NAG Library Routine Document

d03pkf  (dim1_parab_dae_keller)

1

Purpose

2

Specification

3

Description

4

References

5

Arguments

1:     $\mathbf{npde}$ – IntegerInput

On entry: the number of PDEs to be solved.

Constraint: $\mathbf{npde}\ge 1$.

2:     $\mathbf{ts}$ – Real (Kind=nag_wp)Input/Output

On entry: the initial value of the independent variable $t$.

Constraint: $\mathbf{ts}<\mathbf{tout}$.

On exit: the value of $t$ corresponding to the solution in u. Normally $\mathbf{ts}=\mathbf{tout}$.

3:     $\mathbf{tout}$ – Real (Kind=nag_wp)Input

On entry: the final value of $t$ to which the integration is to be carried out.

4:     $\mathbf{pdedef}$ – Subroutine, supplied by the user.External Procedure

pdedef must evaluate the functions $G_i$ which define the system of PDEs. pdedef is called approximately midway between each pair of mesh points in turn by d03pkf.

The specification of pdedef is:

Fortran Interface

Subroutine pdedef ( npde, t, x, u, ut, ux, nv, v, vdot, res, ires) Integer, Intent (In) :: npde, nv Integer, Intent (Inout) :: ires Real (Kind=nag_wp), Intent (In) :: t, x, u(npde), ut(npde), ux(npde), v(nv), vdot(nv) Real (Kind=nag_wp), Intent (Out) :: res(npde)

C Header Interface

#include nagmk26.h void  pdedef ( const Integer *npde, const double *t, const double *x, const double u[], const double ut[], const double ux[], const Integer *nv, const double v[], const double vdot[], double res[], Integer *ires)

1:     $\mathbf{npde}$ – IntegerInput

On entry: the number of PDEs in the system.

2:     $\mathbf{t}$ – Real (Kind=nag_wp)Input

On entry: the current value of the independent variable $t$.

3:     $\mathbf{x}$ – Real (Kind=nag_wp)Input

On entry: the current value of the space variable $x$.

4:     $\mathbf{u}\left(\mathbf{npde}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: $\mathbf{u}\left(\mathit{i}\right)$ contains the value of the component $U_{\mathit{i}}\left(x,t\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$.

5:     $\mathbf{ut}\left(\mathbf{npde}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: $\mathbf{ut}\left(\mathit{i}\right)$ contains the value of the component $\frac{\partial U_{\mathit{i}}\left(x,t\right)}{\partial t}$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$.

6:     $\mathbf{ux}\left(\mathbf{npde}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: $\mathbf{ux}\left(\mathit{i}\right)$ contains the value of the component $\frac{\partial U_{\mathit{i}}\left(x,t\right)}{\partial x}$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$.

7:     $\mathbf{nv}$ – IntegerInput

On entry: the number of coupled ODEs in the system.

8:     $\mathbf{v}\left(\mathbf{nv}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nv}>0$, $\mathbf{v}\left(\mathit{i}\right)$ contains the value of the component $V_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$.

9:     $\mathbf{vdot}\left(\mathbf{nv}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nv}>0$, $\mathbf{vdot}\left(\mathit{i}\right)$ contains the value of component ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$.

10:   $\mathbf{res}\left(\mathbf{npde}\right)$ – Real (Kind=nag_wp) arrayOutput

On exit: $\mathbf{res}\left(\mathit{i}\right)$ must contain the $\mathit{i}$th component of $G$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$, where $G$ is defined as

$$G_{\mathit{i}}=\sum _{\mathit{j}=1}^{\mathbf{npde}}{P}_{\mathit{i},\mathit{j}}\frac{\partial U_{\mathit{j}}}{\partial t}+\sum _{\mathit{j}=1}^{\mathbf{nv}}{Q}_{\mathit{i},\mathit{j}}{\stackrel{.}{V}}_{\mathit{j}}\text{,}$$

(9)

i.e., only terms depending explicitly on time derivatives, or

$$G_{\mathit{i}}=\sum _{\mathit{j}=1}^{\mathbf{npde}}{P}_{\mathit{i},\mathit{j}}\frac{\partial U_{\mathit{j}}}{\partial t}+\sum _{\mathit{j}=1}^{\mathbf{nv}}{Q}_{\mathit{i},\mathit{j}}{\stackrel{.}{V}}_{\mathit{j}}+S_{\mathit{i}}\text{,}$$

(10)

i.e., all terms in equation (3).

The definition of $G$ is determined by the input value of ires.

11:   $\mathbf{ires}$ – IntegerInput/Output

On entry: the form of $G_i$ that must be returned in the array res.

$\mathbf{ires}=-1$

Equation (9) must be used.

$\mathbf{ires}=1$

Equation (10) must be used.

On exit: should usually remain unchanged. However, you may set ires to force the integration routine to take certain actions, as described below:

$\mathbf{ires}=2$

Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to $\mathbf{ifail}=\mathbf{6}$.

$\mathbf{ires}=3$

Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set $\mathbf{ires}=3$ when a physically meaningless input or output value has been generated. If you consecutively set $\mathbf{ires}=3$, d03pkf returns to the calling subroutine with the error indicator set to $\mathbf{ifail}=\mathbf{4}$.

pdedef must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which d03pkf is called. Arguments denoted as Input must not be changed by this procedure.

