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Lecture 4 Numerical Differentiation

The document discusses numerical differentiation techniques. It introduces the concept of the derivative as the rate of change of a dependent variable with respect to an independent variable. It then presents three common approaches to approximating derivatives from discrete data points: forward differencing, backward differencing, and centered differencing. Examples are provided to demonstrate how to use each technique to estimate the derivative of a function at a given point. Finally, it discusses formulas for numerical differentiation based on Newton's forward and backward interpolation as well as Stirling's interpolation.

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Danniel Dizon Langga
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119 views

Lecture 4 Numerical Differentiation

The document discusses numerical differentiation techniques. It introduces the concept of the derivative as the rate of change of a dependent variable with respect to an independent variable. It then presents three common approaches to approximating derivatives from discrete data points: forward differencing, backward differencing, and centered differencing. Examples are provided to demonstrate how to use each technique to estimate the derivative of a function at a given point. Finally, it discusses formulas for numerical differentiation based on Newton's forward and backward interpolation as well as Stirling's interpolation.

Uploaded by

Danniel Dizon Langga
Copyright
© © All Rights Reserved
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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LECTURE 4: NUMERICAL DIFFERENTIATION

𝐺𝑖𝑣𝑒𝑛 𝐹𝑢𝑛𝑐𝑡𝑖𝑜𝑛
Derivative

 rate of change of a dependent variable with respect to an independent variable


 for 𝑓(𝑥), the derivative starts at the difference approximation

 As Δ𝑥 → 0, the difference becomes a derivative


 Graphically,
First Derivative Approximations

 from Taylor Series Expansion

 where:
 ℎ = 𝑥𝑖+1 − 𝑥𝑖
 𝑅𝑛 = remainder term
First Derivative Approximations

 Forward Difference
 from Taylor series expansion

(1)

′
𝑓 𝑥𝑖+1 − 𝑓 𝑥𝑖 Δ𝑓𝑖
𝑓 𝑥 ≈ =
𝑥𝑖+1 − 𝑥𝑖 ℎ
 Where:
 Δ𝑓𝑖 = 𝑓𝑖𝑟𝑠𝑡 𝑓𝑜𝑟𝑤𝑎𝑟𝑑 𝑑𝑖𝑓𝑓𝑒𝑟𝑒𝑛𝑐𝑒

 ℎ = 𝑠𝑡𝑒𝑝 𝑠𝑖𝑧𝑒
First Derivative Approximations

 Example:
Estimate the first derivative of 𝑓 𝑥 = −0.1𝑥 4 − 0.15𝑥 3 − 0.5𝑥 2 − 0.25𝑥 + 1.2 at 𝑥 = 0.5 using a
step size ℎ = 0.5.
Solution:
𝑥𝑖 = 0.5 𝑓(𝑥𝑖 ) = 0.925

𝑥𝑖+1 = 0.5 + ℎ = 0.5 + 0.5 = 1 𝑓(𝑥𝑖+1 ) = 0.2

𝑓 𝑥𝑖+1 −𝑓 𝑥𝑖 0.2−0.925
𝑓′ 𝑥 ≈ = = −𝟏. 𝟒𝟓
ℎ 0.5
First Derivative Approximations

 Backward Difference
 from Taylor series expanded backward

(2)

′
𝑓 𝑥𝑖 − 𝑓 𝑥𝑖−1 𝛻𝑓𝑖
𝑓 𝑥 ≈ =
𝑥𝑖 − 𝑥𝑖−1 ℎ
 Where:
 𝛻𝑓𝑖 = 𝑓𝑖𝑟𝑠𝑡 𝑏𝑎𝑐𝑘𝑤𝑎𝑟𝑑 𝑑𝑖𝑓𝑓𝑒𝑟𝑒𝑛𝑐𝑒
 ℎ = 𝑠𝑡𝑒𝑝 𝑠𝑖𝑧𝑒
First Derivative Approximations

 Example:
Estimate the first derivative of 𝑓 𝑥 = −0.1𝑥 4 − 0.15𝑥 3 − 0.5𝑥 2 − 0.25𝑥 + 1.2 at 𝑥 = 0.5 using a
step size ℎ = 0.5.
Solution:
𝑥𝑖 = 0.5 𝑓(𝑥𝑖 ) = 0.925

