Finite Difference Approximation

Using Taylor Series expansion

f ( x ) 2 f ( x ) 3 f f ( x + x ) = f ( x ) + ( x ) + +L + 2 3 x 2! x 3! x
2 3

(FD-1) (FD-2) (FD-3)

f f ( x + x ) f ( x ) x 2 f (x ) 3 f +L = 2 3 x x 2! x 3! x
2

f A B C

f f ( x + x ) f ( x ) = + O (x ), x x

i-1

i+1

f f fi = i +1 + O (x ) x i x

Forward differencing first order

(FD-4)

Finite Difference Approximation

f

Now, consider the expansion :

f 2 f (x ) 3 f (x ) f ( x x ) = f ( x ) x + 2 + ... 3 x x 2! x 3!
2 3

i-1

i+1

From which
f f ( x ) f ( x x ) = + O (x ) x x

(FD-5)

or
f f f i 1 = i + O (x ) x x
Backward differencing first order

(FD-6)

Finite Difference Approximation

Now, subtract (FD-5) from (FD-1), then
( f x ) 3 f f ( x + x ) f ( x x ) = 2 x + 2 + ... x 3! x 3
3

(FD-7)

Solving for

f , x f f ( x + x ) f ( x x ) 2 = + O (x ) x 2x

(FD-8) (FD-9)

f A B C

f f f i 1 2 = i +1 + O (x ) x i 2x

Central differencing 2nd order

i-1

i+1

Finite Difference Approximation

Thus far we have developed three approximations for the first derivative f , that is,
x

A forward difference approximation, which is first order. A backward difference approximation, which is first order. A central difference approximation, which is second order.

Finite Difference Approximation

What about the 2nd order derivative
2 f x 2

Lets Consider the following Taylor series expansion:

f ( x ) 2 f ( x ) 3 f f ( x + x ) = f ( x ) + ( x ) + +L + 2 3 x 2! x 3! x
2 3

(FD-10) (FD-11)

f (2 x ) 2 f (2 x ) 3 f +K f ( x + 2 x ) = f ( x ) + (2 x ) + + 2 3 x 2! x 3! x
2 3

Multiply (FD-10) by 2 and subtract it from (FD-11), to obtain

3 2 f 3 f 2 f ( x + x ) + f ( x + 2 x ) = f ( x ) + ( x ) + ( x ) +K x 2 x 3 2

(FD-12)

Finite Difference Approximation

From which

2 f f ( x + 2x ) 2 f ( x + x ) + f ( x ) = + O (x ) 2 2 x (x )
or

(FD-13)

2 f f i + 2 2 f i +1 + f i = + O (x ) 2 2 x i (x )

(FD-14)

This equation represents the forward difference approximation for the second order derivative which is first-order. Similarly, considering the Taylor series expansions of f ( x x ) and f ( x 2x ) , one obtains
2 f f i 2 f i 1 + f i 2 = + O (x ) 2 2 x i (x )

backward difference

(FD-15)

Finite Difference Approximation

considering the Taylor series expansions of one obtains

2 f f i 2 f i 1 + f i 2 = + O (x ) 2 2 x i (x )

f ( x x ) and f ( x 2x )

backward difference

(FD-15)

or simply add (FD-1) and (FD-5)

2f x 2
=
i

f i +1 2 f i + f i 1 2 + O ( x ) 2 (x)

central difference

(FD-16)