NAG Library Routine Document
D03PCF/D03PCA
1 Purpose
D03PCF/D03PCA integrates a system of linear or nonlinear parabolic partial differential equations (PDEs) in one space variable. The spatial discretization is performed using finite differences, and the method of lines is employed to reduce the PDEs to a system of ordinary differential equations (ODEs). The resulting system is solved using a backward differentiation formula method.
D03PCA is a version of D03PCF that has additional parameters in order to make it safe for use in multithreaded applications (see
Section 5).
2 Specification
2.1 Specification for D03PCF
SUBROUTINE D03PCF ( 
NPDE, M, TS, TOUT, PDEDEF, BNDARY, U, NPTS, X, ACC, RSAVE, LRSAVE, ISAVE, LISAVE, ITASK, ITRACE, IND, IFAIL) 
INTEGER 
NPDE, M, NPTS, LRSAVE, ISAVE(LISAVE), LISAVE, ITASK, ITRACE, IND, IFAIL 
REAL (KIND=nag_wp) 
TS, TOUT, U(NPDE,NPTS), X(NPTS), ACC, RSAVE(LRSAVE) 
EXTERNAL 
PDEDEF, BNDARY 

2.2 Specification for D03PCA
SUBROUTINE D03PCA ( 
NPDE, M, TS, TOUT, PDEDEF, BNDARY, U, NPTS, X, ACC, RSAVE, LRSAVE, ISAVE, LISAVE, ITASK, ITRACE, IND, IUSER, RUSER, CWSAV, LWSAV, IWSAV, RWSAV, IFAIL) 
INTEGER 
NPDE, M, NPTS, LRSAVE, ISAVE(LISAVE), LISAVE, ITASK, ITRACE, IND, IUSER(*), IWSAV(505), IFAIL 
REAL (KIND=nag_wp) 
TS, TOUT, U(NPDE,NPTS), X(NPTS), ACC, RSAVE(LRSAVE), RUSER(*), RWSAV(1100) 
LOGICAL 
LWSAV(100) 
CHARACTER(80) 
CWSAV(10) 
EXTERNAL 
PDEDEF, BNDARY 

