RungeKuttaFehlberg.jl

A Julia implementation of the RKF45 method for time integration
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April 2016

RungeKuttaFehlberg

Build Status

This package is obsolete and archived. Please use DifferentialEquations.jl.

Description

An implementation of the well-known Runge-Kutta-Fehlberg time integration method of 4th and 5th order (RKF45). The algorithm integrates differential equations of the form:

dx / dt = f[x](t)

Notably, f can be either a function or a functional of x. This is useful for certain types of partial differential equations (e.g. the heat equation).

Usage

You import the package as usual:

using RungeKuttaFehlberg

The package exports exactly one function

rkf45_step(f, x, t, tolerance, dt[, error, safety])

which returns dx and dt as a tuple. Most arguments should be self-explanatory but more detailed documentation is included in the package.

Additional comments

Most likely you will iterate over rkf45_step() and sum up dx and dt. The algorithm will run most efficiently if you pass the last return value for dt back into rkf45_step() at the next iteration.

The r.h.s. function f() must take exactly two arguments, x and t. Currently, there is no way to pass additional parameters to f(). However, you can easily define an intermediate function which contains the values of each parameter and then pass it to rkf45_step().

RKF45 evaluates f() at least 6 times during each step, so optimizing f() can increase performance a lot.

I am currently hosting this in a separate package, but I am open to suggestions w.r.t. inclusion in a package for time integration methods.