/H

--o 211

NASA

Technical

Memorandum

109112

Fourth-Order 2N-Storage Kutta Schemes

Runge-

Mark H. Carpenter Langley Research

Center,

Hampton,

Virginia

Christopher University

A. Kennedy of CMifornia,

San

Diego,

La JoHa,

California

(NASA-TM-I09112) FOURTH-ORDER 2N-STORAGE RUNGE-KUTTA SCHEMES (NASA. Langley Research Center) 26 p

N94-32950

Uncl

a s

June

1994

G3/02

0009987

National Space Langley Hampton,

Aeronautics Administration Research Virginia

and Center 23681-0001

FOURTH-ORDER

2N-STORAGE

RUNGE-KUTTA

SCHEMES

Mark

It. Carpenter

_ Christopher

A. Kennedy

Abstract

A family storage hyperbolic classical existing

of five-stage locations. and

fourth-order

Runge-Kutta scheme

schemes that

is derived; has desirable This

these

schemes

require

only two for the than

A particular parabolic initial

is identified value and

efficiency

characteristics with

(boundary) (high-storage) schemes.

problems. is considerably

scheme more

is competitive and

fourth-order third-order

method low-storage

efficient

accurate

Section

1: Introduction

Many coupled

problems ordinary other from

of mathematical differential things, the equations desired

physics (ODE's). accuracy,

result The

in the

numerical

approximation

of systems depends

of

technique

for integrating and

the equations For the

on, among that is result the

efficiency,

robustness,

simplicity. the overriding that

ODE's

tile direct

simulation

of the equations A numerical with

of fluid dynamics, integration

consideration memory

often

availability and

of fast

memory.

technique (RK)

minimizes

storage

is essential

can be formulated that

a Runge-Kutta and some

methodology. RK schemes can be cast that in a

Williamson 2N-storage for certain stage

[1] showed where

all second-order dimension involve cannot can

third-order of ODE's. function

format, exceptional

N is the that

of tile system forms into

He also showed to be integrated) Fyfe

(except tile fourthat all

cases

specific be put

of the

fourth-order

RK

schemes RK

2N-storage

format.

[2] showed In spite

four-stage reduced
scllelIle$.

fourth-order accuracy,

schemes

be implemented the methods

in 3N-storage of choice are

locations.

of the RK

for many

apl)lications

tile 2N-storage

third-order

Although accuracy order and

the

principal also

motivation determine

of this the

work

is to derive utility of any envelope

Langley

schemes scheme.

of 2N storage, For example, practical

Itampton, CA

both

the

elliciency scheme

practical small
Branch, University

a fourthvalue.
VA 23681.

2N-storage

with

a vanishingly
Flow Physics Sciences,

stability
NASA

is of little
Center,

Tile

*Aerospace tApplied

Engineer, Mecha.ics

Theoretical and Engineering

Research San Diego,

of California,

La Jolla,

92093.

efficiency number number absolute eighth-order [4] showed increased stages stage.

of an RK scheme of stages of stages workload scheme that the needed necessary

is determined

by the absolute the scheme. a given order

size of the stability RK schemes are used that

domain utilize they that

relative

to the

tO implement to achieve order effcient of many stages absolute

Typically, of accuracy

the mininmm minimize the the

because

for a given is more efficiency

of accuracy. than the

Verner 12-stage fifth-, retaining domain

[3], however, eighth-order sixth-, the and and same

demonstrated scheme.

13-stage et al. can be

Similarly,

Sharp

existing while stability

seventh-order order

RK schemes The

by including

additional the

of accuracy. the relative

additional of each

are used

to optimize

increase

efficiency

A five-stage should have the

fourth-order largest

RK scheme absolute the linear

that

satisfies

the 2N-storage and the

constraint lowest

is sought.

The scheme error possible. 3, we

stability and

envelope the

truncation

In section derive format. schemes. storage. conclusions the

2, we describe complete

conventional

2N-storage (3,3)

RK nomenclature. that can

In section be cast that

set of three-stage

third-order

RK schemes (4,3)

in 2N-storage are 2N-storage

We then

introduce

a new set of four-stage the new five-stage

third-order fourth-order

RK schemes

In section In section in regard

4, we derive 5, we compare to the utility

(5,4)

RK schemes and simplicity

that and

require then

2N draw

all schemes of the new

for efficiency, schemes.

accuracy,

Section

2: Runge-Kutta

Nomenclature

We are concerned

with

the numerical dU

solution

of the initial

value

problem

d'--[ = F[t,U(t)]; Assume mentation that the discrete step =

=

U(to) with

--, Uo explicit RK scheme. The imple-

approximation

is made by

an M-stage

over a time kl ki

h is accomplished F(to,
F

U ) to
+ cih, M V 0 @ h E ai,jkj

i = 2,...,M /

j=l

v
where U = U(to) formula. and

= v + bjkj
j=l

U_ =

U(to + h) and

the fixed

scalars

ai,j, bj, ci are

the coefficients

of the RK

Butcher

[5] developed

a succinct

nomenclature

for writing

all RK

schemes

in terms

of the fixed

scalar

coefficients

ai,j, bj, ci. The

general,
c1 g2,1

M-stage,

explicit

ILK scheme

can be expressed

as

CM

aM,1

aM,M_

bl The are entries in the first column (ci, i = 1, M) of each RK stage are the i.

bM

intermediate

time ci =

levels.

The

coefficients cl

ai,j

the intermediate self-starting

weights case. The

By definition, are the Fyfe

_jM 1 ai,j and

= 0 for the

explicit

last row

(bj, j = 1, M) Williamson successive and

weights exploit

of the final stage. the onto technique the same of leaving register useful without

To devise information zeroing

low-storage in the storage value.

RK schemes, register. Thus, dUj = the

Each

stage

is written becomes

the previous

M-stage +

algorithm hF(U_) BjdUj Only the

AjdUj_I

uj =
So that results the algorithm is self-starting, algorithm. in a 2N-storage

vj_l +
A1 = 0.

j= dU and

1, M U vectors must be stored, which

Williamson scheme. ables

[1] first presented the the following

the relationship equations

between provide the

the general relationship ci:

RK scheme between

and

the 2N-storage vari-

Specifically, Bj and

the 2N-storage

Aj and

conventional

RK variables

al,j, bj, and

Bj
BM

=
_--

aj+l,j
bM

(j # M)
(j _ 1,bj # 0) (j # 1, bj =0) (1)

Aj Aj

= -"

(bj__ - Bj_l)/bj (aj+lj-1-cj)/Bj

The

precise

values

of Aj

and RK

Bj

that

are are

required the lowest

to yield order

a higher

order

scheme the

remain

to be of

determined. 2N-storage ILK schemes

Third-order is nontrivial.

schemes

schemes

for which for finding

determination 2N storage

We begin

by demonstrating

the procedure

high-order

for the third-order

case.