Note: pdedef should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by d03pkf. If your code inadvertently does return any NaNs or infinities, d03pkf is likely to produce unexpected results.

5:     $\mathbf{bndary}$ – Subroutine, supplied by the user.External Procedure

bndary must evaluate the functions $G_i^L$ and $G_i^R$ which describe the boundary conditions, as given in (5) and (6).

The specification of bndary is:

Fortran Interface

Subroutine bndary ( npde, t, ibnd, nobc, u, ut, nv, v, vdot, res, ires) Integer, Intent (In) :: npde, ibnd, nobc, nv Integer, Intent (Inout) :: ires Real (Kind=nag_wp), Intent (In) :: t, u(npde), ut(npde), v(nv), vdot(nv) Real (Kind=nag_wp), Intent (Out) :: res(nobc)

C Header Interface

#include nagmk26.h void  bndary ( const Integer *npde, const double *t, const Integer *ibnd, const Integer *nobc, const double u[], const double ut[], const Integer *nv, const double v[], const double vdot[], double res[], Integer *ires)

1:     $\mathbf{npde}$ – IntegerInput

On entry: the number of PDEs in the system.

2:     $\mathbf{t}$ – Real (Kind=nag_wp)Input

On entry: the current value of the independent variable $t$.

3:     $\mathbf{ibnd}$ – IntegerInput

On entry: specifies which boundary conditions are to be evaluated.

$\mathbf{ibnd}=0$

bndary must compute the left-hand boundary condition at $x=a$.

$\mathbf{ibnd}\ne 0$

bndary must compute the right-hand boundary condition at $x=b$.

4:     $\mathbf{nobc}$ – IntegerInput

On entry: specifies the number of boundary conditions at the boundary specified by ibnd.

5:     $\mathbf{u}\left(\mathbf{npde}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: $\mathbf{u}\left(\mathit{i}\right)$ contains the value of the component $U_{\mathit{i}}\left(x,t\right)$ at the boundary specified by ibnd, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$.

6:     $\mathbf{ut}\left(\mathbf{npde}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: $\mathbf{ut}\left(\mathit{i}\right)$ contains the value of the component $\frac{\partial U_{\mathit{i}}\left(x,t\right)}{\partial t}$ at the boundary specified by ibnd, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$.

7:     $\mathbf{nv}$ – IntegerInput

On entry: the number of coupled ODEs in the system.

8:     $\mathbf{v}\left(\mathbf{nv}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nv}>0$, $\mathbf{v}\left(\mathit{i}\right)$ contains the value of the component $V_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$.

9:     $\mathbf{vdot}\left(\mathbf{nv}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nv}>0$, $\mathbf{vdot}\left(\mathit{i}\right)$ contains the value of component ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$.

Note: $\mathbf{vdot}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$, may only appear linearly as in (7) and (8).

10:   $\mathbf{res}\left(\mathbf{nobc}\right)$ – Real (Kind=nag_wp) arrayOutput

On exit: $\mathbf{res}\left(\mathit{i}\right)$ must contain the $\mathit{i}$th component of $G^L$ or $G^R$, depending on the value of ibnd, for $\mathit{i}=1,2,\dots ,\mathbf{nobc}$, where $G^L$ is defined as

$$G_{\mathit{i}}^L=\sum _{\mathit{j}=1}^{\mathbf{npde}}{E}_{\mathit{i},\mathit{j}}^L\frac{\partial U_{\mathit{j}}}{\partial t}+\sum _{\mathit{j}=1}^{\mathbf{nv}}{H}_{\mathit{i},\mathit{j}}^L{\stackrel{.}{V}}_{\mathit{j}}\text{,}$$

(11)

i.e., only terms depending explicitly on time derivatives, or

$$G_{\mathit{i}}^L=\sum _{\mathit{j}=1}^{\mathbf{npde}}{E}_{\mathit{i},\mathit{j}}^L\frac{\partial U_{\mathit{j}}}{\partial t}+\sum _{\mathit{j}=1}^{\mathbf{nv}}{H}_{\mathit{i},\mathit{j}}^L{\stackrel{.}{V}}_{\mathit{j}}+K_{\mathit{i}}^L\text{,}$$

(12)

i.e., all terms in equation (7), and similarly for $G_{\mathit{i}}^R$.

The definitions of $G^L$ and $G^R$ are determined by the input value of ires.

11:   $\mathbf{ires}$ – IntegerInput/Output

On entry: the form of $G_i^L$ (or $G_i^R$) that must be returned in the array res.

$\mathbf{ires}=-1$

Equation (11) must be used.

$\mathbf{ires}=1$

Equation (12) must be used.

On exit: should usually remain unchanged. However, you may set ires to force the integration routine to take certain actions as described below:

$\mathbf{ires}=2$

Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to $\mathbf{ifail}=\mathbf{6}$.

$\mathbf{ires}=3$

Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set $\mathbf{ires}=3$ when a physically meaningless input or output value has been generated. If you consecutively set $\mathbf{ires}=3$, d03pkf returns to the calling subroutine with the error indicator set to $\mathbf{ifail}=\mathbf{4}$.

bndary must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which d03pkf is called. Arguments denoted as Input must not be changed by this procedure.

Note: bndary should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by d03pkf. If your code inadvertently does return any NaNs or infinities, d03pkf is likely to produce unexpected results.

