NAG Library Routine Document
D03PRF
1 Purpose
D03PRF integrates a system of linear or nonlinear, firstorder, timedependent partial differential equations (PDEs) in one space variable, with scope for coupled ordinary differential equations (ODEs), and automatic adaptive spatial remeshing. The spatial discretization is performed using the Keller box scheme (see
Keller (1970)) 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 (BDF) method or a Theta method (switching between Newton's method and functional iteration).
2 Specification
SUBROUTINE D03PRF ( 
NPDE, TS, TOUT, PDEDEF, BNDARY, UVINIT, U, NPTS, X, NLEFT, NCODE, ODEDEF, NXI, XI, NEQN, RTOL, ATOL, ITOL, NORM, LAOPT, ALGOPT, REMESH, NXFIX, XFIX, NRMESH, DXMESH, TRMESH, IPMINF, XRATIO, CON, MONITF, RSAVE, LRSAVE, ISAVE, LISAVE, ITASK, ITRACE, IND, IFAIL) 
INTEGER 
NPDE, NPTS, NLEFT, NCODE, NXI, NEQN, ITOL, NXFIX, NRMESH, IPMINF, LRSAVE, ISAVE(LISAVE), LISAVE, ITASK, ITRACE, IND, IFAIL 
REAL (KIND=nag_wp) 
TS, TOUT, U(NEQN), X(NPTS), XI(*), RTOL(*), ATOL(*), ALGOPT(30), XFIX(*), DXMESH, TRMESH, XRATIO, CON, RSAVE(LRSAVE) 
LOGICAL 
REMESH 
CHARACTER(1) 
NORM, LAOPT 
EXTERNAL 
PDEDEF, BNDARY, UVINIT, ODEDEF, MONITF 

3 Description
D03PRF integrates the system of firstorder PDEs and coupled ODEs given by the master equations:
In the PDE part of the problem given by
(1), the functions
${G}_{i}$ must have the general form
where
${P}_{i,j}$,
${Q}_{i,j}$ and
${S}_{i}$ depend on
$x$,
$t$,
$U$,
${U}_{x}$ and
$V$.
The vector
$U$ is the set of PDE solution values
and the vector
${U}_{x}$ is the partial derivative with respect to
$x$. The vector
$V$ is the set of ODE solution values
and
$\stackrel{.}{V}$ denotes its derivative with respect to time.
In the ODE part given by
(2),
$\xi $ represents a vector of
${n}_{\xi}$ 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.
${U}^{*}$,
${U}_{x}^{*}$ and
${U}_{t}^{*}$ are the functions
$U$,
${U}_{x}$ and
${U}_{t}$ evaluated at these coupling points. Each
${R}_{i}$ may only depend linearly on time derivatives. Hence equation
(2) may be written more precisely as
where
$R={\left[{R}_{1},\dots ,{R}_{{\mathbf{NCODE}}}\right]}^{\mathrm{T}}$,
$A$ is a vector of length
NCODE,
$B$ is an
NCODE by
NCODE matrix,
$C$ is an
NCODE by
$\left({n}_{\xi}\times {\mathbf{NPDE}}\right)$ matrix and the entries in
$A$,
$B$ and
$C$ may depend on
$t$,
$\xi $,
${U}^{*}$,
${U}_{x}^{*}$ and
$V$. In practice you only need to supply a vector of information to define the ODEs and not the matrices
$B$ and
$C$. (See
Section 5 for the specification of
ODEDEF.)
The integration in time is from ${t}_{0}$ to ${t}_{\mathrm{out}}$, over the space interval $a\le x\le b$, where $a={x}_{1}$ and $b={x}_{{\mathbf{NPTS}}}$ are the leftmost and rightmost points of a mesh ${x}_{1},{x}_{2},\dots ,{x}_{{\mathbf{NPTS}}}$ defined initially by you and (possibly) adapted automatically during the integration according to userspecified criteria.
The PDE system which is defined by the functions
${G}_{i}$ must be specified in
PDEDEF.
The initial
$\left(t={t}_{0}\right)$ values of the functions
$U\left(x,t\right)$ and
$V\left(t\right)$ must be specified in
UVINIT. Note that
UVINIT will be called again following any remeshing, and so
$U\left(x,{t}_{0}\right)$ should be specified for
all values of
$x$ in the interval
$a\le x\le b$, and not just the initial mesh points.
For a firstorder system of PDEs, only one boundary condition is required for each PDE component
${U}_{i}$. The
NPDE boundary conditions are separated into
${n}_{a}$ at the lefthand boundary
$x=a$, and
${n}_{b}$ at the righthand boundary
$x=b$, such that
${n}_{a}+{n}_{b}={\mathbf{NPDE}}$. The position of the boundary condition for each component should be chosen with care; the general rule is that if the characteristic direction of
${U}_{i}$ at the lefthand boundary (say) points into the interior of the solution domain, then the boundary condition for
${U}_{i}$ should be specified at the lefthand boundary. Incorrect positioning of boundary conditions generally results in initialization or integration difficulties in the underlying time integration routines.
The boundary conditions have the master equation form:
at the lefthand boundary, and
at the righthand boundary.
Note that the functions
${G}_{i}^{L}$ and
${G}_{i}^{R}$ must not depend on
${U}_{x}$, since spatial derivatives are not determined explicitly in the Keller box scheme routines. If the problem involves derivative (Neumann) boundary conditions then it is generally possible to restate such boundary conditions in terms of permissible variables. Also note that
${G}_{i}^{L}$ and
${G}_{i}^{R}$ must be linear with respect to time derivatives, so that the boundary conditions have the general form:
at the lefthand boundary, and
at the righthand boundary, where
${E}_{i,j}^{L}$,
${E}_{i,j}^{R}$,
${H}_{i,j}^{L}$,
${H}_{i,j}^{R}$,
${K}_{i}^{L}$ and
${K}_{i}^{R}$ depend on
$x,t,U$ and
$V$ only.
The boundary conditions must be specified in
BNDARY.
The problem is subject to the following restrictions:
(i) 
${P}_{i,j}$, ${Q}_{i,j}$ and ${S}_{i}$ must not depend on any time derivatives; 
(ii) 
${t}_{0}<{t}_{\mathrm{out}}$, so that integration is in the forward direction; 
(iii) 
The evaluation of the function ${G}_{\mathit{i}}$ is done approximately at the midpoints of the mesh ${\mathbf{X}}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPTS}}$, by calling PDEDEF for each midpoint in turn. Any discontinuities in the function must therefore be at one or more of the fixed mesh points specified by XFIX; 
(iv) 
At least one of the functions ${P}_{i,j}$ must be nonzero so that there is a time derivative present in the PDE problem. 
The algebraicdifferential equation system which is defined by the functions
${R}_{i}$ must be specified in
ODEDEF. You must also specify the coupling points
$\xi $ in the array
XI.
The firstorder equations are approximated by a system of ODEs in time for the values of ${U}_{i}$ at mesh points. In this method of lines approach the Keller box scheme is applied to each PDE in the space variable only, resulting in a system of ODEs in time for the values of ${U}_{i}$ at each mesh point. In total there are ${\mathbf{NPDE}}\times {\mathbf{NPTS}}+{\mathbf{NCODE}}$ ODEs in time direction. This system is then integrated forwards in time using a Backward Differentiation Formula (BDF) or a Theta method.
