NAG Library Routine Document

D02BHF

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Parameters

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

+− 9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

1 Purpose

D02BHF integrates a system of first-order ordinary differential equations over an interval with suitable initial conditions, using a Runge–Kutta–Merson method, until a user-specified function of the solution is zero.

2 Specification

SUBROUTINE D02BHF (	X, XEND, N, Y, TOL, IRELAB, HMAX, FCN, G, W, IFAIL)
INTEGER	N, IRELAB, IFAIL
*double precision*	X, XEND, Y(N), TOL, HMAX, G, W(N,7)
EXTERNAL	FCN, G

3 Description

D02BHF advances the solution of a system of ordinary differential equations

yi′=fix,y1,y2,…,yn, i=1,2,…,n,

from x=X towards x=XEND using a Merson form of the Runge–Kutta method. The system is defined by FCN, which evaluates fi in terms of x and y1,y2,…,yn (see Section 5), and the values of y1,y2,…,yn must be given at x=X.

As the integration proceeds, a check is made on the function gx,y specified by you, to determine an interval where it changes sign. The position of this sign change is then determined accurately by interpolating for the solution and its derivative. It is assumed that gx,y is a continuous function of the variables, so that a solution of gx,y=0 can be determined by searching for a change in sign in gx,y.

The accuracy of the integration and, indirectly, of the determination of the position where gx,y=0, is controlled by TOL.

For a description of Runge–Kutta methods and their practical implementation see Hall and Watt (1976).

4 References

Hall G and Watt J M (ed.) (1976) Modern Numerical Methods for Ordinary Differential Equations Clarendon Press, Oxford

5 Parameters

1: X – double precisionInput/Output

On entry: must be set to the initial value of the independent variable x.

On exit: the point where gx,y=0.0 unless an error has occurred, when it contains the value of x at the error. In particular, if gx,y≠0.0 anywhere on the range X to XEND, it will contain XEND on exit.

2: XEND – double precisionInput

On entry: the final value of the independent variable x.

If XEND<X on entry, integration proceeds in a negative direction.

3: N – INTEGERInput

On entry: n, the number of differential equations.

Constraint: N>0.

4: Y(N) – double precision arrayInput/Output

On entry: the initial values of the solution y1,y2,…,yn.

On exit: the computed values of the solution at the final point x=X.

5: TOL – double precisionInput/Output

On entry: must be set to a positive tolerance for controlling the error in the integration and in the determination of the position where gx,y=0.0.

D02BHF has been designed so that, for most problems, a reduction in TOL leads to an approximately proportional reduction in the error in the solution obtained in the integration. The relation between changes in TOL and the error in the determination of the position where gx,y=0.0 is less clear, but for TOL small enough the error should be approximately proportional to TOL. However, the actual relation between TOL and the accuracy cannot be guaranteed. You are strongly recommended to call D02BHF with more than one value for TOL and to compare the results obtained to estimate their accuracy. In the absence of any prior knowledge you might compare results obtained by calling D02BHF with TOL=10.0-p and TOL=10.0-p-1 if p correct decimal digits in the solution are required.

Constraint: TOL>0.0.

On exit: normally unchanged. However if the range from x=X to the position where gx,y=0.0 (or to the final value of x if an error occurs) is so short that a small change in TOL is unlikely to make any change in the computed solution, then TOL is returned with its sign changed. To check results returned with TOL<0.0, D02BHF should be called again with a positive value of TOL whose magnitude is considerably smaller than that of the previous call.

6: IRELAB – INTEGERInput

On entry: determines the type of error control. At each step in the numerical solution an estimate of the local error, est, is made. For the current step to be accepted the following condition must be satisfied:

IRELAB=0: est≤TOL×max1.0,y1,y2,…,yn;
IRELAB=1: est≤TOL;
IRELAB=2: est≤TOL×maxε,y1,y2,…,yn, where ε is machine precision.

