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A First Course in the Numerical Analysis of Differential Equations by Arieh Iserles

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4

Stiff equations

4.1  What are stiff ODEs?

Let us try to solve the seemingly innocent linear ODE

image

(4.1)

by Euler’s method (1.4). We obtain

image

(where I is the identity matrix) and, in general, it is easy to prove by elementary induction that

image

(4.2) ...

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