ME 261 Numerical Analysis Lecture on Finite Difference Method

ME 261: Numerical Analysis
Dr. A.B.M. Toufique Hasan

Professor
Department of Mechanical Engineering, BUET
Term: July 2016

04 December 2016
Lecture-18:
Numerical Differentiation
(Finite Difference Method)
http://teacher.buet.ac.bd/toufiquehasan/courses.php
toufiquehasan@me.buet.ac.bd
L2 T2: July 2016
ME 261: Numerical Analysis
Forward difference formulation

shown in last class
f ′( xi ) = ? h
dy →x
f ′( xi ) / :
dx x = xi i i +1 i+2 i+3
f ( xi ) f ( xi +1 ) f ( xi + 2 ) f ( xi + 3 )
f ( xi +1 ) − f ( xi ) Forward difference formulation

f ′( xi ) = + O ( h)
h
1st order, O (h) approximat ion of f ′( xi ) using forward difference formula
− f ( xi + 2 ) + 4 f ( xi +1 ) − 3 f ( xi )
f ′( xi ) = + O (h 2 )
2h
2nd order, O (h 2 ) approximat ion of f ′( xi ) using forward difference formula
2 f ( xi + 3 ) − 9 f ( xi + 2 ) + 18 f ( xi +1 ) − 11 f ( xi )
f ′( xi ) = + O (h 3 )
6h
3rd order, O ( h 3 ) approximat ion of f ′( xi ) using forward difference formula
ME 261: Numerical Analysis 2
1
Central Finite Difference Formula
First derivative: O(h2) f ′( xi ) = ? h
dy →x
f ′( xi ) / : i i +1 i + 2 (1 − D )
dx i−2 i −1
x = xi
f ( xi − 2 ) f ( xi −1 ) f ( xi ) f ( xi +1 ) f ( xi + 2 )
Central Finite Difference Formula:
Central difference formulation
f ( xi +1 ) can be approximat ed using Taylor series expansion -
f ′′( xi ) 2 f ′′′( xi ) 3 f n ( xi ) n
f ( xi +1 ) = f ( xi ) + f ′( xi )h + h + h + ... ... ... + h + O ( h n +1 )
2! 3! n!
f ′′( xi ) 2
⇒ f ( xi +1 ) ≈ f ( xi ) + f ′( xi )h + h + O(h 3 ) (i )
2!
Similarly, f ( xi −1 ) can be approximat ed using Taylor series expansion -
f ′′( xi ) 2 f ′′′( xi ) 3 f n ( xi ) n
f ( xi −1 ) = f ( xi ) − f ′( xi )h + h − h + ... ... ... + h + O ( h n +1 )
2! 3! n!
f ′′( xi ) 2
⇒ f ( xi −1 ) ≈ f ( xi ) − f ′( xi )h + h + O( h 3 ) (ii )
2!
Now, Eqn. (i) - Eqn.(ii) gives -
f ( xi +1 ) − f ( xi −1 ) = 2 f ′( xi )h + O(h 3 )
f ( xi +1 ) − f ( xi −1 )
⇒ f ′( xi ) = + O(h 2 ) O(h2) using 2 points xi+1 and xi-1
2h
2nd order, O ( h 2 ) approximat ion of f ′( xi ) using central difference formula
Central Finite Difference Formula cont…

First derivative: O(h4) f ′( xi ) = ? h
dy →x
f ′( xi ) / : i i +1 i + 2 (1 − D )
dx i−2 i −1
x = xi
Central Finite Difference Formula: Central difference formulation

f ′′( xi ) 2 f ′′′( xi ) 3 f IV ( xi ) 4 f n ( xi ) n
f ( xi +1 ) = f ( xi ) + f ′( xi )h + h + h + h + ... ... ... + h + O ( h n +1 )
2! 3! 4! n!
f ′′( xi ) 2 f ′′′( xi ) 3 f IV ( xi ) 4
⇒ f ( xi +1 ) ≈ f ( xi ) + f ′( xi ) h + h + h + h + O(h 5 ) (i )
2! 3! 4!
f ( xi −1 ) = f ( xi ) − f ′( xi )h + h − h + h − ... ... ... + h + O ( h n +1 )
2! 3! 4! n!
f ′′( xi ) 2 f ′′′( xi ) 3 f IV ( xi ) 4
⇒ f ( xi −1 ) ≈ f ( xi ) − f ′( xi )h + h − h + h + O (h 5 ) (ii )
2! 3! 4!
Eqn. (i)-Eqn. (ii):
2 f ′′′( xi ) 3
f ( xi +1 ) − f ( xi −1 ) = 2 f ′( xi )h + h + O(h5 ) (iii )
3!
2
f ′( xi ) = ? h
→x
i−2 i −1 i i +1 i + 2 (1 − D )
f ( xi + 2 ) can be approximated using Taylor series expansion -

