d03 Chapter Contents
d03 Chapter Introduction
NAG Library Manual

# NAG Library Function Documentnag_pde_parab_1d_cd_ode (d03plc)

## 1  Purpose

nag_pde_parab_1d_cd_ode (d03plc) integrates a system of linear or nonlinear convection-diffusion equations in one space dimension, with optional source terms and scope for coupled ordinary differential equations (ODEs). The system must be posed in conservative form. Convection terms are discretized using a sophisticated upwind scheme involving a user-supplied numerical flux function based on the solution of a Riemann problem at each mesh point. The method of lines is employed to reduce the partial differential equations (PDEs) to a system of ODEs, and the resulting system is solved using a backward differentiation formula (BDF) method or a Theta method.

## 2  Specification

 #include #include
void  nag_pde_parab_1d_cd_ode (Integer npde, 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 c[], double d[], double s[], Integer *ires, Nag_Comm *comm),
 void (*numflx)(Integer npde, double t, double x, Integer ncode, const double v[], const double uleft[], const double uright[], double flux[], Integer *ires, Nag_Comm *comm, Nag_D03_Save *saved),
 void (*bndary)(Integer npde, Integer npts, double t, const double x[], const double u[], Integer ncode, const double v[], const double vdot[], Integer ibnd, double g[], 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 ucpt[], double r[], 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_cd_ode (d03plc) integrates the system of convection-diffusion equations in conservative form:
 $∑j=1npdePi,j ∂Uj ∂t + ∂Fi ∂x =Ci ∂Di ∂x +Si,$ (1)
or the hyperbolic convection-only system:
 $∂Ui ∂t + ∂Fi ∂x =0,$ (2)
for $i=1,2,\dots ,{\mathbf{npde}}\text{, }a\le x\le b\text{, }t\ge {t}_{0}$, where the vector $U$ is the set of PDE solution values
 $Ux,t=U1x,t,…,Unpdex,tT.$
The optional coupled ODEs are of the general form
 $Rit,V,V.,ξ,U*,Ux*,Ut*=0, i=1,2,…,ncode,$ (3)
where the vector $V$ is the set of ODE solution values
 $Vt=V1t,…,VncodetT,$
$\stackrel{.}{V}$ denotes its derivative with respect to time, and ${U}_{x}$ is the spatial derivative of $U$.
In (1), ${P}_{i,j}$, ${F}_{i}$ and ${C}_{i}$ depend on $x$, $t$, $U$ and $V$; ${D}_{i}$ depends on $x$, $t$, $U$, ${U}_{x}$ and $V$; and ${S}_{i}$ depends on $x$, $t$, $U$, $V$ and linearly on $\stackrel{.}{V}$. Note that ${P}_{i,j}$, ${F}_{i}$, ${C}_{i}$ and ${S}_{i}$ must not depend on any space derivatives, and ${P}_{i,j}$, ${F}_{i}$, ${C}_{i}$ and ${D}_{i}$ must not depend on any time derivatives. In terms of conservation laws, ${F}_{i}$, $\frac{{C}_{i}\partial {D}_{i}}{\partial x}$ and ${S}_{i}$ are the convective flux, diffusion and source terms respectively.
In (3), $\xi$ 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 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 depend only linearly on time derivatives. Hence (3) may be written more precisely as
 $R=L-MV.-NUt*,$ (4)
where $R={\left[{R}_{1},\dots ,{R}_{{\mathbf{ncode}}}\right]}^{\mathrm{T}}$, $L$ is a vector of length ncode, $M$ is an ncode by ncode matrix, $N$ is an ncode by $\left({n}_{\xi }×{\mathbf{npde}}\right)$ matrix and the entries in $L$, $M$ and $N$ 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 $L$, $M$ and $N$. (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 user-defined mesh ${x}_{1},{x}_{2},\dots ,{x}_{{\mathbf{npts}}}$. The initial values of the functions $U\left(x,t\right)$ and $V\left(t\right)$ must be given at $t={t}_{0}$.
The PDEs are approximated by a system of ODEs in time for the values of ${U}_{i}$ at mesh points using a spatial discretization method similar to the central-difference scheme used in nag_pde_parab_1d_fd (d03pcc), nag_pde_parab_1d_fd_ode (d03phc) and nag_pde_parab_1d_fd_ode_remesh (d03ppc), but with the flux ${F}_{i}$ replaced by a numerical flux, which is a representation of the flux taking into account the direction of the flow of information at that point (i.e., the direction of the characteristics). Simple central differencing of the numerical flux then becomes a sophisticated upwind scheme in which the correct direction of upwinding is automatically achieved.
The numerical flux vector, ${\stackrel{^}{F}}_{i}$ say, must be calculated by you in terms of the left and right values of the solution vector $U$ (denoted by ${U}_{L}$ and ${U}_{R}$ respectively), at each mid-point of the mesh ${x}_{\mathit{j}-\frac{1}{2}}=\left({x}_{\mathit{j}-1}+{x}_{\mathit{j}}\right)/2$, for $\mathit{j}=2,3,\dots ,{\mathbf{npts}}$. The left and right values are calculated by nag_pde_parab_1d_cd_ode (d03plc) from two adjacent mesh points using a standard upwind technique combined with a Van Leer slope-limiter (see LeVeque (1990)). The physically correct value for ${\stackrel{^}{F}}_{i}$ is derived from the solution of the Riemann problem given by
 $∂Ui ∂t + ∂Fi ∂y =0,$ (5)
where $y=x-{x}_{j-\frac{1}{2}}$, i.e., $y=0$ corresponds to $x={x}_{j-\frac{1}{2}}$, with discontinuous initial values $U={U}_{L}$ for $y<0$ and $U={U}_{R}$ for $y>0$, using an approximate Riemann solver. This applies for either of the systems (1) or (2); the numerical flux is independent of the functions ${P}_{i,j}$, ${C}_{i}$, ${D}_{i}$ and ${S}_{i}$. A description of several approximate Riemann solvers can be found in LeVeque (1990) and Berzins et al. (1989). Roe's scheme (see Roe (1981)) is perhaps the easiest to understand and use, and a brief summary follows. Consider the system of PDEs ${U}_{t}+{F}_{x}=0$ or equivalently ${U}_{t}+A{U}_{x}=0$. Provided the system is linear in $U$, i.e., the Jacobian matrix $A$ does not depend on $U$, the numerical flux $\stackrel{^}{F}$ is given by
 $F^=12 FL+FR-12∑k=1npdeαkλkek,$ (6)
where ${F}_{L}$ (${F}_{R}$) is the flux $F$ calculated at the left (right) value of $U$, denoted by ${U}_{L}$ (${U}_{R}$); the ${\lambda }_{k}$ are the eigenvalues of $A$; the ${e}_{k}$ are the right eigenvectors of $A$; and the ${\alpha }_{k}$ are defined by
 $UR - UL = ∑ k=1 npde αk ek .$ (7)
An example is given in Section 10 and in the nag_pde_parab_1d_cd (d03pfc) documentation.
If the system is nonlinear, Roe's scheme requires that a linearized Jacobian is found (see Roe (1981)).
The functions ${P}_{i,j}$, ${C}_{i}$, ${D}_{i}$ and ${S}_{i}$ (but not ${F}_{i}$) must be specified in pdedef. The numerical flux ${\stackrel{^}{F}}_{i}$ must be supplied in a separate numflx. For problems in the form (2)) the NAG defined null void function pointer, NULLFN, can be supplied in the call to nag_pde_parab_1d_cd_ode (d03plc).
The boundary condition specification has sufficient flexibility to allow for different types of problems. For second-order problems, i.e., ${D}_{i}$ depending on ${U}_{x}$, a boundary condition is required for each PDE at both boundaries for the problem to be well-posed. If there are no second-order terms present, then the continuous PDE problem generally requires exactly one boundary condition for each PDE, that is npde boundary conditions in total. However, in common with most discretization schemes for first-order problems, a numerical boundary condition is required at the other boundary for each PDE. In order to be consistent with the characteristic directions of the PDE system, the numerical boundary conditions must be derived from the solution inside the domain in some manner (see below). You must supply both types of boundary condition, i.e., a total of npde conditions at each boundary point.
The position of each boundary condition should be chosen with care. In simple terms, if information is flowing into the domain then a physical boundary condition is required at that boundary, and a numerical boundary condition is required at the other boundary. In many cases the boundary conditions are simple, e.g., for the linear advection equation. In general you should calculate the characteristics of the PDE system and specify a physical boundary condition for each of the characteristic variables associated with incoming characteristics, and a numerical boundary condition for each outgoing characteristic.
A common way of providing numerical boundary conditions is to extrapolate the characteristic variables from the inside of the domain (note that when using banded matrix algebra the fixed bandwidth means that only linear extrapolation is allowed, i.e., using information at just two interior points adjacent to the boundary). For problems in which the solution is known to be uniform (in space) towards a boundary during the period of integration then extrapolation is unnecessary; the numerical boundary condition can be supplied as the known solution at the boundary. Another method of supplying numerical boundary conditions involves the solution of the characteristic equations associated with the outgoing characteristics. Examples of both methods can be found in Section 10 and in the nag_pde_parab_1d_cd (d03pfc) documentation.
The boundary conditions must be specified in bndary in the form
 $GiLx,t,U,V,V.=0 at ​x=a, i=1,2,…,npde,$ (8)
at the left-hand boundary, and
 $GiRx,t,U,V,V.=0 at ​x=b, i=1,2,…,npde,$ (9)
at the right-hand boundary.
Note that spatial derivatives at the boundary are not passed explicitly to bndary, but they can be calculated using values of $U$ at and adjacent to the boundaries if required. However, it should be noted that instabilities may occur if such one-sided differencing opposes the characteristic direction at the boundary.
The algebraic-differential equation system which is defined by the functions ${R}_{i}$ must be specified in odedef. You must also specify the coupling points $\xi$ (if any) in the array xi.
The problem is subject to the following restrictions:
 (i) In (1), ${\stackrel{.}{V}}_{j}\left(t\right)$, for $j=1,2,\dots ,{\mathbf{ncode}}$, may only appear linearly in the functions ${S}_{i}$, for $i=1,2,\dots ,{\mathbf{npde}}$, with a similar restriction for ${G}_{i}^{L}$ and ${G}_{i}^{R}$; (ii) ${P}_{i,j}$, ${F}_{i}$, ${C}_{i}$ and ${S}_{i}$ must not depend on any space derivatives; and ${P}_{i,j}$, ${F}_{i}$, ${C}_{i}$ and ${D}_{i}$ must not depend on any time derivatives; (iii) ${t}_{0}<{t}_{\mathrm{out}}$, so that integration is in the forward direction; (iv) The evaluation of the terms ${P}_{i,j}$, ${C}_{i}$, ${D}_{i}$ and ${S}_{i}$ is done by calling the pdedef at a point approximately midway between each pair of mesh points in turn. Any discontinuities in these functions must therefore be at one or more of the mesh points ${x}_{1},{x}_{2},\dots ,{x}_{{\mathbf{npts}}}$; (v) At least one of the functions ${P}_{i,j}$ must be nonzero so that there is a time derivative present in the PDE problem.
In total there are ${\mathbf{npde}}×{\mathbf{npts}}+{\mathbf{ncode}}$ ODEs in the time direction. This system is then integrated forwards in time using a BDF or Theta method, optionally switching between Newton's method and functional iteration (see Berzins et al. (1989)).
For further details of the scheme, see Pennington and Berzins (1994) and the references therein.

