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where <math>h</math> is the step size and <math>t_{i+1}=t_i+h</math>.
==Description==
Euler's method is used as the foundation for Heun's method. Euler's method uses the line tangent to the function at the beginning of the interval as an estimate of the slope of the function over the interval, assuming that if the step size is small, the error will be small. However, even when extremely small step sizes are used, over a large number of steps the error starts to accumulate and the estimate diverges from the actual functional value.
Where the solution curve is concave up, its tangent line will underestimate the vertical coordinate of the next point and vice versa for a concave down solution. The ideal prediction line would hit the curve at its next predicted point. In reality, there is no way to know whether the solution is concave-up or concave-down, and hence if the next predicted point will overestimate or underestimate its vertical value. The concavity of the curve cannot be guaranteed to remain consistent either and the prediction may overestimate and underestimate at different points in the ___domain of the solution.
Heun's Method addresses this problem by considering the interval spanned by the tangent line segment as a whole. Taking a concave-up example, the left tangent prediction line underestimates the slope of the curve for the entire width of the interval from the current point to the next predicted point. If the tangent line at the right end point is considered (which can be estimated using Euler's Method), it has the opposite problem.<ref>{{cite web
|title=Numerical Methods for Solving Differential Equations
|publisher=San Joaquin Delta College
|url=http://calculuslab.deltacollege.edu/ODE/7-C-2/7-C-2-h.html
|archiveurl=https://web.archive.org/web/20090212005921/http://calculuslab.deltacollege.edu/ODE/7-C-2/7-C-2-h.html
|archivedate=2009-02-12}}</ref>
The points along the tangent line of the left end point have vertical coordinates which all underestimate those that lie on the solution curve, including the right end point of the interval under consideration. The solution is to make the slope greater by some amount. Heun's Method considers the tangent lines to the solution curve at ''both'' ends of the interval, one which ''overestimates'', and one which ''underestimates'' the ideal vertical coordinates. A prediction line must be constructed based on the right end point tangent's slope alone, approximated using Euler's Method. If this slope is passed through the left end point of the interval, the result is evidently too steep to be used as an ideal prediction line and overestimates the ideal point. Therefore, the ideal point lies approximately halfway between the erroneous overestimation and underestimation, the average of the two slopes.
[[File:Heun's Method Diagram.jpg|thumb|right|alt=Heun's Method.|A diagram depicting the use of Heun's method to find a less erroneous prediction when compared to the lower order Euler's Method]]
Euler's Method is used to roughly estimate the coordinates of the next point in the solution, and with this knowledge, the original estimate is re-predicted or ''corrected''.<ref>
{{Citation | last1=Chen
| first1=Wenfang.
| last2=Kee
| first2=Daniel D.
| title=Advanced Mathematics for Engineering and Science
| publisher=World Scientific
| ___location=MA, USA
| isbn=981-238-292-5
| year=2003}}.</ref> Assuming that the quantity <math>\textstyle f(x, y)</math> on the right hand side of the equation can be thought of as the slope of the solution sought at any point <math>\textstyle (x, y) </math>, this can be combined with the Euler estimate of the next point to give the slope of the tangent line at the right end-point. Next the average of both slopes is used to find the corrected coordinates of the right end interval.
==Derivation==
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