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Differential Equations

Euler’s Method

Differential Equations

A differential equation is a relation between the independent variable (x), the

dependent variable (y) and its derivatives (y’,y’’,y’’’,y

(4)

,…). Some of these

variables might be missing from the equation. Many situations in not only

mathematics, but physics, engineering, biology, chemistry, economics as well as

many other disciplines can be described using differential equations. Here are

some examples:

0

2

2

= + u

u

l

g

dt

d

Harmonic Oscillator

g

dt

s d

÷ =

2

2

Free Falling Body

) (

m

T T k

dt

dT

÷ =

Newton’s Law of

Cooling

( )

2

2

2

1

dx

dy

k

dx

y d

+ =

Shape of a

hanging string

kP

dt

dP

=

Population Growth

) ( bP a P

dt

dP

÷ =

Population Growth

(limited resources)

kxy

dt

dx

= Spread of Disease

Predator-Prey

)

`

¹

+ ÷ =

÷ =

) (

) (

y x

x y

dt

dx

dt

dy

o ¸

| o

Given equations like these we would like to “solve” them.

There are many known methods to solve differential equations using non-

numerical techniques (i.e. by hand). Most of these involve integration methods. As

we have previously mentioned it is not always possible to find a closed form

antiderivative for a given function made up of functions we commonly use.

To the right is an example of an explicit solution of a

separable (Newton’s Law of Cooling) differential equation

by non-numerical methods.

Notice the c

0

term that appears in the solution. This come

from not knowing the constant (+C) when you integrate.

If we knew a certain value for the function say T(1)=95°,

for example, we could find the value for c

0

and thus have

everything we need to solve the differential equation.

This specific piece of information is sometime called a

boundary condition for the differential equation. This

will become an important part of generating a numerical

solution for a differential equation.

Since some antiderivatives do not have a closed form

made up of common function neither will the solutions to

some differential equations.

) (

m

T T k

dt

dT

÷ =

dt k dT

T T

m

=

÷

1

} }

=

÷

dt k dT

m

T T

1

( ) C kt T T

m

+ = ÷ ln

C kt T T

e e

m

+ ÷

=

) ln(

kt

m

e c T T

0

= ÷

kt

m

e c T T

0

+ =

First Order Degree 1 Differential Equations

The study of differential equation is a subject of its own. The way they are

normally studied is much like solving algebraic equations, look to see if the

differential equation fits a certain pattern and then apply a certain technique to it.

The methods we will focus on here will all have the same initial problem. We will

be given a differential equation with the derivative a function of the dependent and

independent variable and an initial condition.

0 0

) ( ) , ( y x y and y x f

dx

dy

= =

The solution which we call a function y(x) to

such an equation can be pictured

graphically. The point (x

0

,y

0

) must be on the

graph. The function y(x) would also satisfy

the differential equation if you plugged y(x) in

for y. y

0

x

0

(x

0

,y

0

)

y(x)

)) ( , ( ) ( '

) , (

x y x f x y

y x f

dx

dy

=

=

Solutions to Equations

The solution to a differential equation (unlike an algebraic equation) is a function.

The problem with this is there are many ways to describe functions. Some can

be described in terms of some equation relating the dependent and independent

variable, some by a graph and some by a very complicated rule.

The way we will “solve” a differential equation is to use the definition of a

function. That is to say if we are given a differential equation y’(x) = f(x,y) with a

boundary condition y(x

0

) = y

0

and another value of x, say x

act

we can find a

number y

act

so that y(x

act

) = y

act

.

y

0

x

0

(x

0

,y

0

)

y(x)

(x

act

,y

act

)

y

act

x

act

The problem that exists is that y

n

can not

be exactly computed only estimated.

There are several different ways in which

to estimate the value for y

n

. We will study

a couple of them in this section.

The point (x

0

,y

0

) is called the initial point

and the point (x

act

,y

act

) is called the

terminal point.

