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Numerical Differentiation

This document contains lecture notes on numerical differentiation methods for approximating solutions to differential equations. It covers four main numerical differentiation methods - Euler-Cauchy's method, fourth order Runge-Kutta method, three-term Taylor method, and the finite difference method. It provides examples of applying each method to solve initial value problems and discusses the errors associated with numerical differentiation methods.

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174 views26 pages

Numerical Differentiation

This document contains lecture notes on numerical differentiation methods for approximating solutions to differential equations. It covers four main numerical differentiation methods - Euler-Cauchy's method, fourth order Runge-Kutta method, three-term Taylor method, and the finite difference method. It provides examples of applying each method to solve initial value problems and discusses the errors associated with numerical differentiation methods.

Uploaded by

chiben
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Professor Christopher Chukwutoo Ihueze

(B.Eng,M.Eng,Ph.D.)

Department of industrial and production engineering,


Nnamdi Azikiwe University,Awka

Faculty of Engineering,
Nnamdi Azikiwe University,Awka

This chapter involves Numerical methods are usually applied


where close form or exact solution is not possible for linear and
nonlinear functions. Numerical differentiation is therefore an
approximate and simplest method for approximating solution for
differential equation.

Lecture Note: this lecture note is available for download in pdf


format at www.ccihueze.com.

Recommended Textbooks:

Zill, D. G., Cullen, M. R. (1989) Advanced Engineering Mathematics, Jones and


Bart lett Publishers Sadbury Massachusetts Boston.

Chapara, S. C. and Canale, R. P. (1998) Numerical Methods for Engineers, 3rd ed.
WCB/McGraw-Hill Boston.

Ike, C. C. and Mughal, M. I. (1997) Differential equations, Immaculate Publications


Enugu-Nigeria.

Grading:
Attendance (10%)
Bi-Weekly homework (12%)
Midterm (28%)
Final Exam (50%)

Introduction
Numerical differentiation is an approximate and simplest method for
approximating solution for differential equation. This is an approximate
method

in this lecture, we shall deal with four methods,


Euler-Cauchys method,

4th order Runge Kutta method and

Three-term Taylor method,

the finite difference method (FDM).

Figure 1: Numerical Differentiation

A.1.1Euler-Cauchys method
This an approximate method developed from Taylor series expansion of the
function y(x+h) for the solution of the initial value problem expressed as:

It is difficult to obtain an exact solution for the nonlinear form of (1) that
an approximate solution is usually applied. A solution of (1) in the interval
It is difficult to obtain an exact solution for the nonlinear form of (1) that
an approximate solution is usually applied. A solution of (1) in the interval
xo, h, x1, x2,.xn ie y(xo), y(x1), y(x2),.y(xn) where xn = xo + nh, n =
0,1,2,.n, which satisfies the differential equation in (1) together with the
initial conditions.
The Euler-Cauchys formula for the initial value problem

for x, h, xn where h = xn xn-1 can be derived from the Taylor series


expansion y(x+h), expressed as

A.1.1Euler-Cauchys method CONTINUES

From this we develop the following iterations

So that from (5) the Euler-Cauchys formula Becomes

Example A.1:
Solve the initial value problem using the Eulers formula

Solution: But the Euler iteration formula is

so that

The calculations with equation (7) are tabulated in table 1


Table A.1: Calculations with equation (7)
n
0
1
2
3
4
5
6

xn
0
0.1
0.2
0.3
0.4
0.5
0.6

yn
f(xn, yn)=(1+yn2 ) hf(xn, yn)=0.1(1+yn2 )
0
1
0.1
0.1
1.01
0.101
0.201
1.0404
1.10404
0.30504
1.09305
0.109305
0.41434
1-17168
0.117168
0.53151
1.2825
0.12825
0.6598

yn+1
0.1
0.201
0.30504
0.41434
0.53151
0.6598

Example A.2:
Apply the Eulers-Cauchys formula to solve the differential equation
Solution:

Calculations with this equation are tabulated in table 2.


