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FinitedifferencemethodWikipedia,thefreeencyclopedia

Finitedifferencemethod
FromWikipedia,thefreeencyclopedia

Inmathematics,finitedifferencemethods(FDM)arenumericalmethodsforsolvingdifferential
equationsbyapproximatingthemwithdifferenceequations,inwhichfinitedifferencesapproximatethe
derivatives.FDMsarethusdiscretizationmethods.
Today,FDMsarethedominantapproachtonumericalsolutionsofpartialdifferentialequations.[1]

Contents
1DerivationfromTaylor'spolynomial
2Accuracyandorder
3Example:ordinarydifferentialequation
4Example:Theheatequation
4.1Explicitmethod
4.2Implicitmethod
4.3CrankNicolsonmethod
5Seealso
6References
7Externallinks
7.1Variouslecturesandlecturenotes

DerivationfromTaylor'spolynomial
First,assumingthefunctionwhosederivativesaretobeapproximatedisproperlybehaved,byTaylor's
theorem,wecancreateaTaylorSeriesexpansion

wheren!denotesthefactorialofn,andRn(x)isaremainderterm,denotingthedifferencebetweenthe
Taylorpolynomialofdegreenandtheoriginalfunction.Wewillderiveanapproximationforthefirst
derivativeofthefunction"f"byfirsttruncatingtheTaylorpolynomial:

Setting,x0=awehave,

Dividingacrossbyhgives:

Solvingforf'(a):
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Assumingthat

FinitedifferencemethodWikipedia,thefreeencyclopedia

issufficientlysmall,theapproximationofthefirstderivativeof"f"is:

Accuracyandorder
Theerrorinamethod'ssolutionisdefinedasthedifferencebetweenitsapproximationandtheexact
analyticalsolution.Thetwosourcesoferrorinfinitedifferencemethodsareroundofferror,thelossof
precisionduetocomputerroundingofdecimalquantities,andtruncationerrorordiscretizationerror,the
differencebetweentheexactsolutionofthefinitedifferenceequationandtheexactquantityassuming
perfectarithmetic(thatis,assumingnoroundoff).
Touseafinitedifferencemethodtoapproximatethesolutiontoa
problem,onemustfirstdiscretizetheproblem'sdomain.Thisis
usuallydonebydividingthedomainintoauniformgrid(see
imagetotheright).Notethatthismeansthatfinitedifference
methodsproducesetsofdiscretenumericalapproximationstothe
derivative,oftenina"timestepping"manner.
Anexpressionofgeneralinterestisthelocaltruncationerrorofa
method.TypicallyexpressedusingBigOnotation,local
truncationerrorreferstotheerrorfromasingleapplicationofa
method.Thatis,itisthequantity
if
refers
totheexactvalueand tothenumericalapproximation.The
remaindertermofaTaylorpolynomialisconvenientfor
analyzingthelocaltruncationerror.UsingtheLagrangeformof
theremainderfromtheTaylorpolynomialfor
,
whichis

Thefinitedifferencemethodrelieson
discretizingafunctiononagrid.

,where
,
thedominanttermofthelocaltruncationerrorcanbediscovered.Forexample,againusingtheforward
differenceformulaforthefirstderivative,knowingthat
,

andwithsomealgebraicmanipulation,thisleadsto

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andfurthernotingthatthequantityontheleftistheapproximationfromthefinitedifferencemethodand
thatthequantityontherightistheexactquantityofinterestplusaremainder,clearlythatremainderis
thelocaltruncationerror.Afinalexpressionofthisexampleanditsorderis:

Thismeansthat,inthiscase,thelocaltruncationerrorisproportionaltothestepsizes.Thequalityand
durationofsimulatedFDMsolutiondependsonthediscretizationequationselectionandthestepsizes
(timeandspacesteps).Thedataqualityandsimulationdurationincreasesignificantlywithsmallerstep
size.[2]Therefore,areasonablebalancebetweendataqualityandsimulationdurationisnecessaryfor
practicalusage.Largetimestepsarefavourabletoincreasesimulationspeedinmanypractice,however
toolargetimestepsmaycreateinstabilitiesandaffectingthedataquality.[3][4][5]
ThevonNeumannmethod(Fourierstabilityanalysis)usuallyappliedtodeterminethenumericalmodel
stability.[3][4][5][6][7]

Example:ordinarydifferentialequation
Forexample,considertheordinarydifferentialequation

TheEulermethodforsolvingthisequationusesthefinitedifferencequotient

toapproximatethedifferentialequationbyfirstsubstitutinginforu'(x)thenapplyingalittlealgebra
(multiplyingbothsidesbyh,andthenaddingu(x)tobothsides)toget

Thelastequationisafinitedifferenceequation,andsolvingthisequationgivesanapproximatesolution
tothedifferentialequation.

Example:Theheatequation
Considerthenormalizedheatequationinonedimension,withhomogeneousDirichletboundary
conditions
(boundarycondition)
(initialcondition)
Onewaytonumericallysolvethisequationistoapproximateallthederivativesbyfinitedifferences.
Wepartitionthedomaininspaceusingamesh
andintimeusingamesh
.We
assumeauniformpartitionbothinspaceandintime,sothedifferencebetweentwoconsecutivespace
pointswillbehandbetweentwoconsecutivetimepointswillbek.Thepoints
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willrepresentthenumericalapproximationof

Explicitmethod
Usingaforwarddifferenceattime andasecondordercentral
differenceforthespacederivativeatposition (FTCS)weget
therecurrenceequation:

Thisisanexplicitmethodforsolvingtheonedimensionalheat
equation.
Wecanobtain

Thestencilforthemostcommon
explicitmethodfortheheatequation.