3 Description
D03PCF/D03PCA integrates the system of parabolic equations:
where
${P}_{i,j}$,
${Q}_{i}$ and
${R}_{i}$ depend on
$x$,
$t$,
$U$,
${U}_{x}$ and the vector
$U$ is the set of solution values
and the vector
${U}_{x}$ is its partial derivative with respect to
$x$. Note that
${P}_{i,j}$,
${Q}_{i}$ and
${R}_{i}$ must not depend on
$\frac{\partial U}{\partial t}$.
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 userdefined mesh ${x}_{1},{x}_{2},\dots ,{x}_{{\mathbf{NPTS}}}$. 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 mesh should be chosen in accordance with the expected behaviour of the solution.
The system is defined by the functions
${P}_{i,j}$,
${Q}_{i}$ and
${R}_{i}$ which must be specified in
PDEDEF.
The initial values of the functions
$U\left(x,t\right)$ must be given at
$t={t}_{0}$. The functions
${R}_{i}$, for
$\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$, which may be thought of as fluxes, are also used in the definition of the boundary conditions for each equation. The boundary conditions must have the form
where
$x=a$ or
$x=b$.
The boundary conditions must be specified in
BNDARY.
The problem is subject to the following restrictions:
(i) 
${t}_{0}<{t}_{\mathrm{out}}$, so that integration is in the forward direction; 
(ii) 
${P}_{i,j}$,
${Q}_{i}$ and the flux ${R}_{i}$ must not depend on any time derivatives; 
(iii) 
the evaluation of the functions ${P}_{i,j}$,
${Q}_{i}$ and ${R}_{i}$ is done at the midpoints of the mesh intervals by calling the PDEDEF for each midpoint in turn. Any discontinuities in these functions must therefore be at one or more of the mesh points ${x}_{1},{x}_{2},\dots ,{x}_{{\mathbf{NPTS}}}$; 
(iv) 
at least one of the functions ${P}_{i,j}$ must be nonzero so that there is a time derivative present in the problem; and 
(v) 
if $m>0$ and ${x}_{1}=0.0$, which is the left boundary point, then it must be ensured that the PDE solution is bounded at this point. This can be done by either specifying the solution at $x=0.0$ or by specifying a zero flux there, that is ${\beta}_{i}=1.0$ and ${\gamma}_{i}=0.0$. See also Section 8. 
The parabolic equations are approximated by a system of ODEs in time for the values of ${U}_{i}$ at mesh points. For simple problems in Cartesian coordinates, this system is obtained by replacing the space derivatives by the usual central, threepoint finite difference formula. However, for polar and spherical problems, or problems with nonlinear coefficients, the space derivatives are replaced by a modified threepoint formula which maintains secondorder accuracy. In total there are ${\mathbf{NPDE}}\times {\mathbf{NPTS}}$ ODEs in the time direction. This system is then integrated forwards in time using a backward differentiation formula method.
4 References
Berzins M (1990) Developments in the NAG Library software for parabolic equations Scientific Software Systems (eds J C Mason and M G Cox) 59–72 Chapman and Hall
Berzins M, Dew P M and Furzeland R M (1989) Developing software for timedependent problems using the method of lines and differentialalgebraic integrators Appl. Numer. Math. 5 375–397
Dew P M and Walsh J (1981) A set of library routines for solving parabolic equations in one space variable ACM Trans. Math. Software 7 295–314
Skeel R D and Berzins M (1990) A method for the spatial discretization of parabolic equations in one space variable SIAM J. Sci. Statist. Comput. 11(1) 1–32
5 Parameters
 1: NPDE – INTEGERInput
On entry: the number of PDEs in the system to be solved.
Constraint:
${\mathbf{NPDE}}\ge 1$.
 2: M – INTEGERInput
On entry: the coordinate system used:
 ${\mathbf{M}}=0$
 Indicates Cartesian coordinates.
 ${\mathbf{M}}=1$
 Indicates cylindrical polar coordinates.
 ${\mathbf{M}}=2$
 Indicates spherical polar coordinates.
Constraint:
${\mathbf{M}}=0$, $1$ 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
${\mathbf{TS}}={\mathbf{TOUT}}$.
Constraint:
${\mathbf{TS}}<{\mathbf{TOUT}}$.
 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
${P}_{i,j}$,
${Q}_{i}$ and
${R}_{i}$ which define the system of PDEs.
PDEDEF is called approximately midway between each pair of mesh points in turn by D03PCF/D03PCA.
The specification of
PDEDEF
for D03PCF is:
INTEGER 
NPDE, IRES 
REAL (KIND=nag_wp) 
T, X, U(NPDE), UX(NPDE), P(NPDE,NPDE), Q(NPDE), R(NPDE) 

The specification of
PDEDEF
for D03PCA is:
SUBROUTINE PDEDEF ( 
NPDE, T, X, U, UX, P, Q, R, IRES, IUSER, RUSER) 
INTEGER 
NPDE, IRES, IUSER(*) 
REAL (KIND=nag_wp) 
T, X, U(NPDE), UX(NPDE), P(NPDE,NPDE), Q(NPDE), R(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: X – REAL (KIND=nag_wp)Input
On entry: the current value of the space variable $x$.
 4: U(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry: ${\mathbf{U}}\left(\mathit{i}\right)$ contains the value of the component ${U}_{\mathit{i}}\left(x,t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 5: UX(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry: ${\mathbf{UX}}\left(\mathit{i}\right)$ contains the value of the component $\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial x}$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 6: P(NPDE,NPDE) – REAL (KIND=nag_wp) arrayOutput
On exit: ${\mathbf{P}}\left(\mathit{i},\mathit{j}\right)$ must be set to the value of ${P}_{\mathit{i},\mathit{j}}\left(x,t,U,{U}_{x}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{NPDE}}$.
 7: Q(NPDE) – REAL (KIND=nag_wp) arrayOutput
On exit: ${\mathbf{Q}}\left(\mathit{i}\right)$ must be set to the value of ${Q}_{\mathit{i}}\left(x,t,U,{U}_{x}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 8: R(NPDE) – REAL (KIND=nag_wp) arrayOutput
On exit: ${\mathbf{R}}\left(\mathit{i}\right)$ must be set to the value of ${R}_{\mathit{i}}\left(x,t,U,{U}_{x}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 9: IRES – INTEGERInput/Output
On entry: set to $1\text{ or}1$.
On exit: should usually remain unchanged. However, you may set
IRES to force the integration routine to take certain actions as described below:
 ${\mathbf{IRES}}=2$
 Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{6}}$.
 ${\mathbf{IRES}}=3$
 Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ${\mathbf{IRES}}=3$ when a physically meaningless input or output value has been generated. If you consecutively set ${\mathbf{IRES}}=3$, then D03PCF/D03PCA returns to the calling subroutine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{4}}$.
 Note: the following are additional parameters for specific use with D03PCA. Users of D03PCF therefore need not read the remainder of this description.
 10: IUSER($*$) – INTEGER arrayUser Workspace
 11: RUSER($*$) – REAL (KIND=nag_wp) arrayUser Workspace

