MTH2212 – Computational Methods and
Statistics
Numerical Solutions of Ordinary
Differential Equations
Lecture 11:
Initial Value Problem: Euler’s Method
Objectives
Introduction
Euler’s Method
Convergence analysis
Error analysis
Error estimate
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Introduction
Differential equations: equations composed of an unknown
function and its derivatives.
dv(t ) c v- dependent variable
g v(t )
dt m
t- independent variable
Differential equations play a fundamental role in
engineering because many physical phenomena are best
formulated mathematically in terms of their rate of change.
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Introduction
Fundamental laws of physics, mechanics, electricity and
thermodynamics are written in terms of the rate of change
of variables (t = time and x = position):
dv F
Newton’s second law of motion
dt m
dT
Fourier’s heat law q k '
dx
2T 2T
Lapalce equation (steady state) 2
2
0
x y
T 2T
Heat conduction k' 2
t x
etc.
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Introduction
One independent variable Ordinary Differential
Equation (ODE)
Two or more independent variables Partial Differential
Equation (PDE)
Order of a differential equation is determined by the highest
derivative.
Higher order equations can be reduced to a system of first
order equations, by redefining a variable.
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Introduction
An ODE is accompanied by auxiliary conditions. These
conditions are used to evaluate the integral that result
during the solution of the equation. An nth order equation
requires n conditions.
If all conditions are specified at the same value of the
independent variable, then we have an initial-value problem.
If the conditions are specified at different values of the
independent variable, usually at extreme points or
boundaries of a system, then we have a boundary-value
problem.
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Euler’s Method
Solve ordinary
differential equations
of the form
dy
f ( x, y )
dx
With initial condition
y ( xi ) yi
The estimate of the
solution is
yi 1 yi h
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Euler’s Method
• f ( xi , y i ) is the
estimate of slope at xi
• f ( xi , yi ) is the
differential equation
evaluated at xi and yi
• The estimate is given by
y i 1 y i f ( xi , y i ) h
This is Euler’s method
(Euler-Cauchy, Point-slope)
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Error Analysis for Euler’s Method
The numerical solution of ODE involves 2 types of error:
1. Round-off errors: this caused by limited numbers of
significant digits that can be retained by a computer.
2. Truncation errors:
a) Local truncation error: due to the application of the
method over a single step.
b) Propagated truncation error: due to approximation
produced during previous steps.
Total or global truncation error = local truncation error +
propagated truncation error.
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Error Estimate for Euler’s Method
The general form of the differential equation being integrated:
dy
y ' f ( x, y ) (1)
dx
Taylor’s series expansion of y about a starting value (x i,yi):
'' (n)
y y
yi 1 yi yi' h i h 2 ... i h n O(h n1 ) (2)
2! n!
(1) into (2) gives
f ' ( xi , yi ) 2 f ( n1) ( xi , yi ) n
yi 1 yi f ( xi , yi )h h ... h O(h n1 ) (3)
2! n!
Subtract Euler’s method equation from (3) gives the truncation
error f ' ( xi , yi ) 2 f ( n1) ( xi , yi ) n
Et h ... h O (h n1 )
2! n!
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Example 1
1. Use Euler’s method to integrate numerically the ODE:
dy
2 x 3 12 x 2 20 x 8.5
dx
from x = 0 to x = 4 with a step size of 0.5 and an initial
condition at x = 0 is y = 1?
2. Estimate and tabulate the errors
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Example 1 - Solution
1. Using Euler’s method
yi 1 yi f ( xi , yi ) h y (0) 1 h 0.5
Evaluate the first prediction y(0.5)
y (0.5) y (0) f (0, 1) (0.5)
f (0, 1) 2(0) 3 12(0) 2 20(0) 8.5 8.5
y (0.5) (1) (8.5)(0.5) 5.25
Evaluate the second prediction y(1)
y (1) y (0.5) f (0.5, 5.25) (0.5)
f (0, 1) 2(0.5) 3 12(0.5) 2 20(0.5) 8.5
y (1) (5.25) ()(0.5) 5.875
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Example 1 - Solution
Evaluate the third prediction
y (1.5) y (1) f (1, 5.875) (0.5) x yEuler
y (1.5) 5.875 (-1.5)(0.5) 5.125 0.0 1.000
0.5 5.250
1.0 5.875
1.5 5.125
2.0 4.500
2.5 4.750
3.0 5.875
3.5 7.125
4.0 7.000
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Example 1 - Solution
2. Estimate the truncation error
f ' ( x i , y i ) 2 f '' ( x i , y i ) 3 f ( 3 ) ( x i , y i ) 4
Et h h h
2! 3! 4!
For the first step
f ' ( xi , yi ) 6 x 2 24 x 20 f ' (0,1) 20
f '' ( xi , yi ) 12 x 24 f '' (0,1) 24
f (3) ( xi , yi ) 12 f (3) (0,1) 12
20 24 12
Et (0.5) 2 (0.5) 3 (0.5) 4 2.03125
2 6 24
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Example 1 - Solution
x yEuler Et
0.00000 1.00000 0.00000
0.50000 5.25000 -2.03125
1.00000 5.87500 -2.87500
1.50000 5.12500 -2.90625
2.00000 4.50000 -2.50000
2.50000 4.75000 -2.03125
3.00000 5.87500 -1.87500
3.50000 7.12500 -2.40625
4.00000 7.00000 -4.00000
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Remarks about Euler’s Method
The Taylor series provides only an estimate of the local
truncation error. It does not give a measure of the global
truncation error.
The global truncation error is O(h), that is, it is proportional
to the step size.
The error can be reduced by decreasing the step size.
If the underlying function, y(x), is linear, the method
provide error-free predictions. This is because for a straight
line the second derivative would be zero.
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Effect of step size - example 1
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