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Chapter Introduction
NAG Toolbox

NAG Toolbox: nag_ode_bvp_shoot_bval (d02ha)

Purpose

nag_ode_bvp_shoot_bval (d02ha) solves a two-point boundary value problem for a system of ordinary differential equations, using a Runge–Kutta–Merson method and a Newton iteration in a shooting and matching technique.

Syntax

[u, soln, w, ifail] = d02ha(u, v, a, b, tol, fcn, m1, 'n', n)
[u, soln, w, ifail] = nag_ode_bvp_shoot_bval(u, v, a, b, tol, fcn, m1, 'n', n)

Description

nag_ode_bvp_shoot_bval (d02ha) solves a two-point boundary value problem for a system of nn ordinary differential equations in the range a,ba,b. The system is written in the form:
yi = fi(x,y1,y2,,yn),  i = 1,2,,n
yi=fi(x,y1,y2,,yn),  i=1,2,,n
(1)
and the derivatives fifi are evaluated by fcn. Initially, nn boundary values of the variables yiyi must be specified, some at aa and some at bb. You must supply estimates of the remaining nn boundary values (called parameters below); the function corrects these by a form of Newton iteration. It also calculates the complete solution on an equispaced mesh if required.
Starting from the known and estimated values of yiyi at aa, the function integrates the equations from aa to bb (using a Runge–Kutta–Merson method). The differences between the values of yiyi at bb from integration and those specified initially should be zero for the true solution. (These differences are called residuals below.) The function uses a generalized Newton method to reduce the residuals to zero, by calculating corrections to the estimated boundary values. This process is repeated iteratively until convergence is obtained, or until the function can no longer reduce the residuals. See Hall and Watt (1976) for a simple discussion of shooting and matching techniques.

References

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

Parameters

Compulsory Input Parameters

1:     u(n,22) – double array
n, the first dimension of the array, must satisfy the constraint n2n2.
u(i,1)ui1 must be set to the known or estimated value of yiyi at aa and u(i,2)ui2 must be set to the known or estimated value of yiyi at bb, for i = 1,2,,ni=1,2,,n.
2:     v(n,22) – double array
n, the first dimension of the array, must satisfy the constraint n2n2.
v(i,j)vij must be set to 0.00.0 if u(i,j)uij is a known value and to 1.01.0 if u(i,j)uij is an estimated value, for i = 1,2,,ni=1,2,,n and j = 1,2j=1,2.
Constraint: precisely nn of the v(i,j)vij must be set to 0.00.0, i.e., precisely nn of the u(i,j)uij must be known values, and these must not be all at aa or all at bb.
3:     a – double scalar
aa, the initial point of the interval of integration.
4:     b – double scalar
bb, the final point of the interval of integration.
5:     tol – double scalar
Must be set to a small quantity suitable for:
(a) testing the local error in yiyi during integration,
(b) testing for the convergence of yiyi at bb,
(c) calculating the perturbation in estimated boundary values for yiyi, which are used to obtain the approximate derivatives of the residuals for use in the Newton iteration.
You are advised to check your results by varying tol.
Constraint: tol > 0.0tol>0.0.
6:     fcn – function handle or string containing name of m-file
fcn must evaluate the functions fifi (i.e., the derivatives yiyi), for i = 1,2,,ni=1,2,,n, at a general point xx.
[f] = fcn(x, y)

Input Parameters

1:     x – double scalar
xx, the value of the argument.
2:     y( : :) – double array
yiyi, for i = 1,2,,ni=1,2,,n, the value of the argument.

Output Parameters

1:     f( : :) – double array
The values of fi(x)fi(x), for i = 1,2,,ni=1,2,,n.
7:     m1 – int64int32nag_int scalar
A value which controls output.
m1 = 1m1=1
The final solution is not evaluated.
m1 > 1m1>1
The final values of yiyi at interval (ba) / (m11)(b-a)/(m1-1) are calculated and stored in the array soln by columns, starting with values yiyi at aa stored in soln(i,1)solni1, for i = 1,2,,ni=1,2,,n.
Constraint: m11m11.

Optional Input Parameters

1:     n – int64int32nag_int scalar
Default: The first dimension of the arrays u, v. (An error is raised if these dimensions are not equal.)
nn, the number of equations.
Constraint: n2n2.

