Classical Runge-Kutta Method

Proof Technique
Consider the first order ODE:
 * $(1): \quad y' = f \left({x, y}\right)$ subject to the initial condition $y \left({x_0}\right) = y_0$

where $f \left({x, y}\right)$ is continuous.

Let $y \left({x}\right)$ be the solution of $(1)$.

For all $n \in \N_{>0}$, we define:
 * $x_n = x_{n-1} + h$

where $h \in \R_{>0}$.

Let the following numbers be calculated:

Then for all $n \in \N_{>0}$ such that $x_n$ is in the domain of $y$:
 * $y_{n+1} = y_n + \dfrac 1 6 \left({m_1 + 2 m_2 + 2 m_3 + m_4}\right)$

is an approximation to $y \left({x_{n+1} }\right)$.

Also known as
Thie method is just one member of the family of Runge-Kutta Methods and so is often referred to with more specific names:
 * RK4
 * Classical Runge-Kutta Method

but usually it is simply known as the Runge–Kutta method.