NAG Library Routine Document
D02PCF
1 Purpose
D02PCF solves an initial value problem for a firstorder system of ordinary differential equations using Runge–Kutta methods.
2 Specification
INTEGER 
IFAIL 
REAL (KIND=nag_wp) 
TWANT, TGOT, YGOT(*), YPGOT(*), YMAX(*), WORK(*) 
EXTERNAL 
F 

3 Description
D02PCF and its associated routines (
D02PVF,
D02PYF and
D02PZF) solve an initial value problem for a firstorder system of ordinary differential equations. The routines, based on Runge–Kutta methods and derived from RKSUITE (see
Brankin et al. (1991)), integrate
where
$y$ is the vector of
$\mathit{n}$ solution components and
$t$ is the independent variable.
D02PCF is designed for the usual task, namely to compute an approximate solution at a sequence of points. You must first call
D02PVF to specify the problem and how it is to be solved. Thereafter you call D02PCF repeatedly with successive values of
TWANT, the points at which you require the solution, in the range from
TSTART to
TEND (as specified in
D02PVF). In this manner D02PCF returns the point at which it has computed a solution
TGOT (usually
TWANT), the solution there (
YGOT) and its derivative (
YPGOT). If D02PCF encounters some difficulty in taking a step toward
TWANT, then it returns the point of difficulty (
TGOT) and the solution and derivative computed there (
YGOT and
YPGOT, respectively).
In the call to
D02PVF you can specify either the first step size for D02PCF to attempt or that it compute automatically an appropriate value. Thereafter D02PCF estimates an appropriate step size for its next step. This value and other details of the integration can be obtained after any call to D02PCF by a call to
D02PYF. The local error is controlled at every step as specified in
D02PVF. If you wish to assess the true error, you must set
${\mathbf{ERRASS}}=\mathrm{.TRUE.}$ in the call to
D02PVF. This assessment can be obtained after any call to D02PCF by a call to
D02PZF.
For more complicated tasks, you are referred to routines
D02PDF,
D02PWF and
D02PXF, all of which are used by D02PCF.
4 References
Brankin R W, Gladwell I and Shampine L F (1991) RKSUITE: A suite of Runge–Kutta codes for the initial value problems for ODEs SoftReport 91S1 Southern Methodist University
5 Parameters
 1: F – SUBROUTINE, supplied by the user.External Procedure
F must evaluate the functions
${f}_{i}$ (that is the first derivatives
${y}_{i}^{\prime}$) for given values of the arguments
$t$,
${y}_{i}$.
The specification of
F is:
REAL (KIND=nag_wp) 
T, Y(*), YP(*) 

In the description of the parameters of D02PCF below,
$\mathit{n}$ denotes the value of
NEQ in the call of
D02PVF.
 1: T – REAL (KIND=nag_wp)Input
On entry: $t$, the current value of the independent variable.
 2: Y($*$) – REAL (KIND=nag_wp) arrayInput
On entry: the current values of the dependent variables,
${y}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,\mathit{n}$.
 3: YP($*$) – REAL (KIND=nag_wp) arrayOutput
On exit: the values of
${f}_{\mathit{i}}$, for $\mathit{i}=1,2,\dots ,\mathit{n}$.
F must either be a module subprogram USEd by, or declared as EXTERNAL in, the (sub)program from which D02PCF is called. Parameters denoted as
Input must
not be changed by this procedure.
 2: TWANT – REAL (KIND=nag_wp)Input
On entry: $t$, the next value of the independent variable where a solution is desired.
Constraint:
TWANT must be closer to
TEND than the previous value of
TGOT (or
TSTART on the first call to D02PCF); see
D02PVF for a description of
TSTART and
TEND.
TWANT must not lie beyond
TEND in the direction of integration.
 3: TGOT – REAL (KIND=nag_wp)Output
On exit:
$t$, the value of the independent variable at which a solution has been computed. On successful exit with
${\mathbf{IFAIL}}={\mathbf{0}}$,
TGOT will equal
TWANT. On exit with
${\mathbf{IFAIL}}>{\mathbf{1}}$, a solution has still been computed at the value of
TGOT but in general
TGOT will not equal
TWANT.
 4: YGOT($*$) – REAL (KIND=nag_wp) arrayInput/Output