Input Parameters Omitted from the MATLAB Interface

sdw

Output Parameters

1:     u(n,22) – double array
The known values unaltered, and corrected values of the estimates, unless an error has occurred. If an error has occurred, u contains the known values and the latest values of the estimates.
2:     soln(n,m1) – double array
The solution when m1 > 1m1>1.
3:     w(n,sdw) – double array
sdw3n + 17 + max (11,n)sdw3n+17+max(11,n).
If ifail = 2ifail=2, 33, 44 or 55, w(i,1)wi1, for i = 1,2,,ni=1,2,,n, contains the solution at the point where the integration fails and the point of failure is returned in w(1,2)w12.
4:     ifail – int64int32nag_int scalar
ifail = 0ifail=0 unless the function detects an error (see [Error Indicators and Warnings]).

Error Indicators and Warnings

Errors or warnings detected by the function:
  ifail = 1ifail=1
One or more of the parameters v, n, m1, sdw, or tol is incorrectly set.
  ifail = 2ifail=2
The step length for the integration is too short whilst calculating the residual (see Section [Further Comments]).
  ifail = 3ifail=3
No initial step length could be chosen for the integration whilst calculating the residual.
Note: ifail = 2ifail=2 or 33 can occur due to choosing too small a value for tol or due to choosing the wrong direction of integration. Try varying tol and interchanging aa and bb. These error exits can also occur for very poor initial estimates of the unknown initial values and, in extreme cases, because nag_ode_bvp_shoot_bval (d02ha) cannot be used to solve the problem posed.
  ifail = 4ifail=4
As for ifail = 2ifail=2 but the error occurred when calculating the Jacobian of the derivatives of the residuals with respect to the parameters.
  ifail = 5ifail=5
As for ifail = 3ifail=3 but the error occurred when calculating the derivatives of the residuals with respect to the parameters.
  ifail = 6ifail=6
The calculated Jacobian has an insignificant column.
Note: ifail = 4ifail=4, 55 or 66 usually indicate a badly scaled problem. You may vary the size of tol or change to one of the more general functions nag_ode_bvp_shoot_genpar (d02hb) or nag_ode_bvp_shoot_genpar_algeq (d02sa) which afford more control over the calculations.
  ifail = 7ifail=7
The linear algebra function (nag_lapack_dgesvd (f08kb)) used has failed. This error exit should not occur and can be avoided by changing the estimated initial values.
  ifail = 8ifail=8
The Newton iteration has failed to converge.
Note: ifail = 8ifail=8 can indicate poor initial estimates or a very difficult problem. Consider varying tol if the residuals are small in the monitoring output. If the residuals are large try varying the initial estimates.
  ifail = 9ifail=9
  ifail = 10ifail=10
  ifail = 11ifail=11
  ifail = 12ifail=12
  ifail = 13ifail=13
Indicates that a serious error has occurred in an internal call. Check all array subscripts and function parameter lists in calls to nag_ode_bvp_shoot_bval (d02ha). Seek expert help.

Accuracy

If the process converges, the accuracy to which the unknown parameters are determined is usually close to that specified by you; the solution, if requested, may be determined to a required accuracy by varying tol.

Further Comments

The time taken by nag_ode_bvp_shoot_bval (d02ha) depends on the complexity of the system, and on the number of iterations required. In practice, integration of the differential equations is by far the most costly process involved.
Wherever it occurs in the function, the error parameter tol is used in ‘mixed’ form; that is tol always occurs in expressions of the form tol × (1 + |yi|)tol×(1+|yi|). Though not ideal for every application, it is expected that this mixture of absolute and relative error testing will be adequate for most purposes.
You are strongly recommended to set ifail to obtain self-explanatory error messages, and also monitoring information about the course of the computation. You may select the channel numbers on which this output is to appear by calls of nag_file_set_unit_error (x04aa) (for error messages) or nag_file_set_unit_advisory (x04ab) (for monitoring information) – see Section [Example] for an example. Otherwise the default channel numbers will be used. The monitoring information produced at each iteration includes the current parameter values, the residuals and 22-norms: a basic norm and a current norm. At each iteration the aim is to find parameter values which make the current norm less than the basic norm. Both these norms should tend to zero as should the residuals. (They would all be zero if the exact parameters were used as input.) For more details, you may consult the specification of nag_ode_bvp_shoot_genpar_algeq (d02sa), and especially the description of the parameter monit there.
The computing time for integrating the differential equations can sometimes depend critically on the quality of the initial estimates. If it seems that too much computing time is required and, in particular, if the values of the residuals printed by the monitoring function are much larger than the expected values of the solution at bb, then the coding of fcn should be checked for errors. If no errors can be found, an independent attempt should be made to improve the initial estimates. In practical problems it is not uncommon for the differential equation to have a singular point at one or both ends of the range. Suppose aa is a singular point; then the derivatives yiyi in (1) (in Section [Description]) cannot be evaluated at aa, usually because one or more of the expressions for fifi give overflow. In such a case it is necessary for you to take aa a short distance away from the singularity, and to find values for yiyi at the new value of aa (e.g., use the first one or two terms of an analytical (power series) solution). You should experiment with the new position of aa; if it is taken too close to the singular point, the derivatives fifi will be inaccurate, and the function may sometimes fail with ifail = 2ifail=2 or 33 or, in extreme cases, with an overflow condition. A more general treatment of singular solutions is provided by the function nag_ode_bvp_shoot_genpar (d02hb).
Another difficulty which often arises in practice is the case when one end of the range, bb say, is at infinity. You must approximate the end point by taking a finite value for bb, which is obtained by estimating where the solution will reach its asymptotic state. The estimate can be checked by repeating the calculation with a larger value of bb. If bb is very large, and if the matching point is also at bb, the numerical solution may suffer a considerable loss of accuracy in integrating across the range, and the program may fail with ifail = 6ifail=6 or 88. (In the former case, solutions from all initial values at aa are tending to the same curve at infinity.) The simplest remedy is to try to solve the equations with a smaller value of bb, and then to increase bb in stages, using each solution to give boundary value estimates for the next calculation. For problems where some terms in the asymptotic form of the solution are known, nag_ode_bvp_shoot_genpar (d02hb) will be more successful.
If the unknown quantities are not boundary values, but are eigenvalues or the length of the range or some other parameters occurring in the differential equations, nag_ode_bvp_shoot_genpar (d02hb) may be used.