## 4  References

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
Hirsch C (1990) Numerical Computation of Internal and External Flows, Volume 2: Computational Methods for Inviscid and Viscous Flows John Wiley
LeVeque R J (1990) Numerical Methods for Conservation Laws Birkhäuser Verlag
Pennington S V and Berzins M (1994) New NAG Library software for first-order partial differential equations ACM Trans. Math. Softw. 20 63–99
Roe P L (1981) Approximate Riemann solvers, parameter vectors, and difference schemes J. Comput. Phys. 43 357–372
Sod G A (1978) A survey of several finite difference methods for systems of nonlinear hyperbolic conservation laws J. Comput. Phys. 27 1–31

## 5  Arguments

1:    $\mathbf{npde}$IntegerInput
On entry: the number of PDEs to be solved.
Constraint: ${\mathbf{npde}}\ge 1$.
2:    $\mathbf{ts}$double *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 ${\mathbf{ts}}={\mathbf{tout}}$.
Constraint: ${\mathbf{ts}}<{\mathbf{tout}}$.
3:    $\mathbf{tout}$doubleInput
On entry: the final value of $t$ to which the integration is to be carried out.
4:    $\mathbf{pdedef}$function, supplied by the userExternal Function
pdedef must evaluate the functions ${P}_{i,j}$, ${C}_{i}$, ${D}_{i}$ and ${S}_{i}$ which partially define the system of PDEs. ${P}_{i,j}$ and ${C}_{i}$ may depend on $x$, $t$, $U$ and $V$; ${D}_{i}$ may depend on $x$, $t$, $U$, ${U}_{x}$ and $V$; and ${S}_{i}$ may depend on $x$, $t$, $U$, $V$ and linearly on $\stackrel{.}{V}$. pdedef is called approximately midway between each pair of mesh points in turn by nag_pde_parab_1d_cd_ode (d03plc). For problems in the form (2)) the NAG defined null void function pointer, NULLFN, can be supplied in the call to nag_pde_parab_1d_cd_ode (d03plc).
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 c[], double d[], double s[], Integer *ires, Nag_Comm *comm)
1:    $\mathbf{npde}$IntegerInput
On entry: the number of PDEs in the system.
2:    $\mathbf{t}$doubleInput
On entry: the current value of the independent variable $t$.
3:    $\mathbf{x}$doubleInput
On entry: the current value of the space variable $x$.
4:    $\mathbf{u}\left[{\mathbf{npde}}\right]$const doubleInput
On entry: ${\mathbf{u}}\left[\mathit{i}-1\right]$ contains the value of the component ${U}_{\mathit{i}}\left(x,t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
5:    $\mathbf{ux}\left[{\mathbf{npde}}\right]$const doubleInput
On entry: ${\mathbf{ux}}\left[\mathit{i}-1\right]$ contains the value of the component $\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial x}$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
6:    $\mathbf{ncode}$IntegerInput
On entry: the number of coupled ODEs in the system.
7:    $\mathbf{v}\left[{\mathbf{ncode}}\right]$const doubleInput
On entry: if ${\mathbf{ncode}}>0$, ${\mathbf{v}}\left[\mathit{i}-1\right]$ contains the value of the component ${V}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$.
8:    $\mathbf{vdot}\left[{\mathbf{ncode}}\right]$const doubleInput
On entry: if ${\mathbf{ncode}}>0$, ${\mathbf{vdot}}\left[\mathit{i}-1\right]$ contains the value of component ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$.
Note: ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$, may only appear linearly in ${S}_{\mathit{j}}$, for $\mathit{j}=1,2,\dots ,{\mathbf{npde}}$.
9:    $\mathbf{p}\left[{\mathbf{npde}}×{\mathbf{npde}}\right]$doubleOutput
On exit: ${\mathbf{p}}\left[{\mathbf{npde}}×\left(\mathit{j}-1\right)+\mathit{i}-1\right]$ must be set to the value of ${P}_{\mathit{i},\mathit{j}}\left(x,t,U,V\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{npde}}$.
10:  $\mathbf{c}\left[{\mathbf{npde}}\right]$doubleOutput
On exit: ${\mathbf{c}}\left[\mathit{i}-1\right]$ must be set to the value of ${C}_{\mathit{i}}\left(x,t,U,V\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
11:  $\mathbf{d}\left[{\mathbf{npde}}\right]$doubleOutput
On exit: ${\mathbf{d}}\left[\mathit{i}-1\right]$ must be set to the value of ${D}_{\mathit{i}}\left(x,t,U,{U}_{x},V\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
12:  $\mathbf{s}\left[{\mathbf{npde}}\right]$doubleOutput
On exit: ${\mathbf{s}}\left[\mathit{i}-1\right]$ must be set to the value of ${S}_{\mathit{i}}\left(x,t,U,V,\stackrel{.}{V}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
13:  $\mathbf{ires}$Integer *Input/Output
On entry: set to $-1\text{​ or ​}1$.
On exit: should usually remain unchanged. However, you may set ires to force the integration function to take certain actions as described below:
${\mathbf{ires}}=2$
Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
${\mathbf{ires}}=3$
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 nag_pde_parab_1d_cd_ode (d03plc) returns to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_FAILED_DERIV.
14:  $\mathbf{comm}$Nag_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_cd_ode (d03plc) you may allocate memory and initialize these pointers with various quantities for use by pdedef when called from nag_pde_parab_1d_cd_ode (d03plc) (see Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
5:    $\mathbf{numflx}$function, supplied by the userExternal Function
numflx must supply the numerical flux for each PDE given the left and right values of the solution vector ${\mathbf{u}}$. numflx is called approximately midway between each pair of mesh points in turn by nag_pde_parab_1d_cd_ode (d03plc).
The specification of numflx is:
 void numflx (Integer npde, double t, double x, Integer ncode, const double v[], const double uleft[], const double uright[], double flux[], Integer *ires, Nag_Comm *comm, Nag_D03_Save *saved)
1:    $\mathbf{npde}$IntegerInput
On entry: the number of PDEs in the system.
2:    $\mathbf{t}$doubleInput
On entry: the current value of the independent variable $t$.
3:    $\mathbf{x}$doubleInput
On entry: the current value of the space variable $x$.
4:    $\mathbf{ncode}$IntegerInput
On entry: the number of coupled ODEs in the system.
5:    $\mathbf{v}\left[{\mathbf{ncode}}\right]$const doubleInput
On entry: if ${\mathbf{ncode}}>0$, ${\mathbf{v}}\left[\mathit{i}-1\right]$ contains the value of the component ${V}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$.