Section

3: Third-Order

Runge-Kutta

Methods

For a third-order array diagram for the

Runge-Kutta three-stage

scheme, explicit

at least scheme

three

stages as

are required.

The

general

Butcher

is written

C2 c3

a2,1 ] a3,1 a3,2

I bi

b2

b3

For third-order

accuracy,

seven

constraints

between

the

coefficients

ai,j, bi, and

c/must

be satisfied

[5]:
3

i=1
and

b, = l (1)

3 _bic,=-

1 (2)

_=1

i=l

1(3) bic_ = -

3 Y_ biai:jcj
i,j=l

1 (3) = (2)

ci = _aij
j=l

i=

1,3

(3)

The

superscripts

on each

of equations (3) are

(2) indicate solved the most

the order seven

of accuracy nonlinear involves

that

the

constraint equations

equation in nine family. If is

governs. unknowns, c2 and true

If equations then three

(2) and solutions as the

for the general

algebraic

result,

of which

a two-parameter then

c3 are defined

free parameters

(Cl =

0 for explicit

RK schemes),

the following

for case

1 (for which c3 2

c2 # 0,2/3,

or c3 when - 2

c3 # 0): 1 ; points bl= X-b2-b3 from These 1 ; a3,2 = nonzero 1 ; a3,2 = non-zero 4b-_ number). Equations (6) (4) through _3 number), and (5) ; a3.2 = 6b3c 2 (4) solutions by

_
-- C2) ; b3 --

b2 Two exist

2c2(c3

3 c2 2c3(c3-c2)

additional when

solutions

account

for the solution

excluded case).

case 1. Exceptional solutions

c2 = 2/3 or c2 = c3 (c2 = 0 is an uninteresting 3 b2 = _ ; bl = 1 _-b3

are governed

for case 2 (for which

c2 =

2, c3 = 0 and 1 b2 = _;

b3 is an arbitrary 3

bl --

_--b3

for case (6) span

3 (for which the complete

c2 = c3 = set of (3,3)

32and

b3 is an arbitrary

RK schemes.

The

linear

stability

envelope

for the

(3,3)

RK schemes

is determined

by

G = 1+ where Z is a complex

bi

Z + that

bici

Z 2 qi,j=l

biaijcj

Z3 later

= and

1 2t- Z

-)t-

_Z

71"

Z 3

number

is considered the linear

in detail

G is the

amplification (2);

matrix. thus, all will

The coefficients (3,3) depend ILK schemes

of G are have

precisely identical

linearconstraint stability and

equations

defined

in equation accuracy,

envelopes.

The nonlinear dependent.

however,

on the specific a scheme

choice based defined imposes

of scheme on accuracy in equations independent

will be problem

Numerous [6].

different

methods

for choosing

criteria

are summarized

elsewhere

Not all solutions 2N-storage condition

(4) through constraints 4

(6) can be put into the 2N-storage in addition to those in equations

format. (2) and

The (3).

To demonstratethis, we establishthe Butcher array form of

Butcher array is expanded in terms of the 2N-storage variables

the

2N-storage

scheme.

The

original

Aj and

Bj to obtain

C2

c3

o I
a2,1

B1 a3a b2 b3 =

a3a bl

BI + B2(A2

0
B3,
A3,

B1

+ I)

[A2B2 + B1] [A2(AaB3 + B2) + B1]

B2 [A3B3 + B2] Ba

From determined ci = _=1 involves general

the relationships by the values

defined of B1,

in equations B2,

(1), the values and The

a2,1, a3,2, b3, b2, and

bl are immediately the conditions satisfied of the three or c3 and

A2, respectively. only condition the that

By definition, is not

ai.j will automatically a3a, or specifically

be satisfied.

immediately in each c2 # 0, 2/3,

a31 = [A2B2 + B1]. constraint

By adjusting

free parameters 1, for which

solutions,

this

final

can be satisfied. results.

For case

c3 # 0, a one-parameter

family

of solutions

If we define

zl z2 za z4 zs zs then the one-parameter family

B1 --

= = = = = =

_/i36c24

+ 36c23 -

135c_

84c2-

12)

2c_ + c2-2 12c_36c 4 69c23 34c_ by 18c_ + 36c 3 + 62c_ 18c_13c] 11c2 8c2 + 8 13c2 + 2 (7) + 2 4

+ 28c2 34c]

46c23 +

is given

C2

B2

12c2(c2 -

1)(3z2-

Zl)

(3z21) 2 1) 2

Zl) 2

144c2(3c2-24(3c2B3

2)(c22)(c2-

(3z2A s =

z,) 2 -(6c_

12c2(c2+

1) (3z2 - z,) 3z3 - 1) 2 3(2c_ l)zs (8) that both eliminates the

- 4c2 + 1)zx -

(2c2 + 1)Zl
A 3 =

3(c2 + 2)(2c2 l)c_ +

-z4z,

108(2c2-

24z_c2(c2-i) provided that none of the respective

4 + 72c2z6

72c_(2c2-13) A scheme

denominators

vanishes.

square

roots

and

is close to the 0

optimum

truncation

error

was identified

by Williamson

[1] as

A1

B1

0 = _:
9 153 128

3 16

15 16

==_

A2 A3

B2 B3

:s
16 8 15

(9)

1 6

3 10

8 15

This

scheme,

which

is widely

used,

will be referred

to as the

(3,3)

2N-storage

scheme

of Williamson

in the remainder

of this paper.

