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Implementation of Backward Euler Method

The document discusses the implementation of the backward Euler method for solving ordinary differential equations numerically. It explains that the backward Euler method is unconditionally stable but requires solving a nonlinear equation at each time step to advance the solution.

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Robyn Nicholas
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23 views2 pages

Implementation of Backward Euler Method

The document discusses the implementation of the backward Euler method for solving ordinary differential equations numerically. It explains that the backward Euler method is unconditionally stable but requires solving a nonlinear equation at each time step to advance the solution.

Uploaded by

Robyn Nicholas
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Implementation of the Backward Euler Method

• The Backward Euler method for the general ODE, y 0 (t) = f (t, y(t)),
is
yi+1 = yi + hf (ti+1 , yi+1 ).

• The local truncation error of the Backward Euler method is O(h2 ) so


the method has about the same accuracy as the Forward Euler method.

• The big advantage of the Backward Euler method over the Forward
Euler method is that there is no restriction on the stepsize, h, due to
stability requirements.

• For the simple test ODE, y 0 (t) = λy(t), we saw that the amplification
factor for the Backward Euler method is,

1
,
|1 − hλ|

and we observed that this is less than 1 for all hλ since h, the stepsize,
is always positive, and λ is always negative, since we always assume that
we are considering stable ODEs.

• The above means that when you are using the Backward Euler method,
you can choose h depending on whatever accuracy you are looking for.
There is no restriction on how small h must be in order to keep the
numerical method stable (as we saw for the Forward Euler method.)

• The above is a big deal; if λ is a large magnitude negative number,


the Forward Euler method will be forced to choose a very small stepsize
even if the user does not require much accuracy. This will make the
computation must slower due to the large number of steps that must be
taken.

1
• But there is a big issue with the implementation of the Backward Euler
method,
yi+1 = yi + hf (ti+1 , yi+1 ).

• The formula seems to say that in order to compute the value for yi+1
you need to already know the value for yi+1 . (The quantity, yi+1 , appears
on the right hand side of the above equation.)

• If f (t, y(t)) is very simple, it may be possible to explicitly solve for


yi+1 by rearranging the above formula for the Backward Euler method.

• But, when f (t, y(t)) is nonlinear, it will not be possible to rearrange


the Backward Euler method to solve for yi+1 explicitly.

• To address this issue, first note that you can rewrite the Backward
Euler method as,

yi+1 − (yi + hf (ti+1 , yi+1 )) = 0. (1)

• This means that yi+1 is the solution to the equation,

g(z) = z − (yi + hf (ti+1 , z)) = 0.

• To see this, substitute for z with yi+1 in the above equation and note
that you get equation (1), the Backward Euler method.

• So the big takeaway is that if you want to take one step with the
Backward Euler method, you have to solve the nonlinear equation

g(z) = z − (yi + hf (ti+1 , z)) = 0.

• The solution of this nonlinear equation will give you the yi+1 value.

• What is the best method we have for solving nonlinear equations?


Some type of Newton’s method!

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