The adaptive space remeshing can be used to generate meshes that automatically follow the changing timedependent nature of the solution, generally resulting in a more efficient and accurate solution using fewer mesh points than may be necessary with a fixed uniform or nonuniform mesh. Problems with travelling wavefronts or variablewidth boundary layers for example will benefit from using a moving adaptive mesh. The discrete timestep method used here (developed by
Furzeland (1984)) automatically creates a new mesh based on the current solution profile at certain timesteps, and the solution is then interpolated onto the new mesh and the integration continues.
The method requires you to supply
MONITF which specifies in an analytic or numeric form the particular aspect of the solution behaviour you wish to track. This socalled monitor function is used to choose a mesh which equally distributes the integral of the monitor function over the domain. A typical choice of monitor function is the second space derivative of the solution value at each point (or some combination of the second space derivatives if more than one solution component), which results in refinement in regions where the solution gradient is changing most rapidly.
You must specify the frequency of mesh updates along with certain other criteria such as adjacent mesh ratios. Remeshing can be expensive and you are encouraged to experiment with the different options in order to achieve an efficient solution which adequately tracks the desired features of the solution.
Note that unless the monitor function for the initial solution values is zero at all userspecified initial mesh points, a new initial mesh is calculated and adopted according to the userspecified remeshing criteria.
UVINIT will then be called again to determine the initial solution values at the new mesh points (there is no interpolation at this stage) and the integration proceeds.
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 timedependent problems using the method of lines and differentialalgebraic 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
Furzeland R M (1984) The construction of adaptive space meshes TNER.85.022 Thornton Research Centre, Chester
Keller H B (1970) A new difference scheme for parabolic problems Numerical Solutions of Partial Differential Equations (ed J Bramble) 2 327–350 Academic Press
Pennington S V and Berzins M (1994) New NAG Library software for firstorder partial differential equations ACM Trans. Math. Softw. 20 63–99
5 Parameters
 1: NPDE – INTEGERInput
On entry: the number of PDEs to be solved.
Constraint:
${\mathbf{NPDE}}\ge 1$.
 2: TS – REAL (KIND=nag_wp)Input/Output
On entry: the initial value of the independent variable $t$.
Constraint:
${\mathbf{TS}}<{\mathbf{TOUT}}$.
On exit: the value of
$t$ corresponding to the solution values in
U. Normally
${\mathbf{TS}}={\mathbf{TOUT}}$.
 3: TOUT – REAL (KIND=nag_wp)Input
On entry: the final value of $t$ to which the integration is to be carried out.
 4: PDEDEF – SUBROUTINE, supplied by the user.External Procedure
PDEDEF must evaluate the functions
${G}_{i}$ which define the system of PDEs.
PDEDEF is called approximately midway between each pair of mesh points in turn by D03PRF.
The specification of
PDEDEF is:
SUBROUTINE PDEDEF ( 
NPDE, T, X, U, UDOT, UX, NCODE, V, VDOT, RES, IRES) 
INTEGER 
NPDE, NCODE, IRES 
REAL (KIND=nag_wp) 
T, X, U(NPDE), UDOT(NPDE), UX(NPDE), V(NCODE), VDOT(NCODE), RES(NPDE) 

 1: NPDE – INTEGERInput
On entry: the number of PDEs in the system.
 2: T – REAL (KIND=nag_wp)Input
On entry: the current value of the independent variable $t$.
 3: X – REAL (KIND=nag_wp)Input
On entry: the current value of the space variable $x$.
 4: U(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry: ${\mathbf{U}}\left(\mathit{i}\right)$ contains the value of the component ${U}_{\mathit{i}}\left(x,t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 5: UDOT(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry: ${\mathbf{UDOT}}\left(\mathit{i}\right)$ contains the value of the component $\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial t}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 6: UX(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry: ${\mathbf{UX}}\left(\mathit{i}\right)$ contains the value of the component $\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial x}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 7: NCODE – INTEGERInput
On entry: the number of coupled ODEs in the system.
 8: V(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NCODE}}>0$, ${\mathbf{V}}\left(\mathit{i}\right)$ contains the value of the component ${V}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$.
 9: VDOT(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NCODE}}>0$, ${\mathbf{VDOT}}\left(\mathit{i}\right)$ contains the value of component ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$.
 10: RES(NPDE) – REAL (KIND=nag_wp) arrayOutput
On exit:
${\mathbf{RES}}\left(\mathit{i}\right)$ must contain the
$\mathit{i}$th component of
$G$, for
$\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$, where
$G$ is defined as
i.e., only terms depending explicitly on time derivatives, or
i.e., all terms in equation
(3).
The definition of
$G$ is determined by the input value of
IRES.
 11: IRES – INTEGERInput/Output
On entry: the form of
${G}_{i}$ that must be returned in the array
RES.
 ${\mathbf{IRES}}=1$
 Equation (9) must be used.
 ${\mathbf{IRES}}=1$
 Equation (10) must be used.
On exit: should usually remain unchanged. However, you may set
IRES to force the integration routine to take certain actions, as described below:
 ${\mathbf{IRES}}=2$
 Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{6}}$.
 ${\mathbf{IRES}}=3$
 Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ${\mathbf{IRES}}=3$ when a physically meaningless input or output value has been generated. If you consecutively set ${\mathbf{IRES}}=3$, then D03PRF returns to the calling subroutine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{4}}$.
PDEDEF must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PRF is called. Parameters denoted as
Input must
not be changed by this procedure.
 5: BNDARY – SUBROUTINE, supplied by the user.External Procedure
BNDARY must evaluate the functions
${G}_{i}^{L}$ and
${G}_{i}^{R}$ which describe the boundary conditions, as given in
(5) and
(6).
The specification of
BNDARY is:
SUBROUTINE BNDARY ( 
NPDE, T, IBND, NOBC, U, UDOT, NCODE, V, VDOT, RES, IRES) 
INTEGER 
NPDE, IBND, NOBC, NCODE, IRES 
REAL (KIND=nag_wp) 
T, U(NPDE), UDOT(NPDE), V(NCODE), VDOT(NCODE), RES(NOBC) 

 1: NPDE – INTEGERInput
On entry: the number of PDEs in the system.
 2: T – REAL (KIND=nag_wp)Input
On entry: the current value of the independent variable $t$.
 3: IBND – INTEGERInput
On entry: specifies which boundary conditions are to be evaluated.
 ${\mathbf{IBND}}=0$
 BNDARY must compute the lefthand boundary condition at $x=a$.
 ${\mathbf{IBND}}\ne 0$
 BNDARY must compute of the righthand boundary condition at $x=b$.
 4: NOBC – INTEGERInput
On entry: specifies the number
${n}_{a}$ of boundary conditions at the boundary specified by
IBND.
 5: U(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry:
${\mathbf{U}}\left(\mathit{i}\right)$ contains the value of the component
${U}_{\mathit{i}}\left(x,t\right)$ at the boundary specified by
IBND, for
$\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 6: UDOT(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry: ${\mathbf{UDOT}}\left(\mathit{i}\right)$ contains the value of the component $\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial t}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 7: NCODE – INTEGERInput
On entry: the number of coupled ODEs in the system.
 8: V(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NCODE}}>0$, ${\mathbf{V}}\left(\mathit{i}\right)$ contains the value of the component ${V}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$.