For case 2, for which solution for b3 --::

c2 = ], c3 = 0, and results 0
2 3

b3 is an arbitrary

nonzero

number,

we find a 2N-storage

that

in the scheme

0
1

2
3

3
4

3
4

=_

-:
9 2

-7
1 3

r.
12

3_
4

_I
3

For case 3, for whichc2 solution for b3 = :: that

= results

c3 = in the 0

2 and :

b3 is an arbitrary

nonzero

number,

we find a 2N-storage

scheme

0 -1 -1
1 4 5 12 1 3

2
3

1 12

3
4

=_

3_
4

1
3

Because identical

the

2N-storage stability different One

schemes envelopes. linear additional

are a subset

of the general

(3,3) RK scheme

solutions,

they

too have

linear

To obtain must be used.

stability stage

characteristics adds one

for third-order equation solution

RK schemes, (c4 =

additional to the eight three

stages seven

constraint The general

4 _]j=l a,j) involves then

nonlinear in fourteen

equations variables,

and

adds

five new variables. family.

which

equations additional

is a six parameter

If 2N-storage 6

is required,

equations third-order

must

be satisfied,

which that

eliminates involves

three

of the six free parameters. can be expressed the linear,

The

general

four-stage family. None of

(4,3) RK solution family expressions accuracy may

2N-storage by enforcing

as a three-parameter constraint.

A two-parameter these general

be generated

fourth-order

are presented is achieved" third.

here because in four stages

of their instead linear,

complexity. of three, fourth-order then the required the work per

If third-order time

step is increased

by one

By en_0rcing

the

constraint,

increased

stability envelope of the (4,3) R.K schemes mpre than offsets this additional work. The (4,3) schemes are more efficient per unit time, which is consistent with the work of Sharp et al. [4]. An extensive study of the stability domains of the (4,3) R.K schemes shows that a nearly optimal scheme can be obtained by setting

G----I+

(i__lbi)

Z+

(_=lbici)Z2-t

(_i,j=lblaijcj)Z3-4

(i,j,k=l _

biaijajkck)Z

= Note that these

l+Z+ schemes

Z2+

Z3+=-:Z accurate schemes for the nonlinear that satisfy problem but fourth-order constraint accurate

are third-order Three third-order

for the linear and have

problem.

the 2N-storage

in four stages

a nearly

optimal

stability 0 z_
3 1 3

envelope

are now presented.

If we set c2 = c3, then

!
3 5 3

0 -1 =_ 2
3

12
4

4 i
12

(10) -i -1

1 3

5 12

1 4

If we set c3 = c4, then 0 1

4 11 12 II 12 1 4

0 0
5 II

4 II 9 or 18 II 1 12

19 36 3 4 3

19 36 51 76 19 27 19 n 2

19 36 27 19 2 9

11 36 419 396

11 9 16 9 18 II

205 243

:=_
II 6 182 II

=_
243 38

_2
9 13 57 27 76 1 6

I
4

1 11

3 4

17 66

1 12

If we demand 0 1
9 4 9 6

that

the intermediate

time

levels

cj be monitonically

increasing,

then

1
9 11 36 1 12 3 4 7 20 2 5

0
5 9

1
9 3 4 or

3_
9 5 9

3
9

0
II 15

1
3 5 6 3 5

S 18 4"1 90

5_. 6 1 6 3 5

=:_ -1
33 25

2_
5 5 4

8_
9

5 3

-1
3 20 i 4 7 20 1 4

L
4

-I For problems

2 in which

5
4

s
4

third-order larger

temporal stability

accuracy envelope.

is sufficient,

these

new

schemes

should

be

considered

because

of their

Section

4: Fourth-Order

l:tunge-Kutta

Twelve

nonlinear (4,4) that for the

algebraic

equations Five

in fourteen general

variables exist: the

determine one that roots

the

solution

to the four-stage

fourth-order and four

RK schemes. one free

solutions covering

involves excluded can

two free parameters by the first. (See in

involve general format.

parameter, [5].) Fyfe

special that

Butcher

solutions Williamson The

[2] demonstrated that adds they three

all cases not,

be implemented be implemented that cannot

the 3N-storage in the 2N-storage satisfied

[1] demonstrated constraint

could

in general, equations

format.

2N-storage solutions.

additional

be

by any of the

five general

By increasing to satisfy scheme

the number and

of stages, 2N-storage

additional constraint 2N-storage

degrees

of freedom The

are generated five-stage

that

can be used (5,4) RK

all fourth-order may be expressed

equations. form as

fourth-order

in Butcher
el C2 a2,1 a3,1 a4,1 as,1

and

At A2
a3,2 a4,2 a5,2 a4,3 a5,3 .a5,4

B1 B2 /33 /34 Bs

C3
C4 C5

:,

A3 A4 As

bl For explicit accuracy self-starting constraints

5

b2 cl =

b3 0, and

b4 A1

bs = 0. For any

schemes, are

(5,4)

RK scheme,

the

nonlinear

b,=
; 5 _i,j=t

EL, b,c,=
biciai,jcj = 1 g (4)

5 _i=1 )"]i,j=l

bic_ = i_ (3)

5 _i,j=l ;

blaijcj

1(3)

s )-]4=1

blc 3

____ 1 (4) _"

biaijc --

1(4)

5 _i,j,k=l

biai,jaj,kck

_ --

--

and
5 ci -_ j=l ai,j

i = 1,

Again,

the

superscripts Note that

on equations the first four

(11)

indicate

the

order of accuracy needed in the

from

which (4,3)

the

constraint

was obtained.

are similar accuracy ai,j's),

to those

(3,3) and

RK schemes; involve family

the last four are specific 20 unknowns of schemes. The

are a2,1 a3,1 a3,2 a4,1 a4,2 a4,3 a5,1 a5,2 a5,3 a5,4 : = = = = = = = = BI_ A2B_ 92, A2(A3B3 A3B3+B2, B3, A_[Az(A4B4 + B1,

to the fourth-order ten

condition. represents

These

13 constraint

equations

( five bi's, five ci's, and

which

at least

a seven-parameter

relationships

between

the original

RK variables o Bi
Bi + B2(A2

ai,j, bj, ci and the

2N-storage

variables

A j, B

Cl c2 c3 + B2) + B1, c4 c5 bl + B3) + B2] + B1, b2 b3 b4 b5

: = = = = = = = = :

+ 1)

