Lecture 12 - New

CSC475: Numerical Computing
Tanveer Ahmed Siddiqui
Department of Computer Science

COMSATS University, Islamabad
Lecture #12
Theory of Finite Differences
Department of Computer Science 2

Today Covered
,

Background
 Many scientific and engineering observations are

made by conducting experiments in which
physical quantities are measured and recorded.
 For example, to measure g (the acceleration due
to gravity), the following experiment is carried
out.
 A ball is dropped from the top of a 100-m-tall
building. As the object is falling down, the time t
when it passes sensors mounted on the building wall
is recorded.

Background
 For example, to measure g (the acceleration due

to gravity), the following experiment is carried
out.
 A ball is dropped from the top of a 100-m-tall
building. As the object is falling down, the time t
when it passes sensors mounted on the building wall
is recorded.
 The data measured in the experiment is given in the

table.

Data Points
 Sometimes measurements are made and

recorded continuously with analog devices.
 In most cases, especially in recent years with the
wide use of computers, the measured quantities
are digitized and stored as a set of discrete
points.
 The experimental records are typically referred
to as data points.

Kinds of Data Points
 The experimental records are typically referred

to as data points.
 The values of independent variable x is usually

called argument(or abscissa) and the value of
dependent value y is known as
entry(ordinate).
 These data points are
 Equally spaced
 Unequally
Department spaced
of Computer Science 7
Equally Spaced data
 The difference between two successive values of

abscissa( x values of data points) is constant,
say h. That is step size is constant.
 Mathematically, if x takes values
x0 , x1 , x2 , , xn ,
 then
 Examples

Equally Spaced data
 Mathematically, if x takes values

Unequally Spaced data
 The difference between two successive values of

abscissa(x values of data points) is not constant.
That is step size varies.
 Examples:

Extrapolation
 Once the data is known, scientists and engineers

can use it in different ways.
 Sometimes the data points are used for
estimating a value beyond the range of data
points.
 This is done by extrapolation
 For example estimating value at x = 25 from
following data:

Interpolation
 Once the data is known, scientists and engineers

can use it in different ways.
 Sometimes the data points are used for estimating the
expected values between the known points.
 This is done by Interpolation
 For example estimating value at x = 5 from
following data:
 Interpolation is done with the help of finite

differences.
DIFFERENCE OPERATORS
AND
DIFFERENCE TABLE

Finite difference
 A finite difference is a mathematical expression

of the form:
f(x+ b) – f(x + a).
 The word finite refers to the finite size of the
increments used in the data points.
 The calculus of finite differences deals
with the changes that take place in the
value of a function due to finite changes in
the independent variable.
 Let y0, y1, y2, . . . . . . . , yn be a set of values of any
function y = f( x ).

Finite difference
 How we compute this finite difference?

 There are various difference operators to
compute the finite differences.
 These operators operates whether data points
are
 Equally spaced
 Unequally spaced

Difference operators for equally spaced data
 An operator is not a number, but it is an

operation, which when applied to a function
changes it to some other function.
 The operator technique proves to be a most
useful tool when we wish to construct formulas
for:
 Interpolation
 Numerical differentiation
 Numerical integration etc.

Difference operators for equally spaced data
 The following operators are commonly used:

Difference operators: Shift Operator
 Let us first revise the definitions of various

difference operators.
 Shift Operator, E: The shift operator is defined
as:
or
 Hence, shift operator sifts the function value yi
to the next higher value yi +1.
 The second shift operator gives

Difference operators: Shift Operator
E is linear and obeys the law of indices.

Generalizing

Difference operators: Inverse Shift
 Inverse Shift Operator, E-1:

 The inverse operator E-1 is defined as
1
E f ( x)  f ( x  h)
 Similarly
n
E f ( x)  f ( x  nh)

Forward difference operators on function
 For a given function y = f (x), the forward

difference operator denoted as ∆ is defined as
follows:
 This difference is called first difference of the

function y.
 Here, ∆ is called the first difference operator.

