MODULE 1

Solving Differential Equations Numerically: Euler’s Method

We assume that the initial-value problem

dy (1)
=f ( x , y) y ( x 0 )= y 0
dx
x 0 , x 1=x 0 +h , x 2=x 0+ 2h , … , x n=x 0 +nh

The method provides a value y k that is an approximation of the exact value y (x k ) for k =0 , 1 ,… , n

dy
=f ( x , y )
dx
dy =f ( x , y ) dx
x1 x1

∫ dy=¿∫ f ( x , y ) dx ¿
x0 x0

x1
dy
y ( x 1) − y ( x 0 )=∫ dx
x0
dx
x1

y 1− y 0 =∫ f ( x , y ) dx
x0
(2)

y 1− y 0 =f ( x , y ) ¿

y 1− y 0 =f ( x 0 , y 0 ) [x 1−x 0 ]

y 1= y 0 + f ( x 0 , y 0 ) ( h ) where h=x 1−x 0

To obtain:

y 2= y 1 + f ( x1 , y 1) ( h )

y 3= y 2 + f ( x2 , y 2 ) ( h )

Definition Euler’s Method

y n+ 1= y n +h[f ( x n , y n ) ] (3)

The geometric meaning of Equation (3) is easily seen by considering the direction field of differential
equation (1): we are simply following the tangent to the solution curve passing through (x n , y n ) for a small
horizontal distance.
 Looking at Figure 1.9, where the smooth curve is the unknown exact solution to the initial value
problem (1), we see how equation (3) approximates the exact solution.

Since f ( x 0 , y 0 ) is the slope of the exact solution at (x 0 , y 0 ), we follow this line to the point (x 1 , y 1 ). Some
solution to the differential equation passes through this point. We follow its tangent line at this point to reach
(x 2 , y 2 ), and so on.
The difference ∆ x are errors at the left stage in the process.

EXAMPLE 1: Using Euler’s method with different value of h. Estimate y(1) where y(x) satisfies the initial value
problem.
dy
=y y(0) = 1
dx

Using Differential Equation

dy = ydx
dy
∫ y
=∫ dx

ln y=x + c
x+c
y=e
x c
y=e e
x
y=c e (G.S.)
If y 0=1 , x 0=0
0
1=c e
1=c( 1)
c=1
Therefore,
 x
y=e (P.S.)

What is y(1)

y=e(1)=e=2.718281828 …
Using Euler’s Method
1
We begin by dividing the interval [0,1] into five (5) sub-intervals. Then h= =0.2 and f ( x n , y n )= y n .
5
Thus we obtain, successively.

y n+ 1= y n +h f ( x n , y n)

y 0= y 0=1

y 1= y 0 +0.2 y 0= (1+ 0.2 ) y 0= (1.2 )( 1 )=1.2

2
y 2= y 1 +0.2 y 1=( 1.2 ) y 1=( 1.2 )( 1.2 )= (1.2 )

y 3= y 2 +0.2 y 2=( 1.2 ) y 2=( 1.2 ) (1.2 )2 =( 1.2 )3

y 4 = y 3 +0.2 y 3=( 1.2 ) y 3 =( 1.2 )( 1.2 )3=( 1.2 )4

y 5= y 4 +0.2 y 4=( 1.2 ) y 4 =( 1.2 )( 1.2 )4 =( 1.2 )5

y 5=¿ 2.48832

error =true value−approximation

error =2.71828−2.48832
error =0.22996(if step ¿ ¿ 0.2)
 What happens if we double the number of sub-intervals. If n=10 then h = 0.1, and, computing as before,
we obtain y(1) = y 10 = (1.1)10 = 2.59374

error =2.71828−2.59374=0.12454

EXAMPLE 2: Approximating the solution of an initial-value problem using Euler’s Method. Find an approximate
value for y(1) if y(x) satisfies the initial value problem
dy
= y +x 2 y(0) = 1
dx
1 1
Use five sub-intervals in your approximation. H or h is equal to = =0.2
n 5

Using Differential Equation

dy
= y + x2
dx
dy 2
− y=x
dx
dy 2
−1( y )=x
dx

Recall: First Order Linear Differential Equations

dy
+[P ( x ) ] y=Q( x )
dx
Integrating Factor
 v=e∫ =e∫
P ( x ) dx −1 dx −x
=e
Substitute

y e−x =∫ (e ¿¿−x)(x 2)dx ¿

Integration by parts
2 −x −x
u=x du=2 xdx v =e dv=−e