Euler’s Method

The method that Euler used to estimate a solution (i.e. the corresponding value of y

for a given value of x) of a differential equation was to follow the tangent line from

the initial point to the terminal point.

y

0

x

0

(x

0

,y

0

)

y(x)

(x

act

,y

act

)

y

act

x

act

y

n

Here we use the value y

n

to estimate the

value of y

act

. This can be directly computed

from the information given by the following

equation.

) )( , (

) )( , (

0 0 0 0

0 0 0 0

x x y x f y y

x x y x f y y

act n

act n

÷ + =

÷ = ÷

The insight that Euler had was to see how this estimate could be improved on.

The strategy he used was to divide the interval [x

0

,x

act

] (or [x

act

,x

0

] in the case

x

act

<x

0

) into equal subintervals and recompute the tangent line as you go. This

would not allow the tangent line to “drift” far from the function itself. This would

hopefully produce a more accurate estimate for y

act

at the end.

(x

4

,y

4

)

(x

3

,y

3

)

(x

2

,y

2

)

(x

1

,y

1

)

x

0

(x

0

,y

0

)

(x

act

,y

act

)

x

4

x

1

x

2

x

3

To Apply Euler’s Method

1. Divide the interval n equal subintervals. (In

our example 4.)

2. Compute the width of each subinterval

which is Ax=h=(x

n

-x

0

)/n.

3. Compute the sequence of points as

follows:

Ax

y

0

¹

´

¦

A + =

A + =

=

x y x f y y

x x x

y x

) , (

) , (

0 0 0 1

0 1

1 1

¹

´

¦

A + =

A + =

=

x y x f y y

x x x

y x

) , (

) , (

1 1 1 2

1 2

2 2

¹

´

¦

A + =

A + =

=

x y x f y y

x x x

y x

) , (

) , (

2 2 2 3

2 3

3 3

¹

´

¦

A + =

A + =

=

x y x f y y

x x x

y x

) , (

) , (

3 3 3 4

3 4

4 4

In general the coordinates of the

point (x

n+1

,y

n+1

) can be computed

from the coordinates of the point

(x

n

,y

n

) as follows:

¹

´

¦

A + =

A + =

=

+

+

+ +

x y x f y y

x x x

y x

n n n n

n n

n n

) , (

) , (

1

1

1 1

Example:

Given the differential equation to the right with its boundary

conditions find the value of y(2) using Euler’s method with

4 iterations.

1 ) 0 (

2

=

=

y

y x

dx

dy

2

1

4

0 2

. 2 = = A =

÷

x h

2 1 0 . 1

4 0 0

= = = x and y and x

( ) ¦

¹

¦

´

¦

= · + =

= + =

1 1 0 1

0

. 3

2

1

2

1

2

1

2

1

1

y

x

( ) ( ) ¦

¹

¦

´

¦

= + = · + =

= + =

125 . 1 1 1 1

1

. 4

8

1

2

1

2

2

1

2

2

1

2

1

2

y

x

( ) ( ) ¦

¹

¦

´

¦

= + = · + =

= + =

6875 . 1 5625 . 125 . 1 125 . 1 1 125 . 1

5 . 1 1

. 5

2

1

2

3

2

1

3

y

x

( ) ( ) ¦

¹

¦

´

¦

= + = · + =

= + =

58594 . 3 89844 . 1 6875 . 1 6875 . 1 5 . 1 6875 . 1

2 5 . 1

. 6

2

1

2

4

2

1

4

y

x

The actual solution

is:

3

3

1

x

e y =

3919 . 14 ) 2 (

3

8

= =e y

Algorithm for Euler’s Method

Given

f(x,y) (* expression for x and y *)

x0 (* initial value for x *)

y0 (* initial value for y *)

xn (* terminal value for x *)

n (* number of partitions of the interval *)

deltax = (xn-x0)/n

x

i

= x0

xprev = x

i

yi = y0

for(i=1, isn, i++,

x

i

= x

i

+ deltax

y

i

= y

i

+ f(xprev,y

i

)*deltax)

xprev=x

i

Return y

i

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