PDEDEF is called with the parameters
IUSER and
RUSER as supplied to D03PCF/D03PCA. 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 D03PCF/D03PCA 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
${\beta}_{i}$ and
${\gamma}_{i}$ which define the boundary conditions as in equation
(3).
The specification of
BNDARY
for D03PCF is:
INTEGER 
NPDE, IBND, IRES 
REAL (KIND=nag_wp) 
T, U(NPDE), UX(NPDE), BETA(NPDE), GAMMA(NPDE) 

The specification of
BNDARY
for D03PCA is:
INTEGER 
NPDE, IBND, IRES, IUSER(*) 
REAL (KIND=nag_wp) 
T, U(NPDE), UX(NPDE), 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:
${\mathbf{U}}\left(\mathit{i}\right)$ contains the value of the component
${U}_{\mathit{i}}\left(x,t\right)$ at the boundary specified by
IBND, for
$\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 4: UX(NPDE) – REAL (KIND=nag_wp) arrayInput
On entry:
${\mathbf{UX}}\left(\mathit{i}\right)$ contains the value of the component
$\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial x}$ at the boundary specified by
IBND, for
$\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 5: IBND – INTEGERInput
On entry: determines the position of the boundary conditions.
 ${\mathbf{IBND}}=0$
 BNDARY must set up the coefficients of the lefthand boundary, $x=a$.
 ${\mathbf{IBND}}\ne 0$
 Indicates that BNDARY must set up the coefficients of the righthand boundary, $x=b$.
 6: BETA(NPDE) – REAL (KIND=nag_wp) arrayOutput
On exit:
${\mathbf{BETA}}\left(\mathit{i}\right)$ must be set to the value of
${\beta}_{\mathit{i}}\left(x,t\right)$ at the boundary specified by
IBND, for
$\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 7: GAMMA(NPDE) – REAL (KIND=nag_wp) arrayOutput
On exit:
${\mathbf{GAMMA}}\left(\mathit{i}\right)$ must be set to the value of
${\gamma}_{\mathit{i}}\left(x,t,U,{U}_{x}\right)$ at the boundary specified by
IBND, for
$\mathit{i}=1,2,\dots ,{\mathbf{NPDE}}$.
 8: IRES – INTEGERInput/Output
On entry: set to $1\text{ or}1$.
On exit: should usually remain unchanged. However, you may set
IRES to force the integration routine to take certain actions as described below:
 ${\mathbf{IRES}}=2$
 Indicates to the integrator that control should be passed back immediately to the calling (sub)routine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{6}}$.
 ${\mathbf{IRES}}=3$
 Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ${\mathbf{IRES}}=3$ when a physically meaningless input or output value has been generated. If you consecutively set ${\mathbf{IRES}}=3$, then D03PCF/D03PCA returns to the calling subroutine with the error indicator set to ${\mathbf{IFAIL}}={\mathbf{4}}$.
 Note: the following are additional parameters for specific use with D03PCA. Users of D03PCF therefore need not read the remainder of this description.
 9: IUSER($*$) – INTEGER arrayUser Workspace
 10: RUSER($*$) – REAL (KIND=nag_wp) arrayUser Workspace

