D03PJF/D03PJA (PDF version)
D03 Chapter Contents
D03 Chapter Introduction
NAG Library Manual

NAG Library Routine Document

D03PJF/D03PJA

Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

D03PJF/D03PJA integrates a system of linear or nonlinear parabolic partial differential equations (PDEs), in one space variable with scope for coupled ordinary differential equations (ODEs). The spatial discretization is performed using a Chebyshev C0 collocation method, 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).
D03PJA is a version of D03PJF that has additional parameters in order to make it safe for use in multithreaded applications (see Section 5).

2  Specification

2.1  Specification for D03PJF

INTEGER  NPDE, M, NBKPTS, NPOLY, NPTS, NCODE, NXI, NEQN, ITOL, LRSAVE, ISAVE(LISAVE), LISAVE, ITASK, ITRACE, IND, IFAIL
REAL (KIND=nag_wp)  TS, TOUT, U(NEQN), XBKPTS(NBKPTS), X(NPTS), XI(*), RTOL(*), ATOL(*), ALGOPT(30), RSAVE(LRSAVE)
CHARACTER(1)  NORM, LAOPT
EXTERNAL  PDEDEF, BNDARY, ODEDEF, UVINIT

2.2  Specification for D03PJA

INTEGER  NPDE, M, NBKPTS, NPOLY, NPTS, NCODE, NXI, NEQN, ITOL, LRSAVE, ISAVE(LISAVE), LISAVE, ITASK, ITRACE, IND, IUSER(*), IWSAV(505), IFAIL
REAL (KIND=nag_wp)  TS, TOUT, U(NEQN), XBKPTS(NBKPTS), X(NPTS), XI(*), RTOL(*), ATOL(*), ALGOPT(30), RSAVE(LRSAVE), RUSER(*), RWSAV(1100)
LOGICAL  LWSAV(100)
CHARACTER(1)  NORM, LAOPT
CHARACTER(80)  CWSAV(10)
EXTERNAL  PDEDEF, BNDARY, ODEDEF, UVINIT

3  Description

D03PJF/D03PJA integrates the system of parabolic-elliptic equations and coupled ODEs
j=1NPDEPi,j Uj t +Qi=x-m x xmRi,  i=1,2,,NPDE,  axb,tt0, (1)
Fit,V,V.,ξ,U*,Ux*,R*,Ut*,Uxt*=0,  i=1,2,,NCODE, (2)
where (1) defines the PDE part and (2) generalizes the coupled ODE part of the problem.
In (1), Pi,j and Ri depend on x, t, U, Ux, and V; Qi depends on x, t, U, Ux, V and linearly on V.. The vector U is the set of PDE solution values
U x,t = U 1 x,t ,, U NPDE x,t T ,
and the vector Ux is the partial derivative with respect to x. Note that Pi,j, Qi and Ri must not depend on U t . The vector V is the set of ODE solution values
Vt=V1t,,VNCODEtT,
and V. denotes its derivative with respect to time.
In (2), ξ represents a vector of nξ spatial coupling points at which the ODEs are coupled to the PDEs. These points may or may not be equal to some of the PDE spatial mesh points. U*, Ux*, R*, Ut* and Uxt* are the functions U, Ux, R, Ut and Uxt evaluated at these coupling points. Each Fi may only depend linearly on time derivatives. Hence the equation (2) may be written more precisely as
F=G-AV.-B Ut* Uxt* , (3)
where F = F1,,FNCODET , G is a vector of length NCODE, A is an NCODE by NCODE matrix, B is an NCODE by nξ×NPDE matrix and the entries in G, A and B may depend on t, ξ, U*, Ux* and V. In practice you need only supply a vector of information to define the ODEs and not the matrices A and B. (See Section 5 for the specification of ODEDEF.)
The integration in time is from t0 to tout, over the space interval axb, where a=x1 and b=xNBKPTS are the leftmost and rightmost of a user-defined set of break points x1,x2,,xNBKPTS. The coordinate system in space is defined by the value of m; m=0 for Cartesian coordinates, m=1 for cylindrical polar coordinates and m=2 for spherical polar coordinates.
The PDE system which is defined by the functions Pi,j, Qi and Ri must be specified in PDEDEF.
The initial values of the functions Ux,t and Vt must be given at t=t0. These values are calculated in UVINIT.
The functions Ri which may be thought of as fluxes, are also used in the definition of the boundary conditions. The boundary conditions must have the form
βix,tRix,t,U,Ux,V=γix,t,U,Ux,V,V.,  i=1,2,,NPDE, (4)
where x=a or x=b. The functions γi may only depend linearly on V..
The boundary conditions must be specified in BNDARY.
The algebraic-differential equation system which is defined by the functions Fi must be specified in ODEDEF. You must also specify the coupling points ξ in the array XI. Thus, the problem is subject to the following restrictions:
(i) in (1), V.jt, for j=1,2,,NCODE, may only appear linearly in the functions Qi, for i=1,2,,NPDE, with a similar restriction for γ;
(ii) Pi,j and the flux Ri must not depend on any time derivatives;
(iii) t0<tout, so that integration is in the forward direction;
(iv) the evaluation of the functions Pi,j, Qi and Ri is done at both the break points and internally selected points for each element in turn, that is Pi,j, Qi and Ri are evaluated twice at each break point. Any discontinuities in these functions must therefore be at one or more of the mesh points;
(v) at least one of the functions Pi,j must be nonzero so that there is a time derivative present in the PDE problem;
(vi) if m>0 and x1=0.0, which is the left boundary point, then it must be ensured that the PDE solution is bounded at this point. This can be done either by specifying the solution at x=0.0 or by specifying a zero flux there, that is βi=1.0 and γi=0.0.
The parabolic equations are approximated by a system of ODEs in time for the values of Ui at the mesh points. This ODE system is obtained by approximating the PDE solution between each pair of break points by a Chebyshev polynomial of degree NPOLY. The interval between each pair of break points is treated by D03PJF/D03PJA as an element, and on this element, a polynomial and its space and time derivatives are made to satisfy the system of PDEs at NPOLY-1 spatial points, which are chosen internally by the code and the break points. The user-defined break points and the internally selected points together define the mesh. The smallest value that NPOLY can take is one, in which case, the solution is approximated by piecewise linear polynomials between consecutive break points and the method is similar to an ordinary finite element method.
In total there are NBKPTS-1×NPOLY+1 mesh points in the spatial direction, and NPDE×NBKPTS-1×NPOLY+1+NCODE ODEs in the time direction; one ODE at each break point for each PDE component, NPOLY-1 ODEs for each PDE component between each pair of break points, and NCODE coupled ODEs. The system is then integrated forwards in time using a Backward Differentiation Formula (BDF) method or a Theta method.

