List of Runge–Kutta methods

List of Runge–Kutta methods
Runge–Kutta methods are methods for the numerical solution of the ordinary differential equation
Explicit Runge–Kutta methods take the form
Stages for implicit methods of s stages take the more general form, with the solution to be found over all s
Each method listed on this page is defined by its Butcher tableau, which puts the coefficients of the method in a table as follows:
For adaptive and implicit methods, the Butcher tableau is extended to give values of , and the estimated error is then
.
Explicit methods
The explicit methods are those where the matrix is lower triangular.
Forward Euler
The Euler method is first order. The lack of stability and accuracy limits its popularity mainly to use as a simple introductory example of a numeric solution method.
Explicit midpoint method
The (explicit) midpoint method is a second-order method with two stages (see also the implicit midpoint method below):
Heun's method
Heun's method is a second-order method with two stages. It is also known as the explicit trapezoid rule, improved Euler's method, or modified Euler's method. (Note: The "eu" is pronounced the same way as in "Euler", so "Heun" rhymes with "coin"):
Ralston's method
Ralston's method is a second-order method with two stages and a minimum local error bound:
Generic second-order method
Kutta's third-order method
Generic third-order method
See Sanderse and Veldman (2019).
for α ≠ 0 1:
Heun's third-order method
Van der Houwen's/Wray third-order method
Ralston's third-order method
Ralston's third-order method is used in the embedded Bogacki–Shampine method.
Third-order Strong Stability Preserving Runge-Kutta (SSPRK3)
Classic fourth-order method
The "original" Runge–Kutta method.
3/8-rule fourth-order method
This method doesn't have as much notoriety as the "classic" method, but is just as classic because it was proposed in the same paper (Kutta, 1901).
Ralston's fourth-order method
This fourth order method has minimum truncation error.
Embedded methods
The embedded methods are designed to produce an estimate of the local truncation error of a single Runge–Kutta step, and as result, allow to control the error with adaptive stepsize. This is done by having two methods in the tableau, one with order p and one with order p-1.
The lower-order step is given by
where the are the same as for the higher order method. Then the error is
which is . The Butcher Tableau for this kind of method is extended to give the values of
Heun–Euler
The simplest adaptive Runge–Kutta method involves combining Heun's method, which is order 2, with the Euler method, which is order 1. Its extended Butcher Tableau is:
The error estimate is used to control the stepsize.
Fehlberg RK1(2)
The Fehlberg method has two methods of orders 1 and 2. Its extended Butcher Tableau is:
The first row of b coefficients gives the second-order accurate solution, and the second row has order one.
Bogacki–Shampine
The Bogacki–Shampine method has two methods of orders 2 and 3. Its extended Butcher Tableau is:
The first row of b coefficients gives the third-order accurate solution, and the second row has order two.
Fehlberg
The Runge–Kutta–Fehlberg method has two methods of orders 5 and 4; it is sometimes dubbed RKF45 . Its extended Butcher Tableau is:
The first row of b coefficients gives the fifth-order accurate solution, and the second row has order four.
The coefficients here allow for an adaptive stepsize to be determined automatically.
Cash-Karp
Cash and Karp have modified Fehlberg's original idea. The extended tableau for the Cash–Karp method is
The first row of b coefficients gives the fifth-order accurate solution, and the second row has order four.
Dormand–Prince
The extended tableau for the Dormand–Prince method is
The first row of b coefficients gives the fifth-order accurate solution, and the second row gives the fourth-order accurate solution.
Implicit methods
Backward Euler
The backward Euler method is first order. Unconditionally stable and non-oscillatory for linear diffusion problems.
Implicit midpoint
The implicit midpoint method is of second order. It is the simplest method in the class of collocation methods known as the Gauss-Legendre methods. It is a symplectic integrator.
Crank-Nicolson method
The Crank–Nicolson method corresponds to the implicit trapezoidal rule and is a second-order accurate and A-stable method.
Gauss–Legendre methods
These methods are based on the points of Gauss–Legendre quadrature. The Gauss–Legendre method of order four has Butcher tableau:
The Gauss–Legendre method of order six has Butcher tableau:
Diagonally Implicit Runge–Kutta methods
Diagonally Implicit Runge–Kutta (DIRK) formulae have been widely used for the numerical solution of stiff initial value problems;
the advantage of this approach is that here the solution may be found sequentially as opposed to simultaneously.