Forward difference operators on function
 We get the second order differences (denoted by

∆2) when is operated twice on f(x), Thus
 Similarly, ∆3, ∆4, ∆n, may be calculated

Example

Your Turn

Forward difference operators on data points
 For a given table of values (xk , yk ), k = 0,1,

2,..., n with equally spaced abscissas of a
function y = f (x),
we define the forward difference operator ∆ as

follows:
∆yi = yi +1 − yi , i = 0,1,...,(n −1)
 To be explicit, we write
 ∆y 0 = y1 − y0
 ∆y1 = y2 − y1
 ∆y =y −y
 This difference is called first difference of the

function y and are denoted by the symbol ∆yi.
 Here, ∆ is called the first difference operator.

 Similarly, the differences of the first differences

are called second differences, defined by
2 y0  y1  y0 , 2 y1  y2  y1
 Thus, in general
 yi  yi 1  yi
2
 Here ∆2 is called the second difference operator

 Thus, continuing, we can define, rth difference of

y, as
 r yi   r 1 yi 1   r 1 yi


2,..., n with equally spaced abscissas of a
function y = f (x), we define the forward
difference operator ∆ as follows
∆yi = yi +1 − yi , i = 0,1,...,(n −1)
 To be explicit, we write
 ∆y 0 = y1 − y0
 ∆y1 = y2 − y1
 ∆yn −1 = yn − yn-1

Forward difference Table
 The previously defined differences can be

written down systematically by constructing a
difference table:

 Note that the subscript remains constant along

each diagonal of the table.


 The first term in the table, that is y0 is called the

leading term, while the differences
y0 ,  2 y0 , 3 y0 ,...
are called leading differences

Example-1
 Construct a diagonal difference table for the

following set of values:

Your Turn
 Construct a diagonal difference table for the

following set of values:

Example - 2

Some Obvious results
 The nth differences of an exact polynomial of

degree n are constant(see previous slide).
 For n data points, there is a polynomial of degree (n-
1), so for n data points (n-1)th differences are
constant
 The (n+1)st differences of that polynomial are
zero(see previous slide).
 The above values are only true of polynomials
when they are tabulated at equal intervals.
 If the function does not represent an exact
polynomial, the above results will not hold.
Some Obvious results
 The nth differences of an exact polynomial of

degree n are constant.
 The (n+1)st differences of that polynomial are
zero.
 The above values are only true of polynomials
when they are tabulated at equal intervals.
 If the function does not represents an exact
polynomial, the above results will not hold.

Your Turn

Properties Forward difference Operator

Properties of Forward difference Operator

Upshot

Example
 Express ∆2y0 and ∆3y0 in terms of the values of

the function y
 Solution: Noting that each higher order
difference is defined in terms of the lower order
difference, we have:

Example

Forward difference table

Example
 Show that the value of yn can be expressed in

terms of the leading value y0 and the leading
differences
 Solution

Example

r 1 r 1
 yi  
r
yi 1   yi

Finding the missing terms
 Using the difference operators and shifting
operator we can be able to find the missing
terms.
 From the following table find the missing value
 Since only four values of f(x) are given, the

polynomial which fits the data is of degree three.
Hence fourth differences are zeros.

Example

Excersise 2
 Estimate the production for 1964 and 1966 from
the following data
 Since five values are given, the polynomial

which fits the data is of degree four.

