Chapter Five Numerical Differentiation First Derivative:: 1 Forward Difference Approximation

NumericalAnalysis(Dr.
OmedGharebAbdullah)UniversityofSulaimaniFacultyofSciencePhysicsDepartment
ChapterFive
NumericalDifferentiation
Firstderivative:
Forafunction
ofavariable ,itsfirstderivationisdefinedas:
lim
1Forwarddifferenceapproximation:
Here isstepsize.Inordertodotheerroranalysis,wetaketheTaylorseriesexpansionof
about ,as:
Subtracting
frombothsidesanddividingbothsidesbythestepsize yields:
where
denotesatruncationerrortermproportionalto .
Thismeansthattheerroroftheforwarddifferenceapproximationofthefirstderivativeis
proportionaltothestepsize
2Backwarddifferenceapproximation:
TakingtheTaylorseriesexpansionof
about ,as:
Bysomerearrangements:
118
NumericalAnalysis(Dr.OmedGharebAbdullah)UniversityofSulaimaniFacultyofSciencePhysicsDepartment
Thisequationhasalsoanerrorof
3Centraldifferenceapproximation:
Inordertoderiveanotherapproximationformulaforthefirstderivative,wetacktheTaylor
&
seriesexpansionof
Dividethedifferencebetweenthesetwoequationsby2 togetthecentraldifference
approximationforthefirstderivativeas:
2
Whichcanberegardedasanimprovementoverforwardandbackward,sinceithasthe
truncationerrorof
for| |
1.
Example:
ln usingthedifferenceformulatofind
1.8 ,if
0.1&
0.01.
Solution:
Forwardformula:
Backwardformula:
Centralformula:
Exactsolution
ln
1.8
1.9
1.8
0.555555
0.1
Forwardformula:
1.8
0.540672
1.8
1.7
0.1
0.571584
2.88%
Centralformula:
0.1
2.68%
Backwardformula:
1.8
1.8
1.9
1.7
0.2
0.556128
0.10%
119
0.01
Forwardformula:
1.81
1.8
0.01
1.8
0.27%
Backwardformula:
1.8
1.8
0.557104
0.28%
1.81
1.8
1.79
0.01
Centralformula:
0.554018
1.79
0.555561
0.02
0.001%
Example:
find
2 ,usingthedifferencemethodwith
0.2&
0.02.
Solution:
Exactsolution
0.353553
0.2
Forwardformula:
2.2
0.2
1.8
0.2
0.362864
2.63%
Centralformula:
0.345130
2.38%
Backwardformula:
2.2
1.8
0.353997
0.4
0.12%
0.02
Forwardformula:
0.352674
1.98
0.02
0.354442
0.25%
Centralformula:
2.02
0.02
0.25%
Backwardformula:
2.02
1.98
0.04
0.3535578
0.0012%
120
Fivepointformula:
FromTaylorseries:
Subtractingequation(2)fromequation(1):
2 !
2 !
FromTaylorseries:
2
4
2
5
2
Multiplythetermsinequation(3)by[8]andsubtractequation(6)fromit(toeliminatethe
term
);
8
8
2
8
2
2
12
12
Firstderivationoforder
12
.
2
12
Example:
usethreeandfivepointsformulatofind
2 if
0.5.
Solution:
Exactsolution
0.5
121
22.167168
Threepointformula:
2
2.5
2
1.5
23.7337013
0.5
7.06%
Fivepointformula:
2
12
1
8 1.5
12
8 2.5
0.5
22.0552135
0.5%
Secondandhigherderivative:
Inordertoobtainanapproximationformulaforthesecondderivative,wetaketheTaylor
&
seriesexpansionof
Addingthesetwoequations:
2
Subtracting2
2 !
frombothsidesanddividingbothsidesby
2
yields:
Whichhasatruncationerrorof
Centraldifferenceapproximationforthethirdderivative:
!
!
2 !
2 !
FromTaylorseries:
2
122
5
2
Multiplythetermsinequation(3)by[2]andsubtractitfromequation(6);(toeliminatethe
term
);
2
2
2
Centraldifferenceapproximationforthefourthderivative:
Addingequation(1)and(2):
2
2 !
2 !
4
2
5
Addingequation(4)&(5):
2
Multiplythetermsinequation(3)by[4]andsubtractitfromequation(6);(toeliminatethe
term
);
2
2
2
4
2
123
Centraldifferenceformulasoforder
2
2
2
2
2
6
Centraldifferenceformulasoforder
2
2
8
12
30
12
16
13
16
13
8
3
12
39
56
6
39
12
Forwarddifferenceformulasoforder
3
2
5
2
2
4
18
24
2
2
14
3
3
14
26
24
11
124
Backwarddifferenceformulasoforder
3
2
5
2
2
4
18
14
24
26
2
3
14
24
11
Problem:
,
UsetheTaylorexpansionsfor
2 ,
2 andderive
thecentraldifferenceformula:
2
Example:
sin ,where ismeasuredinradians.Calculateapproximationto
Let
0.8 ,
0.8 ,
0.8 with
0.1andcomparewithitsexactvalues.
Solution:
0.8
cos
sin
Exactsolution:
0.696706
0.8
sin
0.717356
0.8
cos
0.696706
2
0.9
2
0.8
0.7
0.1
0.695546
0.16%
2
0.8
0.9
2 0.8
0.1
0.7
0.716758
0.08%
2
0.8
2 0.9
2 0.7
2 0.1
0.6
0.694967
125
0.25%
Example:
Thedistance
traveledbyanobjectisgiveninthetablefollowing:
17.453
21.460
10
25.752
11
30.301
12
35.084
a)Findthevelocity 10 bynumericaldifferentiation.
70
b)Compareyouranswerwith
10
Solution:
a)Centralformula:
2
8
12
8 9
10
17.453
8 21.460
8
12
8 30.301
11
35.084
12
12
4.42475
b)
70
7
10
10
6.632120
6.632120 4.42475
6.632120
100%
33.28%
Example:
Thevoltage
inanelectricalcircitobeystheequation:
where isresistance,and isinductance.Use

