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Runge-Kutta methods

The Runge-Kutta methods are a family of numerical analysis techniques used for the approximation of solutions of ordinary differential equations. They were developed around 1900 by the mathematicians C. Runge and M.W. Kutta. The fourth-order formulation ("RK4") is the most commonly used, since it provides substantial accuracy without excessive complexity.

If y' = f(t,y) is a differential equation and its value at some initial time is specified by y(t0) = y0, then the RK4 method is given by the following equation:


Thus, the next value (yn+1) is determined by the present value (yn) plus the product of the size of the interval (h) and an estimated slope. The slope is a weighted average of slopes:

When the four slopes are averaged, more weight is given to the slopes at the midpoint:

Iterative methods in general may be represented by the generic form yn+1 = cyn, where c is a coefficient that depends upon the method used and the equation being evaluated. The primary reason that the RK4 method is successful is that the coefficient c that it produces is almost always a very good approximation to the actual value. Indeed, the RK4 method has a total accumulated error of O(h4).