theta-method

E413442

The theta-method is a family of numerical time-stepping schemes for solving ordinary and partial differential equations that unifies explicit, implicit, and Crank–Nicolson methods through a single weighting parameter.

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theta-method canonical 1

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Predicate Object
instanceOf family of numerical methods
finite difference time discretization method
numerical time-stepping scheme
one-step method
appliesTo initial value problems
ordinary differential equation systems
parabolic partial differential equations
basedOn time discretization of differential equations
category single-parameter generalization of Euler and Crank–Nicolson schemes
hasParameter theta
hasParameterType weighting parameter
hasProperty A-stability for theta ≥ 1/2 in linear test problems
conditionally stable for theta < 1/2
unconditionally stable for theta ≥ 1/2 on the linear test equation
hasUpdateFormula u_{n+1} = u_n + Δt[(1−theta) f(t_n,u_n) + theta f(t_{n+1},u_{n+1})] for ODEs
implementedIn many scientific computing libraries and PDE solvers
is explicit method when theta = 0
implicit method when theta ≠ 0
orderOfAccuracy first order for theta ≠ 1/2
second order for theta = 1/2
relatedTo Runge–Kutta methods
linear multistep methods
requires solution of linear or nonlinear algebraic equations for theta ≠ 0
specialCaseAtTheta theta = 0 gives explicit Euler method
theta = 1 gives implicit Euler method
theta = 1/2 gives Crank–Nicolson method
thetaInRange 0 ≤ theta ≤ 1
tradeOffs accuracy versus stability controlled by theta
stability versus numerical damping controlled by theta
unifies Crank–Nicolson scheme
surface form: Crank–Nicolson method

explicit Euler method
implicit Euler method
usedFor solving ordinary differential equations
solving partial differential equations
time integration in numerical simulations
usedIn finite difference methods for time-dependent PDEs
method-of-lines discretizations

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Crank–Nicolson scheme relatedTo theta-method