6:    $\mathbf{uleft}\left[{\mathbf{npde}}\right]$const doubleInput
On entry: ${\mathbf{uleft}}\left[\mathit{i}-1\right]$ contains the left value of the component ${U}_{\mathit{i}}\left(x\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
7:    $\mathbf{uright}\left[{\mathbf{npde}}\right]$const doubleInput
On entry: ${\mathbf{uright}}\left[\mathit{i}-1\right]$ contains the right value of the component ${U}_{\mathit{i}}\left(x\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
8:    $\mathbf{flux}\left[{\mathbf{npde}}\right]$doubleOutput
On exit: ${\mathbf{flux}}\left[\mathit{i}-1\right]$ must be set to the numerical flux ${\stackrel{^}{F}}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
9:    $\mathbf{ires}$Integer *Input/Output
On entry: set to $-1\text{​ or ​}1$.
On exit: should usually remain unchanged. However, you may set ires to force the integration function to take certain actions as described below:
${\mathbf{ires}}=2$
Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
${\mathbf{ires}}=3$
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 nag_pde_parab_1d_cd_ode (d03plc) returns to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_FAILED_DERIV.
10:  $\mathbf{comm}$Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to numflx.
userdouble *
iuserInteger *
pPointer
The type Pointer will be void *. Before calling nag_pde_parab_1d_cd_ode (d03plc) you may allocate memory and initialize these pointers with various quantities for use by numflx when called from nag_pde_parab_1d_cd_ode (d03plc) (see Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
11:  $\mathbf{saved}$Nag_D03_Save *Communication Structure
If numflx calls one of the approximate Riemann solvers nag_pde_parab_1d_euler_roe (d03puc), nag_pde_parab_1d_euler_osher (d03pvc), nag_pde_parab_1d_euler_hll (d03pwc) or nag_pde_parab_1d_euler_exact (d03pxc) then saved is used to pass data concerning the computation to the solver. You should not change the components of saved.
6:    $\mathbf{bndary}$function, supplied by the userExternal Function
bndary must evaluate the functions ${G}_{i}^{L}$ and ${G}_{i}^{R}$ which describe the physical and numerical boundary conditions, as given by (8) and (9).
The specification of bndary is:
 void bndary (Integer npde, Integer npts, double t, const double x[], const double u[], Integer ncode, const double v[], const double vdot[], Integer ibnd, double g[], Integer *ires, Nag_Comm *comm)
1:    $\mathbf{npde}$IntegerInput
On entry: the number of PDEs in the system.
2:    $\mathbf{npts}$IntegerInput
On entry: the number of mesh points in the interval $\left[a,b\right]$.
3:    $\mathbf{t}$doubleInput
On entry: the current value of the independent variable $t$.
4:    $\mathbf{x}\left[{\mathbf{npts}}\right]$const doubleInput
On entry: the mesh points in the spatial direction. ${\mathbf{x}}\left[0\right]$ corresponds to the left-hand boundary, $a$, and ${\mathbf{x}}\left[{\mathbf{npts}}-1\right]$ corresponds to the right-hand boundary, $b$.
5:    $\mathbf{u}\left[{\mathbf{npde}}×{\mathbf{npts}}\right]$const doubleInput
On entry: ${\mathbf{u}}\left[{\mathbf{npde}}×\left(\mathit{j}-1\right)+\mathit{i}-1\right]$ contains the value of the component ${U}_{\mathit{i}}\left(x,t\right)$ at $x={\mathbf{x}}\left[\mathit{j}-1\right]$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{npts}}$.
Note: if banded matrix algebra is to be used then the functions ${G}_{\mathit{i}}^{L}$ and ${G}_{\mathit{i}}^{R}$ may depend on the value of ${U}_{\mathit{i}}\left(x,t\right)$ at the boundary point and the two adjacent points only.
6:    $\mathbf{ncode}$IntegerInput
On entry: the number of coupled ODEs in the system.
7:    $\mathbf{v}\left[{\mathbf{ncode}}\right]$const doubleInput
On entry: if ${\mathbf{ncode}}>0$, ${\mathbf{v}}\left[\mathit{i}-1\right]$ contains the value of the component ${V}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$.
8:    $\mathbf{vdot}\left[{\mathbf{ncode}}\right]$const doubleInput
On entry: if ${\mathbf{ncode}}>0$, ${\mathbf{vdot}}\left[\mathit{i}-1\right]$ contains the value of component ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$.
Note: ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$, may only appear linearly in ${G}_{\mathit{j}}^{L}$ and ${G}_{\mathit{j}}^{R}$, for $\mathit{j}=1,2,\dots ,{\mathbf{npde}}$.
9:    $\mathbf{ibnd}$IntegerInput
On entry: specifies which boundary conditions are to be evaluated.
${\mathbf{ibnd}}=0$
bndary must evaluate the left-hand boundary condition at $x=a$.
${\mathbf{ibnd}}\ne 0$
bndary must evaluate the right-hand boundary condition at $x=b$.
10:  $\mathbf{g}\left[{\mathbf{npde}}\right]$doubleOutput
On exit: ${\mathbf{g}}\left[\mathit{i}-1\right]$ must contain the $\mathit{i}$th component of either ${G}_{\mathit{i}}^{L}$ or ${G}_{\mathit{i}}^{R}$ in (8) and (9), depending on the value of ibnd, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
11:  $\mathbf{ires}$Integer *Input/Output
On entry: set to $-1\text{​ or ​}1$.
On exit: should usually remain unchanged. However, you may set ires to force the integration function to take certain actions as described below:
${\mathbf{ires}}=2$
Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
${\mathbf{ires}}=3$
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 nag_pde_parab_1d_cd_ode (d03plc) returns to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_FAILED_DERIV.
12:  $\mathbf{comm}$Nag_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_cd_ode (d03plc) you may allocate memory and initialize these pointers with various quantities for use by bndary when called from nag_pde_parab_1d_cd_ode (d03plc) (see Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
7:    $\mathbf{u}\left[{\mathbf{neqn}}\right]$doubleInput/Output
On entry: the initial values of the dependent variables defined as follows:
• ${\mathbf{u}}\left[{\mathbf{npde}}×\left(\mathit{j}-1\right)+\mathit{i}-1\right]$ contain ${U}_{\mathit{i}}\left({x}_{\mathit{j}},{t}_{0}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{npts}}$, and
• ${\mathbf{u}}\left[{\mathbf{npts}}×{\mathbf{npde}}+\mathit{k}-1\right]$ contain ${V}_{\mathit{k}}\left({t}_{0}\right)$, for $\mathit{k}=1,2,\dots ,{\mathbf{ncode}}$.
