nag_pde_parab_1d_fd_ode (d03phc) (PDF version)
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NAG C Library Manual

NAG Library Function Document

nag_pde_parab_1d_fd_ode (d03phc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_pde_parab_1d_fd_ode (d03phc) integrates a system of linear or nonlinear parabolic partial differential equations (PDEs) in one space variable, with scope for coupled ordinary differential equations (ODEs). The spatial discretization is performed using finite differences, and the method of lines is employed to reduce the PDEs to a system of ODEs. The resulting system is solved using a backward differentiation formula method or a Theta method (switching between Newton's method and functional iteration).

2  Specification

#include <nag.h>
#include <nagd03.h>
void  nag_pde_parab_1d_fd_ode (Integer npde, Integer m, double *ts, double tout,
void (*pdedef)(Integer npde, double t, double x, const double u[], const double ux[], Integer ncode, const double v[], const double vdot[], double p[], double q[], double r[], Integer *ires, Nag_Comm *comm),
void (*bndary)(Integer npde, double t, const double u[], const double ux[], Integer ncode, const double v[], const double vdot[], Integer ibnd, double beta[], double gamma[], Integer *ires, Nag_Comm *comm),
double u[], Integer npts, const double x[], Integer ncode,
void (*odedef)(Integer npde, double t, Integer ncode, const double v[], const double vdot[], Integer nxi, const double xi[], const double ucp[], const double ucpx[], const double rcp[], const double ucpt[], const double ucptx[], double f[], Integer *ires, Nag_Comm *comm),
Integer nxi, const double xi[], Integer neqn, const double rtol[], const double atol[], Integer itol, Nag_NormType norm, Nag_LinAlgOption laopt, const double algopt[], double rsave[], Integer lrsave, Integer isave[], Integer lisave, Integer itask, Integer itrace, const char *outfile, Integer *ind, Nag_Comm *comm, Nag_D03_Save *saved, NagError *fail)

3  Description

nag_pde_parab_1d_fd_ode (d03phc) integrates the system of parabolic-elliptic equations and coupled ODEs
j=1npdePi,j Uj t +Qi=x-m x xmRi,  i=1,2,,npde,  axb,  tt0, (1)
Fit,V,V.,ξ,U*,Ux*,R*,Ut*,Uxt*=0,  i=1,2,,ncode, (2)
where (1) defines the PDE part and (2) generalizes the coupled ODE part of the problem.
In (1), Pi,j and Ri depend on x, t, U, Ux and V; Qi depends on x, t, U, Ux, V and linearly on V.. The vector U is the set of PDE solution values
U x,t = U 1 x,t ,, U npde x,t T ,
and the vector Ux is the partial derivative with respect to x. The vector V is the set of ODE solution values
V t = V 1 t ,, V ncode t T ,
and V. denotes its derivative with respect to time.
In (2), ξ represents a vector of nξ spatial coupling points at which the ODEs are coupled to the PDEs. These points may or may not be equal to some of the PDE spatial mesh points. U*, Ux*, R*, Ut* and Uxt* are the functions U, Ux, R, Ut and Uxt evaluated at these coupling points. Each Fi may only depend linearly on time derivatives. Hence the equation (2) may be written more precisely as
F=G-AV.-B Ut* Uxt* , (3)
where F=F1,,FncodeT, G is a vector of length ncode, A is an ncode by ncode matrix, B is an ncode by nξ×npde matrix and the entries in G, A and B may depend on t, ξ, U*, Ux* and V. In practice you only need to supply a vector of information to define the ODEs and not the matrices A and B. (See Section 5 for the specification of odedef.)
The integration in time is from t0 to tout, over the space interval axb, where a=x1 and b=xnpts are the leftmost and rightmost points of a user-defined mesh x1,x2,,xnpts. The coordinate system in space is defined by the values of m; m=0 for Cartesian coordinates, m=1 for cylindrical polar coordinates and m=2 for spherical polar coordinates.
The PDE system which is defined by the functions Pi,j, Qi and Ri must be specified in pdedef.
The initial values of the functions Ux,t and Vt must be given at t=t0.
The functions Ri which may be thought of as fluxes, are also used in the definition of the boundary conditions. The boundary conditions must have the form
βix,tRix,t,U,Ux,V=γix,t,U,Ux,V,V.,  i=1,2,,npde, (4)
where x=a or x=b.
The boundary conditions must be specified in bndary. The function γi may depend linearly on V..
The problem is subject to the following restrictions:
(i) In (1), V.jt, for j=1,2,,ncode, may only appear linearly in the functions Qi, for i=1,2,,npde, with a similar restriction for γ;
(ii) Pi,j and the flux Ri must not depend on any time derivatives;
(iii) t0<tout, so that integration is in the forward direction;
(iv) the evaluation of the terms Pi,j, Qi and Ri is done approximately at the mid-points of the mesh x[i-1], for i=1,2,,npts, by calling the pdedef for each mid-point in turn. Any discontinuities in these functions must therefore be at one or more of the mesh points x1,x2,,xnpts;
(v) at least one of the functions Pi,j must be nonzero so that there is a time derivative present in the PDE problem;
(vi) if m>0 and x1=0.0, which is the left boundary point, then it must be ensured that the PDE solution is bounded at this point. This can be done by either specifying the solution at x=0.0 or by specifying a zero flux there, that is βi=1.0 and γi=0.0. See also Section 8 below.
The algebraic-differential equation system which is defined by the functions Fi must be specified in odedef. You must also specify the coupling points ξ in the array xi.
The parabolic equations are approximated by a system of ODEs in time for the values of Ui at mesh points. For simple problems in Cartesian coordinates, this system is obtained by replacing the space derivatives by the usual central, three-point finite difference formula. However, for polar and spherical problems, or problems with nonlinear coefficients, the space derivatives are replaced by a modified three-point formula which maintains second order accuracy. In total there are npde×npts+ncode ODEs in the time direction. This system is then integrated forwards in time using a backward differentiation formula (BDF) or a Theta method.