B1 + B2(A2 + 1) + B3[A3(A2 + 1) + 1] B1 + B2(A2 + 1) + B3[A3(A2 + 1) + 1] + Ba{A4[A3(A2

A2{A3[A4(AsB5 A3[A4(AsB5 A4(AsB5 AsBs + B4 + B4) + B3] + B2} + B4) + B3] + B2 + B1

+ 1) + 1] + 1}

A3(A4B4 + B3) + B2, A4B4 + B3,

+ B4) + B3

---- B4,

B5

If the

(5,4)

RK scheme Specifically,

is constrained from the

to a 2N-storage defined

format,

six additional (1), the of B1, conditions

constraint values B2, /33,

equations

are produced.

relationships

in equations by the values the

a2,x, a3,2, a4,3, /34, /35, As,

a5,4, bs, b4, b3, b2, and A4, A3, and

bl are

immediately (A1 = 0.)

determined Again,

A2, respectively. satisfied. values The

by definition, that are not These

ci = E_=x aid are are those yield there that

automatically involve the

constraint

equations

immediately

satisfied equations in general, to the

a3,1, a4,1, a4a, equations

as,x, a5,2, and

as,3.

six additional exists, due

a system is a one of the

of 19 constraint parameter equations. family

in 20 unknowns. The general

Assuming answer

a solution

of solutions.

is not forthcoming

complexity

We can simplify algebra the

determine equations

specific

solutions by

to the assuming that

19 equations special

in 20 unknowns. forms of the

Frequently,

we can The

considerably

coefficients eliminates The

ci or Ai.

simplifies

considerably

if we assume but

c2 = c3. This assumption an exact analytic solution.

the one degree diagram for

of freedom

in the general

solution

produces

Butcher

this casebecomes
_-+ _" + 22/-A 2+
3 2 ._ 4_/2 422/3 41 1 ._ 2213 42213 4_ _ 1 1 1 2_" 3 22/3 3

3-4-

--"-C2213 4-

3 -- _ 1
3

+ --c 2&
22/3 6

2213

----]---_
22/3

__ 4- 221__A3 + I_
i'_ j 3-_._3_. 6 -22132 12

____

2213

--_-I_ 4.
3 -6 --

_
12

_/_ + 2213

___ __ _____
2213 6 3 6 6 6

2_3
12 1 + 3 _

2213 x-T

The

2N-storage

array
A1

becomes
B1

0 -1 = -1/3 +
--'_22/3

2/3+_ +
2_3+ 1/6
3 -1/3_ 22/3

A2 A3
A4

B2 B3
B4

2 2/3 -- 2

113- _

2212

A5

Bs

-1+_
= --(__1 4--_4- --"_'J, the linear 72 22/3_

1/3+&+ _2_3 6
stability envelope is found by considering

Because

_i,j,k,l=l 5

biaijajkaklcl

G=l+Z+sZ
where

+_z 3 +_z 1 1
analytic array 0 -I
=
--

(7_

+-if+ "_/'2

2_--_)Z5

_i,i,k,l=a

blaijajkamct

_.

- 1

A second 2N-storage
B1

solution

has been

obtained

by setting

all values

of the Aj = -1

for j = 2, 5. The
A1

for this case becomes

64 B42-32 B 4 +1 96 B42_60 B4 64 B 43 -80 B 4 z + 25 B 4 64 B42.._ 32 B4 + I 16 B4 2_ 10 B4

A2
A3

B2
B3

-I -I -i

A4 A5 for which the amplification matrix

B4 B5 is

B4 4_.__=t '
12 B4

G=I+Z+_Z (The Butcher array is not presented as B4 = here

Z3+_-Z

+\

72B4 stability = envelope + of this scheme.)

72B4

because _

of the small

The the

coefficient

B4 is defined

5 4/X2_ envelope,

'

with

,s_ _
13824

,m
768 "

Because

_ _,

_m,,i_ic_tio. b_om_,_ _+Z+_Z' _Z_ _Z"+ (_)Z'.Neithor two m_trix _ + + ofthe =_'y_ic
solutions the second has a desirable stability small. numerical as we shall they see later. value The first is of marginal they provide value, good and is extremely However, roots. are of some because initial guesses for determining

In general, ultimate

we must

resort that

to a numerical has an optimal

solution stability 10

of the envelope.

19 equations

in 20 unknowns. the last degree

The of

goal is a scheme

We can constrain

freedomin the generalsystemby demandingthat the resulting scheme optimal, which produces be a systemwith 20equationsand 20 unknowns. To definethe optimal constraint,we beginwith the amplificationmatrix for the (5,4) RK scheme, which is givenby

\i,j----1

) (
as being optimal is as large is problem integrated. and

i,j,k--I

) (
when its stability for a particular and depends partial differential A model

i,j,k,l=l

)
encompasses of the complex of the a (PDE's), that = for

A particular useful matrix portion Z. This

scheme

can

be defined plane that

envelope choice

of the complex definition

as possible dependent

of optimality of ODE's being

on the structure

eigenvalues

of the system

We now focus which the (5,4)

specifically 2N-storage

on hyperbolic RK schemes of the Ux and

parabolic

equations equation

will be advantageous. equations of fluid this

produces If we

an eigenstructure choose The spatial

representative operators for the

mechanics equation

is Ut aU, reduces

aUxx.

U** terms,

to a system

of ODE's. and viscous

complex

matrix

Z can now be interpreted Figure 1 shows the

to represent study

combinations of the

of the inviscid envelope

stability of the

characteristics. CFL number matrix

a parametric viscous CFL

stability

as a function from and the the the

(A--at, _--_-, and th / G. Regions

number

(A = (a_)2/, oat stable regions

as determined for the operator scheme,

amplification upper inviscid could details.) stability 1 <a< 28--'6 -maximizes reveals at c_ _ that

toward

the origin the unstable

represent regions. compact

right portion and viscous have been

of the plot represents operators with was

The spatial scheme method.

used for both similar appendix -1

the sixth-order

[7]; however, (See the

conclusions for more

reached

a Second-order

or a Fourier
5

The 1 -- i_" the

parameter

a is defined

as a = _.i,.i,kd=l blaijajt, aktct. of a _ 0. a similar and viscous occurs Figure

By adjusting a more

< a < 1, large plot of values

envelopes

are obtained that

for values have axis)

2 shows but that stability the the

refined

Note inviscid

all curves

structure (real at _ =

no one curve limits. viscous

simultaneously inspection limit occurs should

(imaginary inviscid _

axis) 3' 1

Further stability

the maximum

stability provides _

2-_" The value in using CFL

c_ = values

a compromise because

between the inviscid

two extremes. limit in a. (5,4)

Caution

be exercised small stability functions viscous limits

of oL near may change

stability changes

in the case of very Figure 3 shows that the are

values

dramatically the

with

small

for the (3,3)

RK scheme, a. Figure

(4,4) RK scheme,

and

three

l'tK schemes earlier

-1

of the parameter stability

3 illustrates The _0A-6; the

why the analytic envelope case a _

schemes

presented

do not

have desirable half the stability

characteristics. a =

stability analytic

for the analytic _ has

case a _

_8 is about inviscid

size of the optimal limit.

a vanishingly

small

The

optimal

value

a =

is used

to provide

the 20th 11

nonlinear

equation

in 20 unknowns.