On exit: the computed solution ${U}_{\mathit{i}}\left({x}_{\mathit{j}},t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{npts}}$, and ${V}_{\mathit{k}}\left(t\right)$, for $\mathit{k}=1,2,\dots ,{\mathbf{ncode}}$, all evaluated at $t={\mathbf{ts}}$.
8:    $\mathbf{npts}$IntegerInput
On entry: the number of mesh points in the interval $\left[a,b\right]$.
Constraint: ${\mathbf{npts}}\ge 3$.
9:    $\mathbf{x}\left[{\mathbf{npts}}\right]$const doubleInput
On entry: the mesh points in the space direction. ${\mathbf{x}}\left[0\right]$ must specify the left-hand boundary, $a$, and ${\mathbf{x}}\left[{\mathbf{npts}}-1\right]$ must specify the right-hand boundary, $b$.
Constraint: ${\mathbf{x}}\left[0\right]<{\mathbf{x}}\left[1\right]<\cdots <{\mathbf{x}}\left[{\mathbf{npts}}-1\right]$.
10:  $\mathbf{ncode}$IntegerInput
On entry: the number of coupled ODE components.
Constraint: ${\mathbf{ncode}}\ge 0$.
11:  $\mathbf{odedef}$function, supplied by the userExternal Function
odedef must evaluate the functions $R$, which define the system of ODEs, as given in (4).
If ${\mathbf{ncode}}=0$, 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_cd_ode (d03plc).
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 ucpt[], double r[], Integer *ires, Nag_Comm *comm)
1:    $\mathbf{npde}$IntegerInput
On entry: the number of PDEs in the system.
2:    $\mathbf{t}$doubleInput
On entry: the current value of the independent variable $t$.
3:    $\mathbf{ncode}$IntegerInput
On entry: the number of coupled ODEs in the system.
4:    $\mathbf{v}\left[{\mathbf{ncode}}\right]$const doubleInput
On entry: if ${\mathbf{ncode}}>0$, ${\mathbf{v}}\left[\mathit{i}-1\right]$ contains the value of the component ${V}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$.
5:    $\mathbf{vdot}\left[{\mathbf{ncode}}\right]$const doubleInput
On entry: if ${\mathbf{ncode}}>0$, ${\mathbf{vdot}}\left[\mathit{i}-1\right]$ contains the value of component ${\stackrel{.}{V}}_{\mathit{i}}\left(t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$.
6:    $\mathbf{nxi}$IntegerInput
On entry: the number of ODE/PDE coupling points.
7:    $\mathbf{xi}\left[{\mathbf{nxi}}\right]$const doubleInput
On entry: if ${\mathbf{nxi}}>0$, ${\mathbf{xi}}\left[\mathit{i}-1\right]$ contains the ODE/PDE coupling point, ${\xi }_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,{\mathbf{nxi}}$.
8:    $\mathbf{ucp}\left[{\mathbf{npde}}×{\mathbf{nxi}}\right]$const doubleInput
On entry: if ${\mathbf{nxi}}>0$, ${\mathbf{ucp}}\left[{\mathbf{npde}}×\left(\mathit{j}-1\right)+\mathit{i}-1\right]$ 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:    $\mathbf{ucpx}\left[{\mathbf{npde}}×{\mathbf{nxi}}\right]$const doubleInput
On entry: if ${\mathbf{nxi}}>0$, ${\mathbf{ucpx}}\left[{\mathbf{npde}}×\left(\mathit{j}-1\right)+\mathit{i}-1\right]$ 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:  $\mathbf{ucpt}\left[{\mathbf{npde}}×{\mathbf{nxi}}\right]$const doubleInput
On entry: if ${\mathbf{nxi}}>0$, ${\mathbf{ucpt}}\left[{\mathbf{npde}}×\left(\mathit{j}-1\right)+\mathit{i}-1\right]$ 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:  $\mathbf{r}\left[{\mathbf{ncode}}\right]$doubleOutput
On exit: ${\mathbf{r}}\left[\mathit{i}-1\right]$ must contain the $\mathit{i}$th component of $R$, for $\mathit{i}=1,2,\dots ,{\mathbf{ncode}}$, where $R$ is defined as
 $R=L-MV.-NUt*,$ (10)
or
 $R=-MV.-NUt*.$ (11)
The definition of $R$ is determined by the input value of ires.
12:  $\mathbf{ires}$Integer *Input/Output
On entry: the form of $R$ that must be returned in the array r.
${\mathbf{ires}}=1$
Equation (10) must be used.
${\mathbf{ires}}=-1$
Equation (11) 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:
${\mathbf{ires}}=2$
Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
${\mathbf{ires}}=3$
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 nag_pde_parab_1d_cd_ode (d03plc) returns to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_FAILED_DERIV.
13:  $\mathbf{comm}$Nag_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_cd_ode (d03plc) you may allocate memory and initialize these pointers with various quantities for use by odedef when called from nag_pde_parab_1d_cd_ode (d03plc) (see Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
12:  $\mathbf{nxi}$IntegerInput
On entry: the number of ODE/PDE coupling points.
Constraints:
• if ${\mathbf{ncode}}=0$, ${\mathbf{nxi}}=0$;
• if ${\mathbf{ncode}}>0$, ${\mathbf{nxi}}\ge 0$.
13:  $\mathbf{xi}\left[\mathit{dim}\right]$const doubleInput
Note: the dimension, dim, of the array xi must be at least $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left(1,{\mathbf{nxi}}\right)$.
On entry: ${\mathbf{xi}}\left[\mathit{i}-1\right]$, for $\mathit{i}=1,2,\dots ,{\mathbf{nxi}}$, must be set to the ODE/PDE coupling points.
Constraint: ${\mathbf{x}}\left[0\right]\le {\mathbf{xi}}\left[0\right]<{\mathbf{xi}}\left[1\right]<\cdots <{\mathbf{xi}}\left[{\mathbf{nxi}}-1\right]\le {\mathbf{x}}\left[{\mathbf{npts}}-1\right]$.
14:  $\mathbf{neqn}$IntegerInput
On entry: the number of ODEs in the time direction.
Constraint: ${\mathbf{neqn}}={\mathbf{npde}}×{\mathbf{npts}}+{\mathbf{ncode}}$.
15:  $\mathbf{rtol}\left[\mathit{dim}\right]$const doubleInput
Note: the dimension, dim, of the array rtol must be at least
• $1$ when ${\mathbf{itol}}=1$ or $2$;
• ${\mathbf{neqn}}$ when ${\mathbf{itol}}=3$ or $4$.
On entry: the relative local error tolerance.
Constraint: ${\mathbf{rtol}}\left[i-1\right]\ge 0.0$ for all relevant $i$.
16:  $\mathbf{atol}\left[\mathit{dim}\right]$const doubleInput
Note: the dimension, dim, of the array atol must be at least
• $1$ when ${\mathbf{itol}}=1$ or $3$;
• ${\mathbf{neqn}}$ when ${\mathbf{itol}}=2$ or $4$.
On entry: the absolute local error tolerance.
Constraint: ${\mathbf{atol}}\left[i-1\right]\ge 0.0$ for all relevant $i$.
Note: corresponding elements of rtol and atol cannot both be $0.0$.
17:  $\mathbf{itol}$IntegerInput
On entry: a value to indicate the form of the local error test. If ${e}_{\mathit{i}}$ is the estimated local error for ${\mathbf{u}}\left[\mathit{i}-1\right]$, for $\mathit{i}=1,2,\dots ,{\mathbf{neqn}}$, and $‖\text{ }‖$ denotes the norm, then the error test to be satisfied is $‖{e}_{\mathit{i}}‖<1.0$. itol indicates to nag_pde_parab_1d_cd_ode (d03plc) whether to interpret either or both of rtol and atol as a vector or scalar in the formation of the weights ${w}_{\mathit{i}}$ used in the calculation of the norm (see the description of norm):
