Monday, February 1, 2010

Crank-Nicolson Method

An implicit scheme, invented b John Crank (1916-) and Phyllis Nicolson (1917-1968), is based on numerical approximations for solutions at the point [Graphics:Images/CrankNicolsonMod_gr_68.gif] that lies between the rows in the grid. Specifically, the approximation used for [Graphics:Images/CrankNicolsonMod_gr_69.gif] is obtained from the central-difference formula,

[Graphics:Images/CrankNicolsonMod_gr_70.gif].

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Introductory Methods of Numerical Analysis