4  References

Berzins M (1990) Developments in the NAG Library software for parabolic equations Scientific Software Systems (eds J C Mason and M G Cox) 59–72 Chapman and Hall
Berzins M, Dew P M and Furzeland R M (1989) Developing software for time-dependent problems using the method of lines and differential-algebraic integrators Appl. Numer. Math. 5 375–397
Berzins M and Furzeland R M (1992) An adaptive theta method for the solution of stiff and nonstiff differential equations Appl. Numer. Math. 9 1–19
Skeel R D and Berzins M (1990) A method for the spatial discretization of parabolic equations in one space variable SIAM J. Sci. Statist. Comput. 11(1) 1–32

5  Arguments

1:     npdeIntegerInput
On entry: the number of PDEs to be solved.
Constraint: npde1.
2:     mIntegerInput
On entry: the coordinate system used:
m=0
Indicates Cartesian coordinates.
m=1
Indicates cylindrical polar coordinates.
m=2
Indicates spherical polar coordinates.
Constraint: m=0, 1 or 2.
3:     tsdouble *Input/Output
On entry: the initial value of the independent variable t.
On exit: the value of t corresponding to the solution values in u. Normally ts=tout.
Constraint: ts<tout.
4:     toutdoubleInput
On entry: the final value of t to which the integration is to be carried out.
5:     pdedeffunction, supplied by the userExternal Function
pdedef must evaluate the functions Pi,j, Qi and Ri which define the system of PDEs. The functions may depend on x, t, U, Ux and V. Qi may depend linearly on V.. pdedef is called approximately midway between each pair of mesh points in turn by nag_pde_parab_1d_fd_ode (d03phc).
The specification of pdedef is:
void  pdedef (Integer npde, double t, double x, const double u[], const double ux[], Integer ncode, const double v[], const double vdot[], double p[], double q[], double r[], Integer *ires, Nag_Comm *comm)
1:     npdeIntegerInput
On entry: the number of PDEs in the system.
2:     tdoubleInput
On entry: the current value of the independent variable t.
3:     xdoubleInput
On entry: the current value of the space variable x.
4:     u[npde]const doubleInput
On entry: u[i-1] contains the value of the component Uix,t, for i=1,2,,npde.
5:     ux[npde]const doubleInput
On entry: ux[i-1] contains the value of the component Uix,t x , for i=1,2,,npde.
6:     ncodeIntegerInput
On entry: the number of coupled ODEs in the system.
7:     v[ncode]const doubleInput
On entry: if ncode>0, v[i-1] contains the value of component Vit, for i=1,2,,ncode.
8:     vdot[ncode]const doubleInput
On entry: if ncode>0, vdot[i-1] contains the value of component V.it, for i=1,2,,ncode.
Note:  V.it, for i=1,2,,ncode, may only appear linearly in Qj, for j=1,2,,npde.
9:     p[npde×npde]doubleOutput
On exit: p[npde×j-1+i-1] must be set to the value of Pi,jx,t,U,Ux,V, for i=1,2,,npde and j=1,2,,npde.
10:   q[npde]doubleOutput
On exit: q[i-1] must be set to the value of Qix,t,U,Ux,V,V., for i=1,2,,npde.
11:   r[npde]doubleOutput
On exit: r[i-1] must be set to the value of Rix,t,U,Ux,V, for i=1,2,,npde.
12:   iresInteger *Input/Output
On entry: set to -1​ or ​1.
On exit: should usually remain unchanged. However, you may set ires to force the integration function to take certain actions as described below:
ires=2
Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to fail.code= NE_USER_STOP.
ires=3
Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ires=3 when a physically meaningless input or output value has been generated. If you consecutively set ires=3, then nag_pde_parab_1d_fd_ode (d03phc) returns to the calling function with the error indicator set to fail.code= NE_FAILED_DERIV.
13:   commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to pdedef.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling nag_pde_parab_1d_fd_ode (d03phc) you may allocate memory and initialize these pointers with various quantities for use by pdedef when called from nag_pde_parab_1d_fd_ode (d03phc) (see Section 3.2.1 in the Essential Introduction).
6:     bndaryfunction, supplied by the userExternal Function
bndary must evaluate the functions βi and γi which describe the boundary conditions, as given in (4).
The specification of bndary is:
void  bndary (Integer npde, double t, const double u[], const double ux[], Integer ncode, const double v[], const double vdot[], Integer ibnd, double beta[], double gamma[], Integer *ires, Nag_Comm *comm)
1:     npdeIntegerInput
On entry: the number of PDEs in the system.
2:     tdoubleInput
On entry: the current value of the independent variable t.
3:     u[npde]const doubleInput
On entry: u[i-1] contains the value of the component Uix,t at the boundary specified by ibnd, for i=1,2,,npde.
4:     ux[npde]const doubleInput
On entry: ux[i-1] contains the value of the component Uix,t x  at the boundary specified by ibnd, for i=1,2,,npde.
5:     ncodeIntegerInput
On entry: the number of coupled ODEs in the system.
6:     v[ncode]const doubleInput
On entry: if ncode>0, v[i-1] contains the value of component Vit, for i=1,2,,ncode.
7:     vdot[ncode]const doubleInput
On entry: if ncode>0, vdot[i-1] contains the value of component V.it, for i=1,2,,ncode.
Note:  V.it, for i=1,2,,ncode, may only appear linearly in Qj, for j=1,2,,npde.
8:     ibndIntegerInput
On entry: specifies which boundary conditions are to be evaluated.
ibnd=0
bndary must set up the coefficients of the left-hand boundary, x=a.
ibnd0
bndary must set up the coefficients of the right-hand boundary, x=b.
9:     beta[npde]doubleOutput
On exit: beta[i-1] must be set to the value of βix,t at the boundary specified by ibnd, for i=1,2,,npde.
10:   gamma[npde]doubleOutput
On exit: gamma[i-1] must be set to the value of γix,t,U,Ux,V,V. at the boundary specified by ibnd, for i=1,2,,npde.
11:   iresInteger *Input/Output
On entry: set to -1​ or ​1.
On exit: should usually remain unchanged. However, you may set ires to force the integration function to take certain actions as described below:
ires=2
Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to fail.code= NE_USER_STOP.
ires=3
Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ires=3 when a physically meaningless input or output value has been generated. If you consecutively set ires=3, then nag_pde_parab_1d_fd_ode (d03phc) returns to the calling function with the error indicator set to fail.code= NE_FAILED_DERIV.
12:   commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to bndary.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling nag_pde_parab_1d_fd_ode (d03phc) you may allocate memory and initialize these pointers with various quantities for use by bndary when called from nag_pde_parab_1d_fd_ode (d03phc) (see Section 3.2.1 in the Essential Introduction).
7:     u[neqn]doubleInput/Output
On entry: the initial values of the dependent variables defined as follows:
  • u[npde×j-1+i-1] contain Uixj,t0, for i=1,2,,npde and j=1,2,,npts, and
  • u[npts×npde+i-1] contain Vit0, for i=1,2,,ncode.
On exit: the computed solution Uixj,t, for i=1,2,,npde and j=1,2,,npts, and Vkt, for k=1,2,,ncode, evaluated at t=ts.
8:     nptsIntegerInput
On entry: the number of mesh points in the interval a,b.
Constraint: npts3.
9:     x[npts]const doubleInput
On entry: the mesh points in the space direction. x[0] must specify the left-hand boundary, a, and x[npts-1] must specify the right-hand boundary, b.
Constraint: x[0]<x[1]<<x[npts-1].
10:   ncodeIntegerInput
On entry: the number of coupled ODE components.
Constraint: ncode0.
11:   odedeffunction, supplied by the userExternal Function
odedef must evaluate the functions F, which define the system of ODEs, as given in (3).
If ncode=0, odedef will never be called and the NAG defined null void function pointer, NULLFN, can be supplied in the call to nag_pde_parab_1d_fd_ode (d03phc).
The specification of odedef is:
void  odedef (Integer npde, double t, Integer ncode, const double v[], const double vdot[], Integer nxi, const double xi[], const double ucp[], const double ucpx[], const double rcp[], const double ucpt[], const double ucptx[], double f[], Integer *ires, Nag_Comm *comm)
1:     npdeIntegerInput
On entry: the number of PDEs in the system.
2:     tdoubleInput
On entry: the current value of the independent variable t.
3:     ncodeIntegerInput
On entry: the number of coupled ODEs in the system.
4:     v[ncode]const doubleInput
On entry: if ncode>0, v[i-1] contains the value of component Vit, for i=1,2,,ncode.
5:     vdot[ncode]const doubleInput
On entry: if ncode>0, vdot[i-1] contains the value of component V.it, for i=1,2,,ncode.