 itol rtol atol ${w}_{\mathit{i}}$ 1 scalar scalar ${\mathbf{rtol}}\left[0\right]×\left|{\mathbf{u}}\left[\mathit{i}-1\right]\right|+{\mathbf{atol}}\left[0\right]$ 2 scalar vector ${\mathbf{rtol}}\left[0\right]×\left|{\mathbf{u}}\left[\mathit{i}-1\right]\right|+{\mathbf{atol}}\left[\mathit{i}-1\right]$ 3 vector scalar ${\mathbf{rtol}}\left[\mathit{i}-1\right]×\left|{\mathbf{u}}\left[\mathit{i}-1\right]\right|+{\mathbf{atol}}\left[0\right]$ 4 vector vector ${\mathbf{rtol}}\left[\mathit{i}-1\right]×\left|{\mathbf{u}}\left[\mathit{i}-1\right]\right|+{\mathbf{atol}}\left[\mathit{i}-1\right]$
Constraint: $1\le {\mathbf{itol}}\le 4$.
18:  $\mathbf{norm}$Nag_NormTypeInput
On entry: the type of norm to be used.
${\mathbf{norm}}=\mathrm{Nag_OneNorm}$
Averaged ${L}_{1}$ norm.
${\mathbf{norm}}=\mathrm{Nag_TwoNorm}$
Averaged ${L}_{2}$ norm.
If ${U}_{\mathrm{norm}}$ denotes the norm of the vector u of length neqn, then for the averaged ${L}_{1}$ norm
 $Unorm=1neqn∑i=1neqnu[i-1]/wi,$
and for the averaged ${L}_{2}$ norm
 $Unorm=1neqn∑i=1neqnu[i-1]/wi2.$
See the description of itol for the formulation of the weight vector $w$.
Constraint: ${\mathbf{norm}}=\mathrm{Nag_OneNorm}$ or $\mathrm{Nag_TwoNorm}$.
19:  $\mathbf{laopt}$Nag_LinAlgOptionInput
On entry: the type of matrix algebra required.
${\mathbf{laopt}}=\mathrm{Nag_LinAlgFull}$
Full matrix methods to be used.
${\mathbf{laopt}}=\mathrm{Nag_LinAlgBand}$
Banded matrix methods to be used.
${\mathbf{laopt}}=\mathrm{Nag_LinAlgSparse}$
Sparse matrix methods to be used.
Constraint: ${\mathbf{laopt}}=\mathrm{Nag_LinAlgFull}$, $\mathrm{Nag_LinAlgBand}$ or $\mathrm{Nag_LinAlgSparse}$.
Note: you are recommended to use the banded option when no coupled ODEs are present (${\mathbf{ncode}}=0$). Also, the banded option should not be used if the boundary conditions involve solution components at points other than the boundary and the immediately adjacent two points.
20:  $\mathbf{algopt}\left[30\right]$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 ${\mathbf{algopt}}\left[0\right]$ 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:
${\mathbf{algopt}}\left[0\right]$
Selects the ODE integration method to be used. If ${\mathbf{algopt}}\left[0\right]=1.0$, a BDF method is used and if ${\mathbf{algopt}}\left[0\right]=2.0$, a Theta method is used. The default is ${\mathbf{algopt}}\left[0\right]=1.0$.
If ${\mathbf{algopt}}\left[0\right]=2.0$, then ${\mathbf{algopt}}\left[\mathit{i}-1\right]$, for $\mathit{i}=2,3,4$, are not used.
${\mathbf{algopt}}\left[1\right]$
Specifies the maximum order of the BDF integration formula to be used. ${\mathbf{algopt}}\left[1\right]$ may be $1.0$, $2.0$, $3.0$, $4.0$ or $5.0$. The default value is ${\mathbf{algopt}}\left[1\right]=5.0$.
${\mathbf{algopt}}\left[2\right]$
Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the BDF method. If ${\mathbf{algopt}}\left[2\right]=1.0$ a modified Newton iteration is used and if ${\mathbf{algopt}}\left[2\right]=2.0$ 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 ${\mathbf{algopt}}\left[2\right]=1.0$.
${\mathbf{algopt}}\left[3\right]$
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 ${\mathbf{algopt}}\left[3\right]=1.0$, then the Petzold test is used. If ${\mathbf{algopt}}\left[3\right]=2.0$, then the Petzold test is not used. The default value is ${\mathbf{algopt}}\left[3\right]=1.0$.
If ${\mathbf{algopt}}\left[0\right]=1.0$, then ${\mathbf{algopt}}\left[\mathit{i}-1\right]$, for $\mathit{i}=5,6,7$, are not used.
${\mathbf{algopt}}\left[4\right]$
Specifies the value of Theta to be used in the Theta integration method. $0.51\le {\mathbf{algopt}}\left[4\right]\le 0.99$. The default value is ${\mathbf{algopt}}\left[4\right]=0.55$.
${\mathbf{algopt}}\left[5\right]$
Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the Theta method. If ${\mathbf{algopt}}\left[5\right]=1.0$, a modified Newton iteration is used and if ${\mathbf{algopt}}\left[5\right]=2.0$, a functional iteration method is used. The default value is ${\mathbf{algopt}}\left[5\right]=1.0$.
${\mathbf{algopt}}\left[6\right]$
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 ${\mathbf{algopt}}\left[6\right]=1.0$, then switching is allowed and if ${\mathbf{algopt}}\left[6\right]=2.0$, then switching is not allowed. The default value is ${\mathbf{algopt}}\left[6\right]=1.0$.
${\mathbf{algopt}}\left[10\right]$
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 argument itask. If ${\mathbf{algopt}}\left[0\right]\ne 0.0$, a value of $0.0$ for ${\mathbf{algopt}}\left[10\right]$, say, should be specified even if itask subsequently specifies that ${t}_{\mathrm{crit}}$ will not be used.
${\mathbf{algopt}}\left[11\right]$
Specifies the minimum absolute step size to be allowed in the time integration. If this option is not required, ${\mathbf{algopt}}\left[11\right]$ should be set to $0.0$.
${\mathbf{algopt}}\left[12\right]$
Specifies the maximum 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 initial step size to be attempted by the integrator. If ${\mathbf{algopt}}\left[13\right]=0.0$, then the initial step size is calculated internally.
${\mathbf{algopt}}\left[14\right]$
Specifies the maximum number of steps to be attempted by the integrator in any one call. If ${\mathbf{algopt}}\left[14\right]=0.0$, then no limit is imposed.
${\mathbf{algopt}}\left[22\right]$
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 ${\mathbf{algopt}}\left[22\right]=1.0$, a modified Newton iteration is used and if ${\mathbf{algopt}}\left[22\right]=2.0$, functional iteration is used. The default value is ${\mathbf{algopt}}\left[22\right]=1.0$.
${\mathbf{algopt}}\left[28\right]$ and ${\mathbf{algopt}}\left[29\right]$ are used only for the sparse matrix algebra option, i.e., ${\mathbf{laopt}}=\mathrm{Nag_LinAlgSparse}$.
${\mathbf{algopt}}\left[28\right]$
