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Euler's Method: X FTX XT X

This document discusses numerical methods for solving ordinary differential equations (ODEs), including Euler's method, Taylor series methods, Runge-Kutta methods, and implicit methods. Euler's method approximates the solution at discrete time steps in a simple explicit formula. Taylor series methods incorporate higher-order derivative terms to improve accuracy. Runge-Kutta methods generalize this approach by expressing the solution as a weighted sum of function evaluations. Implicit methods, like the backward Euler method, require solving an equation at each step rather than using an explicit formula. Stability is also discussed, with implicit methods sometimes preferred due to greater stability for stiff systems. Examples are provided to illustrate the different methods.

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58 views8 pages

Euler's Method: X FTX XT X

This document discusses numerical methods for solving ordinary differential equations (ODEs), including Euler's method, Taylor series methods, Runge-Kutta methods, and implicit methods. Euler's method approximates the solution at discrete time steps in a simple explicit formula. Taylor series methods incorporate higher-order derivative terms to improve accuracy. Runge-Kutta methods generalize this approach by expressing the solution as a weighted sum of function evaluations. Implicit methods, like the backward Euler method, require solving an equation at each step rather than using an explicit formula. Stability is also discussed, with implicit methods sometimes preferred due to greater stability for stiff systems. Examples are provided to illustrate the different methods.

Uploaded by

parin advani
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOC, PDF, TXT or read online on Scribd
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Eulers Method

Model Problem:

x ' = f (t , x) x(t0 ) = x0
(1) Only a few of them that we can find analytic solutions. For example when f (t , x ) = p (t ) x + g (t ) , we can use integrating factor to solve the problem analytically. In general, we need to find the solution numerically, which means, instead of finding a analytic expression of the solution x(t ) , we need a table of the values of the solutions

t0 x0

t1 x0

t2 x2

t3 x3

tm xm

xi x(ti ) is computed approximate value of x(ti ) .


( ) t usually is time, so thin! about that we start from t0 which is given, then try to find x (t1 ) at time t1 .

First. "iven the value x(t0 ) , consider the value of x(t1 ) = x( x0 + h) . #y $aylor expansion%

x (t 0 + h ) = x (t 0 ) + hx '(t 0 ) +

h2 h3 x ''(t 0 ) + x '''(t 0 ) + 2! 3!

&hen h is small, h ' 1 , we can drop the high order terms, then

x(t1 ) = x( x0 + h) x (t0 ) + hx '(t0 ) = x (t0 ) + hf (t0 , x (t0 )) , x(t1 ) x1 = x0 + hf (t0 , x0 ) .


(econdly, )ow we have x1 x(t1 ) , we want to find the value of x(t2 ) = x(t1 + h) .

h2 h3 x (t1 + h ) = x (t 1 ) + hx '(t 1 ) + x ''(t 1 ) + x '''(t 1 ) + 2! 3!


*rop the high order terms, then 1

x(t2 ) = x( x1 + h) x(t1 ) + hx '(t1 ) x1 + hf (t1 , x1 ) x(t2 ) x2 = x1 + hf (t1 , x1 ) .


$hen we can do this successively% "iven xi 1 x(ti 1 ) , we want to find the value of x(ti ) = x(ti 1 + h) .

x(ti ) = x(ti 1 + h) = x(ti 1 ) + hx '(ti 1 ) +

h2 h3 x ''(ti 1 ) + x '''(ti 1 ) + + 2! 3!

*rop the high order terms, then

x(ti ) = x ( xi 1 + h) x(ti 1 ) + hx '(ti 1 ) xi 1 + hf (ti 1 , xi 1 ) x(ti ) xi = xi 1 + hf (ti , xi ) .

x x ' = Example. t . (exact solution% x(t ) = t ) x(1) = 1

2x x ' = Example. t . (exact solution% x(t ) = t 2 ) x(1) = 1

Taylor Series Method


Eulers method% {t = ti 1 , x (ti 1 ) xi 1} {t = ti , x(ti ) xi }

h2 h3 x (t i ) = x (t i 1 + h ) = x (t i 1 ) + hx '(t i 1 ) + x ''(t i 1 ) + x '''(t i 1 ) + 2! 3!


*rop the high order terms, then

x(ti ) xi = xi 1 + hf (ti , xi ) .

)ow consider Taylor series methods:

x (t i ) = x (t i 1 + h ) = x (t i 1 ) + hx '(t i 1 ) +

h2 h3 x ''(t i 1 ) + x '''(t i 1 ) + 2! 3!

