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rel="nofollow" href="#uf1e56f7f-72fe-58ff-b6c8-b02923aac331">22, and 23.

      6 The initial value problem (2.1) was originally used as a model test of finite difference methods in (Dahlquist (1956)). The resulting results and insights are helpful when dealing more complex IVPs.

      We now discuss finding an approximate solution to Equation (2.1) using the finite difference method. We introduce several popular schemes as well as defining standardised notation.

      Not only do we have to approximate functions at mesh points, but we also have to come up with a scheme to approximate the derivative appearing in Equation (2.1). There are several possibilities, and they are based on divided differences. For example, the following divided differences approximate the first derivative of u at the mesh point t Subscript n Baseline equals n asterisk k;

      (2.8)StartLayout 1st Row upper D Subscript plus Baseline u Superscript n Baseline identical-to StartFraction u Superscript n plus 1 Baseline minus u Superscript n Baseline Over k EndFraction 2nd Row upper D Subscript minus Baseline u Superscript n Baseline identical-to StartFraction u Superscript n Baseline minus u Superscript n minus 1 Baseline Over k EndFraction 3rd Row upper D 0 u Superscript n Baseline identical-to StartFraction u Superscript n plus 1 Baseline minus u Superscript n minus 1 Baseline Over 2 k EndFraction EndLayout right-brace

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      (2.9)StartLayout Enlarged left-brace 1st Row bar upper D Subscript plus-or-minus Baseline u left-parenthesis t Subscript n Baseline right-parenthesis minus u prime left-parenthesis t Subscript n Baseline right-parenthesis bar less-than-or-equal-to italic upper M k comma n equals 0 comma 1 comma ellipsis 2nd Row bar upper D 0 u left-parenthesis t Subscript n Baseline right-parenthesis minus u prime left-parenthesis t Subscript n Baseline right-parenthesis bar less-than-or-equal-to italic upper M k squared comma n equals 0 comma 1 comma ellipsis EndLayout

      Note that the first two approximations use two consecutive mesh points while the last formula uses three consecutive mesh points.

      We now decide on how to approximate Equation (2.1) using finite differences. To this end, we need to introduce two new concepts:

       One-step and multistep methods

       Explicit and implicit schemes.

      A one-step method is a finite difference scheme that calculates the solution at time-level n plus 1 in terms of the solution at time-level n. No information at levels n minus 1, n minus 2, or previous levels is needed in order to calculate the solution at level n plus 1. A multistep method, on the other hand, is a difference scheme where the solution at level n plus 1 is determined by values at levels n comma n minus 1 and possibly previous time levels. Multistep methods are more complicated than one-step methods, and we concentrate solely on the latter methods in this book.

      An explicit difference scheme is one where the solution at time n plus 1 can be calculated from the information at level n directly. No extra arithmetic is needed: for example, using division or matrix inversion. An implicit finite difference scheme is one in which the terms

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