Governs the choice of pivots during the decomposition of the first Jacobian matrix. It should lie in the range $0.0<{\mathbf{algopt}}\left[28\right]<1.0$, with smaller values biasing the algorithm towards maintaining sparsity at the expense of numerical stability. If ${\mathbf{algopt}}\left[28\right]$ lies outside the range then the default value is used. If the functions regard the Jacobian matrix as numerically singular, then increasing ${\mathbf{algopt}}\left[28\right]$ towards $1.0$ may help, but at the cost of increased fill-in. The default value is ${\mathbf{algopt}}\left[28\right]=0.1$.
${\mathbf{algopt}}\left[29\right]$
Used as the relative pivot threshold during subsequent Jacobian decompositions (see ${\mathbf{algopt}}\left[28\right]$) below which an internal error is invoked. ${\mathbf{algopt}}\left[29\right]$ must be greater than zero, otherwise the default value is used. If ${\mathbf{algopt}}\left[29\right]$ is greater than $1.0$ no check is made on the pivot size, and this may be a necessary option if the Jacobian matrix is found to be numerically singular (see ${\mathbf{algopt}}\left[28\right]$). The default value is ${\mathbf{algopt}}\left[29\right]=0.0001$.
21:  $\mathbf{rsave}\left[{\mathbf{lrsave}}\right]$doubleCommunication 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 function because it contains required information about the iteration.
22:  $\mathbf{lrsave}$IntegerInput
On entry: the dimension of the array rsave. Its size depends on the type of matrix algebra selected.
If ${\mathbf{laopt}}=\mathrm{Nag_LinAlgFull}$, ${\mathbf{lrsave}}\ge {\mathbf{neqn}}×{\mathbf{neqn}}+{\mathbf{neqn}}+\mathit{nwkres}+\mathit{lenode}$.
If ${\mathbf{laopt}}=\mathrm{Nag_LinAlgBand}$, ${\mathbf{lrsave}}\ge \left(3×\mathit{mlu}+1\right)×{\mathbf{neqn}}+\mathit{nwkres}+\mathit{lenode}$.
If ${\mathbf{laopt}}=\mathrm{Nag_LinAlgSparse}$, ${\mathbf{lrsave}}\ge 4×{\mathbf{neqn}}+11×{\mathbf{neqn}}/2+1+\mathit{nwkres}+\mathit{lenode}$.
Where
 $\mathit{mlu}$ is the lower or upper half bandwidths such that $\mathit{mlu}=3×{\mathbf{npde}}-1$, for PDE problems only (no coupled ODEs); or $\mathit{mlu}={\mathbf{neqn}}-1$, for coupled PDE/ODE problems. $\mathit{nwkres}=\left\{\begin{array}{ll}{\mathbf{npde}}×\left(2×{\mathbf{npts}}+6×{\mathbf{nxi}}+3×{\mathbf{npde}}+26\right)+{\mathbf{nxi}}+{\mathbf{ncode}}+7×{\mathbf{npts}}+2\text{,}& \text{when ​}{\mathbf{ncode}}>0\text{​ and ​}{\mathbf{nxi}}>0\text{;}\\ {\mathbf{npde}}×\left(2×{\mathbf{npts}}+3×{\mathbf{npde}}+32\right)+{\mathbf{ncode}}+7×{\mathbf{npts}}+3\text{,}& \text{when ​}{\mathbf{ncode}}>0\text{​ and ​}{\mathbf{nxi}}=0\text{;}\\ {\mathbf{npde}}×\left(2×{\mathbf{npts}}+3×{\mathbf{npde}}+32\right)+7×{\mathbf{npts}}+4\text{,}& \text{when ​}{\mathbf{ncode}}=0\text{.}\end{array}\right\$ $\mathit{lenode}=\left\{\begin{array}{ll}\left(6+\mathrm{int}\left({\mathbf{algopt}}\left[1\right]\right)\right)×{\mathbf{neqn}}+50\text{,}& \text{when the BDF method is used; or}\\ 9×{\mathbf{neqn}}+50\text{,}& \text{when the Theta method is used.}\end{array}\right\$
Note: when ${\mathbf{laopt}}=\mathrm{Nag_LinAlgSparse}$, 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 ${\mathbf{itrace}}>0$ and the function returns with ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_INT_2.
23:  $\mathbf{isave}\left[{\mathbf{lisave}}\right]$IntegerCommunication Array
If ${\mathbf{ind}}=0$, isave need not be set.
If ${\mathbf{ind}}=1$, isave must be unchanged from the previous call to the function because it contains required information about the iteration. In particular the following components of the array isave concern the efficiency of the integration:
${\mathbf{isave}}\left[0\right]$
Contains the number of steps taken in time.
${\mathbf{isave}}\left[1\right]$
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.
${\mathbf{isave}}\left[2\right]$
Contains the number of Jacobian evaluations performed by the time integrator.
${\mathbf{isave}}\left[3\right]$
Contains the order of the BDF method last used in the time integration, if applicable. When the Theta method is used, ${\mathbf{isave}}\left[3\right]$ contains no useful information.
${\mathbf{isave}}\left[4\right]$
Contains the number of Newton iterations performed by the time integrator. Each iteration involves residual evaluation of the resulting ODE system followed by a back-substitution using the $LU$ decomposition of the Jacobian matrix.
24:  $\mathbf{lisave}$IntegerInput
On entry: the dimension of the array isave. Its size depends on the type of matrix algebra selected:
• if ${\mathbf{laopt}}=\mathrm{Nag_LinAlgFull}$, ${\mathbf{lisave}}\ge 24$;
• if ${\mathbf{laopt}}=\mathrm{Nag_LinAlgBand}$, ${\mathbf{lisave}}\ge {\mathbf{neqn}}+24$;
• if ${\mathbf{laopt}}=\mathrm{Nag_LinAlgSparse}$, ${\mathbf{lisave}}\ge 25×{\mathbf{neqn}}+24$.
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 ${\mathbf{itrace}}>0$ and the function returns with ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_INT_2.
25:  $\mathbf{itask}$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 argument 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 argument algopt.
Constraint: ${\mathbf{itask}}=1$, $2$, $3$, $4$ or $5$.
26:  $\mathbf{itrace}$IntegerInput
On entry: the level of trace information required from nag_pde_parab_1d_cd_ode (d03plc) and the underlying ODE solver. itrace may take the value $-1$, $0$, $1$, $2$ or $3$.
${\mathbf{itrace}}=-1$
No output is generated.
${\mathbf{itrace}}=0$
Only warning messages from the PDE solver are printed .
${\mathbf{itrace}}>0$
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 ${\mathbf{itrace}}<-1$, then $-1$ is assumed and similarly if ${\mathbf{itrace}}>3$, then $3$ is assumed.
The advisory messages are given in greater detail as itrace increases.
27:  $\mathbf{outfile}$const 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:  $\mathbf{ind}$Integer *Input/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 function. In this case, only the arguments tout and fail should be reset between calls to nag_pde_parab_1d_cd_ode (d03plc).
Constraint: ${\mathbf{ind}}=0$ or $1$.
On exit: ${\mathbf{ind}}=1$.
29:  $\mathbf{comm}$Nag_Comm *
The NAG communication argument (see Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
30:  $\mathbf{saved}$Nag_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:  $\mathbf{fail}$NagError *Input/Output
The NAG error argument (see Section 2.7 in How to Use the NAG Library and its Documentation).