Table A.2: Computations for example
n
0
1
2
3
4
5
6
7
8
9
10
11
12
13

xn
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.3

yn
0
0.1
0.202
0.3101
0.4287
0.5630
0.7193
0.9056
1.1324
1.4136
1.7680
2.2216
2.8104
3.5848

f(xn,yn)
1
1.02
1.0808
1.1861
1.3438
1.560
1.8632
2.2679
2.8118
3.5444
4.5361
5.8875
7.7448

h f(xn,yn)
0.1
0.102
0.1081
0.1186
0.1343
0.1563
0.1863
0.2268
0.2812
0.3544
0.4536
0.5888
0.7745

yn+1
0.1
0.202
0.3101
0.4287
0.5630
0.7193
0.9056
1.1324
1.4136
1.7680
2.2216
2.8104
3.5848

Example A.3:
Solve the initial value problem expressed as
Solution: The differential equation is transformed as

The Eulers formula for the function then becomes

The result of calculation with this equation becomes as in table A.3.


Table A.3: Computations for example A.3
n
0
1
2
3
4
5
6
7

1.20
1.22
1.24
1.26
1.28
1.30
1.32
1.34

4.0
4.1556
4.3195
4.4925
4.6754
4.8692
5.0748

8
9
10
11

1.36
1.38
1.40
1.42

5.5266
5.7756
6.0422
6.3284

5.2935

f()
7.7778
8.1959
8.6511
9.1473
9.6895
10.2785
10.9358
11.6550

f()
0.1556
0.1639
0.1730
0.1829
0.1938
0.2056
0.2187
0.2331

4.1556
4.3195
4.4925
4.6754
4.8692
5.0748
5.2935

12.4497
13.3307
14.3107
15.4049

0.2490
0.2666
0.2862
0.3081

5.5266
5.7756
6.0422
6.3284

A.1.2 TAYLORS METHOD

Example A.4:

Example A.4: Continues


Table A.4a: Computations for example A.4 (Three term Taylor Method with h = 0.1)

n
0
1
2
3
4
5

1
1.1
1.2
1.3
1.4
1.5

1
1.2337
1.5527
1.9937
1.26117
3.4904

Table A.4b: Computations for example A.4 (Three term Taylor Method with h = 0.05)

n
0
1
2
3
4
5
6
7
8

1
1.05
1.10
1.15
1.20
1.25
1.30
1.35
1.40

1.0000
1.1075
1.2327
1.3788
1.5499
1.7509
1.9879
2.2681
2.6006

Example A.4: Continues

Higher order derivatives become increasingly more complicated.


Consequently alternative one step methods have been developed. These
schemes are comparable in performance to the higher-order Taylor-series
approaches but require only the calculation of the first derivatives.

Example A.5

Table

n
0
1
2
3
4
5

A.5a: Three term Taylor Method with h = 0.1

0.00
0.10
0.20
0.30
0.40
0.50
n
0
1
2
3
4
5
6
7

0.00
0.05
0.10
0.15
0.20
0.25
0.30
0.35

2.0000
2.1200
2.2992
2.5726
3.0077
3.7511

2.0000
2.0550
2.1222
2.2045
2.3058
2.4315
2.5890
2.7889

A.1.3 FOURTH ORDER RUNGE-KUTTA METHOD

Example A.6:
Use the 4th Order Runge-Kutta method with h = 0.1 to obtain an approximate
solution at y(1.5) for the boundary value problem
Solution: The 4th Order Runge-Kutta formula is expressed as

Example A.6: Continues

Example A.6: Continues

A.2
A.2.1

HIGHER ORDER EQUATIONS AND SYSTEMS


EULERS METHOD FOR HIGHER ORDER INITIAL VALUE PROBLEMS

Example A9:

Example A9: Continues

A.3

4TH ORDER RUNGE KUTTA METHOD FOR HIGHER ORDER BOUNDARY


VALUE SYSTEMS

An initial value problem for a second order system-that is a system of two first
order differential equation is expresses as

The fourth order Runge-Kutta model for the system


looks like

ERRORS OF NUMERICAL DIFFERENTIATION

ERRORS OF NUMERICAL DIFFERENTIATION: Continues

Error of Euler method


The Euler method is derived by truncating from the third term of the Taylor
series expressed as
Or

Error of Runge-Kutta methods


RK methods achieve the accuracy of a Taylor series approach without
requiring the calculation of higher derivatives. Many variations exists with the
most popular being the 4th order Runge-Kutta method. Where more accurate
results are needed, Butchers (1964) 5th order Runge-Kutta method is
recommended:

Where

GOODLUCK

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