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Finite Difference Approximation: Using Taylor Series Expansion

Finite difference approximations can be derived using Taylor series expansions. This document describes finite difference approximations for the first and second derivatives. The first derivative can be approximated using forward, backward, or central differencing, with central differencing being second-order accurate. The second derivative is approximated using forward, backward, or central differencing, with all three approximations being first-order accurate. Equations for each approximation are presented.

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145 views7 pages

Finite Difference Approximation: Using Taylor Series Expansion

Finite difference approximations can be derived using Taylor series expansions. This document describes finite difference approximations for the first and second derivatives. The first derivative can be approximated using forward, backward, or central differencing, with central differencing being second-order accurate. The second derivative is approximated using forward, backward, or central differencing, with all three approximations being first-order accurate. Equations for each approximation are presented.

Uploaded by

Mine RH
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Finite Difference Approximation

Using Taylor Series expansion


f ( x ) 2 f ( x ) 3 f f ( x + x ) = f ( x ) + ( x ) + +L + 2 3 x 2! x 3! x
2 3

(FD-1) (FD-2) (FD-3)

f f ( x + x ) f ( x ) x 2 f (x ) 3 f +L = 2 3 x x 2! x 3! x
2

f A B C

f f ( x + x ) f ( x ) = + O (x ), x x

i-1

i+1

f f fi = i +1 + O (x ) x i x

Forward differencing first order

(FD-4)

Finite Difference Approximation


f

Now, consider the expansion :

f 2 f (x ) 3 f (x ) f ( x x ) = f ( x ) x + 2 + ... 3 x x 2! x 3!
2 3

i-1

i+1

From which
f f ( x ) f ( x x ) = + O (x ) x x

(FD-5)

or
f f f i 1 = i + O (x ) x x
Backward differencing first order

(FD-6)

Finite Difference Approximation


Now, subtract (FD-5) from (FD-1), then
( f x ) 3 f f ( x + x ) f ( x x ) = 2 x + 2 + ... x 3! x 3
3

(FD-7)

Solving for

f , x f f ( x + x ) f ( x x ) 2 = + O (x ) x 2x

(FD-8) (FD-9)

f A B C

f f f i 1 2 = i +1 + O (x ) x i 2x

Central differencing 2nd order

i-1

i+1

Finite Difference Approximation


Thus far we have developed three approximations for the first derivative f , that is,
x

A forward difference approximation, which is first order. A backward difference approximation, which is first order. A central difference approximation, which is second order.

Finite Difference Approximation


What about the 2nd order derivative
2 f x 2

Lets Consider the following Taylor series expansion:


f ( x ) 2 f ( x ) 3 f f ( x + x ) = f ( x ) + ( x ) + +L + 2 3 x 2! x 3! x
2 3

(FD-10) (FD-11)

f (2 x ) 2 f (2 x ) 3 f +K f ( x + 2 x ) = f ( x ) + (2 x ) + + 2 3 x 2! x 3! x
2 3

Multiply (FD-10) by 2 and subtract it from (FD-11), to obtain


3 2 f 3 f 2 f ( x + x ) + f ( x + 2 x ) = f ( x ) + ( x ) + ( x ) +K x 2 x 3 2

(FD-12)

Finite Difference Approximation


From which

2 f f ( x + 2x ) 2 f ( x + x ) + f ( x ) = + O (x ) 2 2 x (x )
or

(FD-13)

2 f f i + 2 2 f i +1 + f i = + O (x ) 2 2 x i (x )

(FD-14)

This equation represents the forward difference approximation for the second order derivative which is first-order. Similarly, considering the Taylor series expansions of f ( x x ) and f ( x 2x ) , one obtains
2 f f i 2 f i 1 + f i 2 = + O (x ) 2 2 x i (x )

backward difference

(FD-15)

Finite Difference Approximation

considering the Taylor series expansions of one obtains


2 f f i 2 f i 1 + f i 2 = + O (x ) 2 2 x i (x )

f ( x x ) and f ( x 2x )

backward difference

(FD-15)

or simply add (FD-1) and (FD-5)


2f x 2
=
i

f i +1 2 f i + f i 1 2 + O ( x ) 2 (x)

central difference

(FD-16)

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