followingtable:
126
2,
0.05,andvaluefor
inthe
8.2277
1.1
7.2428
1.2
5.9908
1.3
4.5260
1.4
2.9122
a)Find
1.2 bynumericaldifferentiation,anduseittocompute
/
10 sin 2
b)Compareyouranswerwith
1.2 .
Solution:
a)Centralformula:
2
8
12
8 1.3
8 1.1
12 0.1
1.4
2.9122
8 4.5260
8 7.2428
1.2
1.0
8.2277
0.05
13.6824
1.2
2 5.9908
11.2974
b)
10 sin 2
20 cos 2
Fromtable: 1.2
13.679273
sin 2
0.022%
5.9908
1.2
0.05
13.679273
1.2
11.297636
2 5.9908
0.002%
127
13.6824
1.2
Partialdifferentialformula:
,
Thepartialderivative
of
withrespectto isobtainedbyholding fixedand
differentiatingwithrespectto .
,
Similarly,
isfoundbyholding fixedanddifferentiatingwithrespectto .
Sothecentralformulabecome:
,
2
,
2 ,
,
,
2 ,
12
,
12
Example:
Let
,
2,3 and
Calculateapproximationto
2,3 usingcentralformulawith
Comparewiththevaluesobtainedbydifferentiating
0.1.
partially.
Solution:
Exactsolution:
,
2
2,3
3 3 2
2 3
9
25
,
2
2,3
0.36
3 2 2
2 3
4
25
0.16
Numericaldifferentiation:
,
2,3
2.1,3
1.9,3
0.2
,
2
0.360144
128
0.04%
,
2,3.1
2,3
2,2.9
0.160064
0.2
0.04%
Example:
Let
ln 3
15 estimatevaluesof:
&
0.1:
Usingnumericaldifferentiationwith
Solution:
Exactsolution:
3
3
4
4
4
2
15
15 4
2
4
15
2
3
9
15 18
8
4
2
15
9
15
0.167714884;
0.382948986
,
0.011356794;
0.048816243
NumericalSolution:
2 ,
,
4,5.8
,
12
8 3.9,6
8 4.1,6
12 0.1
3.8,6
12
8 4,5.9
8 4,6.1
12 0.1
2 ,
4.2,6
0.1677147
,
4,6.2
0.04882019
,
129
0.3829486
0.01135671;
,
Derivativefromdifferencetables:
WecanuseaGregoryNewtonforwardformulatoestimatevaluesforderivatives.
FromtheNewtonforwardpolynomial:
1
where
1
3!
4
2!
1
2
5!
4!
3
3!
2!
10
35
5!
50
6
3!
11
4!
18
22
24
Derivativewithrespectto :
1
2!
5
Ifwewanttofind
40
;i.e.
4!
100
24
;and
105
5!
2
1
3
1
0
1
4
1
5
1
Higherorderderivatives:
Fromfirstdifferentiationformula,thehigherorderderivatives,canbeobtained;
Wehave:
1
2!
40
6
3!
105
5!
100
18
22
4!
24
Takingthesecondderivativeofthisequation:
6
3!
20
120
5!
130
12
36
4!
210
100
22
;i.e.
Tofind
11
12
11
12
10
12
10
12
Wehave:
6
3!
20
120
12
36
4!
210
100
5!
22
Takingthirdderivative:
6
3!
24
36
4!
60
240
5!
210
Takingfourthderivative:
24
4!
120
240
5!
Tofind
&
;i.e.
0
7
&
Soweobtain:
1
131
Example:
2 ,findfirst&secondderivativeat
If
1,andlet
Solution:
21
56
115
204
17
35
59
89