 9: VDOT(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if
${\mathbf{NCODE}}>0$,
${\mathbf{VDOT}}\left(\mathit{i}\right)$ contains the value of component
${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for
$\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$.
Note:
${\mathbf{VDOT}}\left(\mathit{i}\right)$, for
$\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$, may only appear linearly as in
(11) and
(12).
 10: RES(NOBC) – REAL (KIND=nag_wp) arrayOutput
On exit:
${\mathbf{RES}}\left(\mathit{i}\right)$ must contain the
$\mathit{i}$th component of
${G}^{L}$ or
${G}^{R}$, depending on the value of
IBND, for
$\mathit{i}=1,2,\dots ,{\mathbf{NOBC}}$, where
${G}^{L}$ is defined as
i.e., only terms depending explicitly on time derivatives, or
i.e., all terms in equation
(7), and similarly for
${G}_{\mathit{i}}^{R}$.
The definitions of
${G}^{L}$ and
${G}^{R}$ are determined by the input value of
IRES.
 11: IRES – INTEGERInput/Output
On entry: the form of
${G}_{i}^{L}$ (or
${G}_{i}^{R}$) that must be returned in the array
RES.
 ${\mathbf{IRES}}=1$
 Equation (11) must be used.
 ${\mathbf{IRES}}=1$
 Equation (12) must be used.
On exit: should usually remain unchanged. However, you may set
IRES to force the integration routine to take certain actions as described below:
 ${\mathbf{IRES}}=2$
 Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{6}}$.
 ${\mathbf{IRES}}=3$
 Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ${\mathbf{IRES}}=3$ when a physically meaningless input or output value has been generated. If you consecutively set ${\mathbf{IRES}}=3$, then D03PRF returns to the calling subroutine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{4}}$.
BNDARY must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PRF is called. Parameters denoted as
Input must
not be changed by this procedure.
 6: UVINIT – SUBROUTINE, supplied by the user.External Procedure
UVINIT must supply the initial
$\left(t={t}_{0}\right)$ values of
$U\left(x,t\right)$ and
$V\left(t\right)$ for all values of
$x$ in the interval
$\left[a,b\right]$.
The specification of
UVINIT is:
INTEGER 
NPDE, NPTS, NXI, NCODE 
REAL (KIND=nag_wp) 
X(NPTS), XI(NXI), U(NPDE,NPTS), V(NCODE) 

 1: NPDE – INTEGERInput
On entry: the number of PDEs in the system.
 2: NPTS – INTEGERInput
On entry: the number of mesh points in the interval $\left[a,b\right]$.
 3: NXI – INTEGERInput
On entry: the number of ODE/PDE coupling points.
 4: X(NPTS) – REAL (KIND=nag_wp) arrayInput
On entry: the current mesh. ${\mathbf{X}}\left(\mathit{i}\right)$ contains the value of ${x}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPTS}}$.
 5: XI(NXI) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NXI}}>0$, ${\mathbf{XI}}\left(\mathit{i}\right)$ contains the ODE/PDE coupling point, ${\xi}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NXI}}$.
 6: U(NPDE,NPTS) – REAL (KIND=nag_wp) arrayOutput
On exit: if ${\mathbf{NXI}}>0$, ${\mathbf{U}}\left(\mathit{i},\mathit{j}\right)$ contains the value of the component ${U}_{\mathit{i}}\left({x}_{\mathit{j}},{t}_{0}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{NPTS}}$.
 7: NCODE – INTEGERInput
On entry: the number of coupled ODEs in the system.
 8: V(NCODE) – REAL (KIND=nag_wp) arrayOutput
On exit: if ${\mathbf{NCODE}}>0$, ${\mathbf{V}}\left(\mathit{i}\right)$ must contain the value of component ${V}_{\mathit{i}}\left({t}_{0}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$.
UVINIT must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PRF is called. Parameters denoted as
Input must
not be changed by this procedure.
 7: U(NEQN) – REAL (KIND=nag_wp) arrayInput/Output
On entry: if
${\mathbf{IND}}=1$, the value of
U must be unchanged from the previous call.
On exit: ${\mathbf{U}}\left({\mathbf{NPDE}}\times \left(\mathit{j}1\right)+\mathit{i}\right)$ contains the computed solution ${U}_{\mathit{i}}\left({x}_{\mathit{j}},t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{NPTS}}$, evaluated at $t={\mathbf{TS}}$.
 8: NPTS – INTEGERInput
On entry: the number of mesh points in the interval [$a,b$].
Constraint:
${\mathbf{NPTS}}\ge 3$.
 9: X(NPTS) – REAL (KIND=nag_wp) arrayInput/Output
On entry: the initial mesh points in the space direction. ${\mathbf{X}}\left(1\right)$ must specify the lefthand boundary, $a$, and ${\mathbf{X}}\left({\mathbf{NPTS}}\right)$ must specify the righthand boundary, $b$.
Constraint:
${\mathbf{X}}\left(1\right)<{\mathbf{X}}\left(2\right)<\cdots <{\mathbf{X}}\left({\mathbf{NPTS}}\right)$.
On exit: the final values of the mesh points.
 10: NLEFT – INTEGERInput
On entry: the number ${n}_{a}$ of boundary conditions at the lefthand mesh point ${\mathbf{X}}\left(1\right)$.
Constraint:
$0\le {\mathbf{NLEFT}}\le {\mathbf{NPDE}}$.
 11: NCODE – INTEGERInput
On entry: the number of coupled ODE components.
Constraint:
${\mathbf{NCODE}}\ge 0$.
 12: ODEDEF – SUBROUTINE, supplied by the NAG Library or the user.External Procedure
ODEDEF must evaluate the functions
$R$, which define the system of ODEs, as given in
(4).
If you wish to compute the solution of a system of PDEs only (i.e.,
${\mathbf{NCODE}}=0$),
ODEDEF must be the dummy routine D03PEK. (D03PEK is included in the NAG Library.)
The specification of
ODEDEF is:
SUBROUTINE ODEDEF ( 
NPDE, T, NCODE, V, VDOT, NXI, XI, UCP, UCPX, UCPT, R, IRES) 
INTEGER 
NPDE, NCODE, NXI, IRES 
REAL (KIND=nag_wp) 
T, V(NCODE), VDOT(NCODE), XI(NXI), UCP(NPDE,*), UCPX(NPDE,*), UCPT(NPDE,*), R(NCODE) 

 1: NPDE – INTEGERInput
On entry: the number of PDEs in the system.
 2: T – REAL (KIND=nag_wp)Input
On entry: the current value of the independent variable $t$.
 3: NCODE – INTEGERInput
On entry: the number of coupled ODEs in the system.
 4: V(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NCODE}}>0$, ${\mathbf{V}}\left(\mathit{i}\right)$ contains the value of the component ${V}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$.
 5: VDOT(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NCODE}}>0$, ${\mathbf{VDOT}}\left(\mathit{i}\right)$ contains the value of component ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$.
 6: NXI – INTEGERInput
On entry: the number of ODE/PDE coupling points.
 7: XI(NXI) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NXI}}>0$, ${\mathbf{XI}}\left(\mathit{i}\right)$ contains the ODE/PDE coupling point, ${\xi}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NXI}}$.
 8: UCP(NPDE,$*$) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NXI}}>0$, ${\mathbf{UCP}}\left(\mathit{i},\mathit{j}\right)$ contains the value of ${U}_{\mathit{i}}\left(x,t\right)$ at the coupling point $x={\xi}_{\mathit{j}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{NXI}}$.
