Explicit and implicit methods

Explicit and implicit methods are approaches used in numerical analysis for obtaining numerical approximations to the solutions of time-dependent ordinary and partial differential equations, as is required in computer simulations of physical processes. Explicit methods calculate the state of a system at a later time from the state of the system at the current time, while implicit methods find a solution by solving an equation involving both the current state of the system and the later one. Mathematically, if is the current system state and is the state at the later time ( is a small time step), then, for an explicit method while for an implicit method one solves an equation to find Implicit methods require an extra computation (solving the above equation), and they can be much harder to implement. Implicit methods are used because many problems arising in practice are stiff, for which the use of an explicit method requires impractically small time steps to keep the error in the result bounded (see numerical stability). For such problems, to achieve given accuracy, it takes much less computational time to use an implicit method with larger time steps, even taking into account that one needs to solve an equation of the form (1) at each time step. That said, whether one should use an explicit or implicit method depends upon the problem to be solved. Since the implicit method cannot be carried out for each kind of differential operator, it is sometimes advisable to make use of the so called operator splitting method, which means that the differential operator is rewritten as the sum of two complementary operators while one is treated explicitly and the other implicitly. For usual applications the implicit term is chosen to be linear while the explicit term can be nonlinear. This combination of the former method is called Implicit-Explicit Method (short IMEX,). Consider the ordinary differential equation with the initial condition Consider a grid for 0 ≤ k ≤ n, that is, the time step is and denote for each .