=1:n
fa = ( -t + x_c + y_c );
ga = ( 2.*t + 3.*x_c - y_c );
x_p = x_c + h*fa;
y_p = y_c + h*ga;
fb = ( -(t+h) + x_p + y_p);
gb = ( 2.*(t+h) + 3.*x_p - y_p );
x_c = x_c + (h/2.)*(fa + fb);
y_c = y_c + (h/2.)*(ga + gb);
fprintf('%6.2f %12.5f %12.5f %12.5f %12.5f \n', t, x_p, x_c, y_p, y_c );
t = t + h;
end

Results for Example 2

time
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
>>

x_p
1.30000
1.65150
2.06063
2.54460
3.12361
3.82160
4.66726
5.69511
6.94694
8.47338

x_c
1.31500
1.67330
2.09010
2.58291
3.17227
3.88255
4.74291
5.78847
7.06171
8.61412

y_p
2.10000
2.34950
2.70199
3.16652
3.75658
4.49064
5.39287
6.49411
7.83312
9.45805

y_c
2.15000
2.40000
2.75499
3.22412
3.82106
4.56456
5.47916
6.59620
7.95504
9.60465

Example 2:
A comparison table for estimated values for Euler and Improved
Euler method
Time

Euler Method

Improved Euler

(t)

x(t)

y(t)

x(t)

y(t)

0.1

1.30

2.1

1.3150

2.150

0.2

1.63

2.3

1.6733

2.400

0.3

2.0030

2.599

2.0901

2.755

0.4

2.4332

3.00

2.5829

3.2241

0.5

2.9365

3.51

3.1723

3.8211