,eep one more term than -uler.s method,

x(ti 1 ) xi 1 x '(ti 1 ) = f (ti 1 , x (ti 1 )) f (ti 1 , xi 1 ) x ''(ti 1 ) = ( f (t , x(t ))) ' |t =ti1 = ( f '+ = f '(ti 1 , x(ti 1 )) + f '(ti 1 , xi 1 ) +
$herefore

f (ti 1 , xi 1 ) f (ti 1 , xi 1 ), x

f (ti 1 , x(ti 1 )) f (ti 1 , x(ti 1 )) x

f x ') |t =ti1 x

h2 x(ti ) xi = xi 1 + hf (ti 1 , xi 1 ) + [ f t (ti 1 , xi 1 ) + f x (ti 1 , xi 1 ) f (ti 1 , xi 1 )] . 2!

Example. $ry to use $aylor (eries 0ethod to solve this initial value problem%

x ' = cos t sin t + t 2 x (1) = 3

Runge-Kutta Methods
#asically, what we do for $aylor (eries 0ethod is the following%

x(t + h) = x(t ) + hx '(t ) +

h2 x ''(t ) + O(h3 ), 2!

x '(t ) = f , x ''(t ) = f ' = f t + f x x ' = f t + f x f .


)oticed that this involves the partial derivative of f which may not so easy to get. &e try to express f t , f x in terms of f directly. (ince

f (t + h, x + hf ) = f + hf t + hff x + O (h 2 ) ,
then

f t + ff x = ( f (t + h, x + hf ) f ) / h + O( h) ,
so

h x (t + h ) = x (t ) + hf (t , x ) + (f (t + h , x + hf ) f ) + O ( h 3 ) , 2
i.e.

x (t + h ) = x (t ) +

h h f (t , x ) + (f (t + h , x + hf (t , x ))) + O ( h 3 ) . 2 2

)ow we have Heuns Methods (RK

Method!

&e want to find {t = ti 1 , x (ti 1 ) xi 1} {t = ti , x(ti ) xi } , we can do that in this way% Heuns Method:

F1 = hf (ti 1 , xi 1 ), F2 = hf (ti , xi 1 + F1 ), 1 1 xi = xi 1 + F1 + F2 . 2 2

In general,

x(t + h) = x(t ) + w1hf (t , x ) + w2 hf (t + h, x + hf ) + O( h3 ),

x(t + h) = x (t ) + w1hf (t , x ) + w2 h ( f + hf t + hff x ) + O (h 3 ) = x(t ) + ( w1 + w2 )hf + h 2 ( w2 f t + w2 ff x ) + O( h3 ),


Only need

w1 + w2 = 1 1 w2 = 2 1 w2 = 2

(1 un!nowns, / e2uations).

$his linear system has many solutions, different solution corresponding to different method. For example%

1 w1 = 2 1 4eun.s 0ethod w2 = . 2 = 1 = 1

&e can also choose the following solution, which gives us the so5called Modi"ied Euler Method

w1 = 0 w = 1 2 1 = modi"ied Euler Method. 2 1 = 2


Modified Euler Method:

1 1 x(ti ) = x(ti 1 + h) = x(ti 1 ) + hf (ti 1 + h, x(ti 1 ) + hf (ti 1 , x(ti 1 ))) , 2 2

F1 = hf (ti 1 , xi 1 ), 1 1 F2 = hf (ti 1 + h, xi 1 + F1 ), 2 2 xi = xi 1 + F2 .

0oreover, we can !eep more terms in the $aylor expansion, and do the exact same procedure as before. $his will give us high order numerical method for initial value problems. $hese methods usually are called 6unge5,utta Familay, and the following is a fourth5order 6unge5,utta 0ethod% 4th Order Runge-Kutta Method:

F1 = hf (t , x), F2 = hf (t + 1 h, x + 1 F1 ), 2 2 1 1 F3 = hf (t + h, x + F2 ), 2 2 F4 = hf (t + h, x + F3 ), x(t + h) = x(t ) + 1 ( F1 + 2 F2 + 2 F3 + F4 ). 6

#mpli$it Method
$he differential e2uation solvers we have presented so far are explicit, meaning that there is an explicit formula for the new approximation in terms of !nown data. It turns out that some differential e2uations are poorly served by explicit methods. 4ere, we will introduce the implicit method.

%a$&'ard Euler Method:


x i +1 = x i + hf (t i +1 , x i +1 )

$he difference is% -uler.s method uses the old approximation to obtain the new one without solving an e2uation, bac!ward -uler method need to solve a e2uation to get a new approximation.

Example: use -uler.s method and #ac!ward -uler.s method to solve the following I89%

x ' = 10(1 x ) x (0) = 1/ 2


()ote% the iterative scheme can be viewed as a fixed5point iteration, we can consider the convergence rate by what we learnt from F9I.)

Stability: $he stability of a method can be even more important than its accuracy. )ext example will show you why bac!ward -uler method is stable.

Example: solve the following I89

x ' = 100x x (0) = 1

Example: use #ac!ward -uler method to solve the following I89

x ' = x + 8x ^ 2 9 x ^ 3 x (0) = 1/ 2

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