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Just to the point, I have a homework that is deriving 4th Runge-Kutta. My teacher doesn't give me any hint except he talked about parameters (or variables maybe) with respect to time $t$ and i'm stuck with what i'm gonna do now..

Then, how to derive 4th Runge-Kutta?

There are two kinds of ways i've found so far. Using taylor series and Butcher stuff. With taylor series, i know that we have to compare the coefficients such that we get some kind of $a_1+a_2+a_3=1$, (similar to undetermined coefficient?). But i don't know how to start it. And what is $a_n,k_n, q_{ij}$? Are they coefficients that appear miraculously? I've read on Butcher's book (Numerical Methods for Ordinary Differential Equations). It claims that Runge-Kutta can be found easily with rooted trees since derivation using taylor series consumes a lot of time? But i don't even know how it works actually.

Please, explain to me what is the first step to derive the 4th Runge-Kutta.

Thanks in advance. Knowledge will be useful if you give it to others.

user516076
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  • The coefficients you mention are not miraculous... You simply approximate an integral by a quadrature, with a certain structure, involving a bunch of coefficients. A posteriori, using Taylor expansion or exactness for polynomials of a certain degree, you fix sets of values of the coefficients that yield a certain degree to the corresponding quadrature (This is how you construct a Butcher tableau). – PierreCarre Nov 15 '19 at 15:09

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(added 3/9/2021) There is no difference between the approaches via Taylor expansion or Butcher trees, the latter is just a systematic way to do the former. The Taylor coefficients will always be polynomial expressions in the method parameters/coefficients. With the manipulation of B-series one gets these expressions and the resulting order relations in a fully algebraic way.

At the end of the 19th century the idea was developed to use several close-by evaluations of the ODE function to get a more correct approximation of the next point. The idea of Kutta over the work of Runge and Heun*1 was to disregard any structure and use all of the previously computed slopes in the computation of the next one, using a general linear combination with undetermined coefficients, until a sufficient number for the integration step was obtained. In formulas, $\newcommand{\D}{\mathit{\Delta}}$ \begin{align} \D_1y&=f(x,y)\D x\\ \D_2y&=f(x+k_2\D x,\,y+q_{21}\D_1y)\D x\\ \D_3y&=f(x+k_3\D x,\,y+q_{31}\D_1y+q_{32}\D_2y)\D x\\ &\vdots\\ \D_sy&=f(x+k_s\D x,\,y+q_{s1}\D_1y+...+q_{s,s-1}\D_{s-1}y)\D x\\ y_{\rm next}&=y+a_1\D_1y+...+a_s\D_sy \end{align} Then the order conditions were derived via Taylor expansion and solved for $s=2,3,4,5,6$ and examples given.

*1 What's the motivation for Runge-Kutta methods?


(original) Before the first step observe that the resulting system of order equations is under-determined, so you have some freedom in constructing a method.

The first step in the approach by Kutta and also usually followed today is to single out the order equations that do not contain the matrix coefficients, that is, that only contain the coefficients relevant to an integration of $y'(x)=f(x)$, a simple quadrature. Then it is well-known how to use interpolation to get quadrature rules for any selection of sample points. So select one of the named rules or make up your own. Kutta selected the Simpson rule and the 3/8 rule to construct examples, demanding further symmetry to further reduce degrees of freedom. Thus the sample points are selected as $(k_1,k_2,k_3,k_4)=(0,1/2,1/2,1)$ or $=(0,1/3,2/3,1)$ with coefficients $(a_1,a_2,a_3,a_4)=(1/6,1/3,1/3,1/6)$ or $=(1/8, 3/8,3/8,1/8)$. Kutta also explored other than the symmetric generalization of the Simpson rule.*2

*2 Why use Classic fourth-order Runge-Kutta over the 3/8-rule?

This then drastically reduces the variability in the remaining order conditions.

The classical RK4 method has the additional design decision that the matrix only is non-zero on the sub-diagonal, thus the non-zero entries are $q_{21}=k_2$, $q_{32}=k_3$, $q_{43}=k_4$. The quadrature conditions are \begin{align} a_1+a_2+a_3+a_4&=1\\ a_2k_2+a_3k_3+a_4k_4&=\frac12\\ a_2k_2^2+a_3k_3^2+a_4k_4^2&=\frac13\\ a_2k_2^3+a_3k_3^3+a_4k_4^3&=\frac14\\ \end{align} and the order conditions for linear ODE reduce to \begin{align} a_3k_3k_2+a_4k_4k_3&=\frac16\\ a_4k_4k_3k_2&=\frac1{24} \end{align} and for nonlinear ODE \begin{align} a_3k_3k_2^2+a_4k_4k_3^2&=\frac1{12}\\ a_3k_3^2k_2+a_4k_4^2k_3&=\frac18\\ \end{align} Leaving out the first equation which determines $a_1$, the other 7 equations connect the 6 quantities $k_2,k_3,k_4$ and $a_2k_2,a_3k_3,a_4k_4$. The last occur only linearly, so we have a linear system of 7 equations for 3 quantities. That the rank of the extended system matrix is less than 4 then gives 3 determinant equations for the 3 variables $k_2,k_3,k_4$, which completely determines them to one of finitely many solutions.

Lutz Lehmann
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