The

generalsolutionis no longera one-parameter

is not unique. Specifically, the 20th equation 5 ij,k,l=l To solve it to nine substituting Jacobian a solution. the analytic At least these identify be used nine the 20 equations equations in 20 unknowns,

family

and,

because

of the nonlinearity

in the equations,

becomes 1 _ 200 of the system = (12) 0. This is exploited

biaijaLkak,lct

(13)

the partial

linearity A1

to reduce to The

in the variables of ai,j, bj, and is calculated equations

Ai, Bi, j = 1, 5 with ci found in equations and

procedure (11)

is equivalent and (13).

the values of the system Because solutions nine the

into equations secant Some update

analytically, are nonlinear, guess. been Others

then a factored roots with exist.

is used

to obtain with

multiple were found that satisfy

roots

were found

as an initial have

random

initial

guesses. In general, none of to

real roots

identified

all nine

equations.

formulations roots

is optimal

for every Verner Those

problem. [3] cites that

We can, several

however, theoretical

use heuristic considerations are

arguments that

certain

as less desirable. desirable roots.

should

in determining

are relevant

to this work

I Each rapidly II The III

intermediate changing

time

level (c_, i = 1, 5) should

be in the

interval

[0,1] to control

the effect

of

derivatives. bj,j = 1,5 should rational be positive. numbers requiring a small number of digits.

weights

of the should

Coefficients

incorporate

Four of the express

nine roots

satisfy

condition

I; only one satisfies rational

conditions numbers.

I and

II. We were not

able

to

any of the roots

in terms

of "convenient"

Table all have

1 shows

the four

roots

which values

satisfy

the

condition

0 < c; < 1, for i = 1, 5. Note the constraint that

that

they

monotonically

increasing

of ci. Solution

3 satisfies

all bj > O.

12

Table COEF Ax A2 A3 A4 As B1 B2

1. Four Sets of Coefficients SOLUTION 0 -0.4812317431372 -1.049562606709 -1.602529574275 -1.778267193916 9.7618354692056E - 2 0.4122532929155 0.4402169639311 1.426311463224 0.1978760537318 0 9.7618354692056E - 2 0.3114822768438 0.5120100121666 0.8971360011895 1

For optimal SOLUTION 0 -0.4801594388478 -1.4042471952 -2.016477077503 -1.056444269767 0.1028639988105 0.7408540575767 0.7426530946684 0.4694937902358 0.1881733382888 0 0.1028639988105 0.487989987833 0.6885177231562 0.9023816453077

(5,4) 2N-Storage 2 SOLUTION 0 -0.4178904745 -1.192151694643 -1.697784692471 -1.514183444257 0.1496590219993 0.3792103129999 0.8229550293869 0.6994504559488 0.1530572479681 0 0.1496590219993 0.3704009573644 0.6222557631345 0.9582821306748

RK Schemes 3 SOLUTION 0 -0.7274361725534 -1.906288083353 -1.444507585809 -1.365489400418 4.1717869324523E - 2 1.232835518522 0.5242444514624 0.7212913223969 0.2570977031703 0 4.1717869324523E 0.377744236865 0.6295990426348 0.8503409780005 - 2 4

B3
B4 B5
c1 C2 c3 (:4 C5

Other roots that

values satisfy

of the

parameter III.

a produce

similar

results,

although

we have not been

able

to find

condition

the

The floating point numbers can be expressed rational form of the coefficients with 26-digit
A1 = 0; A2 --_ 567301805773. 1357537059087, A3 =

as the fractions of integer precision becomes

A4 =

numbers.

For solution

3,

_2404267990393. 2016746695238_

3550918686646. 2091501179385_

As
n=

--_

1275806237668. 842570457699, 2277821191437 14882151754819'

BI

1432997174477. 9575080441755,

B2

--

5161836677717. 13612068292357, 1432997174477. 9575080441755'

B3

--

1720146321549. 2090206949498' 2526269341429. 6820363962896'"

B4

-"

3134564353537. 44814673103381 2006345519317. 32243100637761

Cl

"0;

C2 -_

C3:

C4 _

2802321613138 C5 ---_ 2924317926251

and errors

can be used

on machines

that

have

up to 26 significant

digits

without

appreciable

roundoff

in the coefficients.

Section

5: Accuracy

and

Efficiency

of (5,4)

RK Schemes

The

four

new RK (9)),

(5,4) scheme, and

2N-storage the the (3,3)

schemes 2N-storage

given RK

in Table scheme

1 are compared advocated presented

with

the

classical

(4,4)

3Nin with ODE

storage equation

by Williamson in equation of various < (10).

