MATHEMATICA TUTORIAL

Numerical Solution of Differential Equations

The function NDSolve discussed in "Numerical Differential Equations" allows you to find numerical solutions to differential equations. NDSolve handles both single differential equations, and sets of simultaneous differential equations. It can handle a wide range of ordinary differential equations as well as some partial differential equations. In a system of ordinary differential equations there can be any number of unknown functions

, but all of these functions must depend on a single "independent variable"

, which is the same for each function. Partial differential equations involve two or more independent variables. NDSolve can also handle differential-algebraic equations that mix differential equations with algebraic ones.

NDSolve[{eqn₁,eqn₂,...},y,{x,x_min,x_max}]
	find a numerical solution for the function with in the range to
NDSolve[{eqn₁,eqn₂,...},{y₁,y₂,...},{x,x_min,x_max}]
	find numerical solutions for several functions

Finding numerical solutions to ordinary differential equations.

NDSolve represents solutions for the functions

as InterpolatingFunction objects. The InterpolatingFunction objects provide approximations to the

over the range of values

for the independent variable

NDSolve finds solutions iteratively. It starts at a particular value of

, then takes a sequence of steps, trying eventually to cover the whole range

In order to get started, NDSolve has to be given appropriate initial or boundary conditions for the

and their derivatives. These conditions specify values for

, and perhaps derivatives

, at particular points

. In general, at least for ordinary differential equations, the conditions you give can be at any

: NDSolve will automatically cover the range

This finds a solution for

with

in the range

, using an initial condition for

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This still finds a solution with

in the range

, but now the initial condition is for

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Here is a simple boundary value problem.

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When you use NDSolve, the initial or boundary conditions you give must be sufficient to determine the solutions for the

completely. When you use DSolve to find symbolic solutions to differential equations, you can get away with specifying fewer initial conditions. The reason is that DSolve automatically inserts arbitrary constants C[i] to represent degrees of freedom associated with initial conditions that you have not specified explicitly. Since NDSolve must give a numerical solution, it cannot represent these kinds of additional degrees of freedom. As a result, you must explicitly give all the initial or boundary conditions that are needed to determine the solution.

In a typical case, if you have differential equations with up to

derivatives, then you need to give initial conditions for up to

derivatives, or give boundary conditions at

points.

With a third-order equation, you need to give initial conditions for up to second derivatives.

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This plots the solution obtained.

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With a third-order equation, you can also give boundary conditions at three points.

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Mathematica allows you to use any appropriate linear combination of function values and derivatives as boundary conditions.

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In most cases, all the initial conditions you give must involve the same value of

, say

. As a result, you can avoid giving both

and

explicitly. If you specify your range of

, then Mathematica will automatically generate a solution over the range

This generates a solution over the range 0 to 2.

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You can give initial conditions as equations of any kind. In some cases, these equations may have multiple solutions. In such cases, NDSolve will correspondingly generate multiple solutions.

The initial conditions in this case lead to multiple solutions.

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Here is a plot of all the solutions.

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You can use NDSolve to solve systems of coupled differential equations.

This finds a numerical solution to a pair of coupled equations.

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This plots the solution for

from these equations.

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This generates a parametric plot using both

and

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Unknown functions in differential equations do not necessarily have to be represented by single symbols. If you have a large number of unknown functions, you will often find it more convenient, for example, to give the functions names like

This constructs a set of five coupled differential equations and initial conditions.

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This solves the equations.

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Here is a plot of the solutions.

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NDSolve can handle functions whose values are lists or arrays. If you give initial conditions like

, then NDSolve will assume that

is a function whose values are lists of length

This solves a system of four coupled differential equations.

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Here are the solutions.

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option name	default value
MaxSteps	Automatic	maximum number of steps in to take
StartingStepSize	Automatic	starting size of step in to use
MaxStepSize	Automatic	maximum size of step in to use
NormFunction	Automatic	the norm to use for error estimation

Special options for NDSolve.

NDSolve has many methods for solving equations, but essentially all of them at some level work by taking a sequence of steps in the independent variable

, and using an adaptive procedure to determine the size of these steps. In general, if the solution appears to be varying rapidly in a particular region, then NDSolve will reduce the step size or change the method so as to be able to track the solution better.

This solves a differential equation in which the derivative has a discontinuity.

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NDSolve reduced the step size around

so as to reproduce the kink accurately.

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Through its adaptive procedure, NDSolve is able to solve "stiff" differential equations in which there are several components which vary with

at very different rates.

In these equations,

varies much more rapidly than

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NDSolve nevertheless tracks both components successfully.

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NDSolve follows the general procedure of reducing step size until it tracks solutions accurately. There is a problem, however, when the true solution has a singularity. In this case, NDSolve might go on reducing the step size forever, and never terminate. To avoid this problem, the option MaxSteps specifies the maximum number of steps that NDSolve will ever take in attempting to find a solution. For ordinary differential equations the default setting is MaxSteps

NDSolve stops after taking 10000 steps.

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There is in fact a singularity in the solution at

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The default setting for MaxSteps should be sufficient for most equations with smooth solutions. When solutions have a complicated structure, however, you may occasionally have to choose larger settings for MaxSteps. With the setting MaxSteps->Infinity there is no upper limit on the number of steps used.

To take the solution to the Lorenz equations this far, you need to remove the default bound on MaxSteps.

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Here is a parametric plot of the solution in three dimensions.

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When NDSolve solves a particular set of differential equations, it always tries to choose a step size appropriate for those equations. In some cases, the very first step that NDSolve makes may be too large, and it may miss an important feature in the solution. To avoid this problem, you can explicitly set the option StartingStepSize to specify the size to use for the first step.

The equations you give to NDSolve do not necessarily all have to involve derivatives; they can also just be algebraic. You can use NDSolve to solve many such differential-algebraic equations.

This solves a system of differential-algebraic equations.

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Here is the solution.

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NDSolve[{eqn₁,eqn₂,...},u,{t,t_min,t_max},{x,x_min,x_max},...]
	solve a system of partial differential equations for
NDSolve[{eqn₁,eqn₂,...},{u₁,u₂,...},{t,t_min,t_max},{x,x_min,x_max},...]
	solve a system of partial differential equations for several functions