Note: the dimension of the array
YGOT
must be at least
$\mathit{n}$.
On entry: on the first call to D02PCF,
YGOT need not be set. On all subsequent calls
YGOT must remain unchanged.
On exit: an approximation to the true solution at the value of
TGOT. At each step of the integration to
TGOT, the local error has been controlled as specified in
D02PVF. The local error has still been controlled even when
${\mathbf{TGOT}}\ne {\mathbf{TWANT}}$, that is after a return with
${\mathbf{IFAIL}}>{\mathbf{1}}$.
 5: YPGOT($*$) – REAL (KIND=nag_wp) arrayOutput

Note: the dimension of the array
YPGOT
must be at least
$\mathit{n}$.
On exit: an approximation to the first derivative of the true solution at
TGOT.
 6: YMAX($*$) – REAL (KIND=nag_wp) arrayInput/Output

Note: the dimension of the array
YMAX
must be at least
$\mathit{n}$.
On entry: on the first call to D02PCF,
YMAX need not be set. On all subsequent calls
YMAX must remain unchanged.
On exit: ${\mathbf{YMAX}}\left(i\right)$ contains the largest value of $\left{y}_{i}\right$ computed at any step in the integration so far.
 7: WORK($*$) – REAL (KIND=nag_wp) arrayInput/Output