6:     $\mathbf{u}\left(\mathbf{neqn}\right)$ – Real (Kind=nag_wp) arrayInput/Output

On entry: the initial values of the dependent variables defined as follows:

• $\mathbf{u}\left(\mathbf{npde}\times \left(\mathit{j}-1\right)+\mathit{i}\right)$ contain $U_{\mathit{i}}\left(x_{\mathit{j}},t_0\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$ and $\mathit{j}=1,2,\dots ,\mathbf{npts}$, and
• $\mathbf{u}\left(\mathbf{npts}\times \mathbf{npde}+\mathit{i}\right)$ contain $V_{\mathit{i}}\left(t_0\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$.

On exit: the computed solution $U_{\mathit{i}}\left(x_{\mathit{j}},t\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$ and $\mathit{j}=1,2,\dots ,\mathbf{npts}$, and $V_{\mathit{k}}\left(t\right)$, for $\mathit{k}=1,2,\dots ,\mathbf{nv}$, evaluated at $t=\mathbf{ts}$.

7:     $\mathbf{npts}$ – IntegerInput

On entry: the number of mesh points in the interval $\left[a,b\right]$.

Constraint: $\mathbf{npts}\ge 3$.

8:     $\mathbf{x}\left(\mathbf{npts}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: the mesh points in the space direction. $\mathbf{x}\left(1\right)$ must specify the left-hand boundary, $a$, and $\mathbf{x}\left(\mathbf{npts}\right)$ must specify the right-hand boundary, $b$.

Constraint: $\mathbf{x}\left(1\right)<\mathbf{x}\left(2\right)<\cdots <\mathbf{x}\left(\mathbf{npts}\right)$.

9:     $\mathbf{nleft}$ – IntegerInput

On entry: the number $n_a$ of boundary conditions at the left-hand mesh point $\mathbf{x}\left(1\right)$.

Constraint: $0\le \mathbf{nleft}\le \mathbf{npde}$.

10:   $\mathbf{nv}$ – IntegerInput

On entry: the number of coupled ODE components.

Constraint: $\mathbf{nv}\ge 0$.

11:   $\mathbf{odedef}$ – Subroutine, supplied by the NAG Library or the user.External Procedure

odedef must evaluate the functions $R$, which define the system of ODEs, as given in (4).

If you wish to compute the solution of a system of PDEs only (i.e., $\mathbf{nv}=0$), odedef must be the dummy routine d03pek. (d03pek is included in the NAG Library.)

The specification of odedef is:

Fortran Interface

Subroutine odedef ( npde, t, nv, v, vdot, nxi, xi, ucp, ucpx, ucpt, r, ires) Integer, Intent (In) :: npde, nv, nxi Integer, Intent (Inout) :: ires Real (Kind=nag_wp), Intent (In) :: t, v(nv), vdot(nv), xi(nxi), ucp(npde,nxi), ucpx(npde,nxi), ucpt(npde,nxi) Real (Kind=nag_wp), Intent (Out) :: r(nv)

C Header Interface

#include nagmk26.h void  odedef ( const Integer *npde, const double *t, const Integer *nv, const double v[], const double vdot[], const Integer *nxi, const double xi[], const double ucp[], const double ucpx[], const double ucpt[], double r[], Integer *ires)

1:     $\mathbf{npde}$ – IntegerInput

On entry: the number of PDEs in the system.

2:     $\mathbf{t}$ – Real (Kind=nag_wp)Input

On entry: the current value of the independent variable $t$.

3:     $\mathbf{nv}$ – IntegerInput

On entry: the number of coupled ODEs in the system.

4:     $\mathbf{v}\left(\mathbf{nv}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nv}>0$, $\mathbf{v}\left(\mathit{i}\right)$ contains the value of the component $V_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$.

5:     $\mathbf{vdot}\left(\mathbf{nv}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nv}>0$, $\mathbf{vdot}\left(\mathit{i}\right)$ contains the value of component ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$.

6:     $\mathbf{nxi}$ – IntegerInput

On entry: the number of ODE/PDE coupling points.

7:     $\mathbf{xi}\left(\mathbf{nxi}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nxi}>0$, $\mathbf{xi}\left(\mathit{i}\right)$ contains the ODE/PDE coupling points, ${\xi }_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,\mathbf{nxi}$.

8:     $\mathbf{ucp}\left(\mathbf{npde},\mathbf{nxi}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nxi}>0$, $\mathbf{ucp}\left(\mathit{i},\mathit{j}\right)$ contains the value of $U_{\mathit{i}}\left(x,t\right)$ at the coupling point $x={\xi }_{\mathit{j}}$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$ and $\mathit{j}=1,2,\dots ,\mathbf{nxi}$.

9:     $\mathbf{ucpx}\left(\mathbf{npde},\mathbf{nxi}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nxi}>0$, $\mathbf{ucpx}\left(\mathit{i},\mathit{j}\right)$ contains the value of $\frac{\partial U_{\mathit{i}}\left(x,t\right)}{\partial x}$ at the coupling point $x={\xi }_{\mathit{j}}$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$ and $\mathit{j}=1,2,\dots ,\mathbf{nxi}$.

10:   $\mathbf{ucpt}\left(\mathbf{npde},\mathbf{nxi}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: if $\mathbf{nxi}>0$, $\mathbf{ucpt}\left(\mathit{i},\mathit{j}\right)$ contains the value of $\frac{\partial U_{\mathit{i}}}{\partial t}$ at the coupling point $x={\xi }_{\mathit{j}}$, for $\mathit{i}=1,2,\dots ,\mathbf{npde}$ and $\mathit{j}=1,2,\dots ,\mathbf{nxi}$.

