13/5/2020 Finite difference coefficient - Wikipedia

Finite difference coefficient

In mathematics, to approximate a derivative to an arbitrary order of accuracy, it is possible to use the finite
difference. A finite difference can be central, forward or backward.

Contents
Central finite difference
Forward finite difference
Backward finite difference
Arbitrary stencil points
See also
References

Central finite difference

This table contains the coefficients of the central differences, for several orders of accuracy and with uniform grid
spacing:[1 ]

Derivative Accuracy −5 −4 −3 −2 −1 0 1 2 3 4 5

2 −1/2 0 1/2

4 1/12 −2/3 0 2/3 −1/12

1
6 −1/60 3/20 −3/4 0 3/4 −3/20 1/60

8 1/280 −4/105 1/5 −4/5 0 4/5 −1/5 4/105 −1/280

2 1 −2 1

4 −1/12 4/3 −5/2 4/3 −1/12

2
6 1/90 −3/20 3/2 −49/18 3/2 −3/20 1/90

8 −1/560 8/315 −1/5 8/5 −205/72 8/5 −1/5 8/315 −1/560

2 −1/2 1 0 −1 1/2

3 4 1/8 −1 13/8 0 −13/8 1 −1/8

6 −7/240 3/10 −169/120 61/30 0 −61/30 169/120 −3/10 7/240

2 1 −4 6 −4 1

4 4 −1/6 2 −13/2 28/3 −13/2 2 −1/6

6 7/240 −2/5 169/60 −122/15 91/8 −122/15 169/60 −2/5 7/240

2 −1/2 2 −5/2 0 5/2 −2 1/2

5 4 1/6 −3/2 13/3 −29/6 0 29/6 −13/3 3/2 −1/6

6 −13/288 19/36 −87/32 13/2 −323/48 0 323/48 −13/2 87/32 −19/36 13/288

2 1 −6 15 −20 15 −6 1

6 4 −1/4 3 −13 29 −75/2 29 −13 3 −1/4

6 13/240 −19/24 87/16 −39/2 323/8 −1023/20 323/8 −39/2 87/16 −19/24 13/240

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For example, the third derivative with a second-order accuracy is

where represents a uniform grid spacing between each finite difference interval, and .

For the -th derivative with accuracy , there are central coefficients

. These are given by the solution of the linear equation system

where the only non-zero value on the right hand side is in the -th row.

An open source implementation for calculating finite difference coefficients of arbitrary derivates and accuracy order
in one dimension is available.[2]

Forward finite difference

This table contains the coefficients of the forward differences, for several orders of accuracy and with uniform grid
spacing:[1 ]

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Derivative Accuracy 0 1 2 3 4 5 6 7 8

1 −1 1

2 −3/2 2 −1/2

3 −11/6 3 −3/2 1/3

1
4 −25/12 4 −3 4/3 −1/4

5 −137/60 5 −5 10/3 −5/4 1/5

6 −49/20 6 −15/2 20/3 −15/4 6/5 −1/6

1 1 −2 1

2 2 −5 4 −1

3 35/12 −26/3 19/2 −14/3 11/12

2
4 15/4 −77/6 107/6 −13 61/12 −5/6

5 203/45 −87/5 117/4 −254/9 33/2 −27/5 137/180

6 469/90 −223/10 879/20 −949/18 41 −201/10 1019/180 −7/10

1 −1 3 −3 1

2 −5/2 9 −12 7 −3/2

3 −17/4 71/4 −59/2 49/2 −41/4 7/4

3
4 −49/8 29 −461/8 62 −307/8 13 −15/8

5 −967/120 638/15 −3929/40 389/3 −2545/24 268/5 −1849/120 29/15

6 −801/80 349/6 −18353/120 2391/10 −1457/6 4891/30 −561/8 527/30 −469/240

1 1 −4 6 −4 1

2 3 −14 26 −24 11 −2

4 3 35/6 −31 137/2 −242/3 107/2 −19 17/6

4 28/3 −111/2 142 −1219/6 176 −185/2 82/3 −7/2

5 1069/80 −1316/15 15289/60 −2144/5 10993/24 −4772/15 2803/20 −536/15 967/240

For example, the first derivative with a third-order accuracy and the second derivative with a second-order accuracy
are

while the corresponding backward approximations are given by

Backward finite difference

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In general, to get the coefficients of the backward approximations, give all odd derivatives listed in the table the
opposite sign, whereas for even derivatives the signs stay the same. The following table illustrates this[3]:

Derivative Accuracy −8 −7 −6 −5 −4 −3 −2 −1 0

1 −1 1

1 2 1/2 −2 3/2

3 −1/3 3/2 −3 11/6

1 1 −2 1
2
2 −1 4 −5 2

1 −1 3 −3 1
3
2 3/2 −7 12 −9 5/2

1 1 −4 6 −4 1
4
2 −2 11 −24 26 −14 3

Arbitrary stencil points

For a given arbitrary stencil points of length with the order of derivatives , the finite difference coefficients
can be obtained by solving the linear equations [4]

where the are the Kronecker delta.

Example, for , order of differentiation :

The order of accuracy of the approximation takes the usual form .

See also
Finite difference method
Finite difference
Five-point stencil
Numerical differentiation

References
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1. Fornberg, Bengt (1988), "Generation of Finite Difference Formulas on Arbitrarily Spaced Grids", Mathematics of
Computation, 51 (184): 699–706, doi:10.1090/S0025-5718-1988-0935077-0 (https://doi.org/10.1090%2FS0025-57
18-1988-0935077-0), ISSN 0025-5718 (https://www.worldcat.org/issn/0025-5718).
2. "A Python package for finite difference numerical derivatives in arbitrary number of dimensions" (https://github.com/m
aroba/findiff).
3. Taylor, Cameron (12 December 2019). "Finite Difference Coefficients Calculator" (http://web.media.mit.edu/~crtaylor/
calculator.html). MIT.
4. http://web.media.mit.edu/~crtaylor/calculator.html

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