[1] (presented We begin The

new

(4,3) 2N-storage

RK scheme

a nonlinear is defined y(x) =

ODE by y'

used =

by Dormand y(0)

et al. [8] to test = 1 on the

the accuracy interval 0

RK schemes. the exact The

y cos(x),

_< x

20, with

solution

exp sin(x). Figure ((3,3), and (4,3))

4 shows approach

a convergence the exact

study solution 13

for all seven with a slope

schemes. of -3; the

two third-order fourth-order

schemes

classical

(4,4) scheme (3,3) scheme in terms little optimal

and the four is more

(5,4)

schemes than the

approach

the exact

solution

with claims than

a slope the

of -4. Note

that

the

accurate that between range test

(4,3) scheme

(Williamson accurate and in terms none

(3,3) scheme (4,4) scheme. schemes

is optimal Relatively is uniformly

of error)

and

all (5,4) the

schemes (5,4)

are more solutions, study

the

difference over

exists the entire nonlinear

four

of the

(5,4)

of the refinement problem is used y(0)

of error. trends. The ODE solution is

A second defined y(x)

to establish

problem-dependent

by y' = y n sin n-l(x)cos(x), = expSin"(*), The the where the exponent rates (4,4) If the 3 and

= 1 on the interval

0 _< x _< 20, with a convergence are consistent that

the exact study

n is n = 4. Figure for the 2N-storage scheme (5,4) converges 2N-storage most

5 shows schemes

for all seven the theoretical -5. This the rate two

of the schemes. predictions, cannot nonlinear respectively. schemes. but

convergence conventional

with

at a rate schemes accurate

approaches

generally problems,

be expected. solution advantage

four solution

are compared in the first and

between second

1 are for using

problems,

No clear

is evident

any particular

one of the four

(5,4) 2N-storage

This study Note fewer (4,3) scheme (5,4) that

verifies test

the nonlinear problems, than

accuracy Williamson's the (4,3)

of the newly (3,3) scheme although are more

developed is more

2N-storage accurate and

schemes requires

for ODE's. one-third the

in both

function schemes in the schemes

evaluations in terms

scheme,

no attempt accurate than

was made

to optimize

of error. and

The more

(5,4) schemes accurate

the conventional of the second than the

(4,4) lZK The (4,4)

first problem appear

over a significant affected by roundoff

portion errors

problem.

to be more

adversely

conventional

scheme.

Our

second

problem

is the solution Ou O---t+

of the linear Ou Ox = = O,

hyperbolic

equation

defined

by

0<x<l,t_>0 t > 0 0 < x_< 1

(14)

u(O,t) u(x,O) The exact solution is

sin27r(-t), sin2_'(x),

(15) (16)

u(x,t) and is a model Equations problems; for the class of problems (14) through (16)

sin2_r(x-t), that

O_<x_<l,t>_O schemes were developed used in the to integrate. nonlinear test

the (5,4) 2N-storage with the same

are solved

four RK schemes

specifically, the shown spatial

the (3,3) and operator

(4,3) third-order is the

RK schemes compact The

and the (4,4) and (5,4) RK schemes. scheme developed by Carpenter is imposed et

In all cases, hi. [7] and

used

sixth-order accurate. 14

to be formally

sixth-order

physical

boundary

condition

by solving the differentiated boundary condition on the boundary with the RK procedure. This techniquewasshownby Carpenteret al. [9] to yield a fourth-order temporally accurateprocedure. Specifically,the boundary condition is d3u(O,t)/dt 3. = gin(t), where g is the physical boundary
condition function compares with at the of the inflow temporal plane. The CFL and that the governs spatial the stability of the used. hyperbolic Table and problem is a advancement and discretization limits 1 in the appendix (5,4) RK schemes

the inviscid spatial

CFL's operators,

the viscous

stability

of the (3,3), spatial

(4,4),

various

including

the sixth-order

compact

operator.

After sixth-order Table

grid

refinement

with

a vanishingly grid,

small

CFL, refinement study

all schemes showed

recover fourth-order

the

theoretical temporal

spatial accuracy. _ of the

accuracy.

On a specific from and

temporal

2 shows

the results CFL)

a grid-refinement the (5,4) =

performed (solution 3).

with a CFL

of _ (about

theoretical Table

maximum 2. Grid

RK scheme a for (5,4)

refinement

at CFL

2N-storage

RK schemes

G_d 41 81 161 321 641

logL2 -2.4026 -3.3835 -4.5791 -5.7823 -6.9860 -8.1962

Rate 3.26 3.97 4.00 4.00 4.02

The error

new

scheme (5,4)

is clearly schemes up to but

fourth-order differed not

accurate

for the significant

linear digit

hyperbolic on all grids. limit

problem.

The

log L2 all four = 1.67.

of all four were

in the third than

In addition, of CFLmax

schemes (See the

stable

greater

the

theoretical

stability

appendix.)

The problems. function the (3,3), however, number run run

relative The

efficiency advantage

of each in terms

scheme

is not

addressed

in any schemes

of the

previously

discussed

test

of accuracy this trade-off,

for the (5,4) a comparison test problem

is partially and

lost due to increased cost is made between

evaluations. (4,3), this (4,4), time the the

To quantify and (5,4) schemes

of accuracy is again basis. interval.

R.K schemes. are compared are

The

the hyperbolic Here, The cost (3,3)

wave equation; is defined RK scheme as the was were and time study stable,

on an equal-cost per unit time

of times

spatial

terms

evaluated

at a CFL of a both (4,4) RK schemes _, were run at a CFL of 4 and the (5,4) R.K schemes at a CFL of 5 _., where 4 < k < 16. The resulting schemes are all numerically stable, errors vary identical. by a factor of 256 for the were run fourth-order to a physical case. The effective cost per unit

temporal

was, therefore,

All schemes

time of t = 50. A grid refinement the time _ymptotically

was also pcrformed

to determine

the order

of accuracy. 15

For all cases,

sixth-ordercompactspatial operator [7] wasusedwith the boundaryconditionsthat werepreviously described. Tables3(a) and 3(b) showa grid refinementstudy at two different CFL numbers,the first of which is nearthe CFLmax the second which is at half the valueof the first. Only the (4,4) RK and of resultsare presentedherebecause (3,4) and the (4,4) RK schemes the producethe sameresults to five significant digits. The resultsfor the (5,4) scheme comefrom solution 3. (This study is a linear advectionproblem for which the four-stagethird-order scheme performsto fourth-order accuracy.) Table 3(a). Grid-RefinementStudy for Three RK Schemes on
Ux = 0, Run at Equal Cost Near Maximum CFL Linear Advection Equation Ut +

(3,3) Grid 41 81 161 321 641

(2N) Rate 3.08 2.43 3.01 3.01

(4,4)

(3N) Rate 3.97 4.00 4.00 4.01

(5,4)

(2N) Rate 3.95 4.00 4.00 4.07

log L2 -2.8082 -3.7341 -4.6494 -5.5567 -6.4625

log L2 -3.6932 -4.8877 -6.0928 -7.2969 -8.5054

log L2 -3.7086 -4.8996 -6.1039 -7.3078 -8.5320

Table

3(b).

