Runge–Kutta methods | Numerical differential equations
Midpoint method
In numerical analysis, a branch of applied mathematics, the midpoint method is a one-step method for numerically solving the differential equation, The explicit midpoint method is given by the formula the implicit midpoint method by for Here, is the step size — a small positive number, and is the computed approximate value of The explicit midpoint method is sometimes also known as the modified Euler method, the implicit method is the most simple collocation method, and, applied to Hamiltonian dynamics, a symplectic integrator. Note that the modified Euler method can refer to Heun's method, for further clarity see List of Runge–Kutta methods. The name of the method comes from the fact that in the formula above, the function giving the slope of the solution is evaluated at the midpoint between at which the value of is known and at which the value of needs to be found. A geometric interpretation may give a better intuitive understanding of the method (see figure at right). In the basic Euler's method, the tangent of the curve at is computed using . The next value is found where the tangent intersects the vertical line . However, if the second derivative is only positive between and , or only negative (as in the diagram), the curve will increasingly veer away from the tangent, leading to larger errors as increases. The diagram illustrates that the tangent at the midpoint (upper, green line segment) would most likely give a more accurate approximation of the curve in that interval. However, this midpoint tangent could not be accurately calculated because we do not know the curve (that is what is to be calculated). Instead, this tangent is estimated by using the original Euler's method to estimate the value of at the midpoint, then computing the slope of the tangent with . Finally, the improved tangent is used to calculate the value of from . This last step is represented by the red chord in the diagram. Note that the red chord is not exactly parallel to the green segment (the true tangent), due to the error in estimating the value of at the midpoint. The local error at each step of the midpoint method is of order , giving a global error of order . Thus, while more computationally intensive than Euler's method, the midpoint method's error generally decreases faster as . The methods are examples of a class of higher-order methods known as Runge–Kutta methods. (Wikipedia).
