NAG Library Function Document

nag_ode_ivp_rk_setup (d02pvc)

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

1 Purpose

nag_ode_ivp_rk_setup (d02pvc) is a setup function which must be called prior to the first call of either of the integration functions nag_ode_ivp_rk_range (d02pcc) and nag_ode_ivp_rk_onestep (d02pdc).

2 Specification

#include <nag.h>

#include <nagd02.h>

void	nag_ode_ivp_rk_setup (Integer neq, double tstart, const double ystart[], double tend, double tol, const double thres[], Nag_RK_method method, Nag_RK_task task, Nag_ErrorAssess errass, double hstart, Nag_ODE_RK opt, NagError fail)

3 Description

nag_ode_ivp_rk_setup (d02pvc) and its associated functions (nag_ode_ivp_rk_range (d02pcc), nag_ode_ivp_rk_onestep (d02pdc), nag_ode_ivp_rk_reset_tend (d02pwc), nag_ode_ivp_rk_interp (d02pxc), nag_ode_ivp_rk_errass (d02pzc)) solve the initial value problem for a first order system of ordinary differential equations. The functions, based on Runge–Kutta methods and derived from RKSUITE (Brankin et al. (1991)) integrate

y^{'} = f (t, y) given y (t_{0}) = y_{0}

where

y

is the vector of neq solution components and

t

is the independent variable.

The integration proceeds by steps from the initial point

t_{0}

towards the final point

t_{f}

. An approximate solution

y

is computed at each step. For each component

y_{i}, i = 1, 2, \dots, neq

the error made in the step, i.e., the local error, is estimated. The step size is chosen automatically so that the integration will proceed efficiently while keeping this local error estimate smaller than a tolerance that you specify by means of arguments tol and thres.

nag_ode_ivp_rk_range (d02pcc) can be used to solve the ‘usual task’, namely integrating the system of differential equations to obtain answers at points you specify. nag_ode_ivp_rk_onestep (d02pdc) is used for all more ‘complicated tasks’.

You should consider carefully how you want the local error to be controlled. Essentially the code uses relative local error control, with tol being the desired relative accuracy. For reliable computation, the code must work with approximate solutions that have some correct digits, so there is an upper bound on the value you can specify for tol. It is impossible to compute a numerical solution that is more accurate than the correctly rounded value of the true solution, so you are not allowed to specify a tol that is too small for the precision you are using. The magnitude of the local error in

y_{i}

on any step will not be greater than

tol \times \max (σ_{i}, thres [i - 1])

where

σ_{i}

is an average magnitude of

y_{i}

over the step. If

thres [i - 1]

is smaller than the current value of

σ_{i}

, this is a relative error test and tol indicates how many significant digits you want in

y_{i}

. If

thres [i - 1]

is larger than the current value of

σ_{i}

, this is an absolute error test with tolerance

tol \times thres [i - 1]

. Relative error control is the recommended mode of operation, but pure relative error control,

thres [i - 1] = 0.0

, is not permitted. See Section 10 for further information about error control.

nag_ode_ivp_rk_range (d02pcc) and nag_ode_ivp_rk_onestep (d02pdc) control local error rather than the true (global) error, the difference between the numerical and true solution. Control of the local error controls the true error indirectly. Roughly speaking, the code produces a solution that satisfies the differential equation with a discrepancy bounded in magnitude by the error tolerance. What this implies about how close the numerical solution is to the true solution depends on the stability of the problem. Most practical problems are at least moderately stable, and the true error is then comparable to the error tolerance. To judge the accuracy of the numerical solution, you could reduce tol substantially, e.g., use

0.1 \times tol

, and solve the problem again. This will usually result in a rather more accurate solution, and the true error of the first integration can be estimated by comparison. Alternatively, a global error assessment can be computed automatically using the argument errass. Because indirect control of the true error by controlling the local error is generally satisfactory and because both ways of assessing true errors cost twice, or more, the cost of the integration itself, such assessments are used mostly for spot checks, selecting appropriate tolerances for local error control, and exploratory computations.