If the appropriate condition is not satisfied, the step size is reduced and the solution recomputed on the current step.

If you wish to measure the error in the computed solution in terms of the number of correct decimal places, then IRELAB should be given the value 1 on entry, whereas if the error requirement is in terms of the number of correct significant digits, then IRELAB should be given the value 2. Where there is no preference in the choice of error test, IRELAB=0 will result in a mixed error test. It should be borne in mind that the computed solution will be used in evaluating gx,y.

Constraint: IRELAB=0, 1 or 2.

7: HMAX – double precisionInput

On entry: if HMAX=0.0, no special action is taken.

If HMAX≠0.0, a check is made for a change in sign of gx,y at steps not greater than HMAX. This facility should be used if there is any chance of ‘missing’ the change in sign by checking too infrequently. For example, if two changes of sign of gx,y are expected within a distance h, say, of each other, then a suitable value for HMAX might be HMAX=h/2. If only one change of sign in gx,y is expected on the range X to XEND, then the choice HMAX=0.0 is most appropriate.

8: FCN – SUBROUTINE, supplied by the user.External Procedure

FCN must evaluate the functions fi (i.e., the derivatives yi′) for given values of its arguments x,y1,…,yn.

The specification of FCN is:

SUBROUTINE FCN (	X, Y, F)
*double precision*	X, Y(n), F(n)

where n is the value of N in the call of D02BHF.

1: X – double precisionInput: On entry: x, the value of the argument.
2: Y(n) – double precision arrayInput: On entry: yi, the value of the argument, for i=1,2,…,n.
3: F(n) – double precision arrayOutput: On exit: the value of fi, for i=1,2,…,n.

FCN must be declared as EXTERNAL in the (sub)program from which D02BHF is called. Parameters denoted as Input must not be changed by this procedure.

9: G – double precision FUNCTION, supplied by the user.External Procedure

G must evaluate the function gx,y at a specified point.

The specification of G is:

*double precision* FUNCTION G (	X, Y)
*double precision*	X, Y(n)

where n is the value of N in the call of D02BHF.

1: X – double precisionInput: On entry: x, the value of the independent variable.
2: Y(n) – double precision arrayInput: On entry: the value of yi, for i=1,2,…,n.

G must be declared as EXTERNAL in the (sub)program from which D02BHF is called. Parameters denoted as Input must not be changed by this procedure.

10: W(N,7) – double precision arrayWorkspace

11: IFAIL – INTEGERInput/Output

On entry: IFAIL must be set to 0, -1 or 1. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

On exit: IFAIL=0 unless the routine detects an error (see Section 6).

For environments where it might be inappropriate to halt program execution when an error is detected, the value -1 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 parameter, the recommended value is 0. When the value -1 or 1 is used it is essential to test the value of IFAIL on exit.

6 Error Indicators and Warnings

If on entry IFAIL=0 or -1, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

IFAIL=1: On entry, TOL≤0.0,
or N≤0,
or IRELAB≠0, 1 or 2.

IFAIL=2: With the given value of TOL, no further progress can be made across the integration range from the current point x=X, or dependence of the error on TOL would be lost if further progress across the integration range were attempted (see Section 8 for a discussion of this error exit). The components Y1,Y2,…,Yn contain the computed values of the solution at the current point x=X. No point at which gx,y changes sign has been located up to the point x=X.

IFAIL=3: TOL is too small for D02BHF to take an initial step (see Section 8). X and Y1,Y2,…,Yn retain their initial values.

IFAIL=4: At no point in the range X to XEND did the function gx,y change sign. It is assumed that gx,y=0.0 has no solution.

IFAIL=5 (C05AZF): A serious error has occurred in an internal call to the specified routine. Check all subroutine calls and array dimensions. Seek expert help.

IFAIL=6: A serious error has occurred in an internal call to an integration routine. Check all subroutine calls and array dimensions. Seek expert help.