f ′′( xi ) f ′′′( xi ) f IV ( xi ) f n ( xi )
f ( xi + 2 ) = f ( xi ) + f ′( xi )(2h) + ( 2 h) 2 + (2 h ) 3 + (2h) 4 + ... ... ... + (2h) n + O (h n +1 )
2! 3! 4! n!
f ′′( xi ) f ′′′( xi ) f IV ( xi )
⇒ f ( xi + 2 ) ≈ f ( xi ) + f ′( xi )( 2h) + ( 2h ) 2 + ( 2h ) 3 + ( 2 h) 4 + O(h 5 ) (iv)
2! 3! 4!
Similarly, f ( xi − 2 ) can be approximated using Taylor series expansion -

f ( xi − 2 ) = f ( xi ) − f ′( xi )(2h) + ( 2 h) 2 − ( 2h) 3 + ( 2h) 4 − ... ... ... + ( 2h ) n + O ( h n + 1 )
2! 3! 4! n!
f ′′( xi ) f ′′′( xi ) f IV ( xi )
⇒ f ( xi − 2 ) ≈ f ( xi ) − f ′( xi )( 2h) + ( 2h) 2 − ( 2h ) 3 + ( 2h ) 4 + O (h 5 ) (v )
2! 3! 4!
Eqn. (iv)-Eqn. (v):

16 f ′′′( xi ) 3
f ( xi + 2 ) − f ( xi − 2 ) = 4 f ′( xi )h + h + O(h 5 ) (vi )
3!

f ′( xi ) = ? h
→x
i−2 i −1 i i +1 i + 2 (1 − D )
2 f ′′′( xi ) 3
f ( xi +1 ) − f ( xi −1 ) = 2 f ′( xi )h + h + O(h5 ) (iii )
3!
16 f ′′′( xi ) 3
f ( xi + 2 ) − f ( xi − 2 ) = 4 f ′( xi )h + h + O(h5 ) (vi )
3!
Now, Eqn. (vi) - Eqn. (iii)×8:
f ( xi + 2 ) − f ( xi − 2 ) − 8 f ( xi +1 ) + 8 f ( xi −1 ) = −12 f ′( xi ) h + O(h 5 )
− f ( xi + 2 ) + 8 f ( xi +1 ) − 8 f ( xi −1 ) + f ( xi − 2 )
⇒ f ′( xi ) = + O (h 4 )
12 h
O(h4) using 4 points: xi+2 , xi+1 , xi-2 and xi-1
4th order, O( h 4 ) approximation of f ′( xi ) using central difference formula
3
Second derivative: O(h2) f ′( xi ) = ? h
d2y →x
f ′′( xi ) / : i + 2 (1 − D )
dx 2 i−2 i −1 i i +1
x = xi

f ′′( xi ) 2 f ′′′( xi ) 3 f n ( xi ) n
f ( xi +1 ) = f ( xi ) + f ′( xi )h + h + h + ... ... ... + h + O ( h n +1 )
2! 3! n!
f ′′( xi ) 2 f ′′′( xi ) 3
⇒ f ( xi +1 ) ≈ f ( xi ) + f ′( xi ) h + h + h + O(h 4 ) (i)
2! 3!
Similarly , f ( xi −1 ) can be approximat ed using Taylor series expansion -

f ′′( xi ) 2 f ′′′( xi ) 3 f n ( xi ) n
f ( xi −1 ) = f ( xi ) − f ′( xi )h + h − h + ... ... ... + h + O ( h n +1 )
2! 3! n!
f ′′( xi ) 2 f ′′′( xi ) 3
⇒ f ( xi −1 ) ≈ f ( xi ) − f ′( xi )h + h − h + O (h 4 ) (ii )
2! 3!