4  References

Berzins M (1990) Developments in the NAG Library software for parabolic equations Scientific Software Systems (eds J C Mason and M G Cox) 59–72 Chapman and Hall
Berzins M and Dew P M (1991) Algorithm 690: Chebyshev polynomial software for elliptic-parabolic systems of PDEs ACM Trans. Math. Software 17 178–206
Berzins M, Dew P M and Furzeland R M (1988) Software tools for time-dependent equations in simulation and optimization of large systems Proc. IMA Conf. Simulation and Optimization (ed A J Osiadcz) 35–50 Clarendon Press, Oxford
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
Zaturska N B, Drazin P G and Banks W H H (1988) On the flow of a viscous fluid driven along a channel by a suction at porous walls Fluid Dynamics Research 4

5  Parameters

1:     NPDE – INTEGERInput
On entry: the number of PDEs to be solved.
Constraint: NPDE1.
2:     M – INTEGERInput
On entry: the coordinate system used:
M=0
Indicates Cartesian coordinates.
M=1
Indicates cylindrical polar coordinates.
M=2
Indicates spherical polar coordinates.
Constraint: M=0, 1 or 2.
3:     TS – REAL (KIND=nag_wp)Input/Output
On entry: the initial value of the independent variable t.
On exit: the value of t corresponding to the solution values in U. Normally TS=TOUT.
Constraint: TS<TOUT.
4:     TOUT – REAL (KIND=nag_wp)Input
On entry: the final value of t to which the integration is to be carried out.
5:     PDEDEF – SUBROUTINE, supplied by the user.External Procedure
PDEDEF must compute the functions Pi,j, Qi and Ri which define the system of PDEs. The functions may depend on x, t, U, Ux and V; Qi may depend linearly on V.. The functions must be evaluated at a set of points.
The specification of PDEDEF for D03PJF is:
SUBROUTINE PDEDEF ( NPDE, T, X, NPTL, U, UX, NCODE, V, VDOT, P, Q, R, IRES)
INTEGER  NPDE, NPTL, NCODE, IRES
REAL (KIND=nag_wp)  T, X(NPTL), U(NPDE,NPTL), UX(NPDE,NPTL), V(NCODE), VDOT(NCODE), P(NPDE,NPDE,NPTL), Q(NPDE,NPTL), R(NPDE,NPTL)
The specification of PDEDEF for D03PJA is:
SUBROUTINE PDEDEF ( NPDE, T, X, NPTL, U, UX, NCODE, V, VDOT, P, Q, R, IRES, IUSER, RUSER)
INTEGER  NPDE, NPTL, NCODE, IRES, IUSER(*)
REAL (KIND=nag_wp)  T, X(NPTL), U(NPDE,NPTL), UX(NPDE,NPTL), V(NCODE), VDOT(NCODE), P(NPDE,NPDE,NPTL), Q(NPDE,NPTL), R(NPDE,NPTL), RUSER(*)
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(NPTL) – REAL (KIND=nag_wp) arrayInput
On entry: contains a set of mesh points at which Pi,j, Qi and Ri are to be evaluated. X1 and XNPTL contain successive user-supplied break points and the elements of the array will satisfy X1<X2<<XNPTL.
4:     NPTL – INTEGERInput
On entry: the number of points at which evaluations are required (the value of NPOLY+1).
5:     U(NPDE,NPTL) – REAL (KIND=nag_wp) arrayInput
On entry: Uij contains the value of the component Uix,t where x=Xj, for i=1,2,,NPDE and j=1,2,,NPTL.
6:     UX(NPDE,NPTL) – REAL (KIND=nag_wp) arrayInput
On entry: UXij contains the value of the component Uix,t x  where x=Xj, for i=1,2,,NPDE and j=1,2,,NPTL.
7:     NCODE – INTEGERInput
On entry: the number of coupled ODEs in the system.
8:     V(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if NCODE>0, Vi contains the value of the component Vit, for i=1,2,,NCODE.
9:     VDOT(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if NCODE>0, VDOTi contains the value of component V.it, for i=1,2,,NCODE.
Note:  V.it, for i=1,2,,NCODE, may only appear linearly in Qj, for j=1,2,,NPDE.
10:   P(NPDE,NPDE,NPTL) – REAL (KIND=nag_wp) arrayOutput
On exit: Pijk must be set to the value of Pi,jx,t,U,Ux,V where x=Xk, for i=1,2,,NPDE, j=1,2,,NPDE and k=1,2,,NPTL .
11:   Q(NPDE,NPTL) – REAL (KIND=nag_wp) arrayOutput
On exit: Qij must be set to the value of Qix,t,U,Ux,V,V. where x=Xj, for i=1,2,,NPDE and j=1,2,,NPTL.
12:   R(NPDE,NPTL) – REAL (KIND=nag_wp) arrayOutput
On exit: Rij must be set to the value of Rix,t,U,Ux,V where x=Xi, for i=1,2,,NPDE and j=1,2,,NPTL.
13:   IRES – INTEGERInput/Output
On entry: set to -1​ or ​1.
On exit: should usually remain unchanged. However, you may set IRES to force the integration routine to take certain actions as described below:
IRES=2
Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to IFAIL=6.
IRES=3
Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set IRES=3 when a physically meaningless input or output value has been generated. If you consecutively set IRES=3, then D03PJF/D03PJA returns to the calling subroutine with the error indicator set to IFAIL=4.