 9: UCPX(NPDE,$*$) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NXI}}>0$, ${\mathbf{UCPX}}\left(\mathit{i},\mathit{j}\right)$ contains the value of $\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial x}$ at the coupling point $x={\xi}_{\mathit{j}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{NXI}}$.
 10: UCPT(NPDE,$*$) – REAL (KIND=nag_wp) arrayInput
On entry: if ${\mathbf{NXI}}>0$, ${\mathbf{UCPT}}\left(\mathit{i},\mathit{j}\right)$ contains the value of $\frac{\partial {U}_{\mathit{i}}}{\partial t}$ at the coupling point $x={\xi}_{\mathit{j}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{NXI}}$.
 11: R(NCODE) – REAL (KIND=nag_wp) arrayOutput
On exit: if
${\mathbf{NCODE}}>0$,
${\mathbf{R}}\left(\mathit{i}\right)$ must contain the
$\mathit{i}$th component of
$R$, for
$\mathit{i}=1,2,\dots ,{\mathbf{NCODE}}$, where
$R$ is defined as
i.e., only terms depending explicitly on time derivatives, or
i.e., all terms in equation
(4). The definition of
$R$ is determined by the input value of
IRES.
 12: IRES – INTEGERInput/Output
On entry: the form of
$R$ that must be returned in the array
R.
 ${\mathbf{IRES}}=1$
 Equation (13) must be used.
 ${\mathbf{IRES}}=1$
 Equation (14) must be used.
On exit: should usually remain unchanged. However, you may reset
IRES to force the integration routine to take certain actions, as described below:
 ${\mathbf{IRES}}=2$
 Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{6}}$.
 ${\mathbf{IRES}}=3$
 Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ${\mathbf{IRES}}=3$ when a physically meaningless input or output value has been generated. If you consecutively set ${\mathbf{IRES}}=3$, then D03PRF returns to the calling subroutine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{4}}$.
ODEDEF must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PRF is called. Parameters denoted as
Input must
not be changed by this procedure.
 13: NXI – INTEGERInput
On entry: the number of ODE/PDE coupling points.
Constraints:
 if ${\mathbf{NCODE}}=0$, ${\mathbf{NXI}}=0$;
 if ${\mathbf{NCODE}}>0$, ${\mathbf{NXI}}\ge 0$.
 14: XI($*$) – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array
XI
must be at least
$\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{NXI}}\right)$.
On entry: ${\mathbf{XI}}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NXI}}$, must be set to the ODE/PDE coupling points, ${\xi}_{\mathit{i}}$.
Constraint:
${\mathbf{X}}\left(1\right)\le {\mathbf{XI}}\left(1\right)<{\mathbf{XI}}\left(2\right)<\cdots <{\mathbf{XI}}\left({\mathbf{NXI}}\right)\le {\mathbf{X}}\left({\mathbf{NPTS}}\right)$.
 15: NEQN – INTEGERInput
On entry: the number of ODEs in the time direction.
Constraint:
${\mathbf{NEQN}}={\mathbf{NPDE}}\times {\mathbf{NPTS}}+{\mathbf{NCODE}}$.
 16: RTOL($*$) – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array
RTOL
must be at least
$1$ if
${\mathbf{ITOL}}=1$ or
$2$ and at least
${\mathbf{NEQN}}$ if
${\mathbf{ITOL}}=3$ or
$4$.
On entry: the relative local error tolerance.
Constraint:
${\mathbf{RTOL}}\left(i\right)\ge 0.0$ for all relevant $i$.
 17: ATOL($*$) – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array
ATOL
must be at least
$1$ if
${\mathbf{ITOL}}=1$ or
$3$ and at least
${\mathbf{NEQN}}$ if
${\mathbf{ITOL}}=2$ or
$4$.
On entry: the absolute local error tolerance.
Constraint:
${\mathbf{ATOL}}\left(i\right)\ge 0.0$ for all relevant
$i$.
Note: corresponding elements of
RTOL and
ATOL cannot both be
$0.0$.
 18: ITOL – INTEGERInput
A value to indicate the form of the local error test.
ITOL indicates to D03PRF whether to interpret either or both of
RTOL or
ATOL as a vector or scalar. The error test to be satisfied is
$\Vert {e}_{i}/{w}_{i}\Vert <1.0$, where
${w}_{i}$ is defined as follows:
On entry:
ITOL  RTOL  ATOL  ${w}_{i}$ 
1  scalar  scalar  ${\mathbf{RTOL}}\left(1\right)\times \left{\mathbf{U}}\left(i\right)\right+{\mathbf{ATOL}}\left(1\right)$ 
2  scalar  vector  ${\mathbf{RTOL}}\left(1\right)\times \left{\mathbf{U}}\left(i\right)\right+{\mathbf{ATOL}}\left(i\right)$ 
3  vector  scalar  ${\mathbf{RTOL}}\left(i\right)\times \left{\mathbf{U}}\left(i\right)\right+{\mathbf{ATOL}}\left(1\right)$ 
4  vector  vector  ${\mathbf{RTOL}}\left(i\right)\times \left{\mathbf{U}}\left(i\right)\right+{\mathbf{ATOL}}\left(i\right)$ 
In the above, ${e}_{\mathit{i}}$ denotes the estimated local error for the $\mathit{i}$th component of the coupled PDE/ODE system in time, ${\mathbf{U}}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NEQN}}$.
The choice of norm used is defined by the parameter
NORM.
Constraint:
${\mathbf{ITOL}}=1$, $2$, $3$ or $4$.
 19: NORM – CHARACTER(1)Input
On entry: the type of norm to be used.
 ${\mathbf{NORM}}=\text{'M'}$
 Maximum norm.
 ${\mathbf{NORM}}=\text{'A'}$
 Averaged ${L}_{2}$ norm.
If
${U}_{\mathrm{norm}}$ denotes the norm of the vector
U of length
NEQN, then for the averaged
${L}_{2}$ norm
while for the maximum norm
See the description of
ITOL for the formulation of the weight vector
$w$.
Constraint:
${\mathbf{NORM}}=\text{'M'}$ or $\text{'A'}$.
 20: LAOPT – CHARACTER(1)Input
On entry: the type of matrix algebra required.
 ${\mathbf{LAOPT}}=\text{'F'}$
 Full matrix methods to be used.
 ${\mathbf{LAOPT}}=\text{'B'}$
 Banded matrix methods to be used.
 ${\mathbf{LAOPT}}=\text{'S'}$
 Sparse matrix methods to be used.
Constraint:
${\mathbf{LAOPT}}=\text{'F'}$,
$\text{'B'}$ or
$\text{'S'}$.
Note: you are recommended to use the banded option when no coupled ODEs are present (i.e., ${\mathbf{NCODE}}=0$).
 21: ALGOPT($30$) – REAL (KIND=nag_wp) arrayInput
On entry: may be set to control various options available in the integrator. If you wish to employ all the default options, then
${\mathbf{ALGOPT}}\left(1\right)$ 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:
 ${\mathbf{ALGOPT}}\left(1\right)$
 Selects the ODE integration method to be used. If ${\mathbf{ALGOPT}}\left(1\right)=1.0$, a BDF method is used and if ${\mathbf{ALGOPT}}\left(1\right)=2.0$, a Theta method is used. The default value is ${\mathbf{ALGOPT}}\left(1\right)=1.0$.