11:   $\mathbf{r}\left(\mathbf{nv}\right)$ – Real (Kind=nag_wp) arrayOutput

On exit: if $\mathbf{nv}>0$, $\mathbf{r}\left(\mathit{i}\right)$ must contain the $\mathit{i}$th component of $R$, for $\mathit{i}=1,2,\dots ,\mathbf{nv}$, where $R$ is defined as

$$R=-B\stackrel{.}{V}-C{U}_t^{*}\text{,}$$

(13)

i.e., only terms depending explicitly on time derivatives, or

$$R=A-B\stackrel{.}{V}-C{U}_t^{*}\text{,}$$

(14)

i.e., all terms in equation (4). The definition of $R$ is determined by the input value of ires.

12:   $\mathbf{ires}$ – IntegerInput/Output

On entry: the form of $R$ that must be returned in the array r.

$\mathbf{ires}=-1$

Equation (13) must be used.

$\mathbf{ires}=1$

Equation (14) must be used.

On exit: should usually remain unchanged. However, you may reset ires to force the integration routine to take certain actions, as described below:

$\mathbf{ires}=2$

Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to $\mathbf{ifail}=\mathbf{6}$.

$\mathbf{ires}=3$

Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set $\mathbf{ires}=3$ when a physically meaningless input or output value has been generated. If you consecutively set $\mathbf{ires}=3$, d03pkf returns to the calling subroutine with the error indicator set to $\mathbf{ifail}=\mathbf{4}$.

odedef must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which d03pkf is called. Arguments denoted as Input must not be changed by this procedure.

Note: odedef should not return floating-point NaN (Not a Number) or infinity values, since these are not handled by d03pkf. If your code inadvertently does return any NaNs or infinities, d03pkf is likely to produce unexpected results.

12:   $\mathbf{nxi}$ – IntegerInput

On entry: the number of ODE/PDE coupling points.

Constraints:

• if $\mathbf{nv}=0$, $\mathbf{nxi}=0$;
• if $\mathbf{nv}>0$, $\mathbf{nxi}\ge 0$.

13:   $\mathbf{xi}\left(\mathbf{nxi}\right)$ – Real (Kind=nag_wp) arrayInput

On entry: $\mathbf{xi}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{nxi}$, must be set to the ODE/PDE coupling points, ${\xi }_{\mathit{i}}$.

Constraint: $\mathbf{x}\left(1\right)\le \mathbf{xi}\left(1\right)<\mathbf{xi}\left(2\right)<\cdots <\mathbf{xi}\left(\mathbf{nxi}\right)\le \mathbf{x}\left(\mathbf{npts}\right)$.

14:   $\mathbf{neqn}$ – IntegerInput

On entry: the number of ODEs in the time direction.

Constraint: $\mathbf{neqn}=\mathbf{npde}\times \mathbf{npts}+\mathbf{nv}$.

15:   $\mathbf{rtol}\left(*\right)$ – Real (Kind=nag_wp) arrayInput

Note: the dimension of the array rtol must be at least $1$ if $\mathbf{itol}=1$ or $2$ and at least $\mathbf{neqn}$ if $\mathbf{itol}=3$ or $4$.

On entry: the relative local error tolerance.

Constraint: $\mathbf{rtol}\left(i\right)\ge 0.0$ for all relevant $i$.

16:   $\mathbf{atol}\left(*\right)$ – Real (Kind=nag_wp) arrayInput

Note: the dimension of the array atol must be at least $1$ if $\mathbf{itol}=1$ or $3$ and at least $\mathbf{neqn}$ if $\mathbf{itol}=2$ or $4$.

On entry: the absolute local error tolerance.

Constraint: $\mathbf{atol}\left(i\right)\ge 0.0$ for all relevant $i$.

Note: corresponding elements of rtol and atol cannot both be $0.0$.

17:   $\mathbf{itol}$ – IntegerInput

On entry: a value to indicate the form of the local error test. itol indicates to d03pkf whether to interpret either or both of rtol or atol as a vector or scalar. The error test to be satisfied is $‖e_i/w_i‖<1.0$, where $w_i$ is defined as follows:

itol	rtol	atol	$w_i$
1	scalar	scalar	$\mathbf{rtol}\left(1\right)\times \left|\mathbf{u}\left(i\right)\right|+\mathbf{atol}\left(1\right)$
2	scalar	vector	$\mathbf{rtol}\left(1\right)\times \left|\mathbf{u}\left(i\right)\right|+\mathbf{atol}\left(i\right)$
3	vector	scalar	$\mathbf{rtol}\left(i\right)\times \left|\mathbf{u}\left(i\right)\right|+\mathbf{atol}\left(1\right)$
4	vector	vector	$\mathbf{rtol}\left(i\right)\times \left|\mathbf{u}\left(i\right)\right|+\mathbf{atol}\left(i\right)$

In the above, $e_{\mathit{i}}$ denotes the estimated local error for the $\mathit{i}$th component of the coupled PDE/ODE system in time, $\mathbf{u}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,\mathbf{neqn}$.

The choice of norm used is defined by the argument norm.