Note: the following are additional parameters for specific use with D03PJA. Users of D03PJF therefore need not read the remainder of this description.
14:   IUSER(*) – INTEGER arrayUser Workspace
15:   RUSER(*) – REAL (KIND=nag_wp) arrayUser Workspace
PDEDEF is called with the parameters IUSER and RUSER as supplied to D03PJF/D03PJA. You are free to use the arrays IUSER and RUSER to supply information to PDEDEF as an alternative to using COMMON global variables.
PDEDEF must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PJF/D03PJA is called. Parameters denoted as Input must not be changed by this procedure.
6:     BNDARY – SUBROUTINE, supplied by the user.External Procedure
BNDARY must compute the functions βi and γi which define the boundary conditions as in equation (4).
The specification of BNDARY for D03PJF is:
SUBROUTINE BNDARY ( NPDE, T, U, UX, NCODE, V, VDOT, IBND, BETA, GAMMA, IRES)
INTEGER  NPDE, NCODE, IBND, IRES
REAL (KIND=nag_wp)  T, U(NPDE), UX(NPDE), V(NCODE), VDOT(NCODE), BETA(NPDE), GAMMA(NPDE)
The specification of BNDARY for D03PJA is:
SUBROUTINE BNDARY ( NPDE, T, U, UX, NCODE, V, VDOT, IBND, BETA, GAMMA, IRES, IUSER, RUSER)
INTEGER  NPDE, NCODE, IBND, IRES, IUSER(*)
REAL (KIND=nag_wp)  T, U(NPDE), UX(NPDE), V(NCODE), VDOT(NCODE), BETA(NPDE), GAMMA(NPDE), RUSER(*)
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:     U(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry: Ui contains the value of the component Uix,t at the boundary specified by IBND, for i=1,2,,NPDE.
4:     UX(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry: UXi contains the value of the component Uix,t x  at the boundary specified by IBND, for i=1,2,,NPDE.
5:     NCODE – INTEGERInput
On entry: the number of coupled ODEs in the system.
6:     V(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if NCODE>0, Vi contains the value of the component Vit, for i=1,2,,NCODE.
7:     VDOT(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if NCODE>0, VDOTi contains the value of component V.it, for i=1,2,,NCODE.
Note:  V.it, for i=1,2,,NCODE, may only appear linearly in Qj, for j=1,2,,NPDE.
8:     IBND – INTEGERInput
On entry: specifies which boundary conditions are to be evaluated.
IBND=0
BNDARY must set up the coefficients of the left-hand boundary, x=a.
IBND0
BNDARY must set up the coefficients of the right-hand boundary, x=b.
9:     BETA(NPDE) – REAL (KIND=nag_wp) arrayOutput
On exit: BETAi must be set to the value of βix,t at the boundary specified by IBND, for i=1,2,,NPDE.
10:   GAMMA(NPDE) – REAL (KIND=nag_wp) arrayOutput
On exit: GAMMAi must be set to the value of γix,t,U,Ux,V,V. at the boundary specified by IBND, for i=1,2,,NPDE.
11:   IRES – INTEGERInput/Output
On entry: set to -1​ or ​1.
On exit: should usually remain unchanged. However, you may set IRES to force the integration routine to take certain actions as described below:
IRES=2
Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to IFAIL=6.
IRES=3
Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set IRES=3 when a physically meaningless input or output value has been generated. If you consecutively set IRES=3, then D03PJF/D03PJA returns to the calling subroutine with the error indicator set to IFAIL=4.
Note: the following are additional parameters for specific use with D03PJA. Users of D03PJF therefore need not read the remainder of this description.
12:   IUSER(*) – INTEGER arrayUser Workspace
13:   RUSER(*) – REAL (KIND=nag_wp) arrayUser Workspace
BNDARY is called with the parameters IUSER and RUSER as supplied to D03PJF/D03PJA. You are free to use the arrays IUSER and RUSER to supply information to BNDARY as an alternative to using COMMON global variables.
BNDARY must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PJF/D03PJA 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 IND=1 the value of U must be unchanged from the previous call.
On exit: the computed solution Uixj,t, for i=1,2,,NPDE and j=1,2,,NPTS, and Vkt, for k=1,2,,NCODE, evaluated at t=TS, as follows:
  • UNPDE×j-1+i contain Uixj,t, for i=1,2,,NPDE and j=1,2,,NPTS, and
  • UNPTS×NPDE+i contain Vit, for i=1,2,,NCODE.
8:     NBKPTS – INTEGERInput
On entry: the number of break points in the interval a,b.
Constraint: NBKPTS2.
9:     XBKPTS(NBKPTS) – REAL (KIND=nag_wp) arrayInput
On entry: the values of the break points in the space direction. XBKPTS1 must specify the left-hand boundary, a, and XBKPTSNBKPTS must specify the right-hand boundary, b.
