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Course Contents

This document outlines the topics to be covered in a numerical differential equations course. The course will be divided into three parts: [1] initial-value problems for ordinary differential equations, including Euler methods, Runge-Kutta methods, and multi-step methods; [2] boundary-value problems for ODEs using shooting and finite difference methods; [3] partial differential equations, including explicit and implicit methods for solving heat equations in one, two and three dimensions. Stability, consistency, and convergence of the various numerical methods will also be discussed.

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102 views

Course Contents

This document outlines the topics to be covered in a numerical differential equations course. The course will be divided into three parts: [1] initial-value problems for ordinary differential equations, including Euler methods, Runge-Kutta methods, and multi-step methods; [2] boundary-value problems for ODEs using shooting and finite difference methods; [3] partial differential equations, including explicit and implicit methods for solving heat equations in one, two and three dimensions. Stability, consistency, and convergence of the various numerical methods will also be discussed.

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mooningearth2
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MATH 337 – Numerical Differential Equations

Part I: Initial-value problems for Ordinary Differential equations (ODEs).

1. Review. Euler method and its modifications for 1st-order ODEs.


• Taylor series.
• Existence and uniqueness theorem for ODEs.
• Analytic solution of a linear, inhomogeneous, 1st-order ODE.
• Simple (forward) Euler method.
• Truncation error and global error of the Euler method.
• Modifications of the Euler method: Modified Euler and Midpoint methods.
• How to improve the global error: Romberg method.
2. Runge-Kutta (RK) methods for 1st-order ODEs.
• Modified Euler and Midpoint methods as particular cases of RK methods.
• Higher-order RK methods; the Classical RK method.
• Estimation of the step size to achieve a prescribed accuracy; Runge-Kutta-Fehlberg method.

3. Multi-step methods; Predictor-corrector methods; Implicit methods for 1st-order ODEs.


• The idea behind the multi-step methods.
• Adams-Bashford, Leap-frog, and a 3rd-order divergent multi-step methods.
• Predictor-corrector methods.
• Implicit 1st and 2nd-order Euler methods.
4. Consistency, stability, and convergence of numerical methods for 1st-order ODEs.
• Definitions and main theorem: “consistency+stability =⇒ convergence”.
• The concept of stability of the analytical solution of a 1st-order linear ODE.
• Investigation of stability of methods introduced in previous lectures. Conditionally stable,
absolutely unstable, and absolutely stable methods.
5. Higher-order ODEs and systems of ODEs.
• Generalizations of the studied methods to systems of 1st-order ODEs.
• Higher-order ODEs as systems of 1st-order ODEs.
• Special discretization schemes for 2nd-order ODEs: Simple central-difference and higher-order
(Numerov’s) methods.
• Symplectic methods: simple examples (symplectic Euler and Verlet-Störmer methods), and
why they (sometimes) work better than non-symplectic methods.
• Stability of numerical methods for systems of ODEs and higher-order ODEs.
• Stiff equations.

Part II: Boundary-value problems (BVP) for ODEs.

6. Introduction. (Few available theorems about) existence and uniqueness of solutions of BVPs.

7. The shooting method.


• Shooting method for linear BVPs with Dirichlet and Neumann boundary conditions.
• Multiple shooting method.
• Shooting method for nonlinear BVPs.
8. Finite-difference methods for BVPs.
• The matrix problem for the discretized solution of a linear BVP with the Dirichlet boundary
conditions. Existence and uniqueness of solution to a matrix problem where the matrix is
diagonally dominant. Gerschgorin circles and eigenvalues of a matrix.
• Higher-order discretizations and an estimate of the error.

1
• Other types of boundary conditions.
• Iterative solutions of nonlinear BVPs.
9. Concepts behind Finite-Element methods.
• The collocation method.
• The Galerkin method.
10. Eigenvalue problems.
• Definition of eigenvalues and eigenfunctions of BVPs.
• Issues in finding eigenvalues of large matrices.
• Householder transformation of a matrix to an upper-Hessenberg form.
• Power method and its modifications.
• The shooting method.

Part III: Partial-differential equations (PDEs).

11. Classification of PDEs.


• Clasification of physical problems leading to PDEs.
• Clasification of PDEs. The concept, and significance, of charcteristics.
12. Parabolic PDEs in 1 spatial dimension (Heat equation): Simple explicit method and stability
analyses.
• Formulation of the model problem and the general property of the analytical solution.
• The simple explicit method for the Heat equation.
• The matrix and von Neumann stability analyses.
• Explicit methods of higher order.
• Effect of smoothness of the initial condition on the order of consistency of a numerical method.

13. Implicit methods for the Heat equation.


• Derivation of the Crank-Nicolson (CN) scheme.
• Truncation error of the CN scheme.
• Stability analysis of the CN and related methods.
• Improving the accuracy of the CN method.
14. Numerical methods for generalizations of the one-dimensional Heat equation.
• Derivative (Neumann) boundary conditions.
• Equations with variable coefficients.
• Nonlinear parabolic equations.
15. Heat equation in 2 and 3 spatial dimensions.
• The explicit method and the CN method for the 2-D Heat equation.
• Criteria for a computationally-efficient scheme in 2 dimensions.
• Alternating-Direction Implicit (ADI) methods: Peaceman-Rachford, Douglas-Rachford, and
D’yakonov methods.
16. Wave equation and other hyperbolic-type PDEs. (Covered if time permits)
• Simple difference methods for first-order hyperbolic equations.
• The Courant-Friedrichs-Lewy stability condition.
• Other methods: method of characteristics, Lax-Wendroff method, simple implicit method.

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