6:     nxiIntegerInput
On entry: the number of ODE/PDE coupling points.
7:     xi[nxi]const doubleInput
On entry: if nxi>0, xi[i-1] contains the ODE/PDE coupling points, ξi, for i=1,2,,nxi.
8:     ucp[npde×nxi]const doubleInput
On entry: if nxi>0, ucp[npde×j-1+i-1] contains the value of Uix,t at the coupling point x=ξj, for i=1,2,,npde and j=1,2,,nxi.
9:     ucpx[npde×nxi]const doubleInput
On entry: if nxi>0, ucpx[npde×j-1+i-1] contains the value of Uix,t x  at the coupling point x=ξj, for i=1,2,,npde and j=1,2,,nxi.
10:   rcp[npde×nxi]const doubleInput
On entry: rcp[npde×j-1+i-1] contains the value of the flux Ri at the coupling point x=ξj, for i=1,2,,npde and j=1,2,,nxi.
11:   ucpt[npde×nxi]const doubleInput
On entry: if nxi>0, ucpt[npde×j-1+i-1] contains the value of Ui t  at the coupling point x=ξj, for i=1,2,,npde and j=1,2,,nxi.
12:   ucptx[npde×nxi]const doubleInput
On entry: ucptx[npde×j-1+i-1] contains the value of 2Ui x t  at the coupling point x=ξj, for i=1,2,,npde and j=1,2,,nxi.
13:   f[ncode]doubleOutput
On exit: f[i-1] must contain the ith component of F, for i=1,2,,ncode, where F is defined as
F=G-AV.-B Ut* Uxt* , (5)
or
F=-AV.-B Ut* Uxt* . (6)
The definition of F is determined by the input value of ires.
14:   iresInteger *Input/Output
On entry: the form of F that must be returned in the array f.
ires=1
Equation (5) must be used.
ires=-1
Equation (6) must be used.
On exit: should usually remain unchanged. However, you may reset ires to force the integration function to take certain actions as described below:
ires=2
Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to fail.code= NE_USER_STOP.
ires=3
Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ires=3 when a physically meaningless input or output value has been generated. If you consecutively set ires=3, then nag_pde_parab_1d_fd_ode (d03phc) returns to the calling function with the error indicator set to fail.code= NE_FAILED_DERIV.
15:   commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to odedef.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling nag_pde_parab_1d_fd_ode (d03phc) you may allocate memory and initialize these pointers with various quantities for use by odedef when called from nag_pde_parab_1d_fd_ode (d03phc) (see Section 3.2.1 in the Essential Introduction).
12:   nxiIntegerInput
On entry: the number of ODE/PDE coupling points.
Constraints:
  • if ncode=0, nxi=0;
  • if ncode>0, nxi0.
13:   xi[nxi]const doubleInput
On entry: if nxi>0, xi[i-1], for i=1,2,,nxi, must be set to the ODE/PDE coupling points.
Constraint: x[0]xi[0]<xi[1]<<xi[nxi-1]x[npts-1].
14:   neqnIntegerInput
On entry: the number of ODEs in the time direction.
Constraint: neqn=npde×npts+ncode.
15:   rtol[dim]const doubleInput
Note: the dimension, dim, of the array rtol must be at least
  • 1 when itol=1 or 2;
  • neqn when itol=3 or 4.
On entry: the relative local error tolerance.
Constraint: rtol[i-1]0.0 for all relevant i.
16:   atol[dim]const doubleInput
Note: the dimension, dim, of the array atol must be at least
  • 1 when itol=1 or 3;
  • neqn when itol=2 or 4.
On entry: the absolute local error tolerance.
Constraint: atol[i-1]0.0 for all relevant i.
Note: corresponding elements of rtol and atol cannot both be 0.0.
17:   itolIntegerInput
On entry: a value to indicate the form of the local error test. itol indicates to nag_pde_parab_1d_fd_ode (d03phc) whether to interpret either or both of rtol or atol as a vector or scalar. The error test to be satisfied is ei/wi<1.0, where wi is defined as follows:
itolrtolatolwi
1scalarscalarrtol[0]×Ui+atol[0]
2scalarvectorrtol[0]×Ui+atol[i-1]
3vectorscalarrtol[i-1]×Ui+atol[0]
4vectorvectorrtol[i-1]×Ui+atol[i-1]
In the above, ei denotes the estimated local error for the ith component of the coupled PDE/ODE system in time, u[i-1], for i=1,2,,neqn.
The choice of norm used is defined by the argument norm.
Constraint: 1itol4.
18:   normNag_NormTypeInput
On entry: the type of norm to be used.
norm=Nag_MaxNorm
Maximum norm.
norm=Nag_TwoNorm
Averaged L2 norm.
If unorm denotes the norm of the vector u of length neqn, then for the averaged L2 norm
unorm=1neqni=1neqnu[i-1]/wi2,
while for the maximum norm
u norm = maxi u[i-1] / wi .
See the description of itol for the formulation of the weight vector w.