Constraint: XBKPTS1<XBKPTS2<<XBKPTSNBKPTS.
10:   NPOLY – INTEGERInput
On entry: the degree of the Chebyshev polynomial to be used in approximating the PDE solution between each pair of break points.
Constraint: 1NPOLY49.
11:   NPTS – INTEGERInput
On entry: the number of mesh points in the interval a,b.
Constraint: NPTS=NBKPTS-1×NPOLY+1.
12:   X(NPTS) – REAL (KIND=nag_wp) arrayOutput
On exit: the mesh points chosen by D03PJF/D03PJA in the spatial direction. The values of X will satisfy X1<X2<<XNPTS.
13:   NCODE – INTEGERInput
On entry: the number of coupled ODE components.
Constraint: NCODE0.
14:   ODEDEF – SUBROUTINE, supplied by the NAG Library or the user.External Procedure
ODEDEF must evaluate the functions F, which define the system of ODEs, as given in (3).
If you wish to compute the solution of a system of PDEs only (NCODE=0), ODEDEF must be the dummy routine D03PCK/D53PCK for D03PJF (or D53PCK for D03PJA). D03PCK/D53PCK and D53PCK are included in the NAG Library.
The specification of ODEDEF for D03PJF is:
SUBROUTINE ODEDEF ( NPDE, T, NCODE, V, VDOT, NXI, XI, UCP, UCPX, RCP, UCPT, UCPTX, F, IRES)
INTEGER  NPDE, NCODE, NXI, IRES
REAL (KIND=nag_wp)  T, V(NCODE), VDOT(NCODE), XI(NXI), UCP(NPDE,*), UCPX(NPDE,*), RCP(NPDE,*), UCPT(NPDE,*), UCPTX(NPDE,*), F(NCODE)
The specification of ODEDEF for D03PJA is:
SUBROUTINE ODEDEF ( NPDE, T, NCODE, V, VDOT, NXI, XI, UCP, UCPX, RCP, UCPT, UCPTX, F, IRES, IUSER, RUSER)
INTEGER  NPDE, NCODE, NXI, IRES, IUSER(*)
REAL (KIND=nag_wp)  T, V(NCODE), VDOT(NCODE), XI(NXI), UCP(NPDE,*), UCPX(NPDE,*), RCP(NPDE,*), UCPT(NPDE,*), UCPTX(NPDE,*), F(NCODE), RUSER(*)
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 NCODE>0, Vi contains the value of the component Vit, for i=1,2,,NCODE.
5:     VDOT(NCODE) – REAL (KIND=nag_wp) arrayInput
On entry: if NCODE>0, VDOTi contains the value of component V.it, for i=1,2,,NCODE.
6:     NXI – INTEGERInput
On entry: the number of ODE/PDE coupling points.
7:     XI(NXI) – REAL (KIND=nag_wp) arrayInput
On entry: if NXI>0, XIi contains the ODE/PDE coupling points, ξi, for i=1,2,,NXI.
8:     UCP(NPDE,*) – REAL (KIND=nag_wp) arrayInput
On entry: if NXI>0, UCPij contains the value of Uix,t at the coupling point x=ξj, for i=1,2,,NPDE and j=1,2,,NXI.
9:     UCPX(NPDE,*) – REAL (KIND=nag_wp) arrayInput
On entry: if NXI>0, UCPXij contains the value of Uix,t x  at the coupling point x=ξj, for i=1,2,,NPDE and j=1,2,,NXI.
10:   RCP(NPDE,*) – REAL (KIND=nag_wp) arrayInput
On entry: RCPij contains the value of the flux Ri at the coupling point x=ξj, for i=1,2,,NPDE and j=1,2,,NXI.
11:   UCPT(NPDE,*) – REAL (KIND=nag_wp) arrayInput
On entry: if NXI>0, UCPTij contains the value of Ui t  at the coupling point x=ξj, for i=1,2,,NPDE and j=1,2,,NXI.
12:   UCPTX(NPDE,*) – REAL (KIND=nag_wp) arrayInput
On entry: UCPTXij contains the value of 2Ui x t  at the coupling point x=ξj, for i=1,2,,NPDE and j=1,2,,NXI.
13:   F(NCODE) – REAL (KIND=nag_wp) arrayOutput
On exit: Fi must contain the ith component of F, for i=1,2,,NCODE, where F is defined as
F=G-AV.-B Ut* Uxt* , (5)
or
F=-AV.-B Ut* Uxt* . (6)
The definition of F is determined by the input value of IRES.
14:   IRES – INTEGERInput/Output
On entry: the form of F that must be returned in the array F.
IRES=1
Equation (5) must be used.
IRES=-1
Equation (6) must be used.
On exit: should usually remain unchanged. However, you may reset IRES to force the integration routine to take certain actions as described below:
IRES=2
Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to IFAIL=6.
IRES=3
Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set IRES=3 when a physically meaningless input or output value has been generated. If you consecutively set IRES=3, then D03PJF/D03PJA returns to the calling subroutine with the error indicator set to IFAIL=4.
Note: the following are additional parameters for specific use with D03PJA. Users of D03PJF therefore need not read the remainder of this description.
15:   IUSER(*) – INTEGER arrayUser Workspace
16:   RUSER(*) – REAL (KIND=nag_wp) arrayUser Workspace
ODEDEF is called with the parameters IUSER and RUSER as supplied to D03PJF/D03PJA. You are free to use the arrays IUSER and RUSER to supply information to ODEDEF as an alternative to using COMMON global variables.
ODEDEF must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PJF/D03PJA is called. Parameters denoted as Input must not be changed by this procedure.
15:   NXI – INTEGERInput