nag_ode_ivp_rk_range (d02pcc) and nag_ode_ivp_rk_onestep (d02pdc) each implement three Runge–Kutta formula pairs, and you must select one for the integration. The best choice for method depends on the problem. The order of accuracy is 3, 5, 8, corresponding to

method = Nag_RK_2_3

Nag_RK_4_5

Nag_RK_7_8

respectively. As a rule, the lower the value of tol, the higher the order of accuracy of the method. If the components thres are small enough that you are effectively specifying relative error control, experience suggests

tol	efficient method
$10^{- 2} - 10^{- 4}$	$Nag_RK_2_3$
$10^{- 3} - 10^{- 6}$	$Nag_RK_4_5$
$10^{- 5} -$	$Nag_RK_7_8$

The overlap in the ranges of tolerances appropriate for a given method merely reflects the dependence of efficiency on the problem being solved. Making tol smaller will normally make the integration more expensive. However, in the range of tolerances appropriate to a method, the increase in cost is modest. There are situations for which one method, or even this kind of code, is a poor choice. You should not specify a very small

thres [i - 1]

, when the

i

th solution component might vanish. In particular, you should not do this when

y_{i} = 0.0

. If you do, the code will have to work hard with any method to compute significant digits, but

method = Nag_RK_2_3

is a particularly poor choice in this situation. All three methods are inefficient when the problem is ‘stiff’. If it is only mildly stiff, you can solve it with acceptable efficiency with

method = Nag_RK_2_3

, but if it is moderately or very stiff, a code designed specifically for such problems will be much more efficient. The higher the order of accuracy of the method, the more smoothness is required of the solution for the method to be efficient.

When assessment of the true (global) error is requested, this error assessment is updated at each step. Its value can be obtained at any time by a call to nag_ode_ivp_rk_errass (d02pzc). The code monitors the computation of the global error assessment and reports any doubts it has about the reliability of the results. The assessment scheme requires some smoothness of

f (t, y)

, and it can be deceived if

f

is insufficiently smooth. At very crude tolerances the numerical solution can become so inaccurate that it is impossible to continue assessing the accuracy reliably. At very stringent tolerances the effects of finite precision arithmetic can make it impossible to assess the accuracy reliably. The cost of this is roughly twice the cost of the integration itself with

method = Nag_RK_4_5

Nag_RK_7_8

and three times with

method = Nag_RK_2_3

The first step of the integration is critical because it sets the scale of the problem. The integrator will find a starting step size automatically if you set the variable hstart to 0.0. Automatic selection of the first step is so effective that you should normally use it. Nevertheless, you might want to specify a trial value for the first step to be certain that the code recognizes the scale on which phenomena occur near the initial point. Also, automatic computation of the first step size involves some cost, so supplying a good value for this step size will result in a less expensive start. If you are confident that you have a good value, provide it in the variable hstart.

4 References

Brankin R W, Gladwell I and Shampine L F (1991) RKSUITE: A suite of Runge–Kutta codes for the initial value problems for ODEs SoftReport 91-S1 Southern Methodist University

5 Arguments

1: neq – IntegerInput

On entry: the number of ordinary differential equations in the system.

Constraint:

neq \geq 1

2: tstart – doubleInput

On entry: the initial value of the independent variable,

t_{0}

3: ystart[neq] – const doubleInput

On entry:

y_{0}

, the initial values of the solution,

y_{i}

for

i = 1, 2, \dots, neq

, at

t_{0}

4: tend – doubleInput

On entry: the final value of the independent variable,

t_{f}

, at which the solution is required. tstart and tend together determine the direction of integration.

Constraint: tend must be distinguishable from tstart for the method and the precision of the machine being used.

5: tol – doubleInput

On entry: a relative error tolerance.

Constraint:

10.0 \times machine precision \leq tol \leq 0.01

6: thres[neq] – const doubleInput

On entry: a vector of thresholds.

Constraint:

thres [i - 1] \geq \sqrt{ε}

, where

ε

is the smallest possible machine number (see X02AMC).

7: method – Nag_RK_methodInput

On entry: the Runge–Kutta method to be used.

$method = Nag_RK_2_3$: A 2(3) pair is used.
$method = Nag_RK_4_5$: A 4(5) pair is used.
$method = Nag_RK_7_8$: A 7(8) pair is used.

Constraint:

method = Nag_RK_2_3

Nag_RK_4_5

Nag_RK_7_8

8: task – Nag_RK_taskInput

On entry: determines whether the usual integration task is to be performed using nag_ode_ivp_rk_range (d02pcc) or a more complicated task is to be performed using nag_ode_ivp_rk_onestep (d02pdc).

