Chapter 5: Differential Equations

IMSL C Math Library

Functions

First Order Ordinary Differential Equations

Solution of the Initial-Value Problem for ODEs

Runge-Kutta method, ode_runge_kutta

Solution of the Initial-Value Problem for ODEs

Finite-difference method, bvp_finite_difference

Solution of Differential–Algebraic Systems

Solves a first order differential-algebraic system
of equations, differential_algebraic_eqs

First-and-Second-Order Ordinary Differential Equations

Solution of the Initial-Value Problem for ODEs

Solves an initial-value problem for a system of ODEs using a
variable order Adams method, ode_adams_krogh

Partial Differential Equations

Solution of Systems of PDEs in One Dimension

Method of lines with a Variable Gridding

Solves a system of one-dimensional time-dependent partial
differential equations using a moving-grid interface, pde_1d_mg

Method of lines with a Hermite
cubic basis, modified_method_of_lines

Solves a generalized Feynman-Kac equation on a
finite interval using Hermite quintic splines, feynman_kac

Computes the value of a Hermite quintic spline
or the value of one of its derivatives, feynman_kac_evaluate

Solution of a PDE in Two Dimensions

Fast Poisson solver, fast_poisson_2d