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 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