Constraint: $1\le \mathbf{itol}\le 4$.

18:   $\mathbf{norm}$ – Character(1)Input

On entry: the type of norm to be used.

$\mathbf{norm}=\text{'M'}$

Maximum norm.

$\mathbf{norm}=\text{'A'}$

Averaged $L_2$ norm.

If ${\mathbf{u}}_{\mathrm{norm}}$ denotes the norm of the vector u of length neqn, then for the averaged $L_2$ norm

$${\mathbf{u}}_{\mathrm{norm}}=\sqrt{\frac{1}{\mathbf{neqn}}\sum _{i=1}^{\mathbf{neqn}}{\left(\mathbf{u}\left(i\right)/w_i\right)}^2}\text{,}$$

while for the maximum norm

$${\mathbf{u}}_{\mathrm{norm}}=\underset{i}{\max }\left|\mathbf{u}\left(i\right)/w_i\right|\text{.}$$

See the description of itol for the formulation of the weight vector $w$.

Constraint: $\mathbf{norm}=\text{'M'}$ or $\text{'A'}$.

19:   $\mathbf{laopt}$ – Character(1)Input

On entry: the type of matrix algebra required.

$\mathbf{laopt}=\text{'F'}$

Full matrix methods to be used.

$\mathbf{laopt}=\text{'B'}$

Banded matrix methods to be used.

$\mathbf{laopt}=\text{'S'}$

Sparse matrix methods to be used.

Constraint: $\mathbf{laopt}=\text{'F'}$, $\text{'B'}$ or $\text{'S'}$.

Note: you are recommended to use the banded option when no coupled ODEs are present (i.e., $\mathbf{nv}=0$).

20:   $\mathbf{algopt}\left(30\right)$ – Real (Kind=nag_wp) arrayInput

On entry: may be set to control various options available in the integrator. If you wish to employ all the default options, $\mathbf{algopt}\left(1\right)$ should be set to $0.0$. Default values will also be used for any other elements of algopt set to zero. The permissible values, default values, and meanings are as follows:

$\mathbf{algopt}\left(1\right)$

Selects the ODE integration method to be used. If $\mathbf{algopt}\left(1\right)=1.0$, a BDF method is used and if $\mathbf{algopt}\left(1\right)=2.0$, a Theta method is used. The default value is $\mathbf{algopt}\left(1\right)=1.0$.

If $\mathbf{algopt}\left(1\right)=2.0$, then $\mathbf{algopt}\left(\mathit{i}\right)$, for $\mathit{i}=2,3,4$, are not used.

$\mathbf{algopt}\left(2\right)$

Specifies the maximum order of the BDF integration formula to be used. $\mathbf{algopt}\left(2\right)$ may be $1.0$, $2.0$, $3.0$, $4.0$ or $5.0$. The default value is $\mathbf{algopt}\left(2\right)=5.0$.

$\mathbf{algopt}\left(3\right)$

Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the BDF method. If $\mathbf{algopt}\left(3\right)=1.0$ a modified Newton iteration is used and if $\mathbf{algopt}\left(3\right)=2.0$ a functional iteration method is used. If functional iteration is selected and the integrator encounters difficulty, there is an automatic switch to the modified Newton iteration. The default value is $\mathbf{algopt}\left(3\right)=1.0$.

$\mathbf{algopt}\left(4\right)$

Specifies whether or not the Petzold error test is to be employed. The Petzold error test results in extra overhead but is more suitable when algebraic equations are present, such as $P_{i,\mathit{j}}=0.0$, for $\mathit{j}=1,2,\dots ,\mathbf{npde}$, for some $i$ or when there is no ${\stackrel{.}{V}}_i\left(t\right)$ dependence in the coupled ODE system. If $\mathbf{algopt}\left(4\right)=1.0$, the Petzold test is used. If $\mathbf{algopt}\left(4\right)=2.0$, the Petzold test is not used. The default value is $\mathbf{algopt}\left(4\right)=1.0$.

If $\mathbf{algopt}\left(1\right)=1.0$, $\mathbf{algopt}\left(\mathit{i}\right)$, for $\mathit{i}=5,6,7$, are not used.

$\mathbf{algopt}\left(5\right)$

Specifies the value of Theta to be used in the Theta integration method. $0.51\le \mathbf{algopt}\left(5\right)\le 0.99$. The default value is $\mathbf{algopt}\left(5\right)=0.55$.

$\mathbf{algopt}\left(6\right)$

Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the Theta method. If $\mathbf{algopt}\left(6\right)=1.0$, a modified Newton iteration is used and if $\mathbf{algopt}\left(6\right)=2.0$, a functional iteration method is used. The default value is $\mathbf{algopt}\left(6\right)=1.0$.

$\mathbf{algopt}\left(7\right)$

Specifies whether or not the integrator is allowed to switch automatically between modified Newton and functional iteration methods in order to be more efficient. If $\mathbf{algopt}\left(7\right)=1.0$, switching is allowed and if $\mathbf{algopt}\left(7\right)=2.0$, switching is not allowed. The default value is $\mathbf{algopt}\left(7\right)=1.0$.

$\mathbf{algopt}\left(11\right)$

Specifies a point in the time direction, $t_{\mathrm{crit}}$, beyond which integration must not be attempted. The use of $t_{\mathrm{crit}}$ is described under the argument itask. If $\mathbf{algopt}\left(1\right)\ne 0.0$, a value of $0.0$, for $\mathbf{algopt}\left(11\right)$, say, should be specified even if itask subsequently specifies that $t_{\mathrm{crit}}$ will not be used.