𝑥𝑖−1 = 0.5 − ℎ = 0.5 − 0.5 = 0 𝑓(𝑥𝑖−1 ) = 1.2

𝑓 𝑥𝑖 − 𝑓 𝑥𝑖−1 0.925 − 1.2


𝑓′ 𝑥 ≈ = = −𝟎. 𝟓𝟓
ℎ 0.5
First Derivative Approximations

 Centered Difference
 Subtracting (2) from (1), we get

′
𝑓 𝑥𝑖+1 − 𝑓 𝑥𝑖−1
𝑓 𝑥 ≈
𝑥𝑖+1 − 𝑥𝑖−1
𝑓 𝑥𝑖+1 − 𝑓 𝑥𝑖−1
𝑓′ 𝑥 ≈
2ℎ
First Derivative Approximations

 Example:
Estimate the first derivative of 𝑓 𝑥 = −0.1𝑥 4 − 0.15𝑥 3 − 0.5𝑥 2 − 0.25𝑥 + 1.2 at 𝑥 = 0.5 using a
step size ℎ = 0.5.
Solution:
𝑥𝑖 = 0.5 𝑓(𝑥𝑖 ) = 0.925
𝑥𝑖−1 = 0.5 − ℎ = 0.5 − 0.5 = 0 𝑓(𝑥𝑖−1 ) = 1.2
𝑥𝑖+1 = 0.5 + ℎ = 0.5 + 0.5 = 1 𝑓(𝑥𝑖+1 ) = 0.2

𝑓 𝑥𝑖+1 − 𝑓 𝑥𝑖−1 0.2 − 1.2


𝑓′ 𝑥 ≈ = = −𝟏
2ℎ 2(0.5)
𝐺𝑖𝑣𝑒𝑛 𝑆𝑒𝑡 𝑜𝑓 𝑃𝑜𝑖𝑛𝑡𝑠
Formulae
 Derivatives based on Newton’s forward interpolation formula
 for finding the derivative for some given x lying near the beginning of the data
table

 Derivatives based on Newton’s backward interpolation formula


 suitable for a point near the end of the data table

 Derivatives based on Stirling’s interpolation formula


 for some point lying near the middle of the data table
Based on Newton’s Forward Interpolation Formula
 From

 We get

𝑑𝑢 1
where: 𝑢′ = 𝑑𝑥 = ℎ
Based on Newton’s Forward Interpolation Formula
 and from

 We get

 and so on..
Example

i xi yi Δyi Δ2yi Δ3yi Δ4yi Δ5yi


0 1 5.468 0.1985 0.0614 0.0074 0.0001 -0.0002
1 1.1 5.6665 0.2599 0.0688 0.0075 -0.0001
2 1.2 5.9264 0.3287 0.0763 0.0074
3 1.3 6.2551 0.405 0.0837
4 1.4 6.6601 0.4887
5 1.5 7.1488
i xi yi Δyi Δ2yi Δ3yi Δ4yi Δ5yi
0 1 5.468 0.1985 0.0614 0.0074 0.0001 -0.0002
1 1.1 5.6665 0.2599 0.0688 0.0075 -0.0001
2 1.2 5.9264 0.3287 0.0763 0.0074
3 1.3 6.2551 0.405 0.0837
4 1.4 6.6601 0.4887
5 1.5 7.1488
Based on Newton’s Backward Interpolation Formula
 From

 We get

 and so on..
Example
Based on Stirling’s Interpolation Formula
 From

 We get

 and so on..
Example

i xi yi Δyi Δ2yi Δ3yi Δ4yi Δ5yi


-2 0 0 0.10017 0.001 0.00101 4E-05 1.25E-16
-1 0.1 0.10017 0.10117 0.00201 0.00105 4E-05
0 0.2 0.20134 0.10318 0.00306 0.00109
1 0.3 0.30452 0.10624 0.00415
2 0.4 0.41076 0.11039
3 0.5 0.52115
i xi yi Δyi Δ2yi Δ3yi Δ4yi Δ5yi
-2 0 0 0.10017 0.001 0.00101 4E-05 1.25E-16
-1 0.1 0.10017 0.10117 0.00201 0.00105 4E-05
0 0.2 0.20134 0.10318 0.00306 0.00109
1 0.3 0.30452 0.10624 0.00415
2 0.4 0.41076 0.11039
3 0.5 0.52115

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