f ′( xi ) = ? h
→x
i−2 i −1 i i +1 i + 2 (1 − D )
Add Eqn. (i) and Eqn. (ii)
f ′′( xi ) 2
f ( xi +1 ) + f ( xi −1 ) = 2 f ( xi ) + 2 h + O (h 4 )
2!
f ( xi +1 ) − 2 f ( xi ) + f ( xi −1 )
⇒ f ′′( xi ) = + O (h 2 )
h2
d2y f ( xi +1 ) − 2 f ( xi ) + f ( xi −1 )
⇒ = + O (h 2 )
dx 2 x = xi
h2
O(h2) using 3 points: xi+1 , xi and xi-1
2nd order, O ( h 2 ) approximat ion of f ′′( xi ) using central difference formula
4
Third derivative: O(h2) f ′( xi ) = ? h
d3y →x
f ′′′( xi ) / : i −1 i i +1 i + 2 (1 − D )
dx 3 i−2
x = xi

f ( xi +1 ) = f ( xi ) + f ′( xi )h + h + h + h + ... ... ... + h + O ( h n +1 )
2! 3! 4! n!
f ′′( xi ) 2 f ′′′( xi ) 3 f IV ( xi ) 4
⇒ f ( xi +1 ) ≈ f ( xi ) + f ′( xi ) h + h + h + h + O(h 5 ) (i )
2! 3! 4!
f ( xi −1 ) = f ( xi ) − f ′( xi )h + h − h + h − ... ... ... + h + O ( h n +1 )
2! 3! 4! n!
f ′′( xi ) 2 f ′′′( xi ) 3 f IV ( xi ) 4
⇒ f ( xi −1 ) ≈ f ( xi ) − f ′( xi )h + h − h + h + O (h 5 ) (ii )
2! 3! 4!
Eqn. (i)-Eqn. (ii):
2 f ′′′( xi ) 3
f ( xi +1 ) − f ( xi −1 ) = 2 f ′( xi )h + h + O( h 5 ) (iii )
3!

f ′( xi ) = ? h
→x
i−2 i −1 i i +1 i + 2 (1 − D )
f ( xi + 2 ) can be approximated using Taylor series expansion -

f ( xi + 2 ) = f ( xi ) + f ′( xi )(2h) + ( 2 h) 2 + (2 h ) 3 + (2h) 4 + ... ... ... + (2h) n + O (h n +1 )
2! 3! 4! n!
f ′′( xi ) f ′′′( xi ) f IV ( xi )
⇒ f ( xi + 2 ) ≈ f ( xi ) + f ′( xi )( 2h) + ( 2h ) 2 + ( 2h ) 3 + ( 2 h) 4 + O(h 5 ) (iv)
2! 3! 4!
Similarly, f ( xi − 2 ) can be approximated using Taylor series expansion -

f ( xi − 2 ) = f ( xi ) − f ′( xi )(2h) + ( 2 h) 2 − ( 2h) 3 + ( 2h) 4 − ... ... ... + ( 2h ) n + O ( h n + 1 )
2! 3! 4! n!
f ′′( xi ) f ′′′( xi ) f IV ( xi )
⇒ f ( xi − 2 ) ≈ f ( xi ) − f ′( xi )( 2h) + ( 2h) 2 − ( 2h ) 3 + ( 2h ) 4 + O (h 5 ) (v )
2! 3! 4!
Eqn. (iv)-Eqn. (v):

16 f ′′′( xi ) 3
f ( xi + 2 ) − f ( xi − 2 ) = 4 f ′( xi )h + h + O(h 5 ) (vi )
3!
5
f ′( xi ) = ? h
→x
i−2 i −1 i i +1 i + 2 (1 − D )
2 f ′′′( xi ) 3
f ( xi +1 ) − f ( xi −1 ) = 2 f ′( xi )h + h + O( h 5 ) (iii )
3!
16 f ′′′( xi ) 3
f ( xi + 2 ) − f ( xi − 2 ) = 4 f ′( xi )h + h + O(h5 ) (vi )
3!
Now, Eqn. (vi) - Eqn. (iii)×2: (to remove f/(xi))

 16 4 
f ( xi + 2 ) − f ( xi − 2 ) − 2 f ( xi +1 ) + 2 f ( xi −1 ) =  −  f ′′′( xi )h 3 + O(h5 )
 3! 3! 
f ( xi + 2 ) − 2 f ( xi +1 ) + 2 f ( xi −1 ) − f ( xi − 2 )
⇒ f ′′′( xi ) = + O(h 2 )
2h 3
O(h2) using 4 points: xi+2 , xi+1 , xi-2 and xi-1
2nd order, O (h 2 ) approximation of f ′′′( xi ) using central difference formula

