Runge–Kutta–Fehlberg method

In mathematics, the Runge–Kutta–Fehlberg method (or Fehlberg method) is an algorithm in numerical analysis for the numerical solution of ordinary differential equations. It was developed by the German mathematician Erwin Fehlberg and is based on the large class of Runge–Kutta methods.

The novelty of Fehlberg's method is that it is an embedded method from the Runge–Kutta family, meaning that it reuses the same intermediate calculations to produce two estimates of different accuracy, allowing for automatic error estimation. The method presented in Fehlberg's 1969 paper has been dubbed the RKF45 method, and is a method of order O(h⁴) with an error estimator of order O(h⁵). By performing one extra calculation, the error in the solution can be estimated and controlled by using the higher-order embedded method that allows for an adaptive stepsize to be determined automatically.

Any Runge–Kutta method is uniquely identified by its Butcher tableau. The embedded pair proposed by Fehlberg

The first row of coefficients at the bottom of the table gives the fifth-order accurate method, and the second row gives the fourth-order accurate method.

The coefficients found by Fehlberg for Formula 1 (derivation with his parameter α₂=1/3) are given in the table below:

Fehlberg outlines a solution to solving a system of n differential equations of the form: $${\displaystyle {\frac {dy_{i}}{dx}}=f_{i}(x,y_{1},y_{2},\ldots ,y_{n}),i=1,2,\ldots ,n}$$to iterative solve for $${\displaystyle y_{i}(x+h),i=1,2,\ldots ,n}$$where h is an adaptive stepsize to be determined algorithmically:

The solution is the weighted average of six increments, where each increment is the product of the size of the interval, ${\textstyle h}$, and an estimated slope specified by function f on the right-hand side of the differential equation.

${\displaystyle {\begin{aligned}k_{1}&=h\cdot f(x+A(1)\cdot h,y)\\k_{2}&=h\cdot f(x+A(2)\cdot h,y+B(2,1)\cdot k_{1})\\k_{3}&=h\cdot f(x+A(3)\cdot h,y+B(3,1)\cdot k_{1}+B(3,2)\cdot k_{2})\\k_{4}&=h\cdot f(x+A(4)\cdot h,y+B(4,1)\cdot k_{1}+B(4,2)\cdot k_{2}+B(4,3)\cdot k_{3})\\k_{5}&=h\cdot f(x+A(5)\cdot h,y+B(5,1)\cdot k_{1}+B(5,2)\cdot k_{2}+B(5,3)\cdot k_{3}+B(5,4)\cdot k_{4})\\k_{6}&=h\cdot f(x+A(6)\cdot h,y+B(6,1)\cdot k_{1}+B(6,2)\cdot k_{2}+B(6,3)\cdot k_{3}+B(6,4)\cdot k_{4}+B(6,5)\cdot k_{5})\end{aligned}}}$

Then the weighted average is:

$${\displaystyle y(x+h)=y(x)+CH(1)\cdot k_{1}+CH(2)\cdot k_{2}+CH(3)\cdot k_{3}+CH(4)\cdot k_{4}+CH(5)\cdot k_{5}+CH(6)\cdot k_{6}}$$

The estimate of the truncation error is: $${\displaystyle \mathrm {TE} =\left|\mathrm {CT} (1)\cdot k_{1}+\mathrm {CT} (2)\cdot k_{2}+\mathrm {CT} (3)\cdot k_{3}+\mathrm {CT} (4)\cdot k_{4}+\mathrm {CT} (5)\cdot k_{5}+\mathrm {CT} (6)\cdot k_{6}\right|}$$

At the completion of the step, a new stepsize is calculated:

$${\displaystyle h_{\text{new}}=0.9\cdot h\cdot \left({\frac {\varepsilon }{TE}}\right)^{1/5}}$$

If ${\textstyle \mathrm {TE} >\varepsilon }$, then replace ${\textstyle h}$with ${\textstyle h_{\text{new}}}$and repeat the step. If ${\textstyle TE\leqslant \varepsilon }$, then the step is completed. Replace ${\textstyle h}$with ${\textstyle h_{\text{new}}}$for the next step.