12
18
24
30
2
1
12
2
1
5
1
3
1
6
3
1
4
1
0
4
1
0
5
1
1
1
1
12
6
1
11
12
11
0
12
10
12
10
0
12
132
Example:
1.3
Fromdatabelow,estimatethefirst,second,third,andfourthderivativeat
Solution:
1.1
1.3
1.5
1.7
1.9
2.1
2.3
3.3
2.9
2.6
2.3
2.0
1.6
1.3
0.4
0.3
0.3
0.3
0.4
0.3
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.1
0.3
0.2
0.4
0.2
1
1.3
1
0.2
1
0
2
0.3
3
1
1
0
3
4
1
0.4
5
0.1
0.975
1
1.3
1
0.2
11
12
11
12
10
12
10
0.4
12
0.1
10.625
1
1
0.2
1.3
3
2
0.1
7
0.4
4
106.25
1
1.3
1
0.2
0.1
2 0.4
562.5
133
0.6
Problem(1):
Findthefirstderivativeof;
3
Usingthefinitedifferencemethodat
;
0.05
0.05,
0.05method.
1912.320
Problem(2):
Findthefirsttwoderivatives &
ofthefollowingfunctionusingthefinitedifference
method.Compareyourresultswithanalyticalvalues:
ln 3
;
140
140
15
0.0213609;
0.0213616;
140;
140
140
1.508541
10
1.521122
10
Problem(3):
Findthefirsttwoderivativesofthefunction;
20
0.05with
at
12
0.05byusingthefinitedifferencemethod.Findtheerrorcomparedto
theanalyticalvalue:
;
0.05
0.05
957.029967;
0.01%;
0.05
4122.5536
0.05
0.22%
DifferentiationoftheLagrangePolynomial:
ThegeneralizedLagrangepolynomialis:
TheLagrangecubicinterpolatingpolynomialthroughthefourpoints
,
, &
is:
Differentiationthispolynomial:
134
TheLagrangecubicinterpolatingpolynomialthroughthefourpoints
,
, &
is:
Thesecondderivationis:
2
Thethirdderivationis:
23
23
23
23
Thefourthderivationforcubicinterpolationformulaisequaltozero:
0
Substitutionof
:
2
3
2
3
2
3
2
2
0
3
135
11
1

3
2
2
2 0
2 0
2 0
2
12
2
3
10
2
2
5
2
4
6

6
23
23
23
6
2
6
2
6
6
23
6
2
6
2
6
6
6
2
Problem:
StartwiththeLagrangeinterpolationpolynomialfor
,
basedonthefourpoints
, & ,derivetheformula:
2
Exercise:
Derivetheformula:
5
18
24
2
StartwiththeLagrangeinterpolationpolynomialfor
,
14
basedonthefivepoints
& .
136

Chapter Five Numerical Differentiation First Derivative:: 1 Forward Difference Approximation

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Chapter Five Numerical Differentiation First Derivative:: 1 Forward Difference Approximation

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NumericalAnalysis(Dr.

where isresistance,and isinductance.Use

withrespectto isobtainedbyholding fixedand

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