This module provides adaptive Runge-Kutta methods for ODEs.

Adaptive methods are designed to produce an estimate of the local truncation error of a single Runge–Kutta step. This is done by having two methods, one with order $$p$$ and one with order $$p-1$$. These methods are interwoven, i.e., they have common intermediate steps. Thanks to this, estimating the error has little or negligible computational cost compared to a step with the higher-order method.

During the integration, the step size is adapted such that the estimated error stays below a user-defined threshold: If the error is too high, a step is repeated with a lower step size; if the error is much smaller, the step size is increased to save time. This results in an (almost) optimal step size, which saves computation time. Moreover, the user does not have to spend time on finding an appropriate step size.

The lower-order step is given by

$y_{n+1}^{*}=y_{n}+h\sum _{i=1}^{s}b_{i}^{*}k_{i},$

where $$k_{i}$$ are the same as for the higher-order method. Then the error is

$e_{n+1}=y_{n+1}-y_{n+1}^{*}=h\sum _{i=1}^{s}(b_{i}-b_{i}^{*})k_{i},$

which is ($$O(h^{p}$$).

The Butcher tableau for this kind of method is extended to give the values of $$b_{i}^{*}$$:

$\begin{split}\begin{array}{c|llll} 0 & & & & & \\ c_{2} & a_{21} & & & & \\ c_{3} & a_{31} & a_{32} & & & \\ \vdots & \vdots & & \ddots & \\ c_{s} & a_{s 1} & a_{s 2} & \cdots & a_{s, s-1} \\ \hline & b_{1} & b_{2} & \cdots & b_{s-1} & b_{s} \\ & b_{1}^{*} & b_{2}^{*} & \cdots & b_{s-1}^{*} & b_{s}^{*} \end{array}\end{split}$

More details please check _ _ 3.

1

https://en.wikipedia.org/wiki/Runge%E2%80%93Kutta_methods

2

Press, W.H., Press, W.H., Flannery, B.P., Teukolsky, S.A., Vetterling, W.T., Flannery, B.P. and Vetterling, W.T., 1989. Numerical recipes in Pascal: the art of scientific computing (Vol. 1). Cambridge university press.

3

Press, W. H., & Teukolsky, S. A. (1992). Adaptive Stepsize Runge‐Kutta Integration. Computers in Physics, 6(2), 188-191.

 AdaptiveRKIntegrator(f[, var_type, dt, ...]) Adaptive Runge-Kutta method for ordinary differential equations. RKF12(f[, var_type, dt, name, adaptive, ...]) The Fehlberg RK1(2) method for ODEs. RKF45(f[, var_type, dt, name, adaptive, ...]) The Runge–Kutta–Fehlberg method for ODEs. DormandPrince(f[, var_type, dt, name, ...]) The Dormand–Prince method for ODEs. CashKarp(f[, var_type, dt, name, adaptive, ...]) The Cash–Karp method for ODEs. BogackiShampine(f[, var_type, dt, name, ...]) The Bogacki–Shampine method for ODEs. HeunEuler(f[, var_type, dt, name, adaptive, ...]) The Heun–Euler method for ODEs.

Adaptive Runge-Kutta method for ordinary differential equations.

The embedded methods are designed to produce an estimate of the local truncation error of a single Runge-Kutta step, and as result, allow to control the error with adaptive step-size. This is done by having two methods in the tableau, one with order p and one with order $$p-1$$.

The lower-order step is given by

$y^*_{n+1} = y_n + h\sum_{i=1}^s b^*_i k_i,$

where the $$k_{i}$$ are the same as for the higher order method. Then the error is

$e_{n+1} = y_{n+1} - y^*_{n+1} = h\sum_{i=1}^s (b_i - b^*_i) k_i,$

which is $$O(h^{p})$$. The Butcher Tableau for this kind of method is extended to give the values of $$b_{i}^{*}$$

$\begin{split}\begin{array}{c|cccc} c_1 & a_{11} & a_{12}& \dots & a_{1s}\\ c_2 & a_{21} & a_{22}& \dots & a_{2s}\\ \vdots & \vdots & \vdots& \ddots& \vdots\\ c_s & a_{s1} & a_{s2}& \dots & a_{ss} \\ \hline & b_1 & b_2 & \dots & b_s\\ & b_1^* & b_2^* & \dots & b_s^*\\ \end{array}\end{split}$
Parameters
• f (callable) – The derivative function.

