Euler
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knk89Euler
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knk89Euler's Me thod for First Order Differential Equations The simplest method of numerical integration is Euler's method, which
is presented now. Consider the first order differential equation:
(eq.1) Starting at some time, t o, he value of y(to +h) can then be approximated by the value of y(t o ) plus the time step multiplied by the slope of the function, which is the derivative of y(t). This is simply a first order T aylor expansion.
we will call this approximate value y*(t)
(eq. 2) So, if we can calculate the value of dy/dt at time t o (using equation 1) then we can generate an approximation for the value of y at time to +h using equation 2. We can then use this new value of y (at t o) to find dy/dt (at to ) and repeat. Although this seems circular, if properly used it can generate an approximate solution. This is referred to as Euler's method. This process is shown graphically below for a single iteration of the process.
In this diagram you can see how the time step, h, and the slope of the function, k1 , are used to generate y*(t o +h) from y(to). The basic idea is as follows. By the definition of a derivative, y_(x) = lim( f (x + h) f (x))/h h0 For small h > 0, then the above equation implies that a reasonable difference quotient approximation for y_(x) is
y_(x) = (f (x + h) f (x))/h (f (x + h) f (x))/h= F(x, y) which can be rewritten as f (x + h) = f (x) + hF(x, y) or, equivalently, as y(x + h) = y(x) + hF(x, y(x)) which enables one to approximate y(x + h) in terms of y(x) and F(x, y(x)).
Illustration of the Euler method. Fig(i)The unknown curve is in blue, and its polygonal approximation is in red. Fig(ii) Shows the deviation between the point y 1 on the actual curve and that obtained by means of Eulers Approximation.
