I've been told numerical methods in solving ODEs, such as Euler's method and Runge-Kutta, are all in some way approximations to Picard's iteration, and I'm trying to understand how.
Suppose we have a differential equation on an interval :
with initial condition
I would like to numerically solve the equation on a set of points , i.e. obtain approximations to the true solution for each .
Picard's iteration works as follows:
suppose we stop for , then take
We then repeat the process for .
So is the idea of a numerical method (e.g. Euler's method) to replace the integral with an approximation such as (Euler's method)? What I don't understand is why numerical methods only iterate once for each point (in other words, ) but Picard's iteration suggests you should iterate multiple (potentially many) times for each ?