Constraint: norm=Nag_MaxNorm or Nag_TwoNorm.
19:   laoptNag_LinAlgOptionInput
On entry: the type of matrix algebra required.
laopt=Nag_LinAlgFull
Full matrix methods to be used.
laopt=Nag_LinAlgBand
Banded matrix methods to be used.
laopt=Nag_LinAlgSparse
Sparse matrix methods to be used.
Constraint: laopt=Nag_LinAlgFull, Nag_LinAlgBand or Nag_LinAlgSparse.
Note: you are recommended to use the banded option when no coupled ODEs are present (i.e., ncode=0).
20:   algopt[30]const doubleInput
On entry: may be set to control various options available in the integrator. If you wish to employ all the default options, then algopt[0] should be set to 0.0. Default values will also be used for any other elements of algopt set to zero. The permissible values, default values, and meanings are as follows:
algopt[0]
Selects the ODE integration method to be used. If algopt[0]=1.0, a BDF method is used and if algopt[0]=2.0, a Theta method is used. The default value is algopt[0]=1.0.
If algopt[0]=2.0, then algopt[i-1], for i=2,3,4 are not used.
algopt[1]
Specifies the maximum order of the BDF integration formula to be used. algopt[1] may be 1.0, 2.0, 3.0, 4.0 or 5.0. The default value is algopt[1]=5.0.
algopt[2]
Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the BDF method. If algopt[2]=1.0 a modified Newton iteration is used and if algopt[2]=2.0 a functional iteration method is used. If functional iteration is selected and the integrator encounters difficulty, then there is an automatic switch to the modified Newton iteration. The default value is algopt[2]=1.0.
algopt[3]
Specifies whether or not the Petzold error test is to be employed. The Petzold error test results in extra overhead but is more suitable when algebraic equations are present, such as Pi,j=0.0, for j=1,2,,npde, for some i or when there is no V.it dependence in the coupled ODE system. If algopt[3]=1.0, then the Petzold test is used. If algopt[3]=2.0, then the Petzold test is not used. The default value is algopt[3]=1.0.
If algopt[0]=1.0, then algopt[i-1], for i=5,6,7, are not used.
algopt[4]
Specifies the value of Theta to be used in the Theta integration method. 0.51algopt[4]0.99. The default value is algopt[4]=0.55.
algopt[5]
Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the Theta method. If algopt[5]=1.0, a modified Newton iteration is used and if algopt[5]=2.0, a functional iteration method is used. The default value is algopt[5]=1.0.
algopt[6]
Specifies whether or not the integrator is allowed to switch automatically between modified Newton and functional iteration methods in order to be more efficient. If algopt[6]=1.0, then switching is allowed and if algopt[6]=2.0, then switching is not allowed. The default value is algopt[6]=1.0.
algopt[10]
Specifies a point in the time direction, tcrit, beyond which integration must not be attempted. The use of tcrit is described under the argument itask. If algopt[0]0.0, a value of 0.0 for algopt[10], say, should be specified even if itask subsequently specifies that tcrit will not be used.
algopt[11]
Specifies the minimum absolute step size to be allowed in the time integration. If this option is not required, algopt[11] should be set to 0.0.
algopt[12]
Specifies the maximum absolute step size to be allowed in the time integration. If this option is not required, algopt[12] should be set to 0.0.
algopt[13]
Specifies the initial step size to be attempted by the integrator. If algopt[13]=0.0, then the initial step size is calculated internally.
algopt[14]
Specifies the maximum number of steps to be attempted by the integrator in any one call. If algopt[14]=0.0, then no limit is imposed.
algopt[22]
Specifies what method is to be used to solve the nonlinear equations at the initial point to initialize the values of U, Ut, V and V.. If algopt[22]=1.0, a modified Newton iteration is used and if algopt[22]=2.0, functional iteration is used. The default value is algopt[22]=1.0.
algopt[28] and algopt[29] are used only for the sparse matrix algebra option, laopt=Nag_LinAlgSparse.
algopt[28]