If ${\mathbf{ALGOPT}}\left(1\right)=2.0$, then
${\mathbf{ALGOPT}}\left(\mathit{i}\right)$, for $\mathit{i}=2,3,4$, are not used.
 ${\mathbf{ALGOPT}}\left(2\right)$
 Specifies the maximum order of the BDF integration formula to be used. ${\mathbf{ALGOPT}}\left(2\right)$ may be $1.0$, $2.0$, $3.0$, $4.0$ or $5.0$. The default value is ${\mathbf{ALGOPT}}\left(2\right)=5.0$.
 ${\mathbf{ALGOPT}}\left(3\right)$
 Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the BDF method. If ${\mathbf{ALGOPT}}\left(3\right)=1.0$ a modified Newton iteration is used and if ${\mathbf{ALGOPT}}\left(3\right)=2.0$ 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 ${\mathbf{ALGOPT}}\left(3\right)=1.0$.
 ${\mathbf{ALGOPT}}\left(4\right)$
 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
${P}_{i,\mathit{j}}=0.0$, for $\mathit{j}=1,2,\dots ,{\mathbf{NPDE}}$, for some $i$ or when there is no ${\stackrel{.}{V}}_{i}\left(t\right)$ dependence in the coupled ODE system. If ${\mathbf{ALGOPT}}\left(4\right)=1.0$, then the Petzold test is used. If ${\mathbf{ALGOPT}}\left(4\right)=2.0$, then the Petzold test is not used. The default value is ${\mathbf{ALGOPT}}\left(4\right)=1.0$.
If ${\mathbf{ALGOPT}}\left(1\right)=1.0$, then
${\mathbf{ALGOPT}}\left(\mathit{i}\right)$, for $\mathit{i}=5,6,7$, are not used.
 ${\mathbf{ALGOPT}}\left(5\right)$
 Specifies the value of Theta to be used in the Theta integration method. $0.51\le {\mathbf{ALGOPT}}\left(5\right)\le 0.99$. The default value is ${\mathbf{ALGOPT}}\left(5\right)=0.55$.
 ${\mathbf{ALGOPT}}\left(6\right)$
 Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the Theta method. If ${\mathbf{ALGOPT}}\left(6\right)=1.0$, a modified Newton iteration is used and if ${\mathbf{ALGOPT}}\left(6\right)=2.0$, a functional iteration method is used. The default value is ${\mathbf{ALGOPT}}\left(6\right)=1.0$.
 ${\mathbf{ALGOPT}}\left(7\right)$
 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 ${\mathbf{ALGOPT}}\left(7\right)=1.0$, then switching is allowed and if ${\mathbf{ALGOPT}}\left(7\right)=2.0$, then switching is not allowed. The default value is ${\mathbf{ALGOPT}}\left(7\right)=1.0$.
 ${\mathbf{ALGOPT}}\left(11\right)$
 Specifies a point in the time direction, ${t}_{\mathrm{crit}}$, beyond which integration must not be attempted. The use of ${t}_{\mathrm{crit}}$ is described under the parameter ITASK. If ${\mathbf{ALGOPT}}\left(1\right)\ne 0.0$, a value of $0.0$, for ${\mathbf{ALGOPT}}\left(11\right)$, say, should be specified even if ITASK subsequently specifies that ${t}_{\mathrm{crit}}$ will not be used.
 ${\mathbf{ALGOPT}}\left(12\right)$
 Specifies the minimum absolute step size to be allowed in the time integration. If this option is not required, ${\mathbf{ALGOPT}}\left(12\right)$ should be set to $0.0$.
 ${\mathbf{ALGOPT}}\left(13\right)$
 Specifies the maximum absolute step size to be allowed in the time integration. If this option is not required, ${\mathbf{ALGOPT}}\left(13\right)$ should be set to $0.0$.
 ${\mathbf{ALGOPT}}\left(14\right)$
 Specifies the initial step size to be attempted by the integrator. If ${\mathbf{ALGOPT}}\left(14\right)=0.0$, then the initial step size is calculated internally.
 ${\mathbf{ALGOPT}}\left(15\right)$
 Specifies the maximum number of steps to be attempted by the integrator in any one call. If ${\mathbf{ALGOPT}}\left(15\right)=0.0$, then no limit is imposed.
 ${\mathbf{ALGOPT}}\left(23\right)$
 Specifies what method is to be used to solve the nonlinear equations at the initial point to initialize the values of $U$, ${U}_{t}$, $V$ and $\stackrel{.}{V}$. If ${\mathbf{ALGOPT}}\left(23\right)=1.0$, a modified Newton iteration is used and if ${\mathbf{ALGOPT}}\left(23\right)=2.0$, functional iteration is used. The default value is ${\mathbf{ALGOPT}}\left(23\right)=1.0$.
${\mathbf{ALGOPT}}\left(29\right)$ and ${\mathbf{ALGOPT}}\left(30\right)$ are used only for the sparse matrix algebra option, i.e., ${\mathbf{LAOPT}}=\text{'S'}$.
 ${\mathbf{ALGOPT}}\left(29\right)$
 Governs the choice of pivots during the decomposition of the first Jacobian matrix. It should lie in the range $0.0<{\mathbf{ALGOPT}}\left(29\right)<1.0$, with smaller values biasing the algorithm towards maintaining sparsity at the expense of numerical stability. If ${\mathbf{ALGOPT}}\left(29\right)$ lies outside this range then the default value is used. If the routines regard the Jacobian matrix as numerically singular then increasing ${\mathbf{ALGOPT}}\left(29\right)$ towards $1.0$ may help, but at the cost of increased fillin. The default value is ${\mathbf{ALGOPT}}\left(29\right)=0.1$.
 ${\mathbf{ALGOPT}}\left(30\right)$
 Used as a relative pivot threshold during subsequent Jacobian decompositions (see ${\mathbf{ALGOPT}}\left(29\right)$) below which an internal error is invoked. ${\mathbf{ALGOPT}}\left(30\right)$ must be greater than zero, otherwise the default value is used. If ${\mathbf{ALGOPT}}\left(30\right)$ 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 ${\mathbf{ALGOPT}}\left(29\right)$). The default value is ${\mathbf{ALGOPT}}\left(30\right)=0.0001$.
 22: REMESH – LOGICALInput
On entry: indicates whether or not spatial remeshing should be performed.
 ${\mathbf{REMESH}}=\mathrm{.TRUE.}$
 Indicates that spatial remeshing should be performed as specified.
 ${\mathbf{REMESH}}=\mathrm{.FALSE.}$
 Indicates that spatial remeshing should be suppressed.
Note: REMESH should
not be changed between consecutive calls to D03PRF. Remeshing can be switched off or on at specified times by using appropriate values for the parameters
NRMESH and
TRMESH at each call.
 23: NXFIX – INTEGERInput
On entry: the number of fixed mesh points.
Constraint:
$0\le {\mathbf{NXFIX}}\le {\mathbf{NPTS}}2$.
Note: the end points ${\mathbf{X}}\left(1\right)$ and ${\mathbf{X}}\left({\mathbf{NPTS}}\right)$ are fixed automatically and hence should not be specified as fixed points.
 24: XFIX($*$) – REAL (KIND=nag_wp) arrayInput

Note: the dimension of the array
XFIX
must be at least
$\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{NXFIX}}\right)$.