fromtheothervaluesthisway:

where
So,withthisrecurrencerelation,andknowingthevaluesattimen,onecanobtainthecorresponding
valuesattimen+1. and mustbereplacedbytheboundaryconditions,inthisexampletheyare
both0.
Thisexplicitmethodisknowntobenumericallystableandconvergentwhenever
numericalerrorsareproportionaltothetimestepandthesquareofthespacestep:

.[8]The

Implicitmethod
Ifweusethebackwarddifferenceattime
andasecond
ordercentraldifferenceforthespacederivativeatposition
(TheBackwardTime,CenteredSpaceMethod"BTCS")weget
therecurrenceequation:

Thisisanimplicitmethodforsolvingtheonedimensionalheat
equation.
Wecanobtain

Theimplicitmethodstencil.

fromsolvingasystemoflinearequations:

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Theschemeisalwaysnumericallystableandconvergentbutusuallymorenumericallyintensivethanthe
explicitmethodasitrequiressolvingasystemofnumericalequationsoneachtimestep.Theerrorsare
linearoverthetimestepandquadraticoverthespacestep:

CrankNicolsonmethod
Finallyifweusethecentraldifferenceattime
andasecondordercentraldifferenceforthe
spacederivativeatposition ("CTCS")wegettherecurrenceequation:

ThisformulaisknownastheCrankNicolsonmethod.
Wecanobtain

fromsolvingasystemoflinearequations:

TheCrankNicolsonstencil.

Theschemeisalwaysnumericallystableandconvergentbutusuallymorenumericallyintensiveasit
requiressolvingasystemofnumericalequationsoneachtimestep.Theerrorsarequadraticoverboth
thetimestepandthespacestep:

UsuallytheCrankNicolsonschemeisthemostaccurateschemeforsmalltimesteps.Theexplicit
schemeistheleastaccurateandcanbeunstable,butisalsotheeasiesttoimplementandtheleast
numericallyintensive.Theimplicitschemeworksthebestforlargetimesteps.

Seealso
Finiteelementmethod
Finitedifference
Finitedifferencetimedomain
Stencil(numericalanalysis)
Finitedifferencecoefficients
Fivepointstencil
LaxRichtmyertheorem
Finitedifferencemethodsforoptionpricing
Upwinddifferencingschemeforconvection
Centraldifferencingscheme
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References
1. ChristianGrossmannHansG.RoosMartinStynes(2007).NumericalTreatmentofPartialDifferential
Equations.SpringerScience&BusinessMedia.p.23.ISBN9783540715849.
2. AriehIserlas(2008).Afirstcourseinthenumericalanalysisofdifferentialequations.CambridgeUniversity
Press.p.23.ISBN9780521734905.
3. HoffmanJDFrankelS(2001).Numericalmethodsforengineersandscientists.CRCPress,BocaRaton.
4. JaluriaYAtluriS(1994)."Computationalheattransfer".ComputationalMechanics14:385386.
doi:10.1007/BF00377593(https://dx.doi.org/10.1007%2FBF00377593).
5. JMohdJaniSHuangMLearyASubic(2015)."Numericalmodelingofshapememoryalloylinear
actuator".ComputationalMechanics:119.doi:10.1007/s004660151180z
(https://dx.doi.org/10.1007%2Fs004660151180z).
6. MajumdarP(2005).Computationalmethodsforheatandmasstransfer(1sted.).TaylorandFrancis,New
York.
7. SmithGD(1985).Numericalsolutionofpartialdifferentialequations:finitedifferencemethods(3rded.).
OxfordUniversityPress.
8. Crank,J.TheMathematicsofDiffusion.2ndEdition,Oxford,1975,p.143.

K.W.MortonandD.F.Mayers,NumericalSolutionofPartialDifferentialEquations,An
Introduction.CambridgeUniversityPress,2005.
AutarKawandE.EricKalu,NumericalMethodswithApplications,(2008)[1]
(http://www.autarkaw.com/books/numericalmethods/index.html).Containsabrief,engineering
orientedintroductiontoFDM(forODEs)inChapter08.07
(http://numericalmethods.eng.usf.edu/topics/finite_difference_method.html).
JohnStrikwerda(2004).FiniteDifferenceSchemesandPartialDifferentialEquations(2nded.).
SIAM.ISBN9780898716399.
Smith,G.D.(1985),NumericalSolutionofPartialDifferentialEquations:FiniteDifference
Methods,3rded.,OxfordUniversityPress
PeterOlver(2013).IntroductiontoPartialDifferentialEquations
(http://www.math.umn.edu/~olver/pde.html).Springer.Chapter5:Finitedifferences.ISBN9783
319020990..
RandallJ.LeVeque,FiniteDifferenceMethodsforOrdinaryandPartialDifferentialEquations
(http://faculty.washington.edu/rjl/fdmbook/),SIAM,2007.

Externallinks
ListofInternetResourcesfortheFiniteDifferenceMethodforPDEs
(http://math.fullerton.edu/mathews/n2003/finitediffpde/FiniteDifferencePDEBib/Links/FiniteDiffe
rencePDEBib_lnk_1.html)

Variouslecturesandlecturenotes
FiniteDifferenceMethodinElectromagnetics(seeandlistentolecture9)
(http://emlab.utep.edu/ee5390cem.htm)
LectureNotes
(http://ltl.iams.sinica.edu.tw/document/training_lectures/2006/SH_Chen/Finite_Difference_Metho
ds.pdf)ShihHungChen,NationalCentralUniversity
FiniteDifferenceMethodforBoundaryValueProblems
(http://math.fullerton.edu/mathews/n2003/FiniteDifferenceMod.html)
NumericalMethodsfortimedependentPartialDifferentialEquations
(http://jwhaverkort.net23.net/documents/NumMethPDEs.pdf)

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