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Finite Difference

1. The document discusses error approximation from using mathematical procedures like Taylor series approximations. Examples given include errors from truncating Taylor series approximations at different orders. 2. Finite difference methods are presented as alternatives to calculate derivatives numerically. Forward, backward, and central difference formulas are shown using Taylor series up to different orders. 3. Higher order finite difference methods are suggested to reduce truncation error, with a 5-point central difference formula shown as an example using a 4th order Taylor series approximation. Numerical examples calculating the derivative of f(x)=x3 at x=2 are given to compare the different methods.

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Ayu Listiani
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44 views8 pages

Finite Difference

1. The document discusses error approximation from using mathematical procedures like Taylor series approximations. Examples given include errors from truncating Taylor series approximations at different orders. 2. Finite difference methods are presented as alternatives to calculate derivatives numerically. Forward, backward, and central difference formulas are shown using Taylor series up to different orders. 3. Higher order finite difference methods are suggested to reduce truncation error, with a 5-point central difference formula shown as an example using a 4th order Taylor series approximation. Numerical examples calculating the derivative of f(x)=x3 at x=2 are given to compare the different methods.

Uploaded by

Ayu Listiani
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Deret Taylor

+ +

' '
+
'
+ =
!
) (
) (
! 2
) (
) ( ) )( ( ) ( ) (
0
0
) (
2
0
0 0 0 0
n
x x
x f
x x
x f x x x f x f x f
n
n
... ) (
!
) (
.... ) (
! 2
) ( ' '
) (
! 1
) ( '
) ( ) (
2
+ + + + + =
n
n
a x
n
a f
a x
a f
a x
a f
a f x f
n
n
i
n
i i i i
R
n
x
x f
x
x f
x
x f x f x f +
A
+ +
A
' '
+
A
'
+ =
+
!
) (
! 2
) (
! 1
) ( ) ( ) (
2
1

i i
x x x = A
+1
Kesalahan yang dihasilkan dari penggunaan
suatu aproksimasi pengganti prosedur
matematika yang eksak
Contoh: approksimasi dengan deret Taylor
Kesalahan:
) 1 (
) 1 (
)! 1 (
) (
+
+
A
+
=
n
n
n
x
n
f
R

Kesalahan pemotongan
Aproksimasi orde ke nol (zero-order appr.)
) ( ) (
1 i i
x f x f ~
+
Aproksimasi orde ke satu (first-order appr.)
! 1
) ( ) ( ) (
1
x
x f x f x f
i i i
A
'
+ ~
+
Aproksimasi orde ke dua (second-order appr.)
! 2
) (
! 1
) ( ) ( ) (
2
1
x
x f
x
x f x f x f
i i i i
A
' '
+
A
'
+ =
+
Recall the Taylor Series
( ) ( ) ( )
( ) ( )
( )
f x f x f x h
f x
h
f x
h
f x
n
h R
where h step size x x
i i i
i i
n
i n
n
i i
+
+
+
+
~ + + +
+
= =
1
2 3
1
2 3
'
' '
!
' ' '
!
!
. . . . . .
Finite difference method -1
The Taylor series
+ + + + =
+
' ' '
3
' '
2
'
1
3 2
i i i i i
f
!
x
f
!
x
xf f f
A A
A
(1)
(2)
Forward
difference
+
A
+
A
+ =
A

+ ' ' '


2
' '
'
1
! 3 ! 2
i i i
i i
f
x
f
x
f
x
f f
i i+1 i-1
Backward
difference

A
+
A
=
A

' ' '


2
' ' ' 1
! 3 ! 2
i i i
i i
f
x
f
x
f
x
f f
i+1 i i-1
Central
Difference
turunkan juga!

+
A
+
A
+ =
A

+ ' ' ' '


4
' ' '
2
' 1 1
! 5 6 2
i i i
i i
f
x
f
x
f
x
f f i i+1 i-1
+ + =

' ' '


3
' '
2
'
1
3 2
i i i i i
f
!
x
f
!
x
xf f f
A A
A
First-oder difference
Finite difference method -3
High-oder finite difference
To reduce the truncation error of finite difference method, high-order finite
difference method is frequently employed

2 1 1 2
d
d
+ +
+ + + + =
i i i i i
i
ef df cf bf af
x
f
i i+1 i-2 i-1 i+2
Taylor series of five points are,
+ + + + + =
+ + + + + =
=
+ + + =
+ + + =
+
+

' ' ' '


4
' ' '
3
' '
2
'
2
' ' ' '
4
' ' '
3
' '
2
'
1
' ' ' '
4
' ' '
3
' '
2
'
1
' ' ' '
4
' ' '
3
' '
2
'
2
! 4
) 2 (
! 3
) 2 (
! 2
) 2 (
) 2 (
! 4 ! 3 ! 2
! 4 ! 3 ! 2
! 4
) 2 (
! 3
) 2 (
! 2
) 2 (
) 2 (
i i i i i i
i i i i i i
i i
i i i i i i
i i i i i i
f
h
f
h
f
h
f h f f
f
h
f
h
f
h
hf f f
f f
f
h
f
h
f
h
hf f f
f
h
f
h
f
h
f h f f
(1)
(2)
(3)
(4)
(5)
(5)
By substituting (2)(5) into Eq.(1), we have,
h
Finite difference method -4
+ + + + +
+ + + + + + +
+ + + + + + + =
' ' ' '
4 4 4 4
' ' '
3 3 3
3 ' ' 2 2 2 2
'
)
! 4
) 2 (
! 4 ! 4 ! 4
) 2 (
(
)
6
8
6 6 6
8
( ) 2 5 . 0 5 . 0 2 (
) 2 2 ( ) (
i
i i
i i
i
f e
h
d
h h
a
h
f e
h
d
h
b
h
a h f e h d h b h a h
f eh dh bh ah f e d c b a
dx
df
The coefficient for the first derivative must be 1 and the others
must be zero . By solving 5 linear equations, we get,
h
f f f f
dx
df
h
e
h
d c
h
b
h
a
i i i i i
12
8 8
12
1
,
12
8
, 0 ,
12
8
,
12
1
2 1 1 2 + +
+ +
=
= = = = =
(7)
(8)
The order of precision is 4
th
.
Finite difference method -5
Comparison of finite difference method
x f(x)
0 0
1 1
2 8
3 27
4 64
f(x)=x
3
, x=1,x=2 , analytical solution f (2)=12
Forward finite
difference
19
1
8 27
1
=

+
x
f f
i i
A
Backward finite
difference
7
1
1 8
1
=


x
f f
i i
A
Central
difference
13
2
1 27
2
1 1
=

+
x
f f
i i
A
4
th
order finite
Central difference
12
12
8 8
2 1 1 2
=
+ +
+ +
h
f f f f
i i i i
Exercise: Calculate above four types of finite
differences under condition of f(x)=x, x=1, x=2

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