Example

This example finds the angle at which a projectile must be fired for a given range.
The differential equations are:
y = tanφ
v = ( 0.032 tanφ )/v (0.02v)/(cosφ)
φ = (0.032)/(v2) ,
y = tanϕ v = -0.032 tanϕ v - 0.02v cosϕ ϕ = -0.032 v2 ,
with the following boundary conditions:
y = 0, v = 0.5 at   x = 0,
y = 0 at   x = 5.
y= 0, v= 0.5 at   x= 0, y= 0 at   x= 5.
The remaining boundary conditions are estimated as:
φ = 1.15 at  x = 0,
φ = 1.2, v = 0.46 at  x = 5.
ϕ=1.15 at  x=0, ϕ=1.2, v=0.46 at  x=5.
We write y = Z(1)y=Z(1), v = Z(2)v=Z(2), φ = Z(3)ϕ=Z(3). To check the accuracy of the results the problem is solved twice with tol = 5tol=5.0e−30e−3 and 5.0e−45.0e−4 respectively. Note the call to nag_file_set_unit_advisory (x04ab) before the call to nag_ode_bvp_shoot_bval (d02ha).
function nag_ode_bvp_shoot_bval_example
% Initialize variables and arrays.
u = [0, 0; 0.5, 0.46; 1.15, -1.2];
v = [0, 0; 0, 1; 1, 1];
a = 0;
b = 5;
m1 = 6;
n = 3;
ykeep = zeros(m1,3);
xkeep = zeros(1,m1);

fprintf('nag_ode_bvp_shoot_bval example program results\n\n');

for id = 3:4
    tol = 5*10^(-id);

    [uOut, soln, w, ifail] = nag_ode_bvp_shoot_bval(u, v, a, b, tol, @fcn, int64(m1));
    if (ifail ~= 0)
        % Problems in integration, or incorrect parameters.  Print
        % message and exit.
        error('Warning: nag_ode_bvp_shoot_bval returned with ifail = %d ',ifail);
    else
        % Output results.
        fprintf('Results with tol = %1.3e\n\n',tol);
        fprintf('X-value and final solution\n\n');
        for i = 1:m1
            disp((sprintf('%d   %8.4f   %8.4f   %8.4f', i-1,...
                soln(1,i),soln(2,i),soln(3,i))));
            % Store results for plotting.
            ykeep(i,1) = soln(1,i);
            ykeep(i,2) = soln(2,i);
            ykeep(i,3) = soln(3,i);
            xkeep(i) = i-1;
        end
    end
    disp(' ');
end
% Plot results.
fig = figure('Number', 'off');
display_plot(xkeep, ykeep)

function f = fcn(x,y)
% Evaluate the derivatives.
f = zeros(3,1);
f(1) = tan(y(3));
f(2) = -0.032*tan(y(3))/y(2) - 0.02*y(2)/cos(y(3));
f(3) = -0.032/y(2)^2;
function  display_plot(xkeep, ykeep)

% Formatting for title and axis labels.

titleFmt = {'FontName', 'Helvetica', 'FontWeight', 'Bold', 'FontSize', 14};
labFmt = {'FontName', 'Helvetica', 'FontWeight', 'Bold', 'FontSize', 13};
set(gca, 'FontSize', 13); % for legend, axis tick labels, etc.
% Plot curves.