Governs the choice of pivots during the decomposition of the first Jacobian matrix. It should lie in the range 0.0<algopt[28]<1.0, with smaller values biasing the algorithm towards maintaining sparsity at the expense of numerical stability. If algopt[28] lies outside this range then the default value is used. If the functions regard the Jacobian matrix as numerically singular then increasing algopt[28] towards 1.0 may help, but at the cost of increased fill-in. The default value is algopt[28]=0.1.
algopt[29]
Is used as a relative pivot threshold during subsequent Jacobian decompositions (see algopt[28]) below which an internal error is invoked. If algopt[29] is greater than 1.0 no check is made on the pivot size, and this may be a necessary option if the Jacobian is found to be numerically singular (see algopt[28]). The default value is algopt[29]=0.0001.
21:   rsave[lrsave]doubleCommunication Array
If ind=0, rsave need not be set on entry.
If ind=1, rsave must be unchanged from the previous call to the function because it contains required information about the iteration.
22:   lrsaveIntegerInput
On entry: the dimension of the array rsave.
If laopt=Nag_LinAlgFull, lrsaveneqn×neqn+neqn+nwkres+lenode.
If laopt=Nag_LinAlgBand, lrsave3×mlu+1×neqn+nwkres+lenode.
If laopt=Nag_LinAlgSparse, lrsave4×neqn+11×neqn/2+1+nwkres+lenode.
Where
mlu is the lower or upper half bandwidths such that
mlu=3×npde-1, for PDE problems only (no coupled ODEs); or
mlu=neqn-1, for coupled PDE/ODE problems.
nwkres= npde×2×npts+6×nxi+3×npde+26+nxi+ncode+7×npts+2, when ​ncode>0​ and ​nxi>0; npde×2×npts+3×npde+32+ncode+7×npts+3, when ​ncode>0​ and ​nxi=0; npde×2×npts+3×npde+32+7×npts+4, when ​ncode=0.  
lenode= 6+intalgopt[1]×neqn+50, when the BDF method is used; or 9×neqn+50, when the Theta method is used.  
Note: when laopt=Nag_LinAlgSparse, the value of lrsave may be too small when supplied to the integrator. An estimate of the minimum size of lrsave is printed on the current error message unit if itrace>0 and the function returns with fail.code= NE_INT_2.
23:   isave[lisave]IntegerCommunication Array
If ind=0, isave need not be set on entry.
If ind=1, isave must be unchanged from the previous call to the function because it contains required information about the iteration. In particular:
isave[0]
Contains the number of steps taken in time.
isave[1]
Contains the number of residual evaluations of the resulting ODE system used. One such evaluation involves computing the PDE functions at all the mesh points, as well as one evaluation of the functions in the boundary conditions.
isave[2]
Contains the number of Jacobian evaluations performed by the time integrator.
isave[3]
Contains the order of the last backward differentiation formula method used.
isave[4]
Contains the number of Newton iterations performed by the time integrator. Each iteration involves an ODE residual evaluation followed by a back-substitution using the LU decomposition of the Jacobian matrix.
24:   lisaveIntegerInput
On entry: the dimension of the array isave. Its size depends on the type of matrix algebra selected:
  • if laopt=Nag_LinAlgFull, lisave24;
  • if laopt=Nag_LinAlgBand, lisaveneqn+24;
  • if laopt=Nag_LinAlgSparse, lisave25×neqn+24.
Note: when using the sparse option, the value of lisave may be too small when supplied to the integrator. An estimate of the minimum size of lisave is printed if itrace>0 and the function returns with fail.code= NE_INT_2.
25:   itaskIntegerInput
On entry: specifies the task to be performed by the ODE integrator.
itask=1
Normal computation of output values u at t=tout.
itask=2
One step and return.
itask=3
Stop at first internal integration point at or beyond t=tout.
itask=4
Normal computation of output values u at t=tout but without overshooting t=tcrit where tcrit is described under the argument algopt.
itask=5
Take one step in the time direction and return, without passing tcrit, where tcrit is described under the argument algopt.
Constraint: itask=1, 2, 3, 4 or 5.
26:   itraceIntegerInput
On entry: the level of trace information required from nag_pde_parab_1d_fd_ode (d03phc) and the underlying ODE solver. itrace may take the value -1, 0, 1, 2 or 3.
itrace=-1
No output is generated.
itrace=0
Only warning messages from the PDE solver are printed.
itrace>0
Output from the underlying ODE solver is printed. This output contains details of Jacobian entries, the nonlinear iteration and the time integration during the computation of the ODE system.
