UNITEXT

La Matematica per il 3+2

Volume 145

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École Polytechnique Fédérale de Lausanne (EPFL), Lausanne, Switzerland

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Camillo De Lellis, Institute for Advanced Study, Princeton, NJ, USA
Massimiliano Gubinelli, Hausdorff Center for Mathematics, Rheinische
Friedrich-Wilhelms-Universität, Bonn, Germany
Victor Panaretos, Institute of Mathematics, École Polytechnique Fédérale de
Lausanne (EPFL), Lausanne, Switzerland
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Center for Brains Mind and Machines, Massachusetts Institute of Technology,
Cambridge, Massachusetts, USA
Istituto Italiano di Tecnologia, Genova, Italy
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Taketomo Mitsui · Guang-Da Hu

Numerical Analysis
of Ordinary and Delay
Differential Equations
Taketomo Mitsui Guang-Da Hu
Nagoya University Department of Mathematics
Nagoya, Aichi, Japan Shanghai University
Shanghai, China

ISSN 2038-5714 ISSN 2532-3318 (electronic)

UNITEXT
ISSN 2038-5722 ISSN 2038-5757 (electronic)
La Matematica per il 3+2
ISBN 978-981-19-9262-9 ISBN 978-981-19-9263-6 (eBook)
https://doi.org/10.1007/978-981-19-9263-6

Mathematics Subject Classification: 65Lxx, 65Qxx

© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature
Singapore Pte Ltd. 2023, corrected publication 2024
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Preface

The aim of the book is to provide a concise textbook for students on an advanced
undergraduate or a first-year graduate course from various disciplines, such as applied
mathematics, control and engineering, who want to learn a modern standard of numer-
ical methods of ordinary and delay differential equations. Their stability analysis is
also explained. Experts in applied mathematics, control and engineering fields can
also learn the recent developments in numerical analysis of such differential systems.
Major algorithms of numerical solution are clearly described.
Ordinary differential equations (ODEs) have a long history in mathematics and
provide a valuable resource for its development. At the same time, they provide a
strong mathematical tool to express phenomena of a wide variety in science and
engineering. Therefore, graduate students, scientists and engineers are required to
have knowledge and experience of ODEs. The idea of mathematical formulation
to give a functional relationship of an unknown function and its derivative can be
extended furthermore. One powerful way to extend ODEs is to treat equations of func-
tions of several independent variables, called partial differential equations (PDEs).
Another way is to incorporate unknown functions with delayed argument, called
delay differential equations (DDEs). Mathematical analysis has developed to eluci-
date properties of differential equations, e.g. existence of solutions of the equations.
Hence, in some cases we can obtain a solution of a differential equation by algebraic
combinations of known mathematical functions. In many practical cases, however,
such a solution method is quite difficult and numerical approximations are called for.
Modern computers accelerate the situation and, moreover, launch more possibilities
of numerical means.
Henceforth, the knowledge and expertise of numerical solution of differential
equations become a requirement in the broad area of science and engineering. One
might think that a well-organised software package such as MATLAB can provide
the solution. In a sense it is true, but one must be aware that blind employment of
a software package does not help the users. An understanding of numerical solu-
tion of differential equations is still necessary. The present book is intended to give
the principles of numerical solution of ordinary differential equations as well as of
delay differential equations. To obtain a broader perspective of numerical analysis in

v
vi Preface

applied mathematics, a short introduction to polynomial interpolation is also given.

In particular, we take note that there are a few concise textbooks of delay differential
equations and have tried to give descriptions that are as transparent as possible.
The prerequisite of the book is knowledge of calculus and linear algebra at college
level. Each chapter is followed by remarks on further development of the chapter
topic and exercises. We hope the readers find the topic interesting and try to obtain
further developments by themselves.

Nagoya, Japan Taketomo Mitsui

Shanghai, China Guang-Da Hu
Contents

1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 Mathematical Modelling by Differential Equations . . . . . . . . . . . . . . 1
1.2 Analytical Versus Numerical Solutions . . . . . . . . . . . . . . . . . . . . . . . . 3
2 Initial-Value Problems of Differential Equations: Theory . . . . . . . . . . 13
2.1 Existence and Uniqueness of Solution . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.2 Dependence on the Initial Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.3 Stability of Solution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3 Runge–Kutta Methods for ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.1 Runge–Kutta Methods for ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.2 Embedded Pair of Runge–Kutta Schemes . . . . . . . . . . . . . . . . . . . . . . 35
3.3 Linear Stability of Runge–Kutta Methods for ODEs . . . . . . . . . . . . . 37
3.4 Implicit Runge–Kutta Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
4 Polynomial Interpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
4.1 Polynomial Interpolation and Its Algorithms . . . . . . . . . . . . . . . . . . . 47
4.2 Error in Polynomial Interpolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
5 Linear Multistep Methods for ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
5.1 Linear Multistep Methods for ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . 61
5.2 Implementation Issues of Linear Multistep Methods . . . . . . . . . . . . . 66
5.3 Linear Stability of Linear Multistep Methods for ODEs . . . . . . . . . . 69
6 Analytical Theory of Delay Differential Equations . . . . . . . . . . . . . . . . . 77
6.1 Differential Equation with Delay . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
6.2 Analytical Solution of DDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
6.3 Linear Stability of DDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
7 Numerical Solution of DDEs and Its Stability Analysis . . . . . . . . . . . . . 91
7.1 Numerical Solution of DDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
7.2 Continuous Extension of Runge–Kutta Methods for DDEs . . . . . . . 94
7.3 Linear Stability of Runge–Kutta Methods for DDEs . . . . . . . . . . . . . 97

vii
viii Contents

Correction to: Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C1

Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111