Advanced Engineering Mathematics, 10th Edition

CHAPTER 21

Numerics for ODEs and PDEs

Ordinary differential equations (ODEs) and partial differential equations (PDEs) play a central role in modeling problems of engineering, mathematics, physics, aeronautics, astronomy, dynamics, elasticity, biology, medicine, chemistry, environmental science, economics, and many other areas. Chapters 1–6 and 12 explained the major approaches to solving ODEs and PDEs analytically. However, in your career as an engineer, applied mathematicians, or physicist you will encounter ODEs and PDEs that cannot be solved by those analytic methods or whose solutions are so difficult that other approaches are needed. It is precisely in these real-world projects that numeric methods for ODEs and PDEs are used, often as part of a software package. Indeed, numeric software has become an indispensable tool for the engineer.

This chapter is evenly divided between numerics for ODEs and numerics for PDEs. We start with ODEs and discuss, in Sec. 21.1, methods for first-order ODEs. The main initial idea is that we can obtain approximations to the solution of such an ODE at points that are a distance h apart by using the first two terms of Taylor's formula from calculus. We use these approximations to construct the iteration formula for a method known as Euler's method. While this method is rather unstable and of little practical use, it serves as a pedagogical tool ...