On entry: ${\mathbf{XFIX}}\left(\mathit{i}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NXFIX}}$, must contain the value of the $x$ coordinate at the $\mathit{i}$th fixed mesh point.
Constraint:
${\mathbf{XFIX}}\left(\mathit{i}\right)<{\mathbf{XFIX}}\left(\mathit{i}+1\right)$, for
$\mathit{i}=1,2,\dots ,{\mathbf{NXFIX}}1$, and each fixed mesh point must coincide with a usersupplied initial mesh point, that is
${\mathbf{XFIX}}\left(\mathit{i}\right)={\mathbf{X}}\left(\mathit{j}\right)$ for some
$j$,
$2\le j\le {\mathbf{NPTS}}1$.
Note: the positions of the fixed mesh points in the array ${\mathbf{X}}$ remain fixed during remeshing, and so the number of mesh points between adjacent fixed points (or between fixed points and end points) does not change. You should take this into account when choosing the initial mesh distribution.
 25: NRMESH – INTEGERInput
On entry: indicates the form of meshing to be performed.
 ${\mathbf{NRMESH}}<0$
 Indicates that a new mesh is adopted according to the parameter DXMESH. The mesh is tested every $\left{\mathbf{NRMESH}}\right$ timesteps.
 ${\mathbf{NRMESH}}=0$
 Indicates that remeshing should take place just once at the end of the first time step reached when $t>{\mathbf{TRMESH}}$.
 ${\mathbf{NRMESH}}>0$
 Indicates that remeshing will take place every NRMESH time steps, with no testing using DXMESH.
Note: NRMESH may be changed between consecutive calls to D03PRF to give greater flexibility over the times of remeshing.
 26: DXMESH – REAL (KIND=nag_wp)Input
On entry: determines whether a new mesh is adopted when
NRMESH is set less than zero. A possible new mesh is calculated at the end of every
$\left{\mathbf{NRMESH}}\right$ time steps, but is adopted only if
or
DXMESH thus imposes a lower limit on the difference between one mesh and the next.
Constraint:
${\mathbf{DXMESH}}\ge 0.0$.
 27: TRMESH – REAL (KIND=nag_wp)Input
On entry: specifies when remeshing will take place when
NRMESH is set to zero. Remeshing will occur just once at the end of the first time step reached when
$t$ is greater than
TRMESH.
Note: TRMESH may be changed between consecutive calls to D03PRF to force remeshing at several specified times.
 28: IPMINF – INTEGERInput
On entry: the level of trace information regarding the adaptive remeshing. Details are directed to the current advisory message unit (see
X04ABF).
 ${\mathbf{IPMINF}}=0$
 No trace information.
 ${\mathbf{IPMINF}}=1$
 Brief summary of mesh characteristics.
 ${\mathbf{IPMINF}}=2$
 More detailed information, including old and new mesh points, mesh sizes and monitor function values.
Constraint:
${\mathbf{IPMINF}}=0$, $1$ or $2$.
 29: XRATIO – REAL (KIND=nag_wp)Input
On entry: input bound on adjacent mesh ratio (greater than
$1.0$ and typically in the range
$1.5$ to
$3.0$). The remeshing routines will attempt to ensure that
Suggested value:
${\mathbf{XRATIO}}=1.5$.
Constraint:
${\mathbf{XRATIO}}>1.0$.
 30: CON – REAL (KIND=nag_wp)Input
On entry: an input bound on the subintegral of the monitor function
${F}^{\mathrm{mon}}\left(x\right)$ over each space step. The remeshing routines will attempt to ensure that
(see
Furzeland (1984)).
CON gives you more control over the mesh distribution e.g., decreasing
CON allows more clustering. A typical value is
$2/\left({\mathbf{NPTS}}1\right)$, but you are encouraged to experiment with different values. Its value is not critical and the mesh should be qualitatively correct for all values in the range given below.
Suggested value:
${\mathbf{CON}}=2.0/\left({\mathbf{NPTS}}1\right)$.
Constraint:
$0.1/\left({\mathbf{NPTS}}1\right)\le {\mathbf{CON}}\le 10.0/\left({\mathbf{NPTS}}1\right)$.
 31: MONITF – SUBROUTINE, supplied by the NAG Library or the user.External Procedure
MONITF must supply and evaluate a remesh monitor function to indicate the solution behaviour of interest.
If you specify
${\mathbf{REMESH}}=\mathrm{.FALSE.}$, i.e., no remeshing, then
MONITF will not be called and the dummy routine D03PEL may be used for
MONITF. (D03PEL is included in the NAG Library.)
The specification of
MONITF is:
INTEGER 
NPTS, NPDE 
REAL (KIND=nag_wp) 
T, X(NPTS), U(NPDE,NPTS), FMON(NPTS) 

 1: T – REAL (KIND=nag_wp)Input
On entry: the current value of the independent variable $t$.
 2: NPTS – INTEGERInput
On entry: the number of mesh points in the interval $\left[a,b\right]$.
 3: NPDE – INTEGERInput
On entry: the number of PDEs in the system.
 4: X(NPTS) – REAL (KIND=nag_wp) arrayInput
On entry: the current mesh. ${\mathbf{X}}\left(\mathit{i}\right)$ contains the value of ${x}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPTS}}$.
 5: U(NPDE,NPTS) – REAL (KIND=nag_wp) arrayInput
On entry: ${\mathbf{U}}\left(\mathit{i},\mathit{j}\right)$ contains the value of ${U}_{\mathit{i}}\left(x,t\right)$ at $x={\mathbf{X}}\left(\mathit{j}\right)$ and time $t$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{NPTS}}$.
 6: FMON(NPTS) – REAL (KIND=nag_wp) arrayOutput
On exit: ${\mathbf{FMON}}\left(i\right)$ must contain the value of the monitor function ${F}^{\mathrm{mon}}\left(x\right)$ at mesh point $x={\mathbf{X}}\left(i\right)$.
Constraint:
${\mathbf{FMON}}\left(i\right)\ge 0.0$.
MONITF must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PRF is called. Parameters denoted as
Input must
not be changed by this procedure.
 32: RSAVE(LRSAVE) – REAL (KIND=nag_wp) arrayCommunication Array
If
${\mathbf{IND}}=0$,
RSAVE need not be set on entry.
If
${\mathbf{IND}}=1$,
RSAVE must be unchanged from the previous call to the routine because it contains required information about the iteration.
 33: LRSAVE – INTEGERInput
On entry: the dimension of the array
RSAVE as declared in the (sub)program from which D03PRF is called.
Its size depends on the type of matrix algebra selected.
If ${\mathbf{LAOPT}}=\text{'F'}$, ${\mathbf{LRSAVE}}\ge {\mathbf{NEQN}}\times {\mathbf{NEQN}}+{\mathbf{NEQN}}+\mathit{nwkres}+\mathit{lenode}$.
If ${\mathbf{LAOPT}}=\text{'B'}$, ${\mathbf{LRSAVE}}\ge \left(3\times \mathit{ml}+\mathit{mu}+2\right)\times {\mathbf{NEQN}}+\mathit{nwkres}+\mathit{lenode}$.
If ${\mathbf{LAOPT}}=\text{'S'}$, ${\mathbf{LRSAVE}}\ge 4\times {\mathbf{NEQN}}+11\times {\mathbf{NEQN}}/2+1+\mathit{nwkres}+\mathit{lenode}$.
