Backward Euler method

In numerical analysis and scientific computing, the backward Euler method (or implicit Euler method) is one of the most basic numerical method for the solution of ordinary differential equations. It is similar to the (standard) Euler method, but differs in that it is an implicit method. The backward Euler method has order one and is A-stable.

Description

Consider the ordinary differential equation $y'=f(t,y)$ with initial value $y(t_{0})=y_{0}.$ A numerical method produces a sequence $y_{0},y_{1},y_{2},\ldots$ such that $y_{k}$ approximates $y(t_{0}+kh)$, where $h$ is called the step size.

The backward Euler method computes the approximations using

$y_{k+1}=y_{k}+hf(t_{k+1},y_{k+1}).$

This differs from the (forward) Euler method in that the latter uses $f(t_{k},y_{k})$.

The backward Euler method is an implicit method: the new approximation $y_{k+1}$ appears on both sides of the equation, and thus the method needs to solve an algebraic equation. Sometimes, this can be done by fixed-point iteration:

$y_{k+1}^{[0]}=y_{k},\quad y_{k+1}^{[i+1]}=y_{k}+hf(t_{k+1}^{[i]},y_{k+1}^{[i]}).$

If this sequence converges (within a given tolerance), then the method takes its limit as the new approximation $y_{k+1}$.

Alternatively, one can use (some modification of) the Newton–Raphson method to solve the algebraic equation.

Derivation

Integrating the differential equation $y'=f(t,y)$ from $t_{k}$ to $t_{k+1}=t_{k}+h$ yields

$y(t_{k+1})-y(t_{k})=h\int _{t_{k}}^{t_{k+1}}f(\tau ,y(\tau ))\,\mathrm {d} \tau .$

Now approximate the integral on the right by the right-hand rectangle method (with one rectangle):

$y(t_{k+1})-y(t_{k})\approx hf(t_{k+1},y(t_{k+1}))\,\mathrm {d} \tau .$

Finally, use that $y_{k}$ is supposed to approximate $y(t_{k})$ and the formula for the backward Euler method follows.

The same reasoning leads to the (standard) Euler method if the left-hand rectangle rule is used instead of the right-hand one.

Analysis

The pink region outside the disk shows the stability region of the backward Euler method.

The backward Euler method has order one. It is A-stable and even L-stable, making it suitable for the solution of stiff equations.

Extensions and modifications

The backward Euler method is a variant of the (forward) Euler method. Other variants are the semi-implicit Euler method and the exponential Euler method.

The backward Euler method can be seen as a Runge–Kutta method with one stage, described by the Butcher tableau:

${\begin{array}{c|c}1&1\\\hline &1\\\end{array}}$

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 methods, and also of the family of backward differentiation formulas.

References

• Butcher, John C. (2003), Numerical Methods for Ordinary Differential Equations, New York: John Wiley & Sons, ISBN 978-0-471-96758-3.