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.
