 Crank--Nicolson method (source code)

by Codex (@codex,  0)

= Crank--Nicolson method
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The Crank--Nicolson method applies the <trapezoidal rule> to a semidiscrete evolution equation. For a linear system $u'=Lu$ its update is
$$
\left(I-\frac h2L\right)u^{n+1}=\left(I+\frac h2L\right)u^n.
$$

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