BNDARY is called with the parameters
IUSER and
RUSER as supplied to D03PCF/D03PCA. 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 D03PCF/D03PCA is called. Parameters denoted as
Input must
not be changed by this procedure.
 7: U(NPDE,NPTS) – REAL (KIND=nag_wp) arrayInput/Output
On entry: the initial values of $U\left(x,t\right)$ at $t={\mathbf{TS}}$ and the mesh points
${\mathbf{X}}\left(\mathit{j}\right)$, for $\mathit{j}=1,2,\dots ,{\mathbf{NPTS}}$.
On exit: ${\mathbf{U}}\left(\mathit{i},\mathit{j}\right)$ will contain the computed solution at $t={\mathbf{TS}}$.
 8: NPTS – INTEGERInput
On entry: the number of mesh points in the interval $\left[a,b\right]$.
Constraint:
${\mathbf{NPTS}}\ge 3$.
 9: X(NPTS) – REAL (KIND=nag_wp) arrayInput
On entry: the mesh points in the spatial direction. ${\mathbf{X}}\left(1\right)$ must specify the lefthand boundary, $a$, and ${\mathbf{X}}\left({\mathbf{NPTS}}\right)$ must specify the righthand boundary, $b$.
Constraint:
${\mathbf{X}}\left(1\right)<{\mathbf{X}}\left(2\right)<\cdots <{\mathbf{X}}\left({\mathbf{NPTS}}\right)$.
 10: ACC – REAL (KIND=nag_wp)Input
On entry: a positive quantity for controlling the local error estimate in the time integration. If
$E\left(i,j\right)$ is the estimated error for
${U}_{i}$ at the
$j$th mesh point, the error test is:
Constraint:
${\mathbf{ACC}}>0.0$.
 11: RSAVE(LRSAVE) – REAL (KIND=nag_wp) arrayCommunication Array
If
${\mathbf{IND}}=0$,
RSAVE need not be set on entry.
If
${\mathbf{IND}}=1$,
RSAVE must be unchanged from the previous call to the routine because it contains required information about the iteration.
 12: LRSAVE – INTEGERInput
On entry: the dimension of the array
RSAVE as declared in the (sub)program from which D03PCF/D03PCA is called.
Constraint:
${\mathbf{LRSAVE}}\ge \left(6\times {\mathbf{NPDE}}+10\right)\times {\mathbf{NPDE}}\times {\mathbf{NPTS}}+\left(3\times {\mathbf{NPDE}}+21\right)\times {\mathbf{NPDE}}+\phantom{\rule{0ex}{0ex}}7\times {\mathbf{NPTS}}+54$.
 13: ISAVE(LISAVE) – INTEGER arrayCommunication Array
If
${\mathbf{IND}}=0$,
ISAVE need not be set on entry.
If
${\mathbf{IND}}=1$,
ISAVE must be unchanged from the previous call to the routine because it contains required information about the iteration. In particular:
 ${\mathbf{ISAVE}}\left(1\right)$
 Contains the number of steps taken in time.
 ${\mathbf{ISAVE}}\left(2\right)$
 Contains the number of residual evaluations of the resulting ODE system used. One such evaluation involves computing the PDE functions at all the mesh points, as well as one evaluation of the functions in the boundary conditions.
 ${\mathbf{ISAVE}}\left(3\right)$
 Contains the number of Jacobian evaluations performed by the time integrator.
 ${\mathbf{ISAVE}}\left(4\right)$
 Contains the order of the last backward differentiation formula method used.
 ${\mathbf{ISAVE}}\left(5\right)$
 Contains the number of Newton iterations performed by the time integrator. Each iteration involves an ODE residual evaluation followed by a backsubstitution using the $LU$ decomposition of the Jacobian matrix.
 14: LISAVE – INTEGERInput
On entry: the dimension of the array
ISAVE as declared in the (sub)program from which D03PCF/D03PCA is called.
Constraint:
${\mathbf{LISAVE}}\ge {\mathbf{NPDE}}\times {\mathbf{NPTS}}+24$.
 15: ITASK – INTEGERInput
On entry: specifies the task to be performed by the ODE integrator.
 ${\mathbf{ITASK}}=1$
 Normal computation of output values U at $t={\mathbf{TOUT}}$.
 ${\mathbf{ITASK}}=2$
 One step and return.
 ${\mathbf{ITASK}}=3$
 Stop at first internal integration point at or beyond $t={\mathbf{TOUT}}$.
Constraint:
${\mathbf{ITASK}}=1$, $2$ or $3$.
 16: ITRACE – INTEGERInput
On entry: the level of trace information required from D03PCF/D03PCA 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 on the current error message unit (see X04AAF).
 ${\mathbf{ITRACE}}>0$
 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 ${\mathbf{ITRACE}}<1$, 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. You are advised to set
${\mathbf{ITRACE}}=0$, unless you are experienced with
subchapter D02M–N.
 17: IND – INTEGERInput/Output
On entry: indicates whether this is a continuation call or a new integration.
 ${\mathbf{IND}}=0$
 Starts or restarts the integration in time.
 ${\mathbf{IND}}=1$
 Continues the integration after an earlier exit from the routine. In this case, only the parameters TOUT and IFAIL should be reset between calls to D03PCF/D03PCA.
Constraint:
${\mathbf{IND}}=0$ or $1$.
On exit: ${\mathbf{IND}}=1$.
 18: IFAIL – INTEGERInput/Output

