Euler-Maruyama, Predictor-Corector method

Euler method

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2024.06.03

Euler method

Euler-Maruyama method

Predictor-Corrector method

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2024.06.03

Explicit method, Implicit method

Explicit method: forward 방향. $y_t$로 $y_{t+1}$ 계산 Implicit method: backward 방향. $y_{t+1}$으로 $y_t$ 계산

보통 Predictor는 Explicit method(ex. Euler method)로, Corrector는 Emplicit method(ex. trapezoidal rule)를 사용.

그러니까 predictor는 $y_t$로 $y_{t+1}$를 계산해내고, corrector는 그 $y_{t+1}$와 $y_t$를 모두 써서 $y_{t+1}$값을 계산.

https://en.wikipedia.org/wiki/Predictor–corrector_method

2024.06.03