Backward Euler method: Difference between revisions

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{{Short description|Numerical method for ordinary differential equations}}

In [[numerical analysis]] and [[scientific computing]], the '''backward Euler method''' (or '''implicit Euler method''') is one of the most basic [[numerical methods for ordinary differential equations|numerical methods for the solution of ordinary differential equations]]. It is similar to the (standard) [[Euler method]], but differs in that it is an [[explicit and implicit methods|implicit method]]. The backward Euler method has error of order one in time.

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The backward Euler method computes the approximations using

:<math> y_{k+1} = y_k + h f(t_{k+1}, y_{k+1}). </math> <ref>{{harvnb|Butcher|2003|p=57}}</ref>

This differs from the (forward) Euler method in that the latterforward method uses <math> f(t_k, y_k) </math> in place of <math>f(t_{k+1}, y_{k+1})</math>.

The backward Euler method is an implicit method: the new approximation <math> y_{k+1} </math> appears on both sides of the equation, and thus the method needs to solve an algebraic equation for the unknown <math> y_{k+1} </math>. For non-[[Stiff equation|stiff]] problems, this can be done with [[fixed-point iteration]]:

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[[File:Stability region for BDF1.svg|thumb|The pink region outside the disk shows the stability region of the backward Euler method.]]

The backward Euler method has order one. This means that the [[local truncation error]] (defined as the error made in one step) of the backward Euler Method is <math> O(h^2) </math>, using the [[big O notation]]. The error at a specific time <math> t </math> is <math> O(h^2) </math>. It means that this method has '''order one'''. In general, a method with <math> O(h^{k+1}) </math> LTE (local truncation error) is said to be of ''k''th order.

The [[Stiff_equation#Runge%E2%80%93Kutta_methods|region of absolute stability]] for the backward Euler method is the complement in the complex plane of the disk with radius 1 centered at 1, depicted in the figure.<ref>{{harvnb|Butcher|2003|p=70}}</ref> This includes the whole left half of the complex plane, making it suitable for the solution of [[stiff equation]]s.<ref>{{harvnb|Butcher|2003|p=71}}</ref> In fact, the backward Euler method is even [[L-stability|L-stable]].

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</math>

The backward Euler method can also be seen as a [[linear multistep method]] with one step. It is the first method of the family of [[Adams–Moulton method]]s, and also of the family of [[backward differentiation formula]]s.

==See also==