4/2/2009 Finite difference method - Wikipedia, …

Finite difference method

From Wikipedia, the free encyclopedia

In mathematics, finite-difference methods are numerical methods for approximating the solutions to differential
equations using finite difference equations to approximate derivatives.

Contents
1 Intuitive derivation
2 Derivation from Taylor's polynomial
3 Accuracy and order
4 Example: ordinary differential equation
5 Example: The heat equation
5.1 Explicit method
5.2 Implicit method
5.3 Crank-Nicolson method
6 See also
7 References
8 External links

Intuitive derivation
Finite-difference methods approximate the solutions to differential equations by replacing derivative expressions
with approximately equivalent difference quotients. That is, because the first derivative of a function f is, by
definition,

then a reasonable approximation for that derivative would be to take

for some small value of h. In fact, this is the forward difference equation for the first derivative. Using this and
similar formulae to replace derivative expressions in differential equations, one can approximate their solutions
without the need for calculus.

Derivation from Taylor's polynomial

Assuming the function whose derivatives are to be approximated is properly-behaved, by Taylor's theorem,

where n! denotes the factorial of n, and Rn (x) is a remainder term, denoting the difference between the Taylor
polynomial of degree n and the original function. Again using the first derivative of the function f as an example,
by Taylor's theorem,

f(x 0 + h) = f(x 0) + f'(x 0)h + R1(x),

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which, with some minor algebraic manipulation, is equivalent to

so that for R1(x) sufficiently small,

Accuracy and order

The error in a method's solution is defined as the difference between its approximation and the exact analytical
solution. The two sources of error in finite difference methods are round-off error, the loss of precision due to
computer rounding of decimal quantities, and truncation error or discretization error, the difference between the
exact solution of the finite difference equation and the exact quantity assuming perfect arithmetic (that is,
assuming no round-off).

To use a finite difference method to attempt to solve (or, more generally,

approximate the solution to) a problem, one must first discretize the
problem's domain. This is usually done by dividing the domain into a uniform
grid (see image to the right). Note that this means that finite-difference
methods produce sets of discrete numerical approximations to the derivative,
often in a "time-stepping" manner.

An expression of general interest is the local truncation error of a method.

Typically expressed using Big-O notation, local truncation error refers to the
error from a single application of a method. That is, it is the quantity
f'(x i) − f'i if f'(x i) refers to the exact value and f'i to the numerical
approximation. The remainder term of a Taylor polynomial is convenient for
analyzing the local truncation error. Using the LaGrange form of the
The finite difference method
remainder from the Taylor polynomial for f(x 0 + h), which is relies on discretizing a function
on a grid.
, where x 0 < ξ < x 0 + h,

the dominant term of the local truncation error can be discovered. For example, again using the forward-
difference formula for the first derivative, knowing that f(x i) = f(x 0 + ih),

and with some algebraic manipulation, this leads to

and further noting that the quantity on the left is the approximation from the finite difference method and that the
quantity on the right is the exact quantity of interest plus a remainder, clearly that remainder is the local truncation
error. A final expression of this example and its order is:

This means that, in this case, the local truncation error is proportional to the step size.

Example: ordinary differential equation

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For example, consider the ordinary differential equation

The Euler method for solving this equation uses the finite difference quotient

to approximate the differential equation by first substituting in for u'(x) and applying a little algebra to get

The last equation is a finite-difference equation, and solving this equation gives an approximate solution to the
differential equation.

Example: The heat equation

Consider the normalized heat equation in one dimension, with homogeneous Dirichlet boundary conditions

(boundary condition)
(initial condition)

One way to numerically solve this equation is to approximate all the derivatives by finite differences. We partition
the domain in space using a mesh x 0,...,x J and in time using a mesh t 0,....,t N. We assume a uniform partition both
in space and in time, so the difference between two consecutive space points will be h and between two
consecutive time points will be k. The points

will represent the numerical approximation of U(x j,t n).

Explicit method
Using a forward difference at time t n and a second-order central difference
for the space derivative at position x j ("FTCS") we get the recurrence
equation:

The stencil for the most

This is an explicit method for solving the one-dimensional heat equation. common explicit method for
the heat equation.
We can obtain from the other values this way:

where r = k / h2.

So, knowing the values at time n you can obtain the corresponding ones at time n+1 using this recurrence
relation. and must be replaced by the boundary conditions, in this example they are both 0.

This explicit method is known to be numerically stable and convergent whenever . The numerical
errors are proportional to the time step and the square of the space step:

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Implicit method
If we use the backward difference at time t n + 1 and a second-order central
difference for the space derivative at position x j ("BTCS") we get the
recurrence equation:

The implicit method stencil.

This is an implicit method for solving the one-dimensional heat equation.

We can obtain from solving a system of linear equations:

The scheme is always numerically stable and convergent but usually more numerically intensive than the explicit
method as it requires solving a system of numerical equations on each time step. The errors are linear over the
time step and quadratic over the space step.

Crank-Nicolson method
Finally if we use the central difference at time t n + 1 / 2 and a second-order central difference for the space
derivative at position x j ("CTCS") we get the recurrence equation:

This formula is known as the Crank-Nicolson method.

We can obtain from solving a system of linear equations:

The Crank-Nicolson stencil.

The scheme is always numerically stable and convergent but usually more numerically intensive as it requires
solving a system of numerical equations on each time step. The errors are quadratic over the time step and
formally are of the fourth degree regarding the space step:

However, near the boundaries, the error is often O(h2) instead of O(h4).

Usually the Crank-Nicolson scheme is the most accurate scheme for small time steps. The explicit scheme is the
least accurate and can be unstable, but is also the easiest to implement and the least numerically intensive. The
implicit scheme works the best for large time steps.

See also
Difference operator
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Stencil (numerical analysis)
Five-point stencil
Lax-Richtmyer theorem

References
K.W. Morton and D.F. Mayers, Numerical Solution of Partial Differential Equations, An
Introduction. Cambridge University Press, 2005.
Oliver Rübenkönig, The Finite Difference Method (FDM) - An introduction
(http://www.imtek.de/simulation/mathematica/IMSweb/imsTOC/Lectures%20and%20Tips/Simulation%20I/FDM_introDocu.html)
, (2006) Albert Ludwigs University of Freiburg
Autar Kaw and E. Eric Kalu, Numerical Methods with Applications, (2008) [1]
(http://www.autarkaw.com/books/numericalmethods/index.html)

External links
Internet Resources for the Finite Difference Method for PDEs
(http://math.fullerton.edu/mathews/n2003/finitediffpde/FiniteDifferencePDEBib/Links/FiniteDifferencePDEBib_lnk_1.html)
Finite Difference Method of Solving ODEs (Boundary Value Problems) Notes, PPT, Maple, Mathcad,
Matlab, Mathematica (http://numericalmethods.eng.usf.edu/topics/finite_difference_method.html)

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Categories: Finite differences | Numerical differential equations

This page was last modified on 24 March 2009, at 20:54.

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