IFAIL=7: A serious error has occurred in an internal call to an interpolation routine. Check all (sub)program calls and array dimensions. Seek expert help.

7 Accuracy

The accuracy depends on TOL, on the mathematical properties of the differential system, on the position where gx,y=0.0 and on the method. It can be controlled by varying TOL but the approximate proportionality of the error to TOL holds only for a restricted range of values of TOL. For TOL too large, the underlying theory may break down and the result of varying TOL may be unpredictable. For TOL too small, rounding error may affect the solution significantly and an error exit with IFAIL=2 or 3 is possible.

The accuracy may also be restricted by the properties of gx,y. You should try to code G without introducing any unnecessary cancellation errors.

8 Further Comments

The time taken by D02BHF depends on the complexity and mathematical properties of the system of differential equations defined by FCN, the complexity of G, on the range, the position of the solution and the tolerance. There is also an overhead of the form a+b×n where a and b are machine-dependent computing times.

For some problems it is possible that D02BHF will return IFAIL=4 because of inaccuracy of the computed values Y, leading to inaccuracy in the computed values of gx,y used in the search for the solution of gx,y=0.0. This difficulty can be overcome by reducing TOL sufficiently, and if necessary, by choosing HMAX sufficiently small. If possible, you should choose XEND well beyond the expected point where gx,y=0.0; for example make XEND-X about 50% larger than the expected range. As a simple check, if, with XEND fixed, a change in TOL does not lead to a significant change in Y at XEND, then inaccuracy is not a likely source of error.

If D02BHF fails with IFAIL=3, then it could be called again with a larger value of TOL if this has not already been tried. If the accuracy requested is really needed and cannot be obtained with this routine, the system may be very stiff (see below) or so badly scaled that it cannot be solved to the required accuracy.

If D02BHF fails with IFAIL=2, it is likely that it has been called with a value of TOL which is so small that a solution cannot be obtained on the range X to XEND. This can happen for well-behaved systems and very small values of TOL. You should, however, consider whether there is a more fundamental difficulty. For example:

(a)

in the region of a singularity (infinite value) of the solution, the routine will usually stop with IFAIL=2, unless overflow occurs first. If overflow occurs using D02BHF, D02PDF can be used instead to detect the increasing solution, before overflow occurs. In any case, numerical integration cannot be continued through a singularity, and analytical treatment should be considered;

(b)

for ‘stiff’ equations, where the solution contains rapidly decaying components, the routine will compute in very small steps in x (internally to D02BHF) to preserve stability. This will usually exhibit itself by making the computing time excessively long, or occasionally by an exit with IFAIL=2. Merson's method is not efficient in such cases, and you should try D02EJF which uses a Backward Differentiation Formula method. To determine whether a problem is stiff, D02PCF may be used.

For well-behaved systems with no difficulties such as stiffness or singularities, the Merson method should work well for low accuracy calculations (three or four figures). For high accuracy calculations or where FCN is costly to evaluate, Merson's method may not be appropriate and a computationally less expensive method may be D02CJF which uses an Adams method.

For problems for which D02BHF is not sufficiently general, you should consider D02PDF. D02PDF is a more general routine with many facilities including a more general error control criterion. D02PDF can be combined with the rootfinder C05AZF and the interpolation routine D02PXF to solve equations involving y1,y2,…,yn and their derivatives.

D02BHF can also be used to solve an equation involving x, y1,y2,…,yn and the derivatives of y1,y2,…,yn. For example in Section 9, D02BHF is used to find a value of X>0.0 where Y1=0.0. It could instead be used to find a turning-point of y1 by replacing the function gx,y in the program by:

double precision FUNCTION G(X,Y)
double precision X,Y(3),F(3)
CALL FCN(X,Y,F)
G = F(1)
RETURN
END

This routine is only intended to locate the first zero of gx,y. If later zeros are required, you are strongly advised to construct your own more general root-finding routines as discussed above.