NAG Library Routine Document
D02BHF
1 Purpose
D02BHF integrates a system of firstorder ordinary differential equations over an interval with suitable initial conditions, using a Runge–Kutta–Merson method, until a userspecified 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 
REAL (KIND=nag_wp) 
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
from
$x={\mathbf{X}}$ towards
$x={\mathbf{XEND}}$ using a Merson form of the Runge–Kutta method. The system is defined by
FCN, which evaluates
${f}_{i}$ in terms of
$x$ and
${y}_{1},{y}_{2},\dots ,{y}_{\mathit{n}}$ (see
Section 5), and the values of
${y}_{1},{y}_{2},\dots ,{y}_{\mathit{n}}$ must be given at
$x={\mathbf{X}}$.
As the integration proceeds, a check is made on the function $g\left(x,y\right)$ 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 $g\left(x,y\right)$ is a continuous function of the variables, so that a solution of $g\left(x,y\right)=0$ can be determined by searching for a change in sign in $g\left(x,y\right)$.
The accuracy of the integration and, indirectly, of the determination of the position where
$g\left(x,y\right)=0$, 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 Arguments
 1: $\mathrm{X}$ – REAL (KIND=nag_wp)Input/Output

On entry: must be set to the initial value of the independent variable $x$.
On exit: the point where
$g\left(x,y\right)=0.0$ unless an error has occurred, when it contains the value of
$x$ at the error. In particular, if
$g\left(x,y\right)\ne 0.0$ anywhere on the range
X to
XEND, it will contain
XEND on exit.
 2: $\mathrm{XEND}$ – REAL (KIND=nag_wp)Input

On entry: the final value of the independent variable
$x$.
If ${\mathbf{XEND}}<{\mathbf{X}}$ on entry, integration proceeds in a negative direction.
 3: $\mathrm{N}$ – INTEGERInput

On entry: $\mathit{n}$, the number of differential equations.
Constraint:
${\mathbf{N}}>0$.
 4: $\mathrm{Y}\left({\mathbf{N}}\right)$ – REAL (KIND=nag_wp) arrayInput/Output

On entry: the initial values of the solution ${y}_{1},{y}_{2},\dots ,{y}_{\mathit{n}}$.
On exit: the computed values of the solution at the final point $x={\mathbf{X}}$.
 5: $\mathrm{TOL}$ – REAL (KIND=nag_wp)Input/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
$g\left(x,y\right)=0.0$.
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
$g\left(x,y\right)=0.0$ 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
${\mathbf{TOL}}={10.0}^{p}$ and
${\mathbf{TOL}}={10.0}^{p1}$ if
$p$ correct decimal digits in the solution are required.
Constraint:
${\mathbf{TOL}}>0.0$.
On exit: normally unchanged. However if the range from
$x={\mathbf{X}}$ to the position where
$g\left(x,y\right)=0.0$ (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
${\mathbf{TOL}}<0.0$, D02BHF should be called again with a positive value of
TOL whose magnitude is considerably smaller than that of the previous call.
 6: $\mathrm{IRELAB}$ – INTEGERInput

On entry: determines the type of error control. At each step in the numerical solution an estimate of the local error,
$\mathit{est}$, is made. For the current step to be accepted the following condition must be satisfied:
 ${\mathbf{IRELAB}}=0$
 $\mathit{est}\le {\mathbf{TOL}}\times \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left\{1.0,\left{y}_{1}\right,\left{y}_{2}\right,\dots ,\left{y}_{\mathit{n}}\right\right\}$;
 ${\mathbf{IRELAB}}=1$
 $\mathit{est}\le {\mathbf{TOL}}$;
 ${\mathbf{IRELAB}}=2$
 $\mathit{est}\le {\mathbf{TOL}}\times \mathrm{max}\phantom{\rule{0.125em}{0ex}}\left\{\epsilon ,\left{y}_{1}\right,\left{y}_{2}\right,\dots ,\left{y}_{\mathit{n}}\right\right\}$, where $\epsilon $ 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 set ${\mathbf{IRELAB}}=1$ on entry, whereas if the error requirement is in terms of the number of correct significant digits, then set ${\mathbf{IRELAB}}=2$. Where there is no preference in the choice of error test, ${\mathbf{IRELAB}}=0$ will result in a mixed error test. It should be borne in mind that the computed solution will be used in evaluating $g\left(x,y\right)$.
Constraint:
${\mathbf{IRELAB}}=0$, $1$ or $2$.
 7: $\mathrm{HMAX}$ – REAL (KIND=nag_wp)Input