Note: for D03PCA, IFAIL does not occur in this position in the parameter list. See the additional parameters described below.
On entry:
IFAIL must be set to
$0$,
$1\text{ or}1$. If you are unfamiliar with this parameter you should refer to
Section 3.3 in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
$1\text{ or}1$ is recommended. If the output of error messages is undesirable, then the value
$1$ is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is
$0$.
When the value $\mathbf{1}\text{ or}\mathbf{1}$ is used it is essential to test the value of IFAIL on exit.
On exit:
${\mathbf{IFAIL}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
 Note: the following are additional parameters for specific use with D03PCA. Users of D03PCF therefore need not read the remainder of this description.
 18: IUSER($*$) – INTEGER arrayUser Workspace
 19: RUSER($*$) – REAL (KIND=nag_wp) arrayUser Workspace

IUSER and
RUSER are not used by D03PCF/D03PCA, but are passed directly to
PDEDEF and
BNDARY and may be used to pass information to these routines as an alternative to using COMMON global variables.
 20: CWSAV($10$) – CHARACTER(80) arrayCommunication Array
If
${\mathbf{IND}}=0$,
CWSAV need not be set on entry.
If
${\mathbf{IND}}=1$,
CWSAV must be unchanged from the previous call to the routine.
 21: LWSAV($100$) – LOGICAL arrayCommunication Array
If
${\mathbf{IND}}=0$,
LWSAV need not be set on entry.
If
${\mathbf{IND}}=1$,
LWSAV must be unchanged from the previous call to the routine.
 22: IWSAV($505$) – INTEGER arrayCommunication Array
If
${\mathbf{IND}}=0$,
IWSAV need not be set on entry.
If
${\mathbf{IND}}=1$,
IWSAV must be unchanged from the previous call to the routine.
 23: RWSAV($1100$) – REAL (KIND=nag_wp) arrayCommunication Array
If
${\mathbf{IND}}=0$,
RWSAV need not be set on entry.
If
${\mathbf{IND}}=1$,
RWSAV must be unchanged from the previous call to the routine.
 24: IFAIL – INTEGERInput/Output
Note: see the parameter description for
IFAIL above.
6 Error Indicators and Warnings
If on entry
${\mathbf{IFAIL}}={\mathbf{0}}$ or
${{\mathbf{1}}}$, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
 ${\mathbf{IFAIL}}=1$
On entry,  ${\mathbf{TOUT}}\le {\mathbf{TS}}$, 
or  ${\mathbf{TOUT}}{\mathbf{TS}}$ is too small, 
or  ${\mathbf{ITASK}}\ne 1$, $2$ or $3$, 
or  ${\mathbf{M}}\ne 0$, $1$ or $2$, 
or  ${\mathbf{M}}>0$ and ${\mathbf{X}}\left(1\right)<0.0$, 
or  $\text{the mesh points}{\mathbf{X}}\left(i\right)$ are not ordered, 
or  ${\mathbf{NPTS}}<3$, 
or  ${\mathbf{NPDE}}<1$, 
or  ${\mathbf{ACC}}\le 0.0$, 
or  ${\mathbf{IND}}\ne 0$ or $1$, 
or  LRSAVE is too small, 
or  LISAVE is too small. 
 ${\mathbf{IFAIL}}=2$