Binomial Expansion

Backward difference operator on function

Backward difference operators on data points

2,..., n of a function y = f (x) with equally
spaced abscissas, the first backward differences
are usually expressed in terms of the backward
difference operator ∇ as
yi  yi  yi 1i  n, (n  1), ,1
y1  y1  y0
y2  y2  y1
yn  yn  yn 1
Difference between Forward and Backward difference operators
 Forward Backward
yi  yi  yi 1i  n, (n  1), ,1
y0  y1  y0 y1  y1  y0
y1  y2  y1 y2  y2  y1
yn 1  yn  yn 1 yn  yn  yn 1

Backward difference Table

Example
 Form the backward Difference Table for the

given set of values:
 Solution: Backward Difference Table

Example
 Form the backward Difference Table for the

given set of values:

Example
 Show that the value of y can be expressed in

terms of yn and its backward differences
 Solution

Difference table

Error propagation in a difference table
 If any entry of the difference table is erroneous,

then this error spread over the table in convex
manner (fan wise pattern)
 If there is any error in a single entry of the
table, then we can detect and correct it from
the difference table. The position of the error in
an entry can be identified by Performing few
steps

Error propagation in a difference table
 Let us assumed that y3 be erroneous and the
amount of the error be ε.


Zero

Steps to identify error
 If at any stage, the differences do not follow a
smooth pattern, then there is an error.
 If the differences of some order (it is generally
happens in higher order) becomes alternating in
sign then the middle entry contains an error.

Example
 values of a polynomial of degree five. It is given
that f (4) is in error. Correct the value of f (4).
 It is given that y = f (x) is a polynomial of

degree five. Hence Δ5y must be a constant and
f (4) is in error.

Example cont…
 Let –5.5250 + ∈ be the true or correct value.
The difference table is

Your turn
 Find location of error
The location of an error is obviously centered on 0.060 in the third

difference. Instead of 9.214, one has wrongly entered it as 9.241.

With two or more errounous values

 Error = Largest value in a column /
Corresponding coefficient of ε in that column

Example
 The corresponding coefficient
of ε in that column
for 0.095 is −10.
 So error will be −0.0095.
 And hence Corrected
Value =0.589+0.0095=0.5985

Lecture 12 - New

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CSC475: Numerical Computing

Tanveer Ahmed Siddiqui

Department of Computer Science

Theory of Finite Differences

Department of Computer Science 2

Department of Computer Science

 Many scientific and engineering observations are

Department of Computer Science 4

 For example, to measure g (the acceleration due

 The data measured in the experiment is given in the

Department of Computer Science 5

 Sometimes measurements are made and

Department of Computer Science 6

 The experimental records are typically referred

 The values of independent variable x is usually

 The difference between two successive values of

Department of Computer Science 8

 Mathematically, if x takes values

Department of Computer Science 9

 The difference between two successive values of

Department of Computer Science 10

 Once the data is known, scientists and engineers

Department of Computer Science 16

 Once the data is known, scientists and engineers

 Interpolation is done with the help of finite

Department of Computer Science 19

 A finite difference is a mathematical expression

Department of Computer Science 20

 How we compute this finite difference?

Department of Computer Science 21

 An operator is not a number, but it is an

Department of Computer Science 22

 The following operators are commonly used:

Department of Computer Science 23

 Let us first revise the definitions of various

Department of Computer Science 24

E is linear and obeys the law of indices.

Department of Computer Science 25

 Inverse Shift Operator, E-1:

Department of Computer Science 26

 For a given function y = f (x), the forward

 This difference is called first difference of the

Department of Computer Science 27

 We get the second order differences (denoted by

 Similarly, ∆3, ∆4, ∆n, may be calculated

Department of Computer Science 28

Department of Computer Science 29

Department of Computer Science 30

 For a given table of values (xk , yk ), k = 0,1,

we define the forward difference operator ∆ as

 This difference is called first difference of the

Department of Computer Science 32

 Similarly, the differences of the first differences

 Here ∆2 is called the second difference operator

Department of Computer Science 33

 Thus, continuing, we can define, rth difference of

Department of Computer Science 34

 For a given table of values (xk , yk ), k = 0,1,

Department of Computer Science 35

 The previously defined differences can be

Department of Computer Science 36

 Note that the subscript remains constant along