## 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.
See Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
On entry, argument $〈\mathit{\text{value}}〉$ 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 ${\mathbf{ires}}=3$ in pdedef, numflx, bndary or odedef.
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: ${\mathbf{ts}}=〈\mathit{\text{value}}〉$.
Underlying ODE solver cannot make further progress from the point ts with the supplied values of atol and rtol. ${\mathbf{ts}}=〈\mathit{\text{value}}〉$.
NE_INT
ires set to an invalid value in a call to user-supplied functions pdedef, numflx, bndary or odedef.
On entry, ${\mathbf{ind}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{ind}}=0$ or $1$.
On entry, ${\mathbf{itask}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{itask}}=1$, $2$, $3$, $4$ or $5$.
On entry, ${\mathbf{itol}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{itol}}=1$, $2$, $3$ or $4$.
On entry, ${\mathbf{ncode}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{ncode}}\ge 0$.
On entry, ${\mathbf{npde}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{npde}}\ge 1$.
On entry, ${\mathbf{npts}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{npts}}\ge 3$.
NE_INT_2
On entry, corresponding elements ${\mathbf{atol}}\left[\mathit{I}-1\right]$ and ${\mathbf{rtol}}\left[\mathit{J}-1\right]$ are both zero: $\mathit{I}=〈\mathit{\text{value}}〉$ and $\mathit{J}=〈\mathit{\text{value}}〉$.
On entry, lisave is too small: ${\mathbf{lisave}}=〈\mathit{\text{value}}〉$. Minimum possible dimension: $〈\mathit{\text{value}}〉$.
On entry, lrsave is too small: ${\mathbf{lrsave}}=〈\mathit{\text{value}}〉$. Minimum possible dimension: $〈\mathit{\text{value}}〉$.
On entry, ${\mathbf{ncode}}=〈\mathit{\text{value}}〉$ and ${\mathbf{nxi}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{nxi}}=0$ when ${\mathbf{ncode}}=0$.
On entry, ${\mathbf{ncode}}=〈\mathit{\text{value}}〉$ and ${\mathbf{nxi}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{nxi}}\ge 0$ when ${\mathbf{ncode}}>0$.
When using the sparse option lisave or lrsave is too small: ${\mathbf{lisave}}=〈\mathit{\text{value}}〉$, ${\mathbf{lrsave}}=〈\mathit{\text{value}}〉$.
NE_INT_4
On entry, ${\mathbf{neqn}}=〈\mathit{\text{value}}〉$, ${\mathbf{npde}}=〈\mathit{\text{value}}〉$, ${\mathbf{npts}}=〈\mathit{\text{value}}〉$ and ${\mathbf{ncode}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{neqn}}={\mathbf{npde}}×{\mathbf{npts}}+{\mathbf{ncode}}$.
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.
See Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
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 ${\mathbf{algopt}}\left[14\right]$ has been exceeded. ${\mathbf{algopt}}\left[14\right]=〈\mathit{\text{value}}〉$.
NE_NO_LICENCE
Your licence key may have expired or may not have been installed correctly.
See Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
NE_NOT_CLOSE_FILE
Cannot close file $〈\mathit{\text{value}}〉$.
NE_NOT_STRICTLY_INCREASING
On entry, $\mathit{I}=〈\mathit{\text{value}}〉$, ${\mathbf{xi}}\left[\mathit{I}\right]=〈\mathit{\text{value}}〉$ and ${\mathbf{xi}}\left[\mathit{I}-1\right]=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{xi}}\left[\mathit{I}\right]>{\mathbf{xi}}\left[\mathit{I}-1\right]$.
On entry, mesh points x badly ordered: $\mathit{I}=〈\mathit{\text{value}}〉$, ${\mathbf{x}}\left[\mathit{I}-1\right]=〈\mathit{\text{value}}〉$, $\mathit{J}=〈\mathit{\text{value}}〉$ and ${\mathbf{x}}\left[\mathit{J}-1\right]=〈\mathit{\text{value}}〉$.
NE_NOT_WRITE_FILE
Cannot open file $〈\mathit{\text{value}}〉$ for writing.
NE_REAL_2
On entry, at least one point in xi lies outside $\left[{\mathbf{x}}\left[0\right],{\mathbf{x}}\left[{\mathbf{npts}}-1\right]\right]$: ${\mathbf{x}}\left[0\right]=〈\mathit{\text{value}}〉$ and ${\mathbf{x}}\left[{\mathbf{npts}}-1\right]=〈\mathit{\text{value}}〉$.
On entry, ${\mathbf{tout}}=〈\mathit{\text{value}}〉$ and ${\mathbf{ts}}=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{tout}}>{\mathbf{ts}}$.
On entry, ${\mathbf{tout}}-{\mathbf{ts}}$ is too small: ${\mathbf{tout}}=〈\mathit{\text{value}}〉$ and ${\mathbf{ts}}=〈\mathit{\text{value}}〉$.
NE_REAL_ARRAY
On entry, $\mathit{I}=〈\mathit{\text{value}}〉$ and ${\mathbf{atol}}\left[\mathit{I}-1\right]=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{atol}}\left[\mathit{I}-1\right]\ge 0.0$.
On entry, $\mathit{I}=〈\mathit{\text{value}}〉$ and ${\mathbf{rtol}}\left[\mathit{I}-1\right]=〈\mathit{\text{value}}〉$.
Constraint: ${\mathbf{rtol}}\left[\mathit{I}-1\right]\ge 0.0$.
NE_SING_JAC
Singular Jacobian of ODE system. Check problem formulation.
NE_TIME_DERIV_DEP
The functions $P$, $D$, or $C$ appear to depend on time derivatives.
NE_USER_STOP
In evaluating residual of ODE system, ${\mathbf{ires}}=2$ has been set in user-supplied functions pdedef, numflx, bndary or odedef. Integration is successful as far as ts: ${\mathbf{ts}}=〈\mathit{\text{value}}〉$.
NE_ZERO_WTS
Zero error weights encountered during time integration.