On entry: if
${\mathbf{HMAX}}=0.0$, no special action is taken.
If
${\mathbf{HMAX}}\ne 0.0$, a check is made for a change in sign of
$g\left(x,y\right)$ at steps not greater than
$\left{\mathbf{HMAX}}\right$. 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
$g\left(x,y\right)$ are expected within a distance
$h$, say, of each other, then a suitable value for
HMAX might be
${\mathbf{HMAX}}=h/2$. If only one change of sign in
$g\left(x,y\right)$ is expected on the range
X to
XEND, then the choice
${\mathbf{HMAX}}=0.0$ is most appropriate.
 8: $\mathrm{FCN}$ – SUBROUTINE, supplied by the user.External Procedure

FCN must evaluate the functions
${f}_{i}$ (i.e., the derivatives
${y}_{i}^{\prime}$) for given values of its arguments
$x,{y}_{1},\dots ,{y}_{\mathit{n}}$.
The specification of
FCN is:
SUBROUTINE FCN ( 
X, Y, F) 
REAL (KIND=nag_wp) 
X, Y(*), F(*) 

In the description of the arguments of D02BHF below,
$\mathit{n}$ denotes the value of
N in the call of D02BHF.
 1: $\mathrm{X}$ – REAL (KIND=nag_wp)Input

On entry: $x$, the value of the argument.
 2: $\mathrm{Y}\left(*\right)$ – REAL (KIND=nag_wp) arrayInput

On entry: ${y}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,\mathit{n}$, the value of the argument.
 3: $\mathrm{F}\left(*\right)$ – REAL (KIND=nag_wp) arrayOutput

On exit: the value of
${f}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,\mathit{n}$.
FCN must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D02BHF is called. Arguments denoted as
Input must
not be changed by this procedure.
 9: $\mathrm{G}$ – REAL (KIND=nag_wp) FUNCTION, supplied by the user.External Procedure

G must evaluate the function
$g\left(x,y\right)$ at a specified point.
The specification of
G is:
REAL (KIND=nag_wp) 
X, Y(*) 

In the description of the arguments of D02BHF below,
$\mathit{n}$ denotes the value of
N in the call of D02BHF.
 1: $\mathrm{X}$ – REAL (KIND=nag_wp)Input

On entry: $x$, the value of the independent variable.
 2: $\mathrm{Y}\left(*\right)$ – REAL (KIND=nag_wp) arrayInput

On entry: the value of
${y}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,\mathit{n}$.
G must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D02BHF is called. Arguments denoted as
Input must
not be changed by this procedure.
 10: $\mathrm{W}\left({\mathbf{N}},7\right)$ – REAL (KIND=nag_wp) arrayWorkspace

 11: $\mathrm{IFAIL}$ – 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
If on entry
${\mathbf{IFAIL}}=0$ or
$1$, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
 ${\mathbf{IFAIL}}=1$

On entry,  ${\mathbf{TOL}}\le 0.0$, 
or  ${\mathbf{N}}\le 0$, 
or  ${\mathbf{IRELAB}}\ne 0$, $1$ or $2$. 
 ${\mathbf{IFAIL}}=2$

With the given value of
TOL, no further progress can be made across the integration range from the current point
$x={\mathbf{X}}$, or dependence of the error on
TOL would be lost if further progress across the integration range were attempted (see
Section 9 for a discussion of this error exit). The components
${\mathbf{Y}}\left(1\right),{\mathbf{Y}}\left(2\right),\dots ,{\mathbf{Y}}\left(\mathit{n}\right)$ contain the computed values of the solution at the current point
$x={\mathbf{X}}$. No point at which
$g\left(x,y\right)$ changes sign has been located up to the point
$x={\mathbf{X}}$.
 ${\mathbf{IFAIL}}=3$

TOL is too small for D02BHF to take an initial step (see
Section 9).
X and
${\mathbf{Y}}\left(1\right),{\mathbf{Y}}\left(2\right),\dots ,{\mathbf{Y}}\left(\mathit{n}\right)$ retain their initial values.
 ${\mathbf{IFAIL}}=4$