Fourth derivative: O(h2) f ′( xi ) = ? h
d4y →x
f IV ( xi ) / : i + 2 (1 − D )
dx 4 i−2 i −1 i i +1
x = xi
f ( xi + 2 ) can be approximat ed using Taylor series expansion -

f ′′( xi ) f ′′′( xi ) f IV ( xi ) f V ( xi )
f ( xi + 2 ) ≈ f ( xi ) + f ′( xi )(2h) + ( 2h) 2 + ( 2 h) 3 + ( 2 h) 4 + ( 2h ) 5 + O( h 6 ) (i )
2! 3! 4! 5!
Similarly, f ( xi − 2 ) can be approximat ed using Taylor series expansion -
f ′′( xi ) f ′′′( xi ) f IV ( xi ) f V ( xi )
⇒ f ( xi − 2 ) ≈ f ( xi ) − f ′( xi )(2h) + ( 2h) 2 − ( 2 h) 3 + ( 2h) 4 − ( 2 h) 5 + O (h 6 ) (ii )
2! 3! 4! 5!
Eqn. (i)+Eqn.(ii):
f ′′( xi ) f IV ( xi )
f ( xi + 2 ) + f ( xi − 2 ) = 2 f ( xi ) + 2 ( 2 h) 2 + 2 ( 2h) 4 + O (h 6 ) (iii )
2! 4!
6
f ′( xi ) = ? h
→x
i−2 i −1 i i +1 i + 2 (1 − D )

f ′′( xi ) 2 f ′′′( xi ) 3 f IV ( xi ) 4 f V ( xi ) 5
f ( xi +1 ) ≈ f ( xi ) + f ′( xi ) h + h + h + h + h + O( h 6 ) (iv )
2! 3! 4! 5!
Similarly, f ( xi +1 ) can be approximat ed using Taylor series expansion -

f ′′( xi ) 2 f ′′′( xi ) 3 f IV ( xi ) 4 f V ( xi ) 5
f ( xi −1 ) ≈ f ( xi ) − f ′( xi )h + h − h + h − h + O( h 6 ) (v)
2! 3! 4! 5!
Eqn. (iv)+Eqn.(v):
f ′′( xi ) 2 f IV ( xi ) 4
f ( xi +1 ) + f ( xi −1 ) = 2 f ( xi ) + 2 h +2 h + O(h 6 ) (vi )
2! 4!

f ′( xi ) = ? h
→x
i−2 i −1 i i +1 i + 2 (1 − D )
We have two equations: Eqn.(iii) & Eqn.(vi)
f ′′( xi ) f IV ( xi )
f ( xi + 2 ) + f ( xi − 2 ) = 2 f ( xi ) + 2 ( 2h ) 2 + 2 ( 2 h) 4 + O (h 6 ) (iii )
2! 4!
4
⇒ 4 f ′′( xi )h 2 + f IV
( xi ) h 4 = f ( xi + 2 ) − 2 f ( xi ) + f ( xi − 2 ) (vii )
3
f ′′( xi ) 2 f IV ( xi ) 4
f ( xi +1 ) + f ( xi −1 ) = 2 f ( xi ) + 2 h +2 h + O (h 6 ) (vi )
2! 4!
1
⇒ f ′′( xi )h 2 + f IV
( xi ) h 4 = f ( xi +1 ) − 2 f ( xi ) + f ( xi −1 ) (viii )
12
7
f ′( xi ) = ? h
→x
i−2 i −1 i i +1 i + 2 (1 − D )
Eqn.(vii) - Eqn.(viii)×4 results:
4 IV
4 f ′′( xi )h 2 + f ( xi )h 4 = f ( xi + 2 ) − 2 f ( xi ) + f ( xi − 2 ) (vii)
3
1 IV
f ′′( xi ) h 2 + f ( xi ) h 4 = f ( xi +1 ) − 2 f ( xi ) + f ( xi −1 ) (viii ) × 4
12
f ( xi + 2 ) − 4 f ( xi +1 ) + 6 f ( xi ) − 4 f ( xi −1 ) + f ( xi − 2 )
f IV
( xi ) = + O(h 2 )
h4
d4y f ( xi + 2 ) − 4 f ( xi +1 ) + 6 f ( xi ) − 4 f ( xi −1 ) + f ( xi − 2 )
= + O(h 2 )
dx 4 x = xi
h4
O(h2) using 5 points: xi+2 , xi+1 , xi, xi-2 and xi-1
2nd order, O( h 2 ) approximat ion of f IV ( xi ) using central difference formula
Numerical Differentiation
In all the finite difference formulas, the sum of all the coefficients of the function values,
f(xi) appearing in the numerator can be seen to be zero. Physically this implies that the
derivative becomes zero if f(x) is a constant.
The accuracy of the computed derivatives can be improved either by using a smaller
step size (h) or by using a higher accuracy formula.
8
Problem
For symmetric stress distribution of a circular body, the stress function Φ is governed by
the following DEQ:
d 4φ 2 d 3φ 1 d 2φ 1 dφ
+ − + =0
dr 4 r dr 3 r 2 dr 2 r 3 dr
Derive the corresponding central-difference algebraic equation with an error of O(h2)

and show the corresponding finite-difference stencil.
d 4φ φ (ri + 2 ) − 4φ (ri +1 ) + 6φ (ri ) − 4φ (ri −1 ) + φ (ri − 2 )