Grid-Refinement Cost About

Study Half

for Three Maximum

RK Schemes CFL

on Linear

Advection

Equation

Ut +

U, = 0, Run

at Equal

(3,3)(2N) Grid 41 81 161 321 641 logL2 -3.6257 -4.6231 -5.5515 -6.4611 -7.3659 Rate 3.31 3.08 3.02 3.01

(4,4)

(3N) Rate 5.18 4.83 4.15 7.11

(5,4)

(2N) Rate 5.17 4.85 4.21 4.88

log L= -4.2404 -5.7992 -7.2519 -8.5021 -10.6444

log L2 -4.2474 -5.8032 -7.2661 -8.5284 -9.9965

The schemes machine

(5,4)

and

the

(4,4)

schemes

are

nearly errors,

identical

when

compared when

at equal the

cost.

The error

(5,4) is near

are more precision.

susceptible

to roundoff

as can be identified

absolute

These and the

test problems linear in the PDE's. choice

demonstrate These results

the efficacy are expected

of the (5,4) 2N-storage to extend of storage, scheme 16 to nonlinear then in terms

schemes PDE's.

for nonlinear If the

ODE's

overriding

concern clearly

of integrator Williamson's

is the reduction (3,3) 2N-storage

the newly

developed and

(5,4) schemes efficiency. The

outperform

of accuracy

accuracyper unit cost is comparablewith that of the standard four-stagefourth-order (4,4) RK scheme.

Conclusions

Several storage but

new five-stage locations. have

fourth-order

(5,4) Runge-Kutta have analytic characteristics. which has the

(RK)

schemes that

are derived facilitate

that simple

require

only two

Two of the schemes desirable stability

coefficients A particular

implementation, (by numerically

neither

scheme

is identified

solving parabolic storage domain

the nonlinear initial RK than

equations)

desirable In the

efficiency and

characteristics viscous has limits, a larger The new

for hyperbolic this new (5,4)

and 2N-

(boundary) has

value

problems.

inviscid step

scheme the

greater 2N-storage standard sense.

accuracy

for a given advocated

size and

allowable (5,4)

stability RK scheme

(3,3) the

RK scheme (4,4)

by Williamson. of accuracy that verify

is comparable as efficient ordinary

with

RK scheme tests linear

in terms are presented hyperbolic

to work these

ratio results

and

is nearly

in an absolute differential

Numerical (ODE's) and

on nonlinear

equations

equations.

Acknowledgments

The

second

author

would Center,

like to acknowledge Theoretical Flow

financial Physics

support Branch,

provided under

while

in residence

at NASA

Langley

Research

contract

NAG-l-l193.

References
[1] Williamson, [2] Fyfe, [3] Verner, SIAM [4] Sharp, than D.J., J.H., J.H., "Low-storage Runge-Kutta schemes," J. Comp. Math. of the Phys., 35, 48 (1980). 20, 392 (1966). Truncation Error,"

"Economical "Explicit Anal., Smart,

evaluation Runge-Kutta 15 (1978), E., "Explicit J. Sci.

of Runge-Kutta Methods pp. 772-790. Runge-Kutta Comput., with

formula," Estimates

Comp., Local

J. Numer. P.W. the and

Pairs

with

One

More

Derivative

Evaluation

Minimum," J.C., Linear The

SIAM Numerical

14, 2 (1993),

pp. 338-348. Equations: Runge-Kutta and

[5] Butcher, General [6] Skeel,

Analysis Wiley _

of Ordinary Sons,

Differential (1987). Numer.

Methods,

John Ways

Chichester Error,"

R.D.,

"Thirteen

to Estimate

Global 17

Math.,

48,

(1986),

pp. 1-20.

[7] Carpenter,M.H., Gottlieb, D., and Abarbanel,S., "The Stability of NumericalBoundaryTreatments for CompactHigh-OrderFinite-DifferenceSchemes," Comp. Phy, 108, 2, (1993), pp. J.
272-295.

[8] Dormand, Appl.

J.R.,

and

Prince,

P.J.,

"A Family

of embedded

Runge-Kutta

formulae,"

J. Comp.

Math.,

6, 1, (1980), M.H., Time Gottlieb,

pp. 19-26. D., Abarbanel, for the S. and Initial ICASE Don, W.-S. " The Theoretical Accuracy of

[9] Carpenter, Runge-Kutta

Discretizations

Boundary Report

Value

Problem: Dec.

A Careful

Study to

of the Boundary SIAM Journal

Error,"

NASA-CR-191561, Analysis.

No. 93-83,

1993. Submitted

of Numerical

Appendix

Table au**,

A1 shows

the

inviscid

and spatial

viscous

stability

limits techniques.

obtained The

from inviscid

the

equation

ut + au,

= case the

discretized

with various

and temporal

limit is the special column describes

in which order matrix

a = 0; the viscous operator. for compact pentadiagonal hyperbolic (4,4), (4,4), and and

limit

is the special

case in which describes (E), (T),

a = 0. The the (P)

first

of the spatial necessary and

The letter schemes. matrices, studies

in parentheses Specifically, respectively.

bandwidth signify

of the left-hand-side one-diagonal (explicit), scheme that

and

tridiagonal, is used limits limits

The

sixth-order Columns Columns

(T) is the spatial 2-4 report 5-8 report

in all the of the (3,3), of the (3,3),

presented

in this work. respectively. respectively.

the inviscid the viscous

stability stability

(5,4) RK schemes, (5,4) RK schemes,

For the effective

inviscid

case with of _ =

a sixth-order 0.289; the

compact (4,4) and

spatial (5,4)

operator are

(6T), v_ 4 =

the 0.354

(3,3) and

scheme

has

an

CFL/stage

schemes

1.6__27 0.334, = 5 to each other, if we

respectively. the efficiencies that

In an absolute of the the (4,4) (3,3), scheme

sense, (4,4),

the (4,4) and (5,4)

RK scheme RK schemes

is the most are 0.816

efficient.

Relative

: 1.0 : 0.945, numbers

respectively, are better.)

assume The 0.210, by the efficiency

has been

assigned

an efficiency methods Here, with the

of 1. (Higher the (6T)

viscous

CFL/stage and The _

for each of the three = 0.234, relative

spatial

differencing efficient, has

is 0.s3.__.._o 3 followed

0.70._____04 -- 0.175, (3,3) scheme.

respectively.