Note: the dimension of the array
WORK
must be at least
${\mathbf{LENWRK}}$ (see
D02PVF).
On entry: this
must be the same array as supplied to
D02PVF. It
must remain unchanged between calls.
On exit: information about the integration for use on subsequent calls to D02PCF or other associated routines.
 8: IFAIL – INTEGERInput/Output
On entry:
IFAIL must be set to
$0$,
$1\text{ or}1$. If you are unfamiliar with this parameter you should refer to
Section 3.3 in the Essential Introduction for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value
$1\text{ or}1$ is recommended. If the output of error messages is undesirable, then the value
$1$ is recommended. Otherwise, because for this routine the values of the output parameters may be useful even if
${\mathbf{IFAIL}}\ne {\mathbf{0}}$ on exit, the recommended value is
$1$.
When the value $\mathbf{1}\text{ or}1$ is used it is essential to test the value of IFAIL on exit.
On exit:
${\mathbf{IFAIL}}={\mathbf{0}}$ unless the routine detects an error or a warning has been flagged (see
Section 6).
6 Error Indicators and Warnings
If on entry
${\mathbf{IFAIL}}={\mathbf{0}}$ or
${{\mathbf{1}}}$, explanatory error messages are output on the current error message unit (as defined by
X04AAF).
Errors or warnings detected by the routine:
 ${\mathbf{IFAIL}}=1$
On entry, an invalid input value for
TWANT was detected or an invalid call to D02PCF was made, for example without a previous call to the setup routine
D02PVF. You cannot continue integrating the problem.
 ${\mathbf{IFAIL}}=2$
This return is possible only when
${\mathbf{METHOD}}=3$ has been selected in the preceding call of
D02PVF. D02PCF is being used inefficiently because the step size has been reduced drastically many times to get answers at many values of
TWANT. If you really need the solution at this many points, you should change to
${\mathbf{METHOD}}=2$ because it is (much) more efficient in this situation. To change
METHOD, restart the integration from
TGOT,
YGOT by a call to
D02PVF. If you wish to continue with
${\mathbf{METHOD}}=3$, just call D02PCF again without altering any of the arguments other than
IFAIL. The monitor of this kind of inefficiency will be reset automatically so that the integration can proceed.
 ${\mathbf{IFAIL}}=3$
A considerable amount of work has been expended in the (primary) integration. This is measured by counting the number of calls to the supplied routine
F. At least
$5000$ calls have been made since the last time this counter was reset. Calls to
F in a secondary integration for global error assessment (when
${\mathbf{ERRASS}}=\mathrm{.TRUE.}$ in the call to
D02PVF) are not counted in this total. The integration was interrupted, so
TGOT is not equal to
TWANT. If you wish to continue on towards
TWANT, just call D02PCF again without altering any of the arguments other than
IFAIL. The counter measuring work will be reset to zero automatically.
 ${\mathbf{IFAIL}}=4$
It appears that this problem is stiff. The methods implemented in D02PCF can solve such problems, but they are inefficient. You should change to another code based on methods appropriate for stiff problems. The integration was interrupted so
TGOT is not equal to
TWANT. If you want to continue on towards
TWANT, just call D02PCF again without altering any of the arguments other than
IFAIL. The stiffness monitor will be reset automatically.
 ${\mathbf{IFAIL}}=5$
It does not appear possible to achieve the accuracy specified by
TOL and
THRES in the call to
D02PVF with the precision available on the computer being used and with this value of
METHOD. You cannot continue integrating this problem. A larger value for
METHOD, if possible, will permit greater accuracy with this precision. To increase
METHOD and/or continue with larger values of
TOL and/or
THRES, restart the integration from
TGOT,
YGOT by a call to
D02PVF.
 ${\mathbf{IFAIL}}=6$
(This error exit can only occur if
${\mathbf{ERRASS}}=\mathrm{.TRUE.}$ in the call to
D02PVF.) The global error assessment may not be reliable beyond the current integration point
TGOT. This may occur because either too little or too much accuracy has been requested or because
$f\left(t,y\right)$ is not smooth enough for values of
$t$ just past
TGOT and current values of the solution
$y$. The integration cannot be continued. This return does not mean that you cannot integrate past
TGOT, rather that you cannot do it with
$=\mathrm{.TRUE.}$. However, it may also indicate problems with the primary integration.
7 Accuracy
The accuracy of integration is determined by the parameters
TOL and
THRES in a prior call to
D02PVF (see the routine document for
D02PVF for further details and advice). Note that only the local error at each step is controlled by these parameters. The error estimates obtained are not strict bounds but are usually reliable over one step. Over a number of steps the overall error may accumulate in various ways, depending on the properties of the differential system.
If D02PCF returns with
${\mathbf{IFAIL}}={\mathbf{5}}$ and the accuracy specified by
TOL and
THRES is really required then you should consider whether there is a more fundamental difficulty. For example, the solution may contain a singularity. In such a region the solution components will usually be large in magnitude. Successive output values of
YGOT and
YMAX should be monitored (or
D02PDF should be used since this takes one integration step at a time) with the aim of trapping the solution before the singularity. In any case numerical integration cannot be continued through a singularity, and analytical treatment may be necessary.
Performance statistics are available after any return from D02PCF by a call to
D02PYF. If
${\mathbf{ERRASS}}=\mathrm{.TRUE.}$ in the call to
D02PVF, global error assessment is available after any return from D02PCF (except when
${\mathbf{IFAIL}}={\mathbf{1}}$) by a call to
D02PZF.
After a failure with
${\mathbf{IFAIL}}={\mathbf{5}}$ or
${\mathbf{6}}$ the diagnostic routines
D02PYF and
D02PZF may be called only once.
If D02PCF returns with ${\mathbf{IFAIL}}={\mathbf{4}}$ then it is advisable to change to another code more suited to the solution of stiff problems. D02PCF will not return with ${\mathbf{IFAIL}}={\mathbf{4}}$ if the problem is actually stiff but it is estimated that integration can be completed using less function evaluations than already computed.
9 Example
This example solves the equation
reposed as
over the range
$\left[0,2\pi \right]$ with initial conditions
${y}_{1}=0.0$ and
${y}_{2}=1.0$. Relative error control is used with threshold values of
$\text{1.0E\u22128}$ for each solution component and compute the solution at intervals of length
$\pi /4$ across the range. A loworder Runge–Kutta method (
${\mathbf{METHOD}}=1$, see
D02PVF) is also used with tolerances
${\mathbf{TOL}}=\text{1.0E\u22123}$ and
${\mathbf{TOL}}=\text{1.0E\u22124}$ in turn so that the solutions can be compared. The value of
$\pi $ is obtained by using
X01AAF.
Note that the length of
WORK is large enough for any valid combination of input arguments to
D02PVF.
See also
Section 9 in D02PZF.
9.1 Program Text
Program Text (d02pcfe.f90)
9.2 Program Data
Program Data (d02pcfe.d)
9.3 Program Results
Program Results (d02pcfe.r)