## 7  Accuracy

nag_pde_parab_1d_cd_ode (d03plc) 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  Parallelism and Performance

nag_pde_parab_1d_cd_ode (d03plc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_pde_parab_1d_cd_ode (d03plc) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the x06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

nag_pde_parab_1d_cd_ode (d03plc) is designed to solve systems of PDEs in conservative form, with optional source terms which are independent of space derivatives, and optional second-order diffusion terms. The use of the function to solve systems which are not naturally in this form is discouraged, and you are advised to use one of the central-difference schemes for such problems.
You should be aware of the stability limitations for hyperbolic PDEs. For most problems with small error tolerances the ODE integrator does not attempt unstable time steps, but in some cases a maximum time step should be imposed using ${\mathbf{algopt}}\left[12\right]$. It is worth experimenting with this argument, particularly if the integration appears to progress unrealistically fast (with large time steps). Setting the maximum time step to the minimum mesh size is a safe measure, although in some cases this may be too restrictive.
Problems with source terms should be treated with caution, as it is known that for large source terms stable and reasonable looking solutions can be obtained which are in fact incorrect, exhibiting non-physical speeds of propagation of discontinuities (typically one spatial mesh point per time step). It is essential to employ a very fine mesh for problems with source terms and discontinuities, and to check for non-physical propagation speeds by comparing results for different mesh sizes. Further details and an example can be found in Pennington and Berzins (1994).
The time taken depends on the complexity of the system and on the accuracy requested. For a given system and a fixed accuracy it is approximately proportional to neqn.

## 10  Example

For this function two examples are presented, with a main program and two example problems given in Example 1 (ex1) and Example 2 (ex2).
Example 1 (ex1)
This example is a simple first-order system with coupled ODEs arising from the use of the characteristic equations for the numerical boundary conditions.
The PDEs are
 $∂U1 ∂t + ∂U1 ∂x +2 ∂U2 ∂x =0, ∂U2 ∂t +2 ∂U1 ∂x + ∂U2 ∂x =0,$
for $x\in \left[0,1\right]$ and $t\ge 0$.
The PDEs have an exact solution given by
 $U1x,t=fx-3t+gx+t, U2x,t=fx-3t-gx+t,$
where $f\left(z\right)=\mathrm{exp}\left(\pi z\right)\mathrm{sin}\left(2\pi z\right)$, $g\left(z\right)=\mathrm{exp}\left(-2\pi z\right)\mathrm{cos}\left(2\pi z\right)$.
The initial conditions are given by the exact solution.
The characteristic variables are ${W}_{1}={U}_{1}-{U}_{2}$ and ${W}_{2}={U}_{1}+{U}_{2}$, corresponding to the characteristics given by $dx/dt=-1$ and $dx/dt=3$ respectively. Hence we require a physical boundary condition for ${W}_{2}$ at the left-hand boundary and for ${W}_{1}$ at the right-hand boundary (corresponding to the incoming characteristics), and a numerical boundary condition for ${W}_{1}$ at the left-hand boundary and for ${W}_{2}$ at the right-hand boundary (outgoing characteristics).
The physical boundary conditions are obtained from the exact solution, and the numerical boundary conditions are supplied in the form of the characteristic equations for the outgoing characteristics, that is
 $∂W1 ∂t - ∂W1 ∂x =0$
at the left-hand boundary, and
 $∂W2 ∂t + 3 ∂W2 ∂x =0$
at the right-hand boundary.
In order to specify these boundary conditions, two ODE variables ${V}_{1}$ and ${V}_{2}$ are introduced, defined by
 $V1t=W10,t=U10,t-U20,t, V2t=W21,t=U11,t+U21,t.$
The coupling points are therefore at $x=0$ and $x=1$.
The numerical boundary conditions are now
 $V.1- ∂W1 ∂x =0$
at the left-hand boundary, and
 $V.2+ 3 ∂W2 ∂x =0$
at the right-hand boundary.
The spatial derivatives are evaluated at the appropriate boundary points in bndary using one-sided differences (into the domain and therefore consistent with the characteristic directions).
The numerical flux is calculated using Roe's approximate Riemann solver (see Section 3 for details), giving
 $F^=12 3U1L-U1R+3U2L+U2R 3U1L+U1R+3U2L-U2R .$
Example 2 (ex2)
This example is the standard shock-tube test problem proposed by Sod (1978) for the Euler equations of gas dynamics. The problem models the flow of a gas in a long tube following the sudden breakdown of a diaphragm separating two initial gas states at different pressures and densities. There is an exact solution to this problem which is not included explicitly as the calculation is quite lengthy. The PDEs are
 $∂ρ ∂t + ∂m ∂x = 0, ∂m ∂t + ∂∂x m2ρ+γ- 1 e-m22ρ = 0, ∂e ∂t + ∂∂x m eρ+mργ- 1 e-m22ρ = 0,$
where $\rho$ is the density; $m$ is the momentum, such that $m=\rho u$, where $u$ is the velocity; $e$ is the specific energy; and $\gamma$ is the (constant) ratio of specific heats. The pressure $p$ is given by
 $p=γ-1 e-ρu22 .$
The solution domain is $0\le x\le 1$ for $0, with the initial discontinuity at $x=0.5$, and initial conditions
 $ρx,0=1, mx,0=0, ex,0=2.5, for ​x<0.5, ρx,0=0.125, mx,0=0, ex,0=0.25, for ​x>0.5.$
The solution is uniform and constant at both boundaries for the spatial domain and time of integration stated, and hence the physical and numerical boundary conditions are indistinguishable and are both given by the initial conditions above. The evaluation of the numerical flux for the Euler equations is not trivial; the Roe algorithm given in Section 3 cannot be used directly as the Jacobian is nonlinear. However, an algorithm is available using the argument-vector method (see Roe (1981)), and this is provided in the utility function nag_pde_parab_1d_euler_roe (d03puc). An alternative Approxiate Riemann Solver using Osher's scheme is provided in nag_pde_parab_1d_euler_osher (d03pvc). Either nag_pde_parab_1d_euler_roe (d03puc) or nag_pde_parab_1d_euler_osher (d03pvc) can be called from numflx.

### 10.1  Program Text

Program Text (d03plce.c)

None.

### 10.3  Program Results

Program Results (d03plce.r)