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Finite Difference Methods

Read Chapters 2, 5 from the NOTES


The Big Picture

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Outline - Finite Difference Methods
Key Concepts

Explicit Finite-Difference Methods


Taylor Series
Lagrange Polynomials
Difference Calculus
Differentiation Matrices

Implicit Finite-Difference Methods

Finite-Difference Methods in Multiple Dimensions

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The Finite-Difference Method (FDM)

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Truncation Error

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Truncation Error

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Grid Notation

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Non-Uniqueness

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Graphical Interpretation: Forward Difference

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Graphical Interpretation: Backward Difference

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Graphical Interpretation: Central Difference

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An Important Point

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Stencils

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Outline

Explicit Finite-Difference Methods


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Explicit Finite-Difference Methods (EFDMs)

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Outline

Taylor Series

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' 3 fi 4
Example: second-order one-sided difference for fi =

Taylor series at (i+2) and (i+1) about (i)


fi+2 = fi + fi'2h + fi" (2h) + fi"' (2h) + ...
1 2 1 3
(1)
2! 3!

fi+1 = fi + fi' h + 1 " 2 1 "' 3


fi h + fi h + ... (2)
2! 6

(2)x4 (1) to eliminate O(fi"h2) terms:

' 4 "' 3
4 fi+1 fi+2 = 3 fi + 2 fi h fi h + ...
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f ' 3 fi 4 fi 1 fi 2 1 "' 2
fi = fi h + ...
x i 2h 3

3 fi 4 fi 1 fi 2 2
= + O(h )
2h

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Taylor Series: General Derivation of EFDMs

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Example: continued general derivation

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Example (continued)

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Example review

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Outline

Lagrange Polynomials

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Lagrange Polynomials brief review
If we wish to describe all of the ups and downs in a data set, and hit every point
Suppose the data set consists of N data points:
(x1, 1), (x2, 2), (x3, 3), ..., (xN, N)
The interpolation polynomial will have degree N 1. It is given by:
P(x) = L1(x). 1 + L2(x). 2 + L3(x). 3 + ... + LN(x). N
where the functions Li(x) (i = 1, 2, 3, ..., n) are given by:
N x x
Li ( x)
x x1 x x2 x x3 ....... x xi 1 x xi 1 ..... x xN

j

xi x1 xi x2 xi x3 ....... xi xi1 xi xi1 ..... xi xN j1 xi x j


j i

Notice that the numerator of Li(x) contains the entire sequence of factors (x
x1), (xx2), (xx3), ... (xxN), with the exception of the single factor (xxi).
Likewise, the denominator contains the entire sequence of factors (xi x1), (xi
x2), (xi x3), ... (xi xN), with the exception of the single factor (xi xi).
Now notice: Li(xi) = 1 (numerator = denominator), but Li(xj) = 0 (numerator =
0, since it contains the factor (xj xj) ) for any j not equal to i. This means that
P(xi) = i , which is exactly what we want!

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Lagrange Polynomials an example
Fit the following data with Lagrange polynomial:

L1 ( x)
x (x)
0 250 L2 ( x)
10 0
20 50 L3 ( x)
30 100
L4 ( x)

Multiplying each of these by the appropriate i (i = 1, 2, 3, 4) and adding


together the terms of like power then gives:

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Derivation of EFDMs: Lagrange Polynomials

Note: j=0 is the i point.


So l and r are relative
to the i point

Note : p ( xi ) ( xi ) 25
Derivation of EFDMs: Lagrange Polynomials

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Example

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Example: continued
First term :
x x1 x x2 x 2 x1 x x2 x x1 x2
0
(h)(2h)
0
2h 2

Derivative of term in bracket :


2 x x1 x2
2 x x0 x1 x0 x2 x0
2 x x0 h 2h
2 x x0 3h

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Example (continued)

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Example review

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Graphical Interpretation
n: order of derivative
r: rightmost point of stencil
l: leftmost point of stencil
h: grid spacing

( x) : actual function
p( x) : Lagrange polynomial

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Graphical Interpretation

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Graphical Interpretation

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Graphical Interpretation

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Graphical Interpretation

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Graphical Interpretation

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Outline

Difference Calculus

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Difference Calculus
Displacement operator:

Forward and backward difference operators:

Centered difference operators:

Averaging operator:

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Difference Calculus (contd.)
Relationships:

Inverse of displacement operator:


So:
Relation between centered difference and averaging ops:

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Difference Calculus (contd.)
Differential operator:
Raising operator to power: implies repeated applications

Taylor series: yields relationships between displacement


and derivative operators

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Difference Calculus (contd.)
So:

Example: second-order retain the first 2 terms:

to obtain

Collecting terms:

(same as before using Taylor series or Lagrange polynomials)

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Outline

Explicit Finite-Difference Methods


Differentiation Matrices

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Differentiation Matrices

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Differentiation Matrices: Example

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Differentiation Matrices: Example

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Differentiation Matrices

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Outline

Implicit Finite-Difference Methods

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Implicit Finite-Difference Methods (IFDMs)

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Implicit Finite-Difference Methods (IFDMs)

d i1 i1
Recall: Explicit finite difference (EFD) would be written as: dx
i 2x

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Implicit Finite-Difference Methods (IFDMs)

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IFD Approximations

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Derivation of IFD Approximations

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IFD Using Truncation Error Cancellation
Example: centered difference approx. to first derivative:
(*)

Want to raise accuracy from 2nd to 4th order (same stencil)


Expand first-order derivatives at i1 using Taylor series:

Approximate third-order derivative as

and substitute back into (*)

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IFD Using Truncation Error Cancellation

Finally, compute derivatives from

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Implicit Finite-Difference Methods (IFDMs)

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Outline

Finite-Difference Methods in Multiple Dimensions

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Finite Differences in Multiple Dimensions

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Supplementary Reading

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