Given

Ivp

y Hl Hy T oates

yeol I
since this is a linear
ODE

y 7

ency f eat 1C

f Cet
ye
 I 1
substituting the initial
condition

yHl s

to
By chopping
1 101 0.3333
4

to
c

2 Ct I Ig'ext
error
is not
significant
If X o
then the
error can be come

t
significant as
grows

The al of well
g
posedness is to make
sure that the round off
error is
neglible
is well
Ivp posed

4.2.21
Friday
The of introducing
goal
well is to male
posedless
sun that the round off
is
error
insignificant
 conditions
Lipschitz
f Ct satisfies a
Lipschitz
y
condition in set
y on a

DEN if a constant Lso

exists with
Ifct y fct.gr lELlYi y
V f
y Ct.gr ED

A sufficient condition
for a function f
to
satisfy
condition
a
Lipschitz
is if a constant L o exists
such that

i I let fit b
p
 Theorem 5 6

suppose
that D Let.pl If's
If f is continuous and
satisfies a
Lipschitz condition

in the variable the set

y
on

D then the Ivp

ftp.flt.y d
a Eb

yeah
is well posed

Example
dy
It thy 11 octet

11101 1
show that the
Ivp
problem above is well posed

Solution
The function is continuous

of
t
Ty
of
IT l t'ed
So f satisfies a
Lipschitz
condition

B y theorem 5.6
well
the
Ivp is
posed
continuous
Lipschitz
For
example
Fey ysincty
 I I
sinfy f
1 1 cos

let then
ye z h

I Fyffe l Zahl Zak

Encer
The
simplest numerical
method for solving IVP
It is based on a

first order
Taylor approximation

The first step with

Euler method is
using
to define a
computational
grid
For Ntt
grid points
the width f each subitewal
a Eb
is

he be
N

h is the step size

The grid points

tie at ih

In Matlab a b Ntl

Derivation of the
Euler method for
the
solving Ivp problem
Flt y
y Ctt L
Mat
 the
We Taylor series
to approximate
expansion
the solution to the next
grid point
Yeltiti yctiltlti i.fi y'Hi
ti n fi
2 y al
ti tis
E
I E

ylti.it yftifthy'HiHhIyY
yftilthflti ylti thIyYl
first order
In Euler our
approximation
removes the reminder in

Dente the approximation of

ti Wi
y as
 and we have

Wit With f Hi wi

i o.li N

Example
Use the Euler method

to
approximate yal
dy
Tt HY with

ylo s t h o s

Wo I
w I Ifl I
f
wz f 1 l
Il
 2

I
8
1 117 if
The exact solution
is 0.36
41,1
Error Analysis
We can use Taylor's
theorem to
guantify the
error in our
approximation

For the
step
error
single
a

in our
approximation is governed
h
by Y al If M is
2
an
upper bound for
y t
 I
over a b then the magnitude
of the error at each

step is bounded by h

Global error is the sum

of the one
step errors

e
thin but h'm
hlb a In

The
global error is

to h
proportional
Geometric Interpertation
f Hi wi i
Y'Hi
fl ti
4ft
 Yr yet
f

ath
L
f aid

f ft wi
y
wi the approximation
for
yet
Theorem Error
analysis
of Euler's method
et f be a continuous
function that satisfies a

Lipschitz condition with a constant

L on D c a 57 112
 f I EM for all
and
ly
te a b and is
yet
a

unione solution to the

Ivp
problem
A fit yH
y
yea L a Eb

Then the seeuence wi

the Euler
generated by
method satisfies
a

Ect
lytti w
ezh
for
y
It trivial
proof is

i o For i21 Taylor's

theorem States that

ycti.it ylti thfcti.yltiDtE4iiil

 method have
By Euler we

Wit wit hf Iti W

Denote yet
yi
fHi.wil
y
titi Wit
Yi withhlflti.fi
E y ll

lylti.li WitilE
lyi wilthIfHi yi ffti.Ui

thly hill
E l Yi Willi 1hL 112M
 We need the following
Lemma

Leja Let sit o

and a b satisfying
a I
s l

hit Eai Its 1 t

for i o K 1
The
ai e Ca 1 SI
proof
Ait Ects Its ai 1T

t E Its a

t t Its thts I t
fits 14
geometric series
 9

Its a.tt HssII

Cts1 a I
t
J
ai E fits fa.tt sI
By Taylor expansion

es Hst e ZHS
E N
I Es

Its t's esciti

 ai I
yi wit
se h L t HI
2

I
Yi ti Wit l E
111hL
di f y W

h 214

27L
htt
2h22
III

ekiti att
 Weakness is that the
bound of the second
derivative must be

known If
Itis fct yet Tf
y
Y HI II It yet
t
Efft.yHD fit
yet

yfti.ir ylti
hflti
yilthIy II

neglected
we define the truncation
error at each step
Titi h

yfti.it thftiyHi
h

YHiti y Iti
fftiiylt.tl
h
y ll where
2 7 ecti.ti.ie
If is bounded
M
y q
by
Ii 1,911 E had

The local truncation

error in this case is
 to h
proportional
Euler is called first
order

och
with bigger
k

we have better approximations

01h1
method of order
Taylor
in och

In order
higher Taylor
method we use more terns
than just the linear term
 Given Ivp problem
Itis fit
y L
yet
aeteb
yea

Let the difference

eeuation method

Witi With Icfi Wi

Wo L

with Euler II f

ti
yfti.it yCti thy
t
Ey ntl
t tilt
thy Iti

y ll

y.lt fct.ylt1
y f ft 4111
f ft Nfl
y
 I
f It
Yffiti y Hilth yall

th f Iti yH t.eu fYIiyHif

i f Iti Nti

Example
t
fit t t
yet y
Find It to
Corresponding
method of order
Taylor
2

Solution
f Ct Ntl it
y
Lt
y t 11
 Then

E Wi t.hl fffi.lv
hz f Iti Wi

Wi t 11 th wi th 24

wi t'tl It E HE let
The local truncation
error

kit h Yi 11
Yi hollti.fi
2

I ol Iti Yi
n
 01h
Example
If
th
y
4101 1
with Euler and h 0.5

will 2.25
of degree
with
Taylor
2 we
2.64
get Wal 2.69

4111
with of
Taylor degree 2
better
we performed much
Definition
A numerical method is

called consistent if the

local truncation error is
smaller h
getting as gets
smaller

Lion maxtichllio

Consistency implies that

the numerical method is

accurately reflecting the

ODE

Definition A numerical
method is convergent if the
error gets smaller as h to

limmax Iwi Yuill 0

h lo le ich
 Stability
A numerical method is

stable if there exists

constant K and size
a
step
to such that

iwi Tv lekly
i
Il
0,1 n
Futions
Iviul
tu
toil
Eiti
whenever heh the 1B al

stability means that

small error in the initial
data produces a small
in the approximation
changes
of the solution
Theorem

Suppose that the Ivp

y'itlifft
aetes
yet
2
Hal
is approximated by a

method which has the form

Witi witholetiw
Wo L aftab
h o and 4ft w h
is continuous and satisfies
a
Lipschitz condition
in w with a constant
L on

D Ht.mn aeotEIeY.e
Then the method is
stable
 Lik
stability is

which
hell pose dress is
to the numerical
applied
method we use

Example
dy on

Euler method
Using
wit With f 100W 2

lo h
Will ooh Wi I
i
N

was fl Cooh

For h Too 3
Was Co S
 If h to then
was f S

he fo then
Then if
the method is unstable
and he tooo is stable