On entry: the number of ODE/PDE coupling points.
Constraints:
  • if NCODE=0, NXI=0;
  • if NCODE>0, NXI0.
16:   XI(*) – REAL (KIND=nag_wp) arrayInput
Note: the dimension of the array XI must be at least max1,NXI.
On entry: XIi, for i=1,2,,NXI, must be set to the ODE/PDE coupling points.
Constraint: XBKPTS1XI1<XI2<<XINXIXBKPTSNBKPTS.
17:   NEQN – INTEGERInput
On entry: the number of ODEs in the time direction.
Constraint: NEQN=NPDE×NPTS+NCODE.
18:   UVINIT – SUBROUTINE, supplied by the user.External Procedure
UVINIT must compute the initial values of the PDE and the ODE components Uixj,t0, for i=1,2,,NPDE and j=1,2,,NPTS, and Vkt0, for k=1,2,,NCODE.
The specification of UVINIT for D03PJF is:
SUBROUTINE UVINIT ( NPDE, NPTS, X, U, NCODE, V)
INTEGER  NPDE, NPTS, NCODE
REAL (KIND=nag_wp)  X(NPTS), U(NPDE,NPTS), V(NCODE)
The specification of UVINIT for D03PJA is:
SUBROUTINE UVINIT ( NPDE, NPTS, X, U, NCODE, V, IUSER, RUSER)
INTEGER  NPDE, NPTS, NCODE, IUSER(*)
REAL (KIND=nag_wp)  X(NPTS), U(NPDE,NPTS), V(NCODE), RUSER(*)
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 a,b.
3:     X(NPTS) – REAL (KIND=nag_wp) arrayInput
On entry: Xi, for i=1,2,,NPTS, contains the current values of the space variable xi.
4:     U(NPDE,NPTS) – REAL (KIND=nag_wp) arrayOutput
On exit: if NXI>0, Uij contains the value of the component Uixj,t0, for i=1,2,,NPDE and j=1,2,,NPTS.
5:     NCODE – INTEGERInput
On entry: the number of coupled ODEs in the system.
6:     V(NCODE) – REAL (KIND=nag_wp) arrayOutput
On exit: Vi contains the value of component Vit0, for i=1,2,,NCODE.
Note: the following are additional parameters for specific use with D03PJA. Users of D03PJF therefore need not read the remainder of this description.
7:     IUSER(*) – INTEGER arrayUser Workspace
8:     RUSER(*) – REAL (KIND=nag_wp) arrayUser Workspace
UVINIT is called with the parameters IUSER and RUSER as supplied to D03PJF/D03PJA. You are free to use the arrays IUSER and RUSER to supply information to UVINIT as an alternative to using COMMON global variables.
UVINIT must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D03PJF/D03PJA is called. Parameters denoted as Input must not be changed by this procedure.
19:   RTOL(*) – REAL (KIND=nag_wp) arrayInput
Note: the dimension of the array RTOL must be at least 1 if ITOL=1 or 2 and at least NEQN if ITOL=3 or 4.
On entry: the relative local error tolerance.
Constraint: RTOLi0.0 for all relevant i.
20:   ATOL(*) – REAL (KIND=nag_wp) arrayInput
Note: the dimension of the array ATOL must be at least 1 if ITOL=1 or 3 and at least NEQN if ITOL=2 or 4.
On entry: the absolute local error tolerance.
Constraint: ATOLi0.0 for all relevant i.
Note: corresponding elements of RTOL and ATOL cannot both be 0.0.
21:   ITOL – INTEGERInput
On entry: a value to indicate the form of the local error test. ITOL indicates to D03PJF/D03PJA whether to interpret either or both of RTOL or ATOL as a vector or scalar. The error test to be satisfied is ei/wi<1.0, where wi is defined as follows:
ITOLRTOLATOLwi
1scalarscalarRTOL1×Ui+ATOL1
2scalarvectorRTOL1×Ui+ATOLi
3vectorscalarRTOLi×Ui+ATOL1
4vectorvectorRTOLi×Ui+ATOLi
In the above, ei denotes the estimated local error for the ith component of the coupled PDE/ODE system in time, Ui, for i=1,2,,NEQN.
The choice of norm used is defined by the parameter NORM.
Constraint: 1ITOL4.
22:   NORM – CHARACTER(1)Input
On entry: the type of norm to be used.
NORM='M'
Maximum norm.
NORM='A'
Averaged L2 norm.
If Unorm denotes the norm of the vector U of length NEQN, then for the averaged L2 norm
Unorm=1NEQNi=1NEQNUi/wi2,
while for the maximum norm
U norm = maxi Ui / wi .
See the description of ITOL for the formulation of the weight vector w.
Constraint: NORM='M' or 'A'.
23:   LAOPT – CHARACTER(1)Input
On entry: the type of matrix algebra required.
LAOPT='F'
Full matrix methods to be used.
LAOPT='B'
Banded matrix methods to be used.
LAOPT='S'
Sparse matrix methods to be used.
Constraint: LAOPT='F', 'B' or 'S'.
Note: you are recommended to use the banded option when no coupled ODEs are present (i.e., NCODE=0).
24:   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 ALGOPT1 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:
ALGOPT1
Selects the ODE integration method to be used. If ALGOPT1=1.0, a BDF method is used and if ALGOPT1=2.0, a Theta method is used. The default value is ALGOPT1=1.0.
If ALGOPT1=2.0, then ALGOPTi, for i=2,3,4 are not used.
ALGOPT2
