Explicit and implicit methods

Explicit and implicit methods are approaches used in using the simplest explicit and implicit methods, which
numerical analysis for obtaining numerical approxima- are the forward Euler and backward Euler methods (see
tions to the solutions of time-dependent ordinary and numerical ordinary dierential equations) and compare
partial dierential equations, as is required in computer the obtained schemes.
simulations of physical processes.
Explicit methods calculate the state of a system at a later Forward Euler method
time from the state of the system at the current time, while
implicit methods nd a solution by solving an equation
involving both the current state of the system and the later
one. Mathematically, if Y (t) is the current system state
and Y (t + t) is the state at the later time ( t is a small
time step), then, for an explicit method

Y (t + t) = F (Y (t))

while for an implicit method one solves an equation

( )
G Y (t), Y (t + t) = 0 (1)

to nd Y (t + t). The result of applying the two methods with a = 5 and n = 30

It is clear that implicit methods require an extra compu- .
tation (solving the above equation), and they can be much
harder to implement. Implicit methods are used because The forward Euler method
many problems arising in practice are sti, for which the
use of an explicit method requires impractically small ( )
time steps t to keep the error in the result bounded (see dy yk+1 yk
= yk2
numerical stability). For such problems, to achieve given dt k t
accuracy, it takes much less computational time to use an
yields
implicit method with larger time steps, even taking into
account that one needs to solve an equation of the form
(1) at each time step. That said, whether one should use
an explicit or implicit method depends upon the problem yk+1 = yk tyk2 (3)
to be solved.
for each k = 0, 1, . . . , n. This is an explicit formula for
yk+1 .

1 Illustration using the forward Backward Euler method

and backward Euler methods
With the backward Euler method
Consider the ordinary dierential equation

yk+1 yk
= yk+1
2
dy t
= y 2 , t [0, a] (2)
dt one nds the implicit equation
with the initial condition y(0) = 1. Consider a grid tk =
a nk for 0 k n, that is, the time step is t = a/n, and
2
denote yk = y(tk ) for each k . Discretize this equation yk+1 + tyk+1 = yk

1
2 2 SEE ALSO

for yk+1 (compare this with formula (3) where yk+1 was
given explicitly rather than as an unknown in an equation).
This is a quadratic equation, having one negative and one
positive root. The positive root is picked because in the
original equation the initial condition is positive, and then
y at the next time step is given by

1 + 1 + 4tyk
yk+1 = . (4)
2t
In the vast majority of cases, the equation to be solved
when using an implicit scheme is much more compli-
cated than a quadratic equation, and no analytical solu-
tion exists. Then one uses root-nding algorithms, such
as Newtons method, to nd the numerical solution.

2 See also
CourantFriedrichsLewy condition

SIMPLE algorithm, a semi-implicit method for

pressure-linked equations
 3

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