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PREMA Internal 3rd Sem

The document discusses finite difference methods for approximating derivatives and solving differential equations, tracing their historical development and mathematical foundations. It outlines three types of finite differences: forward, backward, and central differences, providing formulas for first and second order derivatives. Additionally, it addresses boundary value problems and their conditions, highlighting Dirichlet and Neumann types of boundary conditions.

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10 views3 pages

PREMA Internal 3rd Sem

The document discusses finite difference methods for approximating derivatives and solving differential equations, tracing their historical development and mathematical foundations. It outlines three types of finite differences: forward, backward, and central differences, providing formulas for first and second order derivatives. Additionally, it addresses boundary value problems and their conditions, highlighting Dirichlet and Neumann types of boundary conditions.

Uploaded by

Honki
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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FINITE DIFFERENCE METHODS

INTERNAL ASSESSMENT

M.Sc. in Mathematics Semester-III Examination, 2025


Paper: MATH304 (Seminar Presentation & Viva-Voce)
NAME : PREMANANDA MANDAL
Registration No.: 201-1112-0837-20
Roll: 002416 No.: 0022
Session: 2020-2021
Paper Code : MATH304

1 Introduction
The finite difference approximations for derivatives are one of this Simplest and of the
oldest methods to solve differential equations. It was already know by L. Euler (1707-
1783) ca. 1768, in one dimension of space and was Probably entered to dimension by two
C. Runge (1856-1927) ca. 1908. The advent of finite difference techniques in numerical
applications began in the early 1950s.

1.1 Finite Difference Approximation for Derivatives


We will discuss the finite difference approximations of the derivatives using Taylor series.
Consider the following Taylor series expressions

h2 ′′
y(x + h) = y(u) + hy ′ (x) + y (x) + . . . (1)
2!

h2 ′′
y(x − h) = y(u) − hy ′ (x) + y (x) − . . . (2)
2!
2h2 ′′
y(x + h) = y(u) + 2hy ′ (x) + y (x) + . . . (3)
2!
2h2 ′′
y(x − h) = y(u) − 2hy ′ (x) + y (x) − . . . (4)
2!

1.2 Types of Finite Difference


Finite Difference are three types :

1
(a) Forward Difference.

(b) Backward Difference.

(c) Central Difference.

(a) Forward Difference.


Forward Difference for first order Derivatives
On using the expression (1), the forward difference approximations for first order
derivative is given by at any point x = xi (i = 1, 2, . . .), we have

yi+1 − yi
y ′ (xi ) = + O(h)
h

Forward Difference for second order Derivatives


On using the expression (1) and (3), the forward difference approximation for second
order derivatives is given by At x = xi (i = 1, 2, . . .), we have

yi+2 − 2yi+1 + yi
y ′′ (xi ) = + O(h)
h

(b) Backward Difference


Backward Difference for first order Derivatives
On using the expression (3), the backward difference approximation for first order
derivative is given by At x = xi (i = 1, 2, . . .), we have

yi − yi−1
y ′ (xi ) = + O(h)
h

Backward Difference for second order Derivatives


On using the expression (2) and (4), the backward difference approximation for
second order derivatives is given by At x = xi (i = 1, 2, . . .), we have

y1 − 2yi−1 + yi−2
y ′′ (xi ) = + O(h)
h

(c) Central Difference Central Difference for first order Derivatives


On using the expressions (1) and (2), the central difference approximation for first
order derivative is given by At x = xi (i = 1, 2, . . .), we have

yi+1 − yi−1
y ′ (xi ) = + O(h2 )
2h

Central Difference for second order Derivatives


On using the expression (1) and (2), the central difference approximation for second

2
order derivative is given by At x = xi (i = 1, 2, . . .), we have

yi+1 − 2yi−1 + yi−1


y ′′ (xi ) = + O(h)
h

2 Boundary Valve problem on Finite Difference Method


Boundary Valve problems are a class of differential equations with specified conditions
at the boundaries of the domain. The finite difference method is commonly used to
solve Boundary value problems numerically by approximating derivatives with difference
equations.

2.1 General form of a Boundary valve problem:


Consider the following second-order linear differential equation

d2 y dy
+ p(x) + q(x)y = r(x), a ≤ x ≤ b
dx2 dx
or, y ′′ + p(x)y ′ + q(x)y = r(x), a ≤ x ≤ b

Where the functions p(x), q(x) and r(x) are continuous functions of x.
Let the boundary conditions at the boundary points (x = a and x = b) be given by

l1 y(a) + m1 y ′ (a) = n1
l2 y(a) + m2 y ′ (a) = n2

Where li , mi , ni ; i = 1, 2 are constant. Thus We have following two particular cases for
the boundary condition:
Case-1 : Let mi = 0, then the boundary condition is said to be of Dirichlet type.
In this case, only function value is prescribed on the boundary.
Case-2 : Let li = 0, then the of condition is said to be of Ncumann type.
In this case, the boundary condition contains any the valve of y ′ .

References
[1] Rajesh Kumar Gupta. Numerical Methods: Fundamentals and Applications. Cam-
bridge University Press, 2019.

[2] B. Bradie. A Friendly Introduction to Numerical Analysis. Pearson Prentice Hall,


2006

[3] J.F. Epperson. An Introduction to Numerical Methods and Analysis. Wiley, 2013

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