3/17/2008

03-17-08 - 2

I've always known that implicit integration is like "the stable way" , but I guess I don't really grok *why* it's super stable. I guess if you look at some graphs of the potential wells of spring forces you can kind of get why it works for those, with a regular Euler integrator you are drawing these tangents that are very steep and you easily overshoot, whereas if you step ahead and take the tangent of the end-point it's milder. But that feels awfully hand wavey.

Anyway, I reminded myself that even the implicit Euler is really very rough and not what you want, because it is just evaluating the function at one point along the time step.

You want to solve (d/dt) y(t) = F(y,t) . When you discretize to steps of " h ", ideally you'd get the average F over the [ t , t+h ] interval. But if you could analytically get the average over the interval you could just analytically solve the whole thing and you wouldn't have to numerically integrate at all. Which of course I guess should always be the first step that we sometimes forget - see if you can just solve it and fuck this numerical shit.

Euler : (bad)

( y(t+h) - y(t) ) / h = F( y(t), t )

Implicit Euler : (stable, but still bad)

( y(t+h) - y(t) ) / h = F( y(t+h), t+h )

Midpoint : (pretty accurate)

( y(t+h) - y(t) ) / h = F( y(t) + (h/2)*F(y(t),t) , t+h/2 )

Implicit Midpoint : (accurate & stable)

( y(t+h) - y(t) ) / h = F( (y(t) + y(t+h))/2 , t+h/2 )

In particular, implicit midpoint will actually keep you on the correct path in phase space {p,q} when you're solving a Hamiltonian system. There will be error, but it will be parametric error in following the path, not error that makes you jump to other paths.

Of course for implicit methods you have to do algebra to solve for y(t+h) in terms of y(t) which is not always possible.

I guess this is all duh duh review. Also more generally Runge-Kutta is a much more accurate version of "midpoint" and then you could also do implicit Runge-Kutta as well.

The thing I forget sometimes is that the standard Implicit Euler that we like to use in games is not like the awesome solution. It just happens to be super stable for spring type systems, but it actually acts like an artificial damping of the system, numerically in terms of how close it gets to the right answer it's very bad, in fact it's just as bad as the plain forward Euler.

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