Specifies the maximum order of the BDF integration formula to be used. ALGOPT2 may be 1.0, 2.0, 3.0, 4.0 or 5.0. The default value is ALGOPT2=5.0.
ALGOPT3
Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the BDF method. If ALGOPT3=1.0 a modified Newton iteration is used and if ALGOPT3=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 ALGOPT3=1.0.
ALGOPT4
Specifies whether or not the Petzold error test is to be employed. The Petzold error test results in extra overhead but is more suitable when algebraic equations are present, such as Pi,j=0.0, for j=1,2,,NPDE, for some i or when there is no V.it dependence in the coupled ODE system. If ALGOPT4=1.0, then the Petzold test is used. If ALGOPT4=2.0, then the Petzold test is not used. The default value is ALGOPT4=1.0.
If ALGOPT1=1.0, then ALGOPTi, for i=5,6,7, are not used.
ALGOPT5
Specifies the value of Theta to be used in the Theta integration method. 0.51ALGOPT50.99. The default value is ALGOPT5=0.55.
ALGOPT6
Specifies what method is to be used to solve the system of nonlinear equations arising on each step of the Theta method. If ALGOPT6=1.0, a modified Newton iteration is used and if ALGOPT6=2.0, a functional iteration method is used. The default value is ALGOPT6=1.0.
ALGOPT7
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 ALGOPT7=1.0, then switching is allowed and if ALGOPT7=2.0, then switching is not allowed. The default value is ALGOPT7=1.0.
ALGOPT11
Specifies a point in the time direction, tcrit, beyond which integration must not be attempted. The use of tcrit is described under the parameter ITASK. If ALGOPT10.0, a value of 0.0 for ALGOPT11, say, should be specified even if ITASK subsequently specifies that tcrit will not be used.
ALGOPT12
Specifies the minimum absolute step size to be allowed in the time integration. If this option is not required, ALGOPT12 should be set to 0.0.
ALGOPT13
Specifies the maximum absolute step size to be allowed in the time integration. If this option is not required, ALGOPT13 should be set to 0.0.
ALGOPT14
Specifies the initial step size to be attempted by the integrator. If ALGOPT14=0.0, then the initial step size is calculated internally.
ALGOPT15
Specifies the maximum number of steps to be attempted by the integrator in any one call. If ALGOPT15=0.0, then no limit is imposed.
ALGOPT23
Specifies what method is to be used to solve the nonlinear equations at the initial point to initialize the values of U, Ut, V and V.. If ALGOPT23=1.0, a modified Newton iteration is used and if ALGOPT23=2.0, functional iteration is used. The default value is ALGOPT23=1.0.
ALGOPT29 and ALGOPT30 are used only for the sparse matrix algebra option, LAOPT='S'.
ALGOPT29
Governs the choice of pivots during the decomposition of the first Jacobian matrix. It should lie in the range 0.0<ALGOPT29<1.0, with smaller values biasing the algorithm towards maintaining sparsity at the expense of numerical stability. If ALGOPT29 lies outside this range then the default value is used. If the routines regard the Jacobian matrix as numerically singular then increasing ALGOPT29 towards 1.0 may help, but at the cost of increased fill-in. The default value is ALGOPT29=0.1.
ALGOPT30
Is used as a relative pivot threshold during subsequent Jacobian decompositions (see ALGOPT29) below which an internal error is invoked. If ALGOPT30 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 ALGOPT29). The default value is ALGOPT30=0.0001.
25:   RSAVE(LRSAVE) – REAL (KIND=nag_wp) arrayCommunication Array
If IND=0, RSAVE need not be set on entry.
If IND=1, RSAVE must be unchanged from the previous call to the routine because it contains required information about the iteration.
26:   LRSAVE – INTEGERInput
On entry: the dimension of the array RSAVE as declared in the (sub)program from which D03PJF/D03PJA is called. Its size depends on the type of matrix algebra selected.
If LAOPT='F', LRSAVENEQN×NEQN+NEQN+nwkres+lenode.
If LAOPT='B', LRSAVE3×mlu+1×NEQN+nwkres+lenode.
If LAOPT='S', LRSAVE4×NEQN+11×NEQN/2+1+nwkres+lenode.
Where
mlu is the lower or upper half bandwidths such that
mlu=3×NPDE-1, for PDE problems only (no coupled ODEs); or
mlu=NEQN-1, for coupled PDE/ODE problems.
nwkres= 3×NPOLY+12+NPOLY+1×NPDE2+6×NPDE+NBKPTS+1+8×NPDE+NXI×5×NPDE+1+NCODE+3, when ​NCODE>0​ and ​NXI>0; or 3×NPOLY+12+NPOLY+1×NPDE2+6×NPDE+NBKPTS+1+13×NPDE+NCODE+4, when ​NCODE>0​ and ​NXI=0; or 3×NPOLY+12+NPOLY+1×NPDE2+6×NPDE+NBKPTS+1+13×NPDE+5, when ​NCODE=0.  