• show_code (bool) – Whether show the formatted code.

• dt (float) – The numerical precision.

• tol (float) – The error tolerence.

• var_type (str) – The variable type.

The Fehlberg RK1(2) method for ODEs.

The Fehlberg method has two methods of orders 1 and 2.

It has the characteristics of:

• method stage = 2

• method order = 1

• Butcher Tables:

$\begin{split}\begin{array}{l|ll} 0 & & \\ 1 / 2 & 1 / 2 & \\ 1 & 1 / 256 & 255 / 256 & \\ \hline & 1 / 512 & 255 / 256 & 1 / 512 \\ & 1 / 256 & 255 / 256 & 0 \end{array}\end{split}$

References

1

Fehlberg, E. (1969-07-01). “Low-order classical Runge-Kutta formulas with stepsize control and their application to some heat transfer problems”

The Runge–Kutta–Fehlberg method for ODEs.

The method presented in Fehlberg’s 1969 paper has been dubbed the RKF45 method, and is a method of order $$O(h^4)$$ with an error estimator of order $$O(h^5)$$. The novelty of Fehlberg’s method is that it is an embedded method from the Runge–Kutta family, meaning that identical function evaluations are used in conjunction with each other to create methods of varying order and similar error constants.

Its Butcher table is:

$\begin{split}\begin{array}{l|lllll} 0 & & & & & & \\ 1 / 4 & 1 / 4 & & & & \\ 3 / 8 & 3 / 32 & 9 / 32 & & \\ 12 / 13 & 1932 / 2197 & -7200 / 2197 & 7296 / 2197 & \\ 1 & 439 / 216 & -8 & 3680 / 513 & -845 / 4104 & & \\ 1 / 2 & -8 / 27 & 2 & -3544 / 2565 & 1859 / 4104 & -11 / 40 & \\ \hline & 16 / 135 & 0 & 6656 / 12825 & 28561 / 56430 & -9 / 50 & 2 / 55 \\ & 25 / 216 & 0 & 1408 / 2565 & 2197 / 4104 & -1 / 5 & 0 \end{array}\end{split}$

References

1

https://en.wikipedia.org/wiki/Runge%E2%80%93Kutta%E2%80%93Fehlberg_method

2

Erwin Fehlberg (1969). Low-order classical Runge-Kutta formulas with step size control and their application to some heat transfer problems . NASA Technical Report 315. https://ntrs.nasa.gov/api/citations/19690021375/downloads/19690021375.pdf

The Dormand–Prince method for ODEs.

The DOPRI method, is an explicit method for solving ordinary differential equations (Dormand & Prince 1980). The Dormand–Prince method has seven stages, but it uses only six function evaluations per step because it has the FSAL (First Same As Last) property: the last stage is evaluated at the same point as the first stage of the next step. Dormand and Prince chose the coefficients of their method to minimize the error of the fifth-order solution. This is the main difference with the Fehlberg method, which was constructed so that the fourth-order solution has a small error. For this reason, the Dormand–Prince method is more suitable when the higher-order solution is used to continue the integration, a practice known as local extrapolation (Shampine 1986; Hairer, Nørsett & Wanner 2008, pp. 178–179).