$\mathbf{algopt}\left(12\right)$

Specifies the minimum absolute step size to be allowed in the time integration. If this option is not required, $\mathbf{algopt}\left(12\right)$ should be set to $0.0$.

$\mathbf{algopt}\left(13\right)$

Specifies the maximum absolute step size to be allowed in the time integration. If this option is not required, $\mathbf{algopt}\left(13\right)$ should be set to $0.0$.

$\mathbf{algopt}\left(14\right)$

Specifies the initial step size to be attempted by the integrator. If $\mathbf{algopt}\left(14\right)=0.0$, the initial step size is calculated internally.

$\mathbf{algopt}\left(15\right)$

Specifies the maximum number of steps to be attempted by the integrator in any one call. If $\mathbf{algopt}\left(15\right)=0.0$, no limit is imposed.

$\mathbf{algopt}\left(23\right)$

Specifies what method is to be used to solve the nonlinear equations at the initial point to initialize the values of $U$, $U_t$, $V$ and $\stackrel{.}{V}$. If $\mathbf{algopt}\left(23\right)=1.0$, a modified Newton iteration is used and if $\mathbf{algopt}\left(23\right)=2.0$, functional iteration is used. The default value is $\mathbf{algopt}\left(23\right)=1.0$.

$\mathbf{algopt}\left(29\right)$ and $\mathbf{algopt}\left(30\right)$ are used only for the sparse matrix algebra option, i.e., $\mathbf{laopt}=\text{'S'}$.

$\mathbf{algopt}\left(29\right)$

Governs the choice of pivots during the decomposition of the first Jacobian matrix. It should lie in the range $0.0<\mathbf{algopt}\left(29\right)<1.0$, with smaller values biasing the algorithm towards maintaining sparsity at the expense of numerical stability. If $\mathbf{algopt}\left(29\right)$ lies outside this range then the default value is used. If the routines regard the Jacobian matrix as numerically singular then increasing $\mathbf{algopt}\left(29\right)$ towards $1.0$ may help, but at the cost of increased fill-in. The default value is $\mathbf{algopt}\left(29\right)=0.1$.

$\mathbf{algopt}\left(30\right)$

Used as a relative pivot threshold during subsequent Jacobian decompositions (see $\mathbf{algopt}\left(29\right)$) below which an internal error is invoked. $\mathbf{algopt}\left(30\right)$ must be greater than zero, otherwise the default value is used. If $\mathbf{algopt}\left(30\right)$ is greater than $1.0$ no check is made on the pivot size, and this may be a necessary option if the Jacobian is found to be numerically singular (see $\mathbf{algopt}\left(29\right)$). The default value is $\mathbf{algopt}\left(30\right)=0.0001$.

21:   $\mathbf{rsave}\left(\mathbf{lrsave}\right)$ – Real (Kind=nag_wp) arrayCommunication Array

If $\mathbf{ind}=0$, rsave need not be set on entry.

If $\mathbf{ind}=1$, rsave must be unchanged from the previous call to the routine because it contains required information about the iteration.

22:   $\mathbf{lrsave}$ – IntegerInput

On entry: the dimension of the array rsave as declared in the (sub)program from which d03pkf is called. Its size depends on the type of matrix algebra selected.

If $\mathbf{laopt}=\text{'F'}$, $\mathbf{lrsave}\ge \mathbf{neqn}\times \mathbf{neqn}+\mathbf{neqn}+\mathit{nwkres}+\mathit{lenode}$.

If $\mathbf{laopt}=\text{'B'}$, $\mathbf{lrsave}\ge \left(2\times \mathit{ml}+\mathit{mu}+2\right)\times \mathbf{neqn}+\mathit{nwkres}+\mathit{lenode}$.

If $\mathbf{laopt}=\text{'S'}$, $\mathbf{lrsave}\ge 4\times \mathbf{neqn}+11\times \mathbf{neqn}/2+1+\mathit{nwkres}+\mathit{lenode}$.

Where

	$\mathit{ml}$ and $\mathit{mu}$ are the lower and upper half bandwidths given by $\mathit{ml}=\mathbf{npde}+\mathbf{nleft}-1$ such that $\mathit{mu}=2\times \mathbf{npde}-\mathbf{nleft}-1$, for problems involving PDEs only; or $\mathit{ml}=\mathit{mu}=\mathbf{neqn}-1$, for coupled PDE/ODE problems.
	$\mathit{nwkres}=\left\{\begin{array}{ll}\mathbf{npde}\times \left(3\times \mathbf{npde}+6\times \mathbf{nxi}+\mathbf{npts}+15\right)+\mathbf{nxi}+\mathbf{nv}+7\times \mathbf{npts}+2\text{,}& \text{when }\mathbf{nv}>0\text{ and }\mathbf{nxi}>0\text{; or}\\ \mathbf{npde}\times \left(3\times \mathbf{npde}+\mathbf{npts}+21\right)+\mathbf{nv}+7\times \mathbf{npts}+3\text{,}& \text{when }\mathbf{nv}>0\text{ and }\mathbf{nxi}=0\text{; or}\\ \mathbf{npde}\times \left(3\times \mathbf{npde}+\mathbf{npts}+21\right)+7\times \mathbf{npts}+4\text{,}& \text{when }\mathbf{nv}=0\text{.}\end{array}\right.$
	$\mathit{lenode}=\left\{\begin{array}{ll}\left(6+\mathrm{int}\left(\mathbf{algopt}\left(2\right)\right)\right)\times \mathbf{neqn}+50\text{,}& \text{when the BDF method is used; or}\\ 9\times \mathbf{neqn}+50\text{,}& \text{when the Theta method is used.}\end{array}\right.$

Note: when using the sparse option, the value of lrsave may be too small when supplied to the integrator. An estimate of the minimum size of lrsave is printed on the current error message unit if $\mathbf{itrace}>0$ and the routine returns with $\mathbf{ifail}=\mathbf{15}$.

