Finite Difference Approximations

f ( x + dx) f ( x)
x f
dx
+

Simple geophysical partial differential equations

Finite differences - definitions
Finite-difference approximations to pdes
Exercises
Acoustic wave equation in 2D
Seismometer equations
Diffusion-reaction equation

Finite differences and Taylor Expansion

Stability -> The Courant Criterion
Numerical dispersion

Finite Differences

Computational Seismology

Partial Differential Equations in Geophysics

2t p = c 2 p + s
= ( 2x + 2y + 2z )
PP
cc
ss

pressure
pressure
acoustic
acousticwave
wavespeed
speed
sources
sources

t C = kC v C RC + p
CC
kk
vv
RR
pp

Finite Differences

tracer
tracerconcentration
concentration
diffusivity
diffusivity
flow
flowvelocity
velocity
reactivity
reactivity
sources
sources

The acoustic
wave equation
- seismology
- acoustics
- oceanography
- meteorology

Diffusion, advection,
Reaction
- geodynamics
- oceanography
- meteorology
- geochemistry
- sedimentology
- geophysical fluid dynamics

Numerical methods: properties

Finite differences

- time-dependent PDEs
- seismic wave propagation
- geophysical fluid dynamics
- Maxwells equations
- Ground penetrating radar
-> robust, simple concept, easy to
parallelize, regular grids, explicit method

Finite elements

- static and time-dependent PDEs

- seismic wave propagation
- geophysical fluid dynamics
- all problems
-> implicit approach, matrix inversion, well founded,
irregular grids, more complex algorithms,
engineering problems

Finite volumes

- time-dependent PDEs
- seismic wave propagation
- mainly fluid dynamics
-> robust, simple concept, irregular grids, explicit
method

Finite Differences

Other numerical methods

Particle-based
methods

Boundary element
methods

Pseudospectral
methods

Finite Differences

- lattice gas methods

- molecular dynamics
- granular problems
- fluid flow
- earthquake simulations
-> very heterogeneous problems, nonlinear problems

- problems with boundaries (rupture)

- based on analytical solutions
- only discretization of planes
-> good for problems with special boundary conditions
(rupture, cracks, etc)

- orthogonal basis functions, special case of FD

- spectral accuracy of space derivatives
- wave propagation, ground penetrating radar
-> regular grids, explicit method, problems with
strongly heterogeneous media

What is a finite difference?

Common definitions of the derivative of f(x):

f ( x + dx) f ( x)
x f = lim
dx 0
dx
f ( x) f ( x dx )
x f = lim
dx 0
dx
f ( x + dx) f ( x dx)
x f = lim
dx 0
2dx
These are all correct definitions in the limit dx->0.
But we want dx to remain FINITE
Finite Differences

What is a finite difference?

The equivalent approximations of the derivatives are:

f ( x + dx ) f ( x)
x f
dx

forward difference

f ( x) f ( x dx )
x f
dx

backward difference

f ( x + dx) f ( x dx)
x f
2dx

Finite Differences

centered difference

The

big question:

How good are the FD approximations?

This leads us to Taylor series....

Finite Differences

Taylor Series

Taylor series are expansions of a function f(x) for some

finite distance dx to f(x+dx)
2
3
4
dx
dx
dx
f ( x dx) = f ( x) dxf ' ( x) +
f '' ( x )
f '' ' ( x ) +
f '''' ( x) ...
2!
3!
4!

What happens, if we use this expression for

f ( x + dx ) f ( x)
x f
dx
+

Finite Differences

Taylor Series

... that leads to :

2
3

f ( x + dx) f ( x) 1
dx
dx
'
''
' ''
=
f ( x) +
f ( x) + ...
dxf ( x) +
dx
dx
2!
3!

= f ' ( x) + O(dx)

The error of the first derivative using the forward

formulation is of order dx.
Is this the case for other formulations of the derivative?
Lets check!

Finite Differences

Taylor Series

... with the centered formulation we get:

3

dx
f ( x + dx / 2) f ( x dx / 2) 1
'
'''
=
f ( x) + ...
dxf ( x) +
dx
dx
3!

= f ' ( x) + O(dx 2 )

The error of the first derivative using the centered

approximation is of order dx2.
This is an important results: it DOES matter which formulation
we use. The centered scheme is more accurate!

Finite Differences

Alternative Derivation
f(x)

f ( xj )

dx
xj 1

h
xj

xj + 1

xj + 2

xj + 3

desired x location
What is the (approximate) value of the function or its (first,
second ..) derivative at the desired location ?
How can we calculate the weights for the neighboring points?
Finite Differences

Alternative Derivation
f(x)

Lets try Taylors Expansion

f ( x)

dx
f ( x + dx) f ( x) + f ' ( x)dx
f ( x dx) f ( x) f ' ( x)dx

(1)
(2)

we are looking for something like

f
Finite Differences

(i )

( x ) w f ( xindex ( j ) )
j =1 , L

(i )
j

2nd order weights

deriving the second-order scheme

af

bf

af

+ bf

af + af 'dx

bf bf ' dx

(a + b) f + (a b) f ' dx

the solution to this equation for a and b leads to

a system of equations which can be cast in matrix form
Interpolation

a +b =1
ab = 0
Finite Differences

Derivative

a+b = 0
a b = 1 / dx

Taylor Operators
... in matrix form ...
Interpolation

Derivative

1 a 1
=
1 b 0

1 a 0
=
1 b 1 / dx

... so that the solution for the weights is ...

a 1
=
b 1

Finite Differences

1

0

a 1
=
b 1

1 / dx

Interpolation and difference weights

... and the result ...
Interpolation

a 1 / 2

=
b 1 / 2

Derivative

a
1
=
b 2 dx

Can we generalise this idea to longer operators?