plot(xkeep, ykeep(:,1), '-+',...
     xkeep, ykeep(:,2), '--x',...
     xkeep, ykeep(:,3), ':*');
% Add title.

title({'Solution of Two-point Boundary-value Problem',...
    ['using Runge-Kutta-Merson and Newton Correction in a ', ...
    'Shooting Method']}, titleFmt{:});
% Label the axes.

xlabel('x', labFmt{:});
ylabel('Solution', labFmt{:});
% Add legend.

legend('height','angle','velocity','location','Best');
 
nag_ode_bvp_shoot_bval example program results

Results with tol = 5.000e-03

X-value and final solution

0     0.0000     0.5000     1.1685
1     1.9197     0.3341     0.9752
2     2.9304     0.2066     0.4917
3     2.9767     0.1956    -0.4228
4     2.0258     0.3093    -0.9754
5    -0.0005     0.4598    -1.2020
 
Results with tol = 5.000e-04

X-value and final solution

0     0.0000     0.5000     1.1681
1     1.9177     0.3343     0.9749
2     2.9280     0.2070     0.4929
3     2.9769     0.1955    -0.4194
4     2.0210     0.3095    -0.9751
5    -0.0000     0.4597    -1.2014
 

function d02ha_example
% Initialize variables and arrays.
u = [0, 0; 0.5, 0.46; 1.15, -1.2];
v = [0, 0; 0, 1; 1, 1];
a = 0;
b = 5;
m1 = 6;
n = 3;
ykeep = zeros(m1,3);
xkeep = zeros(1,m1);

fprintf('d02ha example program results\n\n');

for id = 3:4
    tol = 5*10^(-id);

    [uOut, soln, w, ifail] = d02ha(u, v, a, b, tol, @fcn, int64(m1));
    if (ifail ~= 0)
        % Problems in integration, or incorrect parameters.  Print
        % message and exit.
        error('Warning: d02ha returned with ifail = %d ',ifail);
    else
        % Output results.
        fprintf('Results with tol = %1.3e\n\n',tol);
        fprintf('X-value and final solution\n\n');
        for i = 1:m1
            disp((sprintf('%d   %8.4f   %8.4f   %8.4f', i-1,...
                soln(1,i),soln(2,i),soln(3,i))));
            % Store results for plotting.
            ykeep(i,1) = soln(1,i);
            ykeep(i,2) = soln(2,i);
            ykeep(i,3) = soln(3,i);
            xkeep(i) = i-1;
        end
    end
    disp(' ');
end
% Plot results.
fig = figure('Number', 'off');
display_plot(xkeep, ykeep)

function f = fcn(x,y)
% Evaluate the derivatives.
f = zeros(3,1);
f(1) = tan(y(3));
f(2) = -0.032*tan(y(3))/y(2) - 0.02*y(2)/cos(y(3));
f(3) = -0.032/y(2)^2;
function  display_plot(xkeep, ykeep)

% Formatting for title and axis labels.

titleFmt = {'FontName', 'Helvetica', 'FontWeight', 'Bold', 'FontSize', 14};
labFmt = {'FontName', 'Helvetica', 'FontWeight', 'Bold', 'FontSize', 13};
set(gca, 'FontSize', 13); % for legend, axis tick labels, etc.
% Plot curves.

plot(xkeep, ykeep(:,1), '-+',...
     xkeep, ykeep(:,2), '--x',...
     xkeep, ykeep(:,3), ':*');
% Add title.

title({'Solution of Two-point Boundary-value Problem',...
    ['using Runge-Kutta-Merson and Newton Correction in a ', ...
    'Shooting Method']}, titleFmt{:});
% Label the axes.

xlabel('x', labFmt{:});
ylabel('Solution', labFmt{:});
% Add legend.

legend('height','angle','velocity','location','Best');
 
d02ha example program results

Results with tol = 5.000e-03

X-value and final solution

0     0.0000     0.5000     1.1685
1     1.9197     0.3341     0.9752
2     2.9304     0.2066     0.4917
3     2.9767     0.1956    -0.4228
4     2.0258     0.3093    -0.9754
5    -0.0005     0.4598    -1.2020
 
Results with tol = 5.000e-04

X-value and final solution

0     0.0000     0.5000     1.1681
1     1.9177     0.3343     0.9749
2     2.9280     0.2070     0.4929
3     2.9769     0.1955    -0.4194
4     2.0210     0.3095    -0.9751
5    -0.0000     0.4597    -1.2014
 


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