The simplest method from this class is the order 2 implicit midpoint method.
Kraaijevanger and Spijker's two-stage Diagonally Implicit Runge–Kutta method:
Qin and Zhang's two-stage, 2nd order, symplectic Diagonally Implicit Runge–Kutta method:
Pareschi and Russo's two-stage 2nd order Diagonally Implicit Runge–Kutta method:
This Diagonally Implicit Runge–Kutta method is A-stable if and only if . Moreover, this method is L-stable if and only if equals one of the roots of the polynomial , i.e. if .
Qin and Zhang's Diagonally Implicit Runge–Kutta method corresponds to Pareschi and Russo's Diagonally Implicit Runge–Kutta method with .
Two-stage 2nd order Diagonally Implicit Runge–Kutta method:
Again, this Diagonally Implicit Runge–Kutta method is A-stable if and only if . As the previous method, this method is again L-stable if and only if equals one of the roots of the polynomial , i.e. if .
Crouzeix's two-stage, 3rd order Diagonally Implicit Runge–Kutta method:
Crouzeix's three-stage, 4th order Diagonally Implicit Runge–Kutta method:
with .
Three-stage, 3rd order, L-stable Diagonally Implicit Runge–Kutta method:
with
Nørsett's three-stage, 4th order Diagonally Implicit Runge–Kutta method has the following Butcher tableau:
with one of the three roots of the cubic equation . The three roots of this cubic equation are approximately and . The root gives the best stability properties for initial value problems.
Four-stage, 3rd order, L-stable Diagonally Implicit Runge–Kutta method
Lobatto methods
There are three main families of Lobatto methods, called IIIA, IIIB and IIIC (in classical mathematical literature, the symbols I and II are reserved for two types of Radau methods). These are named after Rehuel Lobatto as a reference to the Lobatto quadrature rule, but were introduced by Byron L. Ehle in his thesis. All are implicit methods, have order 2s − 2 and they all have c1 = 0 and cs = 1. Unlike any explicit method, it's possible for these methods to have the order greater than the number of stages. Lobatto lived before the classic fourth-order method was popularized by Runge and Kutta.
Lobatto IIIA methods
The Lobatto IIIA methods are collocation methods. The second-order method is known as the trapezoidal rule:
The fourth-order method is given by
These methods are A-stable, but not L-stable and B-stable.
Lobatto IIIB methods
The Lobatto IIIB methods are not collocation methods, but they can be viewed as discontinuous collocation methods . The second-order method is given by
The fourth-order method is given by
Lobatto IIIB methods are A-stable, but not L-stable and B-stable.
Lobatto IIIC methods
The Lobatto IIIC methods also are discontinuous collocation methods. The second-order method is given by
The fourth-order method is given by
They are L-stable. They are also algebraically stable and thus B-stable, that makes them suitable for stiff problems.
Lobatto IIIC* methods
The Lobatto IIIC* methods are also known as Lobatto III methods (Butcher, 2008), Butcher's Lobatto methods (Hairer et al., 1993), and Lobatto IIIC methods (Sun, 2000) in the literature. The second-order method is given by
Butcher's three-stage, fourth-order method is given by
These methods are not A-stable, B-stable or L-stable. The Lobatto IIIC* method for is sometimes called the explicit trapezoidal rule.
Generalized Lobatto methods
One can consider a very general family of methods with three real parameters by considering Lobatto coefficients of the form
,
where
.
For example, Lobatto IIID family introduced in (Nørsett and Wanner, 1981), also called Lobatto IIINW, are given by
and
These methods correspond to , and . The methods are L-stable. They are algebraically stable and thus B-stable.
Radau methods
Radau methods are fully implicit methods (matrix A of such methods can have any structure). Radau methods attain order 2s − 1 for s stages. Radau methods are A-stable, but expensive to implement. Also they can suffer from order reduction.
The first order Radau method is similar to backward Euler method.
Radau IA methods
The third-order method is given by
The fifth-order method is given by
Radau IIA methods
The ci of this method are zeros of
.
The third-order method is given by
The fifth-order method is given by
Notes
References
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Numerical differential equations
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