At no point in the range
X to
XEND did the function
$g\left(x,y\right)$ change sign. It is assumed that
$g\left(x,y\right)=0.0$ has no solution.
 ${\mathbf{IFAIL}}=5$ (C05AZF)

A serious error has occurred in an internal call to the specified routine. Check all subroutine calls and array dimensions. Seek expert help.
 ${\mathbf{IFAIL}}=6$

A serious error has occurred in an internal call to an integration routine. Check all subroutine calls and array dimensions. Seek expert help.
 ${\mathbf{IFAIL}}=7$

A serious error has occurred in an internal call to an interpolation routine. Check all (sub)program calls and array dimensions. Seek expert help.
 ${\mathbf{IFAIL}}=99$
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
The accuracy depends on
TOL, on the mathematical properties of the differential system, on the position where
$g\left(x,y\right)=0.0$ 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
${\mathbf{IFAIL}}={\mathbf{2}}$ or
${\mathbf{3}}$ is possible.
The accuracy may also be restricted by the properties of
$g\left(x,y\right)$. You should try to code
G without introducing any unnecessary cancellation errors.
8 Parallelism and Performance
D02BHF is not threaded in any implementation.
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
$a+b\times \mathit{n}$ where
$a$ and
$b$ are machinedependent computing times.
For some problems it is possible that D02BHF will return
${\mathbf{IFAIL}}={\mathbf{4}}$ because of inaccuracy of the computed values
Y, leading to inaccuracy in the computed values of
$g\left(x,y\right)$ used in the search for the solution of
$g\left(x,y\right)=0.0$. 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
$g\left(x,y\right)=0.0$; for example make
$\left{\mathbf{XEND}}{\mathbf{X}}\right$ 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
${\mathbf{IFAIL}}={\mathbf{3}}$, 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
${\mathbf{IFAIL}}={\mathbf{2}}$, 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 wellbehaved 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 ${\mathbf{IFAIL}}={\mathbf{2}}$, unless overflow occurs first. If overflow occurs using D02BHF, D02PFF 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 ${\mathbf{IFAIL}}={\mathbf{2}}$. 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, D02PEF may be used. 
For wellbehaved 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
D02PFF.
D02PFF is a more general routine with many facilities including a more general error control criterion.
D02PFF can be combined with the rootfinder
C05AZF and the interpolation routine
D02PSF to solve equations involving
${y}_{1},{y}_{2},\dots ,{y}_{\mathit{n}}$ and their derivatives.
D02BHF can also be used to solve an equation involving
$x$,
${y}_{1},{y}_{2},\dots ,{y}_{\mathit{n}}$ and the derivatives of
${y}_{1},{y}_{2},\dots ,{y}_{\mathit{n}}$. For example in
Section 10, D02BHF is used to find a value of
${\mathbf{X}}>0.0$ where
${\mathbf{Y}}\left(1\right)=0.0$. It could instead be used to find a turningpoint of
${y}_{1}$ by replacing the function
$g\left(x,y\right)$ in the program by:
REAL (kind=nag_wp) FUNCTION G(X,Y)
REAL (kind=nag_wp) 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
$g\left(x,y\right)$. If later zeros are required, you are strongly advised to construct your own more general rootfinding routines as discussed above.
10 Example
This example finds the value
${\mathbf{X}}>0.0$ at which
$y=0.0$, where
$y$,
$v$,
$\varphi $ are defined by
and where at
${\mathbf{X}}=0.0$ we are given
$y=0.5$,
$v=0.5$ and
$\varphi =\pi /5$. We write
$y={\mathbf{Y}}\left(1\right)$,
$v={\mathbf{Y}}\left(2\right)$ and
$\varphi ={\mathbf{Y}}\left(3\right)$ and we set
${\mathbf{TOL}}=\text{1.0E\u22124}$ and
${\mathbf{TOL}}=\text{1.0E\u22125}$ in turn so that we can compare the solutions. We expect the solution
${\mathbf{X}}\simeq 7.3$ and so we set
${\mathbf{XEND}}=10.0$ to avoid determining the solution of
$y=0.0$ too near the end of the range of integration. The initial values and range are read from a data file.
10.1 Program Text
Program Text (d02bhfe.f90)
10.2 Program Data
Program Data (d02bhfe.d)
10.3 Program Results
Program Results (d02bhfe.r)