lenode= 6+intALGOPT2×NEQN+50, when the BDF method is used; or 9×NEQN+50, when the Theta method is used.  
Note: when LAOPT='S', the value of LRSAVE may be too small when supplied to the integrator. An estimate of the minimum size of LRSAVE is printed on the current error message unit if ITRACE>0 and the routine returns with IFAIL=15.
27:   ISAVE(LISAVE) – INTEGER arrayCommunication Array
If IND=0, ISAVE need not be set on entry.
If IND=1, ISAVE must be unchanged from the previous call to the routine because it contains required information about the iteration required for subsequent calls. In particular:
ISAVE1
Contains the number of steps taken in time.
ISAVE2
Contains the number of residual evaluations of the resulting ODE system used. One such evaluation involves computing the PDE functions at all the mesh points, as well as one evaluation of the functions in the boundary conditions.
ISAVE3
Contains the number of Jacobian evaluations performed by the time integrator.
ISAVE4
Contains the order of the ODE method last used in the time integration.
ISAVE5
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.
28:   LISAVE – INTEGERInput
On entry: the dimension of the array ISAVE as declared in the (sub)program from which D03PJF/D03PJA is called. Its size depends on the type of matrix algebra selected:
  • if LAOPT='F', LISAVE24;
  • if LAOPT='B', LISAVENEQN+24;
  • if LAOPT='S', LISAVE25×NEQN+24.
Note: when using the sparse option, the value of LISAVE may be too small when supplied to the integrator. An estimate of the minimum size of LISAVE is printed on the current error message unit if ITRACE>0 and the routine returns with IFAIL=15.
29:   ITASK – INTEGERInput
On entry: specifies the task to be performed by the ODE integrator.
ITASK=1
Normal computation of output values U at t=TOUT.
ITASK=2
One step and return.
ITASK=3
Stop at first internal integration point at or beyond t=TOUT.
ITASK=4
Normal computation of output values U at t=TOUT but without overshooting t=tcrit where tcrit is described under the parameter ALGOPT.
ITASK=5
Take one step in the time direction and return, without passing tcrit, where tcrit is described under the parameter ALGOPT.
Constraint: ITASK=1, 2, 3, 4 or 5.
30:   ITRACE – INTEGERInput
On entry: the level of trace information required from D03PJF/D03PJA and the underlying ODE solver. ITRACE may take the value -1, 0, 1, 2 or 3.
ITRACE=-1
No output is generated.
ITRACE=0
Only warning messages from the PDE solver are printed on the current error message unit (see X04AAF).
ITRACE>0
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.
If ITRACE<-1, then -1 is assumed and similarly if ITRACE>3, then 3 is assumed.
The advisory messages are given in greater detail as ITRACE increases. You are advised to set ITRACE=0, unless you are experienced with sub-chapter D02M–N.
31:   IND – INTEGERInput/Output
On entry: indicates whether this is a continuation call or a new integration.
IND=0
Starts or restarts the integration in time.
IND=1
Continues the integration after an earlier exit from the routine. In this case, only the parameters TOUT and IFAIL should be reset between calls to D03PJF/D03PJA.
Constraint: IND=0 or 1.
On exit: IND=1.
32:   IFAIL – INTEGERInput/Output
Note: for D03PJA, IFAIL does not occur in this position in the parameter list. See the additional parameters described below.
On entry: IFAIL must be set to 0, -1​ 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​ 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 -1​ or ​1 is used it is essential to test the value of IFAIL on exit.
On exit: IFAIL=0 unless the routine detects an error or a warning has been flagged (see Section 6).
Note: the following are additional parameters for specific use with D03PJA. Users of D03PJF therefore need not read the remainder of this description.
32:   IUSER(*) – INTEGER arrayUser Workspace
33:   RUSER(*) – REAL (KIND=nag_wp) arrayUser Workspace
IUSER and RUSER are not used by D03PJF/D03PJA, but are passed directly to PDEDEF, BNDARY, ODEDEF and UVINIT and may be used to pass information to these routines as an alternative to using COMMON global variables.
34:   CWSAV(10) – CHARACTER(80) arrayCommunication Array
35:   LWSAV(100) – LOGICAL arrayCommunication Array
36:   IWSAV(505) – INTEGER arrayCommunication Array
37:   RWSAV(1100) – REAL (KIND=nag_wp) arrayCommunication Array
38:   IFAIL – INTEGERInput/Output
Note: see the parameter description for IFAIL above.

