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Finite Difference Method

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Obinna Ekeh
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12 views

Finite Difference Method

Uploaded by

Obinna Ekeh
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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FINITE DIFFERENCE METHOD

Alannah Bennie, Yun Chen, David Mantell, Fung Yee Ma


OUTLINE
 What are Finite Difference Methods?
 Background
 Taylor Series Expansion of a Polynomial
 First derivative of a function
 Second derivative of a function

 What is the Heat Equation?


 Explicit Method for solving Heat Equation
FINITE DIFFERENCE METHOD
Finite-difference methods are numerical
methods for approximating the solutions to
differential equations using finite difference
equations to approximate derivatives.

Example: the forward difference equation for the


first derivative, as we will see, is:
TAYLOR’S THEOREM

• Named after Brook


Taylor, 1712

• gives approximations of a
differentiable function
around a given point.

• gives accurate
estimations on the size of
error in approximation
TAYLOR’S THEOREM
If n ≥ 0 is an integer and ƒ is a function which is n
times continuously differentiable on the closed
interval [a, x] and n + 1 times differentiable on
the open interval (a, x), then

where Rn(x) is the remainder and


f (n)(xn) is the nth derivative of f evaluated at xn
DERIVATION FROM TAYLOR’S THEOREM
 The first derivative of function f at x0 is:
 f (x0 + h) = f (x0) + f ’(x0)h + R1(x0)

Yun Chen
 The derivative at a is:
 f ’(a + h) = f (a) + f ’ (a)h + R1(a)
 f ’ (a + h) – f (a) –R1(a) = f ’(a)h
 Divide h on both sides, we get:

 When R1(a) is sufficiently small,


FINDING THE SECOND DERIVATIVE
We have seen that the first derivative can be given
by:

Similarly, we can do the same to find the second


derivative.
SECOND DERIVATIVE
Using the Taylor Series to approximate the derivative of
a function, we have:

We can assume that R is small enough that we can


ignore it. So with slight manipulation we have:
HEAT CONDUCTION EQUATION
The Heat Conduction Equation:

α Uxx=Ut
2

is an important partial differential equation which


describes the distribution of heat (or variation in
temperature) in a given region over time.
SOLVING THE HEAT EQUATION
 One way to numerically solve this equation is to
approximate all the derivatives by finite
differences.

 We partition the domain in space using x0,...,xJ


and in time using t0,....,tN.

 We let the difference between two consecutive


space points be h and between two consecutive
time points be k.
EXPLICIT METHOD
Using a forward difference we can get the
recurrence equation:

Where, and

Notation: represents the


numerical approximation at space j and time n+1.
EXPLICIT METHOD
So, knowing the values at time n you can obtain
the corresponding ones at time n+1 using this
recurrence relation.

(r = k / h2)
Notice: This equation states that the temperature at
a location and time step is a linear combination of
the prior temperatures at the location and at the
nearest neighbors.
EXPLICIT METHOD

Hence, if we know values for u at t = 0, then we


could use the recurrence relation to calculate
values at t = t1. Then by repeating the process,
we can get values for each successive time step.

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