The coefficients found by Fehlberg for Formula 2 (derivation with his parameter α₂ = 3/8) are given in the table below, using array indexing of base 1 instead of base 0 to be compatible with most computer languages:

In another table in Fehlberg, coefficients for an RKF4(5) derived by D. Sarafyan are given:

• List of Runge–Kutta methods
• Numerical methods for ordinary differential equations
• Runge–Kutta methods

• Fehlberg, Erwin (1968) Classical fifth-, sixth-, seventh-, and eighth-order Runge-Kutta formulas with stepsize control. NASA Technical Report 287. https://ntrs.nasa.gov/api/citations/19680027281/downloads/19680027281.pdf
• Fehlberg, Erwin (1969) Low-order classical Runge-Kutta formulas with stepsize control and their application to some heat transfer problems. Vol. 315. National aeronautics and space administration.
• Fehlberg, Erwin (1969). "Klassische Runge-Kutta-Nystrom-Formeln funfter und siebenter Ordnung mit Schrittweiten-Kontrolle". Computing. 4: 93–106. doi:10.1007/BF02234758. S2CID 38715401.
• Fehlberg, Erwin (1970) Some experimental results concerning the error propagation in Runge-Kutta type integration formulas. NASA Technical Report R-352. https://ntrs.nasa.gov/api/citations/19700031412/downloads/19700031412.pdf
• Fehlberg, Erwin (1970). "Klassische Runge-Kutta-Formeln vierter und niedrigerer Ordnung mit Schrittweiten-Kontrolle und ihre Anwendung auf Wärmeleitungsprobleme," Computing (Arch. Elektron. Rechnen), vol. 6, pp. 61–71.doi:10.1007/BF02241732
• Hairer, Ernst; Nørsett, Syvert; Wanner, Gerhard (1993). Solving Ordinary Differential Equations I: Nonstiff Problems (Second ed.). Berlin: Springer-Verlag. ISBN 3-540-56670-8.
• Sarafyan, Diran (1966) Error Estimation for Runge-Kutta Methods Through Pseudo-Iterative Formulas. Technical Report No. 14, Louisiana State University in New Orleans, May 1966.

• Fehlberg, E (1958). "Eine Methode zur Fehlerverkleinerung beim Runge-Kutta-Verfahren". Zeitschrift für Angewandte Mathematik und Mechanik. 38 (11/12): 421–426. Bibcode:1958ZaMM...38..421F. doi:10.1002/zamm.19580381102.
• Fehlberg, E (1964). "New high-order Runge-Kutta formulas with step size control for systems of first and second-order differential equations". Zeitschrift für Angewandte Mathematik und Mechanik. 44 (S1): T17 – T29. doi:10.1002/zamm.19640441310.
• Fehlberg, E (1972). "Klassische Runge-Kutta-Nystrom-Formeln mit Schrittweiten-Kontrolle fur Differentialgleichungen x.. = f(t,x)". Computing. 10: 305–315. doi:10.1007/BF02242243. S2CID 37369149.
• Fehlberg, E (1975). "Klassische Runge-Kutta-Nystrom-Formeln mit Schrittweiten-Kontrolle fur Differentialgleichungen x.. = f(t,x,x.)". Computing. 14: 371–387. doi:10.1007/BF02253548. S2CID 30533090.
• Simos, T. E. (1993). "A Runge-Kutta Fehlberg method with phase-lag of order infinity for initial-value problems with oscillating solution". Computers & Mathematics with Applications. 25 (6): 95–101. doi:10.1016/0898-1221(93)90303-D..
• Handapangoda, C. C.; Premaratne, M.; Yeo, L.; Friend, J. (2008). "Laguerre Runge-Kutta-Fehlberg Method for Simulating Laser Pulse Propagation in Biological Tissue". IEEE Journal of Selected Topics in Quantum Electronics. 1 (14): 105–112. Bibcode:2008IJSTQ..14..105H. doi:10.1109/JSTQE.2007.913971. S2CID 13069335..
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• Sarafyan, D. (1994). "Approximate Solution of Ordinary Differential Equations and Their Systems Through Discrete and Continuous Embedded Runge-Kutta Formulae and Upgrading Their Order". Computers & Mathematics with Applications. 28 (10–12): 353–384. doi:10.1016/0898-1221(94)00201-0.
• Paul, S.; Mondal, S. P.; Bhattacharya, P. (2016). "Numerical solution of Lotka Volterra prey predator model by using Runge–Kutta–Fehlberg method and Laplace Adomian decomposition method". Alexandria Engineering Journal. 55 (1): 613–617. doi:10.1016/j.aej.2015.12.026.