(5,4) scheme that the (3,3), (4,4) (4,4)

is most scheme and

efficiencies,

if we assume

an absolute

of 1.00, becomes the scheme the quite inviscid

1.20 : 1.00 : 1.34, respectively, and viscous limits, the (5,4)

for the 2N-storage case, case,

(5,4) schemes. the (3,3) out-

For both 2N-storage performs but not

RK scheme the the (5,4) (5,4)

outperforms

proposed

by Williamson. (4,4) RK scheme.

In the

viscous

scheme

dramatically

conventional as efficient

In the inviscid

RK scheme

is competitive

as the

(4,4) RK scheme. 18

Table AI: Inviscid and ViscousCFL limits Invis Stab Limit Vis Stab 4 5 3 4 Number of stages 3 4 4 3 4 Order of accuracy 3

Limit 5 4 4.65 2.47 1.55 1.85 1.17 1.22 1.55 1.02 0.95 1.37 0.93 0.86 0.47

2nd(E)
4th (E) 4th (T) 6th (E)

v_
1.26 l 1.09 v_ 2 0.88 1.00 0.81 0.78 0.94 0.77 0.74 v_
7f

2v_
2.06 _ 1.78 v/_ 1.44 1.63 1.32 1.28 1.53 1.26 1.21 2v_

3.34
2.43 1.92 2.10 1.67 1.71 1.93 1.56 1.51 1.81 1.49 1.43 1.07

2.51 1.33 0.83 0.99 0.63 0.65 0.83 0.55 0.51 0.74 0.50 0.46 0.25

2.78 1.47 0.92 1.10 0.70 0.73 0.92 0.61 0.57 0.82 O.56 0.51 O.28

6th (T)
6th (P) 8th 8th 10th (E) (P) (T)

8th (T)
10th (E) 10th (P) Fourier

19

;;h
.1'-4 o,'-t

,.c

u'J

,-i

r.n

c_
0

u_

u.)

r.o

FIGURE

2. Refined parametric

study

(in variable

a) of stability

envelope

for RK[5,4] schemes.

2.0 RK (5, 4) a = 1/120 b-- 1/160 c = 1/200 d -- 1/240 e -- 1/280

.5
_,V

1.0

1.5

21

FIGURE schemes.

3.

Comparison

of optimized

RK[5,4]

schemes

with

conventional

RK[3,3]

and

RK[4,4]

2"0 /_

a = RK (3, 3) b = RK (4, 4) 1 c = RK (5, 4); a I -._-_. d = RK (5, 4); av= 1 24_ 100

1 e = RK (5, 4); aop ='_'0

I 0 .5 1.5 2.0

22

FIGURE 4. Grid convergence study comparing RK[3,3] schemes. Test problem is y' = y cos(x).

several

RK[5,4] schemes

with the RK[4,4] and

\ \

-2

\ \

:,, ,,"',\
-4 _k-, _,.,
O
k.

y'=

y cos(x)

"_,_\ "\,.'-,,\\
.. ".. \\

y(O)--I y(x) = e sin(x)

-6

{D O O

_.
-8....
",.

"\\
-. ,_,,,,
" . ,\\

-10

.... _"
.......... f (4,4) (5,4) I 2.0 Ioglo f ,3N 2N I 3.0 (steps) I I 4.0

",:

-12

-14 1.0

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REPORT

DOCUMENTATION

PAGE

Form Approved OMB No. 0704-0188

Publicreporting burden forthiscollection ofinformationis estimated to average1 hourper response, ncluding i thetime forreviewing instructions, searchingexistingdata sources, gathering and maintaining data needed,andcompleting end reviewing collectionof information. Sendcomments the the regarding this burden estimateor any otheraspectofthis collectionof information, including suggestions reducing for thisburden,toWashington Headquarters Services. irectorate Information D for Operations and Reports,1215JeffersonDavis Highway, uite1204, Arlington, 22202-4302,andtothe OfficeofManagement ndBudget,Paperwork S VA a Reduction Project(0704-0188),Washington, C 20503. D 2. REPORT DATE 1. AGENCY USE ONLY (Leave blank)

June 1994
4. TITLE AND SUBTITLE

3. REPORTTYPE DATESOVERED Technical Memorandum AND C 5. FUNDING NUMBERS

505-70-62-13

Fourth-Order

2N-Storage

Runge-Kutta

Schemes

6. AUTHOR(S)

Mark H. Carpenter Christopher A. Kennedy 7. PERFORMING ORGANIZATION NAME(S) ANDADDRESS(ES) NASA Langley Research Center Hampton, VA 23681-0001
8. PERFORMING ORGANIZATION REPORT NUMBER

9. SPONSORING I MONITORINGGENCY A NAME(S) ANDADDRESS(ES) National Aeronautics and Space Administration Langley Research Center Hampton, VA 23681

10. SPONSORING/MONITORING AGENCY REPORT NUMBER

NASA TM-109112

11. SUPPLEMENTARY

NOTES

Carpenter: Langley Research Center, Hampton, VA. Kennedy: University of California at San Diego, LaJolla, CA.
12a. DISTRIBUTION / AVAILABILITY STATEMENT 12b. DISTRIBUTION CODE

Unclassified - Unlimited Subject Category: 02

13. ABSTRACT

(Maximum 200 words)

A family of five-stage fourth-order Runge-Kutta schemes is derived; these schemes required only two storage locations. A particular scheme is identified that has desirable efficiency characteristics for hyperbolic and parabolic initial (boundary) value problems. This scheme is competitive with the classical fourth-order method (high-storage) and is considerably more efficient and accurate than existing third-order low-storage schemes.

14. SUBJECT TERMS

15. NUMBER OF PAGES

Runge-Kutta,

low storage,

fourth-order

25
16. PRICE CODE

A03
17. SECURITY CLASSIFICATION OF REPORT 18. SECURITY CLASSIFICATION OF THIS PAGE 19. SECURITY CLASSIFICATION OF ABSTRACT 20. LIMITATION OF ABSTRACT

Unclassified
NSN 7540-01-280-5500

Unclassified

Unclassified

Unlimited
Standard Form 298 (Rev. 2-89) Prescribed ANSI Std. Z39-18 by 298-102