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Next: Comparison Up: Multistep Methods Previous: Adams Methods.

Backward Differentiation Formulas

Another type of multistep method arises by using a polynomial to approximate the solution of the initial value problem rather than its derivative , as in the Adams methods. We them differentiate and set equal to to obtain an implicit formula for . These are called backward differentiation formulas.

The simplest case uses a first degree polynomial . The coefficients are chosen to match the computed values of the solution and . Thus A and B must satisfy

 

Since , the requirement that

is just

 

Another expression for A comes from subtracting the first of Eqs. (5) from the second, which gives

Substituting this value of A into Eq. (6) and rearranging terms, we obtain the first order backward differentiation formula

 

Note that this equation is the backward Euler formula, we had seen earlier.

By using higher order polynomials and correspondingly more data point one can obtain backward differentiation formulas of any order. The second order formula is

and the fourth order formula is

These formulas have local truncation error proportional to and , respectively.



Dinesh Manocha
Sun Mar 29 02:59:14 EST 1998