Dierence operators

Forward dierences yi = yi+1 yi Higher order forward dierences are dened recursively k+1 yi = k yi+1 k yi They can be expressed by binomail coecients n n k y0 = yn yn1 + yn2 + + (1)n y0 1 2 Forward dierences yi = yi yi1 k+1 yi = k yi k yi1 Central dierences 1 = yn yn1 = y1 y0 , y 3 = y2 y1 , . . . , yn 2 y 1 2 2 Higher order 2 y1 = y 3 y 1 , 2 y2 = y 5 y 3 and so on. 2 2 2 2 Shit operator E Ef (x) = f (x + h) Its inverse is E 1 f (x) = f (x h) Averaging operator \mu

+ yx h yx = 1 2 yx+ h 2 2 In dierence calculus, E is the fundamental operator and , , , can be expressed in terms of E. = E 1 or E = 1 + = 1 E 1 1 1 = E 2 E 2 1 1 2 2 = 1 2 E +E = E = E = E 2 E = ehD so = ehD 1 (falling) Factorial Notation (x)k = x(x 1) . . . (x k + 1) When the interval is h then (x)k = x(x h) . . . (x k 1h) Reciprocal factorial x(n) = (x+h)(x+21 h)...(x+nh) Netwon's forward formula )n n f (x + h) = n=0 (h n! f ( x ) or h f (x + h) = n=0 n