Where

$\mathit{ml}$ and $\mathit{mu}$ are the lower and upper half bandwidths given by $\mathit{ml}={\mathbf{NPDE}}+{\mathbf{NLEFT}}1$ such that $\mathit{mu}=2\times {\mathbf{NPDE}}{\mathbf{NLEFT}}1$, for problems involving PDEs only; or $\mathit{ml}=\mathit{mu}={\mathbf{NEQN}}1$, for coupled PDE/ODE problems. 

$\mathit{nwkres}=\left\{\begin{array}{ll}{\mathbf{NPDE}}\times \left(3\times {\mathbf{NPDE}}+6\times {\mathbf{NXI}}+{\mathbf{NPTS}}+15\right)+{\mathbf{NXI}}+{\mathbf{NCODE}}+7\times {\mathbf{NPTS}}+{\mathbf{NXFIX}}+1\text{,}& \text{when}{\mathbf{NCODE}}>0\text{ and}{\mathbf{NXI}}>0\text{; or}\\ {\mathbf{NPDE}}\times \left(3\times {\mathbf{NPDE}}+{\mathbf{NPTS}}+21\right)+{\mathbf{NCODE}}+7\times {\mathbf{NPTS}}+{\mathbf{NXFIX}}+2\text{,}& \text{when}{\mathbf{NCODE}}>0\text{ and}{\mathbf{NXI}}=0\text{; or}\\ {\mathbf{NPDE}}\times \left(3\times {\mathbf{NPDE}}+{\mathbf{NPTS}}+21\right)+7\times {\mathbf{NPTS}}+{\mathbf{NXFIX}}+3\text{,}& \text{when}{\mathbf{NCODE}}=0\text{.}\end{array}\right.$ 

$\mathit{lenode}=\left\{\begin{array}{ll}\left(6+\mathrm{int}\left({\mathbf{ALGOPT}}\left(2\right)\right)\right)\times {\mathbf{NEQN}}+50\text{,}& \text{when the BDF method is used; or}\\ 9\times {\mathbf{NEQN}}+50\text{,}& \text{when the Theta method is used.}\end{array}\right.$ 
Note: when using the sparse option, 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
${\mathbf{ITRACE}}>0$ and the routine returns with
${\mathbf{IFAIL}}={\mathbf{15}}$.
 34: ISAVE(LISAVE) – INTEGER arrayCommunication Array
If
${\mathbf{IND}}=0$,
ISAVE need not be set.
If
${\mathbf{IND}}=1$,
ISAVE must be unchanged from the previous call to the routine because it contains required information about the iteration. In particular the following components of the array
ISAVE concern the efficiency of the integration:
 ${\mathbf{ISAVE}}\left(1\right)$
 Contains the number of steps taken in time.
 ${\mathbf{ISAVE}}\left(2\right)$
 Contains the number of residual evaluations of the resulting ODE system used. One such evaluation involves evaluating the PDE functions at all the mesh points, as well as one evaluation of the functions in the boundary conditions.
 ${\mathbf{ISAVE}}\left(3\right)$
 Contains the number of Jacobian evaluations performed by the time integrator.
 ${\mathbf{ISAVE}}\left(4\right)$
 Contains the order of the ODE method last used in the time integration.
 ${\mathbf{ISAVE}}\left(5\right)$
 Contains the number of Newton iterations performed by the time integrator. Each iteration involves residual evaluation of the resulting ODE system followed by a backsubstitution using the $LU$ decomposition of the Jacobian matrix.
The rest of the array is used as workspace.
 35: LISAVE – INTEGERInput
On entry: the dimension of the array
ISAVE as declared in the (sub)program from which D03PRF is called. Its size depends on the type of matrix algebra selected:
 if ${\mathbf{LAOPT}}=\text{'F'}$, ${\mathbf{LISAVE}}\ge 25+{\mathbf{NXFIX}}$;
 if ${\mathbf{LAOPT}}=\text{'B'}$, ${\mathbf{LISAVE}}\ge {\mathbf{NEQN}}+25+{\mathbf{NXFIX}}$;
 if ${\mathbf{LAOPT}}=\text{'S'}$, ${\mathbf{LISAVE}}\ge 25\times {\mathbf{NEQN}}+25+{\mathbf{NXFIX}}$.
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 on the current error message unit if
${\mathbf{ITRACE}}>0$ and the routine returns with
${\mathbf{IFAIL}}={\mathbf{15}}$.
 36: ITASK – INTEGERInput
On entry: the task to be performed by the ODE integrator.
 ${\mathbf{ITASK}}=1$
 Normal computation of output values U at $t={\mathbf{TOUT}}$ (by overshooting and interpolating).
 ${\mathbf{ITASK}}=2$
 Take one step in the time direction and return.
 ${\mathbf{ITASK}}=3$
 Stop at first internal integration point at or beyond $t={\mathbf{TOUT}}$.
 ${\mathbf{ITASK}}=4$
 Normal computation of output values U at $t={\mathbf{TOUT}}$ but without overshooting $t={t}_{\mathrm{crit}}$ where ${t}_{\mathrm{crit}}$ is described under the parameter ALGOPT.
 ${\mathbf{ITASK}}=5$
 Take one step in the time direction and return, without passing ${t}_{\mathrm{crit}}$, where ${t}_{\mathrm{crit}}$ is described under the parameter ALGOPT.
Constraint:
${\mathbf{ITASK}}=1$, $2$, $3$, $4$ or $5$.
 37: ITRACE – INTEGERInput
On entry: the level of trace information required from D03PRF and the underlying ODE solver as follows:
 ${\mathbf{ITRACE}}\le 1$
 No output is generated.
 ${\mathbf{ITRACE}}=0$
 Only warning messages from the PDE solver are printed on the current error message unit (see X04AAF).
 ${\mathbf{ITRACE}}=1$
 Output from the underlying ODE solver is printed on the current advisory message unit (see X04ABF). This output contains details of Jacobian entries, the nonlinear iteration and the time integration during the computation of the ODE system.
 ${\mathbf{ITRACE}}=2$
 Output from the underlying ODE solver is similar to that produced when ${\mathbf{ITRACE}}=1$, except that the advisory messages are given in greater detail.
 ${\mathbf{ITRACE}}\ge 3$
 The output from the underlying ODE solver is similar to that produced when ${\mathbf{ITRACE}}=2$, except that the advisory messages are given in greater detail.
You are advised to set
${\mathbf{ITRACE}}=0$, unless you are experienced with
subchapter D02M–N.
 38: IND – INTEGERInput/Output
On entry: indicates whether this is a continuation call or a new integration.
 ${\mathbf{IND}}=0$
 Starts or restarts the integration in time.
 ${\mathbf{IND}}=1$
 Continues the integration after an earlier exit from the routine. In this case, only the parameters TOUT and IFAIL and the remeshing parameters NRMESH, DXMESH, TRMESH, XRATIO and CON may be reset between calls to D03PRF.
Constraint:
${\mathbf{IND}}=0$ or $1$.
On exit: ${\mathbf{IND}}=1$.
 39: IFAIL – INTEGERInput/Output

On entry:
IFAIL must be set to
$0$,
$1\text{ or}1$. If you are unfamiliar with this parameter you should refer to
Section 3.3 in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
$1\text{ or}1$ is recommended. If the output of error messages is undesirable, then the value
$1$ is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is
$0$.