If itrace<-1, then -1 is assumed and similarly if itrace>3, then 3 is assumed.
The advisory messages are given in greater detail as itrace increases.
27:   outfileconst char *Input
On entry: the name of a file to which diagnostic output will be directed. If outfile is NULL the diagnostic output will be directed to standard output.
28:   indInteger *Input/Output
On entry: indicates whether this is a continuation call or a new integration.
ind=0
Starts or restarts the integration in time.
ind=1
Continues the integration after an earlier exit from the function. In this case, only the arguments tout and fail should be reset between calls to nag_pde_parab_1d_fd_ode (d03phc).
Constraint: ind=0 or 1.
On exit: ind=1.
29:   commNag_Comm *Communication Structure
The NAG communication argument (see Section 3.2.1.1 in the Essential Introduction).
30:   savedNag_D03_Save *Communication Structure
saved must remain unchanged following a previous call to a Chapter d03 function and prior to any subsequent call to a Chapter d03 function.
31:   failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ACC_IN_DOUBT
Integration completed, but small changes in atol or rtol are unlikely to result in a changed solution.
NE_ALLOC_FAIL
Dynamic memory allocation failed.
NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_FAILED_DERIV
In setting up the ODE system an internal auxiliary was unable to initialize the derivative. This could be due to your setting ires=3 in pdedef or bndary.
NE_FAILED_START
atol and rtol were too small to start integration.
NE_FAILED_STEP
Error during Jacobian formulation for ODE system. Increase itrace for further details.
Repeated errors in an attempted step of underlying ODE solver. Integration was successful as far as ts: ts=value.
Underlying ODE solver cannot make further progress from the point ts with the supplied values of atol and rtol. ts=value.
NE_INCOMPAT_PARAM
On entry, m=value and x[0]=value.
Constraint: m0 or x[0]0.0 
NE_INT
ires set to an invalid value in call to pdedef, bndary, or odedef.
On entry, ind=value.
Constraint: ind=0 or 1.
On entry, itask=value.
Constraint: itask=1, 2, 3, 4 or 5.
On entry, itol=value.
Constraint: itol=1, 2, 3 or 4.
On entry, m=value.
Constraint: m=0, 1 or 2.
On entry, ncode=value.
Constraint: ncode0.
On entry, npde=value.
Constraint: npde1.
On entry, npts=value.
Constraint: npts3.
NE_INT_2
On entry, corresponding elements atol[i-1] and rtol[j-1] are both zero: i=value and j=value.
On entry, lisave is too small: lisave=value. Minimum possible dimension: value.
On entry, lrsave is too small: lrsave=value. Minimum possible dimension: value.
On entry, ncode=value and nxi=value.
Constraint: nxi=0 when ncode=0.
On entry, ncode=value and nxi=value.
Constraint: nxi0 when ncode>0.
When using the sparse option lisave or lrsave is too small: lisave=value, lrsave=value.
NE_INT_4
On entry, neqn=value, npde=value, npts=value and ncode=value.
Constraint: neqn=npde×npts+ncode.
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
Serious error in internal call to an auxiliary. Increase itrace for further details.
NE_ITER_FAIL
In solving ODE system, the maximum number of steps algopt[14] has been exceeded. algopt[14]=value.
NE_NOT_CLOSE_FILE
Cannot close file value.
NE_NOT_STRICTLY_INCREASING
On entry, i=value, xi[i]=value and xi[i-1]=value.
Constraint: xi[i]>xi[i-1].
On entry, mesh points x appear to be badly ordered: i=value, x[i-1]=value, j=value and x[j-1]=value.
NE_NOT_WRITE_FILE
Cannot open file value for writing.
NE_REAL_2
On entry, at least one point in xi lies outside x[0],x[npts-1]: x[0]=value and x[npts-1]=value.
On entry, tout=value and ts=value.
Constraint: tout>ts.
On entry, tout-ts is too small: tout=value and ts=value.
NE_REAL_ARRAY
On entry, i=value and atol[i-1]=value.
Constraint: atol[i-1]0.0.
On entry, i=value and rtol[i-1]=value.
Constraint: rtol[i-1]0.0.
NE_SING_JAC
Singular Jacobian of ODE system. Check problem formulation.
NE_TIME_DERIV_DEP
Flux function appears to depend on time derivatives.
NE_USER_STOP
In evaluating residual of ODE system, ires=2 has been set in pdedef, bndary, or odedef. Integration is successful as far as ts: ts=value.
NE_ZERO_WTS
Zero error weights encountered during time integration.

