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Numerical Differentiation

The document discusses numerical differentiation techniques. It introduces difference approximations and how taking the limit as the difference approaches zero yields the derivative. It then presents forward, backward, and centered divided difference formulas for estimating the first derivative, along with their orders of error. Higher order derivatives and more accurate differentiation formulas are also covered, along with Richardson extrapolation to improve accuracy.

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wanmustafa187
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229 views

Numerical Differentiation

The document discusses numerical differentiation techniques. It introduces difference approximations and how taking the limit as the difference approaches zero yields the derivative. It then presents forward, backward, and centered divided difference formulas for estimating the first derivative, along with their orders of error. Higher order derivatives and more accurate differentiation formulas are also covered, along with Richardson extrapolation to improve accuracy.

Uploaded by

wanmustafa187
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
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Topic 7: Numerical Differentiation

• We like to estimate the value of f '(x) for a given


function f(x).
• The derivative represents the rate of change of a
dependent variable with respect to an independent
variable.
• The difference approximation is
∆y f ( xi + ∆x) − f ( xi )
=
∆x ∆x
• If ∆x is allowed to approach zero, the difference
becomes a derivative:
dy f ( xi + ∆x) − f ( xi )
= lim
dx ∆x→0 ∆x
Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM
Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM
Numerical Differentiation

• The Taylor series expansion of f(x) about xi is


f ( xi +1 ) ≈ f ( xi ) + f ′( xi )( xi +1 − xi )
• From this:
f ( xi +1 ) − f ( xi ) f ( xi +1 ) − f ( xi )
f ′( xi ) ≈ =
xi +1 − xi h

• This formula is called the first forward divided


difference formula and the error is of order O(h).

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


• Or equivalently, the Taylor series expansion of f(x)
about xi can be written as
f ( xi −1 ) ≈ f ( xi ) + f ′( xi )( xi −1 − xi )
• From this:
f ( xi −1 ) − f ( xi ) f ( xi ) − f ( xi −1 )
f ′( xi ) ≈ =
xi −1 − xi h

• This formula is called the first backward divided


difference formula and the error is of order O(h).

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


• A third way to approximate the first derivative is to
subtract the backward from the forward Taylor series
expansions:
f ( xi +1 ) = f ( xi ) + f ′( xi )h
−
f ( xi −1 ) = f ( xi ) − f ′( xi )h
_________________________
f ( xi +1 ) − f ( xi −1 ) = 2 f ′( xi )h

• This yields to
f ( xi +1 ) − f ( xi −1 )
f ′( xi ) =
2h
• This formula is called the centered divided difference
formula and the error is of order O(h2).

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


Forward

Backward

Centered

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


Example

See the example and the solution in the book

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


Finite Difference Approximation of Higher Derivatives

• The forward Taylor series expansion for f(xi+2) in terms


of f(xi) is
f ′′( xi )
f ( xi + 2 ) ≈ f ( xi ) + f ′( xi )(2h) + ( 2h) 2
2

• Combine equations:
f ′′( xi )
f ( xi + 2 ) = f ( xi ) + f ′( xi )(2h) + ( 2h) 2
2
−
 f ′′( xi ) 2 
2  f ( xi +1 ) = f ( xi ) + f ′( xi )h + h 
 2 
_______________________________________
f ( xi + 2 ) − 2 f ( xi +1 ) = − f ( xi ) + f ′′( xi )h 2
Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM
• Solve for f ''(xi):

f ( xi + 2 ) − 2 f ( xi +1 ) + f ( xi )
f ′′( xi ) =
h2

• This formula is called the second forward finite divided


difference and the error of order O(h).
• The second backward finite divided difference which
has an error of order O(h) is

f ( xi ) − 2 f ( xi −1 ) + f ( xi − 2 )
f ′′( xi ) =
h2

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


• The second centered finite divided difference which has
an error of order O(h2) is

f ( xi +1 ) − 2 f ( xi ) + f ( xi −1 )
f ′′( xi ) =
h2

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


Numerical Differentiation
• High accurate estimates can be obtained by retaining
more terms of the Taylor series.

HIGH-ACCURACY DIFFERENTIATION
FORMULAS
• The forward Taylor series expansion is:
f ' ' ( xi ) 2
f ( xi +1 ) ≈ f ( xi ) + f ′( xi )( xi +1 − xi ) + h
2
• From this, we can write
f ( xi +1 ) − f ( xi ) f ' ' ( xi )
f ′( xi ) ≈ − h
h 2

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


• Substitute the second derivative approximation into the
formula to yield:
f ( xi + 2 ) − 2 f ( xi +1 ) + f ( xi )
f ( xi +1 ) − f ( xi ) h 2
f ′( xi ) ≈ − h
h 2

• By collecting terms:

− f ( xi + 2 ) + 4 f ( xi +1 ) − 3 f ( xi )
f ′( xi ) ≈
2h
• Inclusion of the 2nd derivative term has improved the
accuracy to O(h2).
• This is the forward divided difference formula for the
first derivative.
Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM
FIGURE Forward Formulas

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


FIGURE Backward Formulas

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


FIGURE Centered Formulas

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


Example

See the example and the solution in the book

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


Example

Estimate f '(1) for f(x) = ex + x using the centered formula


of O(h4) with h = 0.25.

Solution

• From Table 23.3:


− f ( xi + 2 ) + 8 f ( xi +1 ) − 8 f ( xi −1 ) + f ( xi − 2 )
f ′( xi ) =
12h

xi − 2 = xi − 2h = 1 − 0.5 = 0.5
xi −1 = xi − h = 1 − 0.25 = 0.75
xi = 1
xi +1 = xi + h = 1 + 0.25 = 1.25
+ 2 = xi + 2hIndustrial
Dr MuhammadxiAl-Salamah, = 1 + 0.5Engineering,
= 1.5 KFUPM
• In substituting the values:

− f (1.5) + 8 f (1.25) − 8 f (0.75) + f (0.5)


f ′( xi ) =
12(0.25)
− 5.982 + 8(4.740) − 8(2.867) + (2.149)
=
3
= 3.717

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


RICHARDSON EXTRAPOLATION

• The Richardson extrapolation formula:

4 k −1 D j +1,k −1 − D j ,k −1
D j ,k ≅
4 k −1 − 1
• The solution is terminated when

D1,k − D2,k −1
εa = 100% < ε s
D1,k

• We can use any formula to compute the values of Dj,1.

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM


Example

Estimate f '(1) for f(x) = ex + x using Richardson


extrapolation. For the initial values, use the centered
formula of O(h4) with h = 0.25. Let εs = 0.001%.

Solution

k 1 2 3
j h Dj,1 Dj,2 |εa| Dj,3 |εa|
1 0.25 3.717925 3.718372 0.003 3.718281 0.0002
2 0.125 3.718260 3.718287
3 0.0625 3.718280

Dr Muhammad Al-Salamah, Industrial Engineering, KFUPM

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