6  Error Indicators and Warnings

If on entry IFAIL=0 or -1, explanatory error messages are output on the current error message unit (as defined by X04AAF).
Errors or warnings detected by the routine:
IFAIL=1
On entry,TOUT-TS is too small,
orITASK1, 2, 3, 4 or 5,
orM0, 1 or 2,
orat least one of the coupling point in array XI is outside the interval [XBKPTS1,XBKPTSNBKPTS],
orNPTSNBKPTS-1×NPOLY+1,
orNBKPTS<2,
orNPDE0,
orNORM'A' or 'M',
orITOL1, 2, 3 or 4,
orNPOLY<1 or NPOLY>49,
orNCODE and NXI are incorrectly defined,
orNEQNNPDE×NPTS+NCODE,
orLAOPT'F', 'B' or 'S',
orIND0 or 1,
orbreak points XBKPTSi are badly ordered,
orLRSAVE is too small,
orLISAVE is too small,
orthe ODE integrator has not been correctly defined; check ALGOPT parameter,
oreither an element of RTOL or ATOL<0.0,
orall the elements of RTOL and ATOL are zero.
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=TS. The components of U contain the computed values at the current point t=TS.
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=TS. The problem may have a singularity, or the error requirement may be inappropriate.
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 at least PDEDEF, BNDARY or ODEDEF, when the residual in the underlying ODE solver was being evaluated.
IFAIL=5
In solving the ODE system, a singular Jacobian has been encountered. You should check your problem formulation.
IFAIL=6
When evaluating the residual in solving the ODE system, IRES was set to 2 in at least PDEDEF, BNDARY or ODEDEF. Integration was successful as far as t=TS.
IFAIL=7
The values of ATOL and RTOL are so small that the routine is unable to start the integration in time.
IFAIL=8
In one of PDEDEF, BNDARY or ODEDEF, IRES was set to an invalid value.
IFAIL=9 (D02NNF)
A serious error has occurred in an internal call to the specified routine. Check the problem specification and all parameters and array dimensions. Setting ITRACE=1 may provide more information. If the problem persists, contact NAG.
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 ITASK2 or 5.)
IFAIL=11
An error occurred during Jacobian formulation of the ODE system (a more detailed error description may be directed to the current error message unit).
IFAIL=12
In solving the ODE system, the maximum number of steps specified in ALGOPT15 have been taken.
IFAIL=13
Some error weights wi became zero during the time integration (see the description of ITOL). Pure relative error control (ATOLi=0.0) was requested on a variable (the ith) which has become zero. The integration was successful as far as t=TS.
IFAIL=14
The flux function Ri was detected as depending on time derivatives, which is not permissible.
IFAIL=15
When using the sparse option, the value of LISAVE or LRSAVE was not sufficient (more detailed information may be directed to the current error message unit).

7  Accuracy

D03PJF/D03PJA 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 parameter ATOL and RTOL.

8  Further Comments

The parameter specification allows you to include equations with only first-order derivatives in the space direction but there is no guarantee that the method of integration will be satisfactory for such systems. The position and nature of the boundary conditions in particular are critical in defining a stable problem.
The time taken depends on the complexity of the parabolic system and on the accuracy requested.

9  Example

This example provides a simple coupled system of one PDE and one ODE.
V 1 2 U 1 t -x V 1 V . 1 U 1 x = 2 U 1 x 2 V . 1 = V 1 U 1 + U 1 x +1 +t ,
for t10-4,0.1×2i,  i=1,2,,5,x0,1.
The left boundary condition at x=0 is
U1 x =-V1expt.
The right boundary condition at x=1 is
U1=-V1V.1.
The initial conditions at t=10-4 are defined by the exact solution:
V1=t,   and  U1x,t=expt1-x-1.0,  x0,1,
and the coupling point is at ξ1=1.0.

9.1  Program Text

Note: the following programs illustrate the use of D03PJF and D03PJA.

Program Text (d03pjfe.f90)

Program Text (d03pjae.f90)

9.2  Program Data

Program Data (d03pjfe.d)

Program Data (d03pjae.d)

9.3  Program Results

Program Results (d03pjfe.r)

Program Results (d03pjae.r)

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

D03PJF/D03PJA (PDF version)
D03 Chapter Contents
D03 Chapter Introduction
NAG Library Manual

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