Derive the forward difference
approximation from Taylor series
' f 'at a point
Taylors theorem says that if you know the value of a function
and
xi all its derivatives at that point, provided the derivatives are
continuous betweenxi and xi 1 , then
f xi 1
f xi
xi 1 xi 2
f xi f xi xi 1 xi
2!
Substituting for conveniencex xi 1 xi
f xi
x 2
2!
f xi 1 f xi f xi
x
f xi
x
2!
f xi 1 f xi f xi x
f xi
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f xi 1 f xi
0 x
x
Derive the forward difference
approximation from Taylor series Cont.
x shows that the error in the approximation is of the orde
The 0
term
you now derive from Taylor series the
of xCan
formula forbackward
divided difference approximation of the first derivative?
As shown above, both forward and backward divided
difference
approximation of the first
derivative are accurate on the order of
0 x
Can we get better approximations? Yes, another method to approximate
the first derivative is called the Central difference approximation of
the first derivative.
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Graphical Representation Of
Forward Difference
Approximation
Figure 1 Graphical Representation of forward difference approximation of first derivative
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Differentiation Continuous
Functions
Forward Difference
Approximation
f x x f x
f x
x 0
x
lim
For
finite
a' x'
f x x f x
f x
x
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Backward Difference Approximation of
the First Derivative
We know
lim f x x f x
f x
x 0
x
For a finite' x' ,
f x
f x x f x
x
If ' x'is chosen as a negative number,
f x
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f x x f x
x
f x f x x
x
Backward Difference Approximation
of the First Derivative Cont.
This is a backward difference approximation as you are taking a point
, we may choose
backward from x. To find the value fof
x at x xi
another
point ' x' behind as x x . This gives
f xi
f xi f xi 1
x
f xi f xi 1
xi xi 1
where
x xi xi 1
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i 1
Backward Difference Approximation of
the First Derivative Cont.
f(x)
x-x
Figure 2 Graphical Representation of backward difference
approximation of first derivative
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Derive the forward difference
approximation from Taylor series Cont.
From Taylor series
f xi 1 f xi f xi x
f xi
x 2 f xi x 3
2!
3!
f xi 1 f xi f xi x
f xi
x 2 f xi x 3
2!
3!
Subtracting equation (2) from equation (1)
f xi 1 f xi 1 f xi 2x
f xi
f xi
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2 f xi
x 3
3!
f xi 1 f xi 1 f xi
x 2
2x
3!
f xi 1 f xi 1
2
0 x
2x
Central Divided
Difference
Hence showing that we have obtained a more accurate formula as
the
error is of the order of0 x 2 .
f(x)
x-x
x+x
Figure 3 Graphical Representation of central difference approximation of first
derivative
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Finite Difference
Approximation of Higher
Derivatives
10
One can use Taylor series to approximate a higher order derivative.
For example, to approximatef x , the Taylor series for
f xi 2 f xi f xi 2x
f xi
2x 2 f xi 2x 3
2!
3!
where
xi 2 xi 2x
f xi 1 f xi f xi x
where
xi 1 xi x
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f xi
x 2 f xi x 3
2!
3!
Finite Difference
Approximation of Higher
Derivatives Cont.
11
Subtracting 2 times equation (4) from equation (3) gives
f xi 2 2 f xi 1 f xi f xi x f xi x
2
f xi
f xi
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f xi 2 2 f xi 1 f xi
f xi x
f xi 2 2 f xi 1 f xi
0 x
(5)
Higher order accuracy of higher
order derivatives
12
The formula given by equation (5) is a forward difference approximation of
the second derivative and has the error
of the order of x . Can we get
a formula that has a better accuracy? We can get the central difference
approximation of the second derivative.
The Taylor series for
f xi 1 f xi f xi x
where
xi 1 xi x
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f xi
x 2 f xi x 3 f xi x 4
2!
3!
4!
(6)
Higher order accuracy of higher
order derivatives Cont.
13
f xi 1 f xi f xi x
f xi
x 2 f xi x 3 f xi x 4
2!
3!
4!
where
xi 1 xi x
Adding equations (6) and (7), gives
f xi 1 f xi 1 2 f xi f xi x
2
f xi
f xi
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f xi 1 2 f xi f xi 1
x 2
f xi x
12
f xi 1 2 f xi f xi 1
x 2
x
f x
0 x
12
(7)
THE END
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