23:   $\mathbf{isave}\left(\mathbf{lisave}\right)$ – Integer arrayCommunication Array

If $\mathbf{ind}=0$, isave need not be set.

If $\mathbf{ind}=1$, isave must be unchanged from the previous call to the routine because it contains required information about the iteration. In particular the following components of the array isave concern the efficiency of the integration:

$\mathbf{isave}\left(1\right)$

Contains the number of steps taken in time.

$\mathbf{isave}\left(2\right)$

Contains the number of residual evaluations of the resulting ODE system used. One such evaluation involves evaluating the PDE functions at all the mesh points, as well as one evaluation of the functions in the boundary conditions.

$\mathbf{isave}\left(3\right)$

Contains the number of Jacobian evaluations performed by the time integrator.

$\mathbf{isave}\left(4\right)$

Contains the order of the ODE method last used in the time integration.

$\mathbf{isave}\left(5\right)$

Contains the number of Newton iterations performed by the time integrator. Each iteration involves residual evaluation of the resulting ODE system followed by a back-substitution using the $LU$ decomposition of the Jacobian matrix.

24:   $\mathbf{lisave}$ – IntegerInput

On entry: the dimension of the array isave as declared in the (sub)program from which d03pkf is called. Its size depends on the type of matrix algebra selected:

• if $\mathbf{laopt}=\text{'F'}$, $\mathbf{lisave}\ge 24$;
• if $\mathbf{laopt}=\text{'B'}$, $\mathbf{lisave}\ge \mathbf{neqn}+24$;
• if $\mathbf{laopt}=\text{'S'}$, $\mathbf{lisave}\ge 25\times \mathbf{neqn}+24$.

Note: when using the sparse option, the value of lisave may be too small when supplied to the integrator. An estimate of the minimum size of lisave is printed on the current error message unit if $\mathbf{itrace}>0$ and the routine returns with $\mathbf{ifail}=\mathbf{15}$.

25:   $\mathbf{itask}$ – IntegerInput

On entry: the task to be performed by the ODE integrator.

$\mathbf{itask}=1$

Normal computation of output values u at $t=\mathbf{tout}$ (by overshooting and interpolating).

$\mathbf{itask}=2$

Take one step in the time direction and return.

$\mathbf{itask}=3$

Stop at first internal integration point at or beyond $t=\mathbf{tout}$.

$\mathbf{itask}=4$

Normal computation of output values u at $t=\mathbf{tout}$ but without overshooting $t=t_{\mathrm{crit}}$ where $t_{\mathrm{crit}}$ is described under the argument algopt.

$\mathbf{itask}=5$

Take one step in the time direction and return, without passing $t_{\mathrm{crit}}$, where $t_{\mathrm{crit}}$ is described under the argument algopt.

Constraint: $\mathbf{itask}=1$, $2$, $3$, $4$ or $5$.

26:   $\mathbf{itrace}$ – IntegerInput

On entry: the level of trace information required from d03pkf and the underlying ODE solver as follows:

$\mathbf{itrace}\le -1$

No output is generated.

$\mathbf{itrace}=0$

Only warning messages from the PDE solver are printed on the current error message unit (see x04aaf).

$\mathbf{itrace}=1$

Output from the underlying ODE solver is printed on the current advisory message unit (see x04abf). This output contains details of Jacobian entries, the nonlinear iteration and the time integration during the computation of the ODE system.

$\mathbf{itrace}=2$

Output from the underlying ODE solver is similar to that produced when $\mathbf{itrace}=1$, except that the advisory messages are given in greater detail.

$\mathbf{itrace}\ge 3$

Output from the underlying ODE solver is similar to that produced when $\mathbf{itrace}=2$, except that the advisory messages are given in greater detail.

You advised to set $\mathbf{itrace}=0$, unless you are experienced with Sub-chapter D02M–N.

27:   $\mathbf{ind}$ – IntegerInput/Output

On entry: indicates whether this is a continuation call or a new integration.

$\mathbf{ind}=0$

Starts or restarts the integration in time.

$\mathbf{ind}=1$

Continues the integration after an earlier exit from the routine. In this case, only the arguments tout and ifail should be reset between calls to d03pkf.

Constraint: $\mathbf{ind}=0$ or $1$.

On exit: $\mathbf{ind}=1$.

28:   $\mathbf{ifail}$ – IntegerInput/Output

On entry: ifail must be set to $0$, $-1\text{ or }1$. If you are unfamiliar with this argument you should refer to Section 3.4 in How to Use the NAG Library and its Documentation for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value $-1\text{ or }1$ is recommended. If the output of error messages is undesirable, then the value $1$ is recommended. Otherwise, if you are not familiar with this argument, the recommended value is $0$. When the value $-\mathbf{1}\text{ or }\mathbf{1}$ is used it is essential to test the value of ifail on exit.