Its Butcher table is:

$\begin{split}\begin{array}{l|llllll} 0 & \\ 1 / 5 & 1 / 5 & & & \\ 3 / 10 & 3 / 40 & 9 / 40 & & & \\ 4 / 5 & 44 / 45 & -56 / 15 & 32 / 9 & & \\ 8 / 9 & 19372 / 6561 & -25360 / 2187 & 64448 / 6561 & -212 / 729 & \\ 1 & 9017 / 3168 & -355 / 33 & 46732 / 5247 & 49 / 176 & -5103 / 18656 & \\ 1 & 35 / 384 & 0 & 500 / 1113 & 125 / 192 & -2187 / 6784 & 11 / 84 & \\ \hline & 35 / 384 & 0 & 500 / 1113 & 125 / 192 & -2187 / 6784 & 11 / 84 & 0 \\ & 5179 / 57600 & 0 & 7571 / 16695 & 393 / 640 & -92097 / 339200 & 187 / 2100 & 1 / 40 \end{array}\end{split}$

References

1

https://en.wikipedia.org/wiki/Dormand%E2%80%93Prince_method

2

Dormand, J. R.; Prince, P. J. (1980), “A family of embedded Runge-Kutta formulae”, Journal of Computational and Applied Mathematics, 6 (1): 19–26, doi:10.1016/0771-050X(80)90013-3.

The Cash–Karp method for ODEs.

The Cash–Karp method was proposed by Professor Jeff R. Cash from Imperial College London and Alan H. Karp from IBM Scientific Center. it uses six function evaluations to calculate fourth- and fifth-order accurate solutions. The difference between these solutions is then taken to be the error of the (fourth order) solution. This error estimate is very convenient for adaptive stepsize integration algorithms.

It has the characteristics of:

• method stage = 6

• method order = 4

• Butcher Tables:

$\begin{split}\begin{array}{l|lllll} 0 & & & & & & \\ 1 / 5 & 1 / 5 & & & & & \\ 3 / 10 & 3 / 40 & 9 / 40 & & & \\ 3 / 5 & 3 / 10 & -9 / 10 & 6 / 5 & & \\ 1 & -11 / 54 & 5 / 2 & -70 / 27 & 35 / 27 & & \\ 7 / 8 & 1631 / 55296 & 175 / 512 & 575 / 13824 & 44275 / 110592 & 253 / 4096 & \\ \hline & 37 / 378 & 0 & 250 / 621 & 125 / 594 & 0 & 512 / 1771 \\ & 2825 / 27648 & 0 & 18575 / 48384 & 13525 / 55296 & 277 / 14336 & 1 / 4 \end{array}\end{split}$

References

1

https://en.wikipedia.org/wiki/Cash%E2%80%93Karp_method

2

J. R. Cash, A. H. Karp. “A variable order Runge-Kutta method for initial value problems with rapidly varying right-hand sides”, ACM Transactions on Mathematical Software 16: 201-222, 1990. doi:10.1145/79505.79507

The Bogacki–Shampine method for ODEs.

The Bogacki–Shampine method was proposed by Przemysław Bogacki and Lawrence F. Shampine in 1989 (Bogacki & Shampine 1989). The Bogacki–Shampine method is a Runge–Kutta method of order three with four stages with the First Same As Last (FSAL) property, so that it uses approximately three function evaluations per step. It has an embedded second-order method which can be used to implement adaptive step size.

It has the characteristics of:

• method stage = 4

• method order = 3

• Butcher Tables:

$\begin{split}\begin{array}{l|lll} 0 & & & \\ 1 / 2 & 1 / 2 & & \\ 3 / 4 & 0 & 3 / 4 & \\ 1 & 2 / 9 & 1 / 3 & 4 / 9 \\ \hline & 2 / 9 & 1 / 3 & 4 / 90 \\ & 7 / 24 & 1 / 4 & 1 / 3 & 1 / 8 \end{array}\end{split}$

References

1

https://en.wikipedia.org/wiki/Bogacki%E2%80%93Shampine_method

2

Bogacki, Przemysław; Shampine, Lawrence F. (1989), “A 3(2) pair of Runge–Kutta formulas”, Applied Mathematics Letters, 2 (4): 321–325, doi:10.1016/0893-9659(89)90079-7

The Heun–Euler method for ODEs.

The simplest adaptive Runge–Kutta method involves combining Heun’s method, which is order 2, with the Euler method, which is order 1.

It has the characteristics of:

• method stage = 2

• method order = 1

• Butcher Tables:

$\begin{split}\begin{array}{c|cc} 0&\\ 1& 1 \\ \hline & 1/2& 1/2\\ & 1 & 0 \end{array}\end{split}$