$task = Nag_RK_range$: nag_ode_ivp_rk_range (d02pcc) is to be used for the integration.
$task = Nag_RK_onestep$: nag_ode_ivp_rk_onestep (d02pdc) is to be used for the integration.

Constraint:

task = Nag_RK_range

Nag_RK_onestep

9: errass – Nag_ErrorAssessInput

On entry: specifies whether a global error assessment is to be computed with the main integration.

errass = Nag_ErrorAssess_on

specifies that it is.

Constraint:

errass = Nag_ErrorAssess_on

Nag_ErrorAssess_off

10: hstart – doubleInput

On entry: a value for the size of the first step in the integration to be attempted. The absolute value of hstart is used with the direction being determined by tstart and tend. The actual first step taken by the integrator may be different to hstart if the underlying algorithm determines that hstart is unsuitable.

$hstart = 0.0$: The size of the first step is computed automatically.

Suggested value:

hstart = 0.0

11: opt – Nag_ODE_RK *Output

On exit: the structure of type Nag_ODE_RK initialized to appropriate values and to be passed unchanged to the integration functions nag_ode_ivp_rk_range (d02pcc) or nag_ode_ivp_rk_onestep (d02pdc). Memory will have been allocated by nag_ode_ivp_rk_setup (d02pvc). This memory is used by nag_ode_ivp_rk_range (d02pcc), nag_ode_ivp_rk_onestep (d02pdc), nag_ode_ivp_rk_interp (d02pxc), nag_ode_ivp_rk_reset_tend (d02pwc) and nag_ode_ivp_rk_errass (d02pzc). The library function nag_ode_ivp_rk_free (d02ppc) is provided so that this memory can be freed when the integration is complete or the setup function nag_ode_ivp_rk_setup (d02pvc) is to be re-entered.

12: fail – NagError *Input/Output

The NAG error argument (see Section 3.6 in the Essential Introduction).

6 Error Indicators and Warnings

NE_2_REAL_ARG_EQ: On entry, $tstart = ⟨value⟩$ while $tend = ⟨value⟩$ . These arguments must satisfy $tstart \neq tend$ .
NE_2_REAL_ARG_TOO_CLOSE: On entry, $tend = ⟨value⟩$ while $tstart = ⟨value⟩$ . These arguments must satisfy $abs (tend - tstart) \geq ⟨value⟩$ .
NE_ALLOC_FAIL: Dynamic memory allocation failed.
NE_BAD_PARAM: On entry, argument errass had an illegal value.
On entry, argument method had an illegal value.
On entry, argument task had an illegal value.
NE_INT_ARG_LT: On entry, $neq = ⟨value⟩$ .
Constraint: $neq \geq 1$ .
NE_REAL_ARRAY_INPUT: On entry, $thres [⟨value⟩] = ⟨value⟩$ .
Constraint: $thres [⟨value⟩] \geq ⟨value⟩$ .
NE_REAL_RANGE_CONS: On entry, $tol = ⟨value⟩$ and $10 \times machine precision = ⟨value⟩$ . The argument tol must satisfy $10 \times machine precision \leq tol \leq 0.01$ .

7 Accuracy

Not applicable.

8 Parallelism and Performance

Not applicable.

9 Further Comments

The value of the argument tend may be reset during the integration without the overhead associated with a complete restart; this can be achieved by a call to nag_ode_ivp_rk_reset_tend (d02pwc).

It is often the case that a solution component

y_{i}

is of no interest when it is smaller in magnitude than a certain threshold. You can inform the code of this by setting

thres [i - 1]

to this threshold. In this way you avoid the cost of computing significant digits in

y_{i}

when only the fact that it is smaller than the threshold is of interest. This matter is important when

y_{i}

vanishes, and in particular, when the initial value

ystart [i - 1]

vanishes. An appropriate threshold depends on the general size of

y_{i}

in the course of the integration. Physical reasoning may help you select suitable threshold values. If you do not know what to expect of

y

, you can find out by a preliminary integration using nag_ode_ivp_rk_range (d02pcc) with nominal values of thres. As nag_ode_ivp_rk_range (d02pcc) steps from

t_{0}

towards

t_{f}

for each

i = 1, 2, \dots, neq

it forms YMAX

[i - 1]

, the largest magnitude of

y_{i}

computed at any step in the integration so far. Using this you can determine more appropriate values for thres for an accurate integration. You might, for example, take