= + O(h 2 )
dr 4 r = ri
h4
3
d φ φ (ri + 2 ) − 2φ (ri +1 ) + 2φ (ri −1 ) − φ (ri − 2 )
= + O( h 2 )
dr 3 r = ri
2h 3
d 2φ φ (ri +1 ) − 2φ (ri ) + φ (ri −1 )

= + O(h 2 )
dr 2 r = ri
h2
dφ φ (ri +1 ) − φ (ri −1 )
= + O (h 2 )
dr r = ri 2h

ME 261 Numerical Analysis Lecture on Finite Difference Method

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ME 261 Numerical Analysis Lecture on Finite Difference Method

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ME 261: Numerical Analysis

Dr. A.B.M. Toufique Hasan

Term: July 2016

L2 T2: July 2016

ME 261: Numerical Analysis

Forward difference formulation

f ( xi +1 ) − f ( xi ) Forward difference formulation

2nd order, O (h 2 ) approximat ion of f ′( xi ) using forward difference formula

3rd order, O ( h 3 ) approximat ion of f ′( xi ) using forward difference formula

ME 261: Numerical Analysis 2

Central Finite Difference Formula cont…

f ( xi +1 ) can be approximat ed using Taylor series expansion -

ME 261: Numerical Analysis 4

f ( xi + 2 ) can be approximated using Taylor series expansion -

Similarly, f ( xi − 2 ) can be approximated using Taylor series expansion -

Eqn. (iv)-Eqn. (v):

ME 261: Numerical Analysis 5

Central Finite Difference Formula cont…

Now, Eqn. (vi) - Eqn. (iii)×8:

O(h4) using 4 points: xi+2 , xi+1 , xi-2 and xi-1

4th order, O( h 4 ) approximation of f ′( xi ) using central difference formula

ME 261: Numerical Analysis 6

f ( xi +1 ) can be approximat ed using Taylor series expansion -

Similarly , f ( xi −1 ) can be approximat ed using Taylor series expansion -

ME 261: Numerical Analysis 7

Central Finite Difference Formula cont…

O(h2) using 3 points: xi+1 , xi and xi-1

2nd order, O ( h 2 ) approximat ion of f ′′( xi ) using central difference formula

ME 261: Numerical Analysis 8

f ( xi +1 ) can be approximat ed using Taylor series expansion -

ME 261: Numerical Analysis 9

Central Finite Difference Formula cont…

f ( xi + 2 ) can be approximated using Taylor series expansion -

Similarly, f ( xi − 2 ) can be approximated using Taylor series expansion -

Eqn. (iv)-Eqn. (v):

ME 261: Numerical Analysis 10

Now, Eqn. (vi) - Eqn. (iii)×2: (to remove f/(xi))

O(h2) using 4 points: xi+2 , xi+1 , xi-2 and xi-1

2nd order, O (h 2 ) approximation of f ′′′( xi ) using central difference formula

ME 261: Numerical Analysis 11

Central Finite Difference Formula cont…

f ( xi + 2 ) can be approximat ed using Taylor series expansion -

ME 261: Numerical Analysis 12

f ( xi +1 ) can be approximat ed using Taylor series expansion -

Similarly, f ( xi +1 ) can be approximat ed using Taylor series expansion -

ME 261: Numerical Analysis 13

Central Finite Difference Formula cont…

ME 261: Numerical Analysis 14

O(h2) using 5 points: xi+2 , xi+1 , xi, xi-2 and xi-1

2nd order, O( h 2 ) approximat ion of f IV ( xi ) using central difference formula

ME 261: Numerical Analysis 15

ME 261: Numerical Analysis 16

Derive the corresponding central-difference algebraic equation with an error of O(h2)

d 4φ φ (ri + 2 ) − 4φ (ri +1 ) + 6φ (ri ) − 4φ (ri −1 ) + φ (ri − 2 )

d 2φ φ (ri +1 ) − 2φ (ri ) + φ (ri −1 )

ME 261: Numerical Analysis 17

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