When the value $\mathbf{1}\text{ or}\mathbf{1}$ is used it is essential to test the value of IFAIL on exit.
On exit:
${\mathbf{IFAIL}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6 Error Indicators and Warnings
If on entry
${\mathbf{IFAIL}}={\mathbf{0}}$ or
${{\mathbf{1}}}$, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
 ${\mathbf{IFAIL}}=1$
On entry,  $\left({\mathbf{TOUT}}{\mathbf{TS}}\right)$ is too small, 
or  ${\mathbf{ITASK}}\ne 1$, $2$, $3$, $4$ or $5$, 
or  at least one of the coupling points defined in array XI is outside the interval [${\mathbf{X}}\left(1\right),{\mathbf{X}}\left({\mathbf{NPTS}}\right)$], 
or  ${\mathbf{NPTS}}<3$, 
or  ${\mathbf{NPDE}}<1$, 
or  NLEFT not in the range $0$ to NPDE, 
or  ${\mathbf{NORM}}\ne \text{'A'}$ or $\text{'M'}$, 
or  ${\mathbf{LAOPT}}\ne \text{'F'}$, $\text{'B'}$ or $\text{'S'}$, 
or  ${\mathbf{ITOL}}\ne 1$, $2$, $3$ or $4$, 
or  ${\mathbf{IND}}\ne 0$ or $1$, 
or  mesh points ${\mathbf{X}}\left(i\right)$ are badly ordered, 
or  LRSAVE is too small, 
or  LISAVE is too small, 
or  NCODE and NXI are incorrectly defined, 
or  ${\mathbf{IND}}=1$ on initial entry to D03PRF, 
or  an element of RTOL or ${\mathbf{ATOL}}<0.0$, 
or  corresponding elements of RTOL and ATOL are both $0.0$, 
or  ${\mathbf{NEQN}}\ne {\mathbf{NPDE}}\times {\mathbf{NPTS}}+{\mathbf{NCODE}}$, 
or  NXFIX not in the range $0$ to ${\mathbf{NPTS}}2$, 
or  fixed mesh point(s) do not coincide with any of the usersupplied mesh points, 
or  ${\mathbf{DXMESH}}<0.0$, 
or  ${\mathbf{IPMINF}}\ne 0$, $1$ or $2$, 
or  ${\mathbf{XRATIO}}\le 1.0$, 
or  CON not in the range $0.1/\left({\mathbf{NPTS}}1\right)$ to $10/\left({\mathbf{NPTS}}1\right)$. 
 ${\mathbf{IFAIL}}=2$
The underlying ODE solver cannot make any further progress, with the values of
ATOL and
RTOL, across the integration range from the current point
$t={\mathbf{TS}}$. The components of
U contain the computed values at the current point
$t={\mathbf{TS}}$.
 ${\mathbf{IFAIL}}=3$
In the underlying ODE solver, there were repeated error test failures on an attempted step, before completing the requested task, but the integration was successful as far as $t={\mathbf{TS}}$. The problem may have a singularity, or the error requirement may be inappropriate. Incorrect positioning of boundary conditions may also result in this error.
 ${\mathbf{IFAIL}}=4$
In setting up the ODE system, the internal initialization routine was unable to initialize the derivative of the ODE system. This could be due to the fact that
IRES was repeatedly set to
$3$ in one of
PDEDEF,
BNDARY or
ODEDEF, when the residual in the underlying ODE solver was being evaluated. Incorrect positioning of boundary conditions may also result in this error.
 ${\mathbf{IFAIL}}=5$
In solving the ODE system, a singular Jacobian has been encountered. You should check their problem formulation.
 ${\mathbf{IFAIL}}=6$
When evaluating the residual in solving the ODE system,
IRES was set to
$2$ in one of
PDEDEF,
BNDARY or
ODEDEF. Integration was successful as far as
$t={\mathbf{TS}}$.
 ${\mathbf{IFAIL}}=7$
The values of
ATOL and
RTOL are so small that the routine is unable to start the integration in time.
 ${\mathbf{IFAIL}}=8$
In either,
PDEDEF,
BNDARY or
ODEDEF,
IRES was set to an invalid value.
 ${\mathbf{IFAIL}}=9$ (D02NNF)
A serious error has occurred in an internal call to the specified routine. Check the problem specification an all parameters and array dimensions. Setting
${\mathbf{ITRACE}}=1$ may provide more information. If the problem persists, contact
NAG.
 ${\mathbf{IFAIL}}=10$
The required task has been completed, but it is estimated that a small change in
ATOL and
RTOL is unlikely to produce any change in the computed solution. (Only applies when you are not operating in one step mode, that is when
${\mathbf{ITASK}}\ne 2$ or
$5$.)
 ${\mathbf{IFAIL}}=11$
An error occurred during Jacobian formulation of the ODE system (a more detailed error description may be directed to the current advisory message unit). If using the sparse matrix algebra option, the values of ${\mathbf{ALGOPT}}\left(29\right)$ and ${\mathbf{ALGOPT}}\left(30\right)$ may be inappropriate.
 ${\mathbf{IFAIL}}=12$
In solving the ODE system, the maximum number of steps specified in ${\mathbf{ALGOPT}}\left(15\right)$ have been taken.
 ${\mathbf{IFAIL}}=13$
Some error weights
${w}_{i}$ became zero during the time integration (see the description of
ITOL). Pure relative error control
$\left({\mathbf{ATOL}}\left(i\right)=0.0\right)$ was requested on a variable (the
$i$th) which has become zero. The integration was successful as far as
$t={\mathbf{TS}}$.
 ${\mathbf{IFAIL}}=14$
Not applicable.
 ${\mathbf{IFAIL}}=15$
When using the sparse option, the value of
LISAVE or
LRSAVE was insufficient (more detailed information may be directed to the current error message unit).
 ${\mathbf{IFAIL}}=16$
REMESH has been changed between calls to D03PRF.
7 Accuracy
D03PRF 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 parameters,
ATOL and
RTOL.
The Keller box scheme can be used to solve higherorder problems which have been reduced to firstorder by the introduction of new variables (see the example in
Section 9). In general, a secondorder problem can be solved with slightly greater accuracy using the Keller box scheme instead of a finite difference scheme (
D03PPF/D03PPA for example), but at the expense of increased CPU time due to the larger number of function evaluations required.
It should be noted that the Keller box scheme, in common with other centraldifference schemes, may be unsuitable for some hyperbolic firstorder problems such as the apparently simple linear advection equation
${U}_{t}+a{U}_{x}=0$, where
$a$ is a constant, resulting in spurious oscillations due to the lack of dissipation. This type of problem requires a discretization scheme with upwind weighting
(
D03PSF for example), or the addition of a secondorder artificial dissipation term.
The time taken depends on the complexity of the system, the accuracy requested, and the frequency of the mesh updates. For a given system with fixed accuracy and meshupdate frequency it is approximately proportional to
NEQN.
9 Example
This example is the firstorder system
for
$x\in \left[0,1\right]$ and
$t\ge 0$.
The initial conditions are
and the Dirichlet boundary conditions for
${U}_{1}$ at
$x=0$ and
${U}_{2}$ at
$x=1$ are given by the exact solution:
9.1 Program Text
Program Text (d03prfe.f90)
9.2 Program Data
Program Data (d03prfe.d)
9.3 Program Results
Program Results (d03prfe.r)