Let us start by extending the Taylor expansion beyond f(xdx):

Finite Differences

Higher order operators

*a |

( 2 dx ) 2
( 2 dx ) 3
f ( x 2 dx ) f ( 2 dx ) f '+
f ' '
f '''
2!
3!

*b |

( dx ) 2
( dx ) 3
f ( x dx ) f ( dx ) f '+
f ' '
f '''
2!
3!

*c |

( dx ) 2
( dx ) 3
f ( x + dx ) f + ( dx ) f '+
f ' '+
f '''
2!
3!

*d |

( 2 dx ) 2
( 2 dx ) 3
f ( x + 2 dx ) f + ( 2 dx ) f '+
f ' '+
f '''
2!
3!
... again we are looking for the coefficients a,b,c,d with which
the function values at x(2)dx have to be multiplied in order
to obtain the interpolated value or the first (or second) derivative!
... Let us add up all these equations like in the previous case ...

Finite Differences

Higher order operators

af

+ bf

+ cf

+ df

++

f (a + b + c + d ) +
dxf ' ( 2 a b + c + 2 d ) +

dx
dx

b
c
+
+ 2d ) +
2
2
8
1
1
8
f '''(
a
b +
c +
d)
6
6
6
6
2

f ''(2 a +

... we can now ask for the coefficients a,b,c,d, so that the
left-hand-side yields either f,f,f,f ...

Finite Differences

Linear system

... if you want the interpolated value ...

a + b + c + d = 1
2a b + c + 2d = 0

2a +

b
c
+
+ 2d = 0
2
2

8
1
1
8

a
b +
c +
d = 0
6
6
6
6
... you need to solve the matrix system ...

Finite Differences

High-order interpolation
... Interpolation ...

1
1
1 a 1
1

1 1
2 b 0
2
=
2

0
1/ 2 1/ 2 2 c

8/ 6 1/ 6 1/ 6 8/ 6 d 0

... with the result after inverting the matrix on the lhs ...

a 1/ 6

b 2/ 3
c = 2/ 3

d 1/ 6

Finite Differences

First derivative
... first derivative ...

1
1
1 a 0
1

1 1
2 b 1/ dx
2
=
2

0
1/ 2 1/ 2 2 c

8/ 6 1/ 6 1/ 6 8/ 6 d 0

... with the result ...

a
1/ 6

b 1 4 / 3
c = 2dx 4 / 3

d
1/ 6

Finite Differences

Our first FD algorithm (ac1d.m) !

2t p = c 2 p + s
= ( 2x + 2y + 2z )

PP
cc
ss

pressure
pressure
acoustic
acousticwave
wavespeed
speed
sources
sources

Problem:
Problem:Solve
Solvethe
the1D
1Dacoustic
acousticwave
waveequation
equationusing
usingthe
thefinite
finite
Difference
Differencemethod.
method.
Solution:
Solution:

c 2 dt 2
[ p ( x + dx ) 2 p ( x ) + p ( x dx ) ]
p (t + dt ) =
2
dx
+ 2 p (t ) p (t dt ) + sdt 2
Finite Differences

Problems: Stability
c 2 dt 2
[ p ( x + dx ) 2 p ( x ) + p ( x dx ) ]
p ( t + dt ) =
2
dx
+ 2 p ( t ) p ( t dt ) + sdt 2
Stability:
Stability:Careful
Carefulanalysis
analysisusing
usingharmonic
harmonicfunctions
functionsshows
showsthat
that
aastable
stablenumerical
numericalcalculation
calculationisissubject
subjectto
tospecial
specialconditions
conditions
(conditional
(conditionalstability).
stability).This
Thisholds
holdsfor
formany
manynumerical
numericalproblems.
problems.
(Derivation
(Derivationon
onthe
theboard).
board).

dt
1
c
dx
Finite Differences

Problems: Dispersion
c 2 dt 2
[ p ( x + dx ) 2 p ( x ) + p ( x dx ) ]
p ( t + dt ) =
2
dx
+ 2 p ( t ) p ( t dt ) + sdt 2

True velocity

Finite Differences

Dispersion:
Dispersion:The
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numerical
approximation
approximationhas
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artificialdispersion,
dispersion,
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Our first FD code!

c 2 dt 2
[ p ( x + dx ) 2 p ( x ) + p ( x dx ) ]
p ( t + dt ) =
2
dx
+ 2 p ( t ) p ( t dt ) + sdt 2
% Time stepping
for i=1:nt,
% FD
disp(sprintf(' Time step : %i',i));
for j=2:nx-1
d2p(j)=(p(j+1)-2*p(j)+p(j-1))/dx^2; % space derivative
end
pnew=2*p-pold+d2p*dt^2;
% time extrapolation
pnew(nx/2)=pnew(nx/2)+src(i)*dt^2;
% add source term
pold=p;
% time levels
p=pnew;
p(1)=0;
% set boundaries pressure free
p(nx)=0;
% Display
plot(x,p,'b-')
title(' FD ')
drawnow
end

Finite Differences

Snapshot Example
Velocity 5 km/s
3000
2500

Time (s)

2000

1500
1000

500
0
0

Finite Differences

1000

2000

3000
4000
Distance (km)

5000

Seismogram Dispersion

Finite Differences

Finite Differences - Summary

Finite Differences

Conceptually the most simple of the numerical methods and

can be learned quite quickly
Depending on the physical problem FD methods are
conditionally stable (relation between time and space
increment)
FD methods have difficulties concerning the accurate
implementation of boundary conditions (e.g. free surfaces,
absorbing boundaries)
FD methods are usually explicit and therefore very easy to
implement and efficient on parallel computers
FD methods work best on regular, rectangular grids