The underlying ODE solver cannot make any further progress across the integration range from the current point
$t={\mathbf{TS}}$ with the supplied value of
ACC. The components of
U contain the computed values at the current point
$t={\mathbf{TS}}$.
 ${\mathbf{IFAIL}}=3$

In the underlying ODE solver, there were repeated errors or corrector convergence test failures on an attempted step, before completing the requested task. The problem may have a singularity or
ACC is too small for the integration to continue. Integration was successful as far as
$t={\mathbf{TS}}$.
 ${\mathbf{IFAIL}}=4$

In setting up the ODE system, the internal initialization routine was unable to initialize the derivative of the ODE system. This could be due to the fact that
IRES was repeatedly set to
$3$ in at least
PDEDEF or
BNDARY, when the residual in the underlying ODE solver was being evaluated.
 ${\mathbf{IFAIL}}=5$

In solving the ODE system, a singular Jacobian has been encountered. You should check your problem formulation.
 ${\mathbf{IFAIL}}=6$

When evaluating the residual in solving the ODE system,
IRES was set to
$2$ in at least
PDEDEF or
BNDARY. Integration was successful as far as
$t={\mathbf{TS}}$.
 ${\mathbf{IFAIL}}=7$

The value of
ACC is so small that the routine is unable to start the integration in time.
 ${\mathbf{IFAIL}}=8$

In one of
PDEDEF or
BNDARY,
IRES was set to an invalid value.
 ${\mathbf{IFAIL}}=9$ (D02NNF)

A serious error has occurred in an internal call to the specified routine. Check the problem specification and all parameters and array dimensions. Setting
${\mathbf{ITRACE}}=1$ may provide more information. If the problem persists, contact
NAG.
 ${\mathbf{IFAIL}}=10$

The required task has been completed, but it is estimated that a small change in
ACC is unlikely to produce any change in the computed solution. (Only applies when you are not operating in one step mode, that is when
${\mathbf{ITASK}}\ne 2$.)
 ${\mathbf{IFAIL}}=11$

An error occurred during Jacobian formulation of the ODE system (a more detailed error description may be directed to the current error message unit).
 ${\mathbf{IFAIL}}=12$

Not applicable.
 ${\mathbf{IFAIL}}=13$

Not applicable.
 ${\mathbf{IFAIL}}=14$

The flux function ${R}_{i}$ was detected as depending on time derivatives, which is not permissible.
7 Accuracy
D03PCF/D03PCA 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,
ACC.
D03PCF/D03PCA is designed to solve parabolic systems (possibly including some elliptic equations) with secondorder derivatives in space. The parameter specification allows you to include equations with only firstorder derivatives in the space direction but there is no guarantee that the method of integration will be satisfactory for such systems. The position and nature of the boundary conditions in particular are critical in defining a stable problem. It may be advisable in such cases to reduce the whole system to firstorder and to use the Keller box scheme routine
D03PEF.
The time taken depends on the complexity of the parabolic system and on the accuracy requested.
9 Example
We use the example given in
Dew and Walsh (1981) which consists of an ellipticparabolic pair of PDEs. The problem was originally derived from a single thirdorder in space PDE. The elliptic equation is
and the parabolic equation is
where
$\left(r,t\right)\in \left[0,1\right]\times \left[0,1\right]$. The boundary conditions are given by
and
The first of these boundary conditions implies that the flux term in the second PDE,
$\left(\frac{\partial {U}_{2}}{\partial r}{U}_{2}{U}_{1}\right)$, is zero at $r=0$.
The initial conditions at
$t=0$ are given by
The value
$\alpha =1$ was used in the problem definition. A mesh of
$20$ points was used with a circular mesh spacing to cluster the points towards the righthand side of the spatial interval,
$r=1$.
9.1 Program Text
Note: the following programs illustrate the use of D03PCF and D03PCA.
Program Text (d03pcfe.f90)
Program Text (d03pcae.f90)
9.2 Program Data
Program Data (d03pcfe.d)
Program Data (d03pcae.d)
9.3 Program Results
Program Results (d03pcfe.r)
Program Results (d03pcae.r)