7  Accuracy

nag_pde_parab_1d_fd_ode (d03phc) controls the accuracy of the integration in the time direction but not the accuracy of the approximation in space. The spatial accuracy depends on both the number of mesh points and on their distribution in space. In the time integration only the local error over a single step is controlled and so the accuracy over a number of steps cannot be guaranteed. You should therefore test the effect of varying the accuracy arguments atol and rtol.

8  Further Comments

The argument specification allows you to include equations with only first-order derivatives in the space direction but there is no guarantee that the method of integration will be satisfactory for such systems. The position and nature of the boundary conditions in particular are critical in defining a stable problem. It may be advisable in such cases to reduce the whole system to first-order and to use the Keller box scheme function nag_pde_parab_1d_keller_ode (d03pkc).
The time taken depends on the complexity of the parabolic system and on the accuracy requested. For a given system and a fixed accuracy it is approximately proportional to neqn.

9  Example

This example provides a simple coupled system of one PDE and one ODE.
V 1 2 U 1 t - x V 1 V . 1 U 1 x = 2 y U 1 x 2 V . 1 = V 1 U 1 + U 1 x + 1 + t ,
for t10-4,0.1×2i ; i=1,2,,5 ; x0,1 .
The left boundary condition at x=0 is
U1 x =-V1expt.
The right boundary condition at x=1 is
U1 x = -V1 V.1 .
The initial conditions at t=10-4 are defined by the exact solution:
V1 = t ,   and   U1 x,t = exp t 1-x - 1.0 , x0,1 ,
and the coupling point is at ξ1=1.0.

9.1  Program Text

Program Text (d03phce.c)

9.2  Program Data

None.

9.3  Program Results

Program Results (d03phce.r)

Produced by GNUPLOT 4.4 patchlevel 0 Example Program Parabolic PDE Coupled with ODE using Finite-differences and BDF U(x,t) 0.1 0.5 1 2 3 Time (logscale) 0 0.2 0.4 0.6 0.8 1 x 0 5 10 15 20 25

nag_pde_parab_1d_fd_ode (d03phc) (PDF version)
d03 Chapter Contents
d03 Chapter Introduction
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012