‘The finite difference method (FDM) was first developed by A. Thom’ in the 1920s under the title “the method of square” to solve nonlinear hydrodynamic equations. “A. Thom an C. J. Apelt, Field Computations in Engineering and Physics. London: D. Van Nostrand, 1961. ‘The finite difference techniques are based upon the approximations that ‘permit replacing differential equations by finite difference ] equations. These finite difference t | approximations are algebraic in form, and the solutions are related to grid points. Thus, a finite difference solution \ ‘basically involves three steps: ] 1. Dividing the solution into - grids of nodes 2. Approximating the _ given ‘iiferental equation by fine Id Common twordimensional grid difference equivalence that relates the solutions to grid points. 3. Solving the difference equations subject to the prescribed boundary conditions and/or initial conditions. IL Finite Difference Scheme Differential equations > estimating derivatives numerically > finite difference equations Given a function fix) shown in Fig. 2, we can approximate its derivative, slope or tangent at P by the slope of the ares PB, PA, or AB, for obtaining the forward- difference, backward-difference, and central-difference formulas respectively. finite-difference approximation of a derivative forward difference fle +h) — f(a) Se) i Dy f(2) question : how large is the error? z z+h f(a h) = fo) + f@)h + Fa) + = LEEDS) pe) 6 hpayn s -- h 2 + a approximation exact truncation error value Hence the error is proportional to h; we write this as Dy f(x) = f'() + O(h).forward-difference formula “(q.) - L&2t A) FO) 100 8 fe.) ae . backward-difference formula og y= £O)— FA) a Po) < central-difference formula Horak Kytdx _ F(x, + Ax) — f(x, — Ax) Fig. 2 Estimates for the derivative of f@,) = {(x) at P by using forward, backward, and central differences. The approach used for obtaining above finite difference equations is Taylor's series: SUK, + AK) = fC) + AX (H,) and Ml, =B9) = JO) - AF (a) + EAP F (8) - EH? f"(&) OC", @) where O(4r)" is the error introduced by truncating the series. AP?) + ADI) OY, oO 2 To subtract (1) by (2), we can obtain L(x, + Ax) — f(x, ~ Av) = 2Axf (x,) + OCA), which could be re-written as * L(x, + Ax) = f(x, ~ Av) 2 2 = O(AY S) om +(x that the O/4vy’ means the truncation error is the order of (4x)’ for the central- difference. The forward-difference and backward-difference formulas could be obtained by re-arranging (1) and (2) respectively, and we have F (= Fes fe) + O(Ax), for forward difference, , ie. the central-difference formula, Note and SQ) Se + O(Ax), for backward difference. We ean find the truncation errors of these two formulas are of order Av. Upon adding (1) and (2), F(X, + Ax) — f(x, ~ Av) =2f(x,) + (Ax)? f"(x,) + O(AX)*, and we have f= LG, + Ax) = 2%.) + fo = AX) | (any? Cat Higher order finite difference approximations can be obtained by taking more terms in Taylor series expansion.Seeacrd oeder desivedive interme of diflereras in Fivit Ordos dovivelive. & Aes Beensive deb ab FPR SD % Obeid Wey Tayloc eviews exten. ED. dey. Sen 100 7 &p tle) = 1300, h Hoy. IW=Ae w i FOun)-46 ed - 46h) t@)- a 7 aA 8D _ Aun) sfocd) 2460 Creepers rere eevee LLL ye Consider a simple example of a parabolic (or diffusion) partial differential equation with one spatial independent variable ob ow pas. 3 ot ax? ® where kis a constant. The equivalent finite deference approximation is pOGIFV—~ OG J) _ OG-1,/)— 206, /) + OG +1) @) ar (axy’ where x=iAx, i=1,2,3. @jAt, j=1,2,.... In (4), we use the forward difference formula for the derivative with respective to f and central difference formula for the with respect to x. If we let At r= : (Ax? Eq. (4) could be written as OG, j + D=1OG +1, f) += 27)OG, /) + OG - 1.) (6) (5)This explicit formula can be used to compute ®(x./+A/) explicitly in terms of O(./). Thus the values of & along the first time row (see Fig.3), Ar, can be calculated in terms of the boundary and _ initial conditions, then the values of @ along the second row, =2Ar, are calculated in terms of the first time row, and so on. > iax x Fig. 3 Finite difference mesh for two independent variable x and t.