On exit: $\mathbf{ifail}=\mathbf{0}$ unless the routine detects an error or a warning has been flagged (see Section 6).

6

Error Indicators and Warnings

$\mathbf{ifail}=1$

On entry,	$\left(\mathbf{tout}-\mathbf{ts}\right)$ is too small,
or	$\mathbf{itask}\ne 1$, $2$, $3$, $4$ or $5$,
or	at least one of the coupling points defined in array xi is outside the interval [$\mathbf{x}\left(1\right),\mathbf{x}\left(\mathbf{npts}\right)$],
or	$\mathbf{npts}<3$,
or	$\mathbf{npde}<1$,
or	nleft not in range $0$ to npde,
or	$\mathbf{norm}\ne \text{'A'}$ or $\text{'M'}$,
or	$\mathbf{laopt}\ne \text{'F'}$, $\text{'B'}$ or $\text{'S'}$,
or	$\mathbf{itol}\ne 1$, $2$, $3$ or $4$,
or	$\mathbf{ind}\ne 0$ or $1$,
or	mesh points $\mathbf{x}\left(i\right)$ are badly ordered,
or	lrsave or lisave are too small,
or	nv and nxi are incorrectly defined,
or	$\mathbf{ind}=1$ on initial entry to d03pkf,
or	an element of rtol or $\mathbf{atol}<0.0$,
or	corresponding elements of atol and rtol are both $0.0$,
or	$\mathbf{neqn}\ne \mathbf{npde}\times \mathbf{npts}+\mathbf{nv}$.

$\mathbf{ifail}=2$

The underlying ODE solver cannot make any further progress, with the values of atol and rtol, across the integration range from the current point $t=\mathbf{ts}$. The components of u contain the computed values at the current point $t=\mathbf{ts}$.

$\mathbf{ifail}=3$

In the underlying ODE solver, there were repeated error test failures on an attempted step, before completing the requested task, but the integration was successful as far as $t=\mathbf{ts}$. The problem may have a singularity, or the error requirement may be inappropriate. Incorrect positioning of boundary conditions may also result in this error.

$\mathbf{ifail}=4$

In setting up the ODE system, the internal initialization routine was unable to initialize the derivative of the ODE system. This could be due to the fact that ires was repeatedly set to $3$ in one of pdedef, bndary or odedef, when the residual in the underlying ODE solver was being evaluated. Incorrect positioning of boundary conditions may also result in this error.

$\mathbf{ifail}=5$

In solving the ODE system, a singular Jacobian has been encountered. You should check their problem formulation.

$\mathbf{ifail}=6$

When evaluating the residual in solving the ODE system, ires was set to $2$ in one of pdedef, bndary or odedef. Integration was successful as far as $t=\mathbf{ts}$.

$\mathbf{ifail}=7$

The values of atol and rtol are so small that the routine is unable to start the integration in time.

$\mathbf{ifail}=8$

In either, pdedef, bndary or odedef, ires was set to an invalid value.

$\mathbf{ifail}=9$ (d02nnf)

A serious error has occurred in an internal call to the specified routine. Check the problem specification and all arguments and array dimensions. Setting $\mathbf{itrace}=1$ may provide more information. If the problem persists, contact NAG.

$\mathbf{ifail}=10$

The required task has been completed, but it is estimated that a small change in atol and rtol is unlikely to produce any change in the computed solution. (Only applies when you are not operating in one step mode, that is when $\mathbf{itask}\ne 2$ or $5$.)

$\mathbf{ifail}=11$

An error occurred during Jacobian formulation of the ODE system (a more detailed error description may be directed to the current advisory message unit). If using the sparse matrix algebra option, the values of $\mathbf{algopt}\left(29\right)$ and $\mathbf{algopt}\left(30\right)$ may be inappropriate.

$\mathbf{ifail}=12$

In solving the ODE system, the maximum number of steps specified in $\mathbf{algopt}\left(15\right)$ has been taken.

$\mathbf{ifail}=13$

Some error weights $w_i$ became zero during the time integration (see the description of itol). Pure relative error control $\left(\mathbf{atol}\left(i\right)=0.0\right)$ was requested on a variable (the $i$th) which has become zero. The integration was successful as far as $t=\mathbf{ts}$.

$\mathbf{ifail}=14$

Not applicable.

$\mathbf{ifail}=15$

When using the sparse option, the value of lisave or lrsave was insufficient (more detailed information may be directed to the current error message unit).

$\mathbf{ifail}=-99$

An unexpected error has been triggered by this routine. Please contact NAG.

See Section 3.9 in How to Use the NAG Library and its Documentation for further information.

$\mathbf{ifail}=-399$

Your licence key may have expired or may not have been installed correctly.

See Section 3.8 in How to Use the NAG Library and its Documentation for further information.

$\mathbf{ifail}=-999$

Dynamic memory allocation failed.

See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

7

Accuracy

8

Parallelism and Performance

9

Further Comments

10

Example

10.1

Program Text

Program Text (d03pkfe.f90)

10.2

Program Data

Program Data (d03pkfe.d)

10.3

Program Results

Program Results (d03pkfe.r)