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Finite Difference Approximations

The document discusses finite difference methods for approximating derivatives and solving differential equations. It explains that finite difference methods replace derivatives in differential equations with differential quotients, approximating the solution at discrete points. The error in the numerical solution depends on the discretization used. It also provides examples of forward, backward, and central difference approximations and how Taylor series are used to determine the order of the error in these approximations.

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101 views

Finite Difference Approximations

The document discusses finite difference methods for approximating derivatives and solving differential equations. It explains that finite difference methods replace derivatives in differential equations with differential quotients, approximating the solution at discrete points. The error in the numerical solution depends on the discretization used. It also provides examples of forward, backward, and central difference approximations and how Taylor series are used to determine the order of the error in these approximations.

Uploaded by

rockstar
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Finite Difference Approximations

Laxmi Devktoa, D. Eng.


IOE
Finite Difference Method (FDM): General Principle
• The principle of finite difference methods is close to the numerical schemes
used to solve ordinary differential equations.
• It consists in approximating the differential operator by replacing the
derivatives in the equation using differential quotients.
• The domain is partitioned in space and in time and approximations of the
solution are computed at the space or time points.
• The error between the numerical solution and the exact solution is
determined by the error that is committed by going from a differential
operator to a difference operator. This error is called the discretization error
or truncation error.
• The term truncation error reflects the fact that a finite part of a Taylor series
is used in the approximation.
FDM
The main concept behind any finite difference scheme is related to the
definition of the derivative of a smooth function u at a point x :

and to the fact that when h tends to 0 (without vanishing), the


quotient on the right-hand side provides a ”good” approximation of
the derivative, i.e. h should be sufficiently small to get a good
approximation. Actually, the approximation is good when the error
committed in this approximation (i.e. when replacing the derivative by
the differential quotient) tends towards zero when h tends to zero. If
the function u is sufficiently smooth in the neighborhood of x, it is
possible to quantify this error using a Taylor expansion.
Taylor Series-First Order Derivatives
• Suppose the function u is continuous in the neighborhood of x. For any h >
0 we have

• For the treatment of problems, it is convenient to retain only the first two
terms of the previous expression:

• where the term O(h2) indicates that the error of the approximation which
is proportional to h2. Here exists a constant C > 0, such that for h > 0 and
sufficiently small we have:

Where C = O(h2).
• The error committed by replacing the derivative u’(x) by the differential
quotient is of order h.
Forward, Backward and Central Difference
Forward Difference Approximation:
(Eq. 1)
Backward Difference Approximation:
(Eq. 2)
Order of the error: h
Central Difference Approximation:

By subtracting these two expressions we obtain

Order of the error: h2


Taylor Series- Second Order Derivatives

• From Taylor Series

• By addition, we get,

• And

Order of the error: h2


Finite Difference Approximation

• Derivations of FD Equations
– First Order Derivatives
– Second Order Derivatives
Graphical Representation for Forward,
Backward and Central Difference
Initial and Boundary Conditions
• Proper initial and boundary conditions are required for a well posed problems.
Well-posedness
• solution exists
• the solution is unique
• continuous dependence on the initial data

• Initial Conditions
u(x,0) = f(x)
• Boundary Conditions:
(i) Dirichlet Boundary Conditions.
– u(0,t+1) = ui,j+1 = constant
or
– u(0,t+1) = ui,j+1 = f(t)
And
– u(0,t+1) = un,j+1 = constant
– or
– u(0,t+1) = un,j+1 = f(t)
Boundary Conditions
• Neuman
  Boundary Conditions
It is a derivative boundary condition. It is rate of change
of dependable variable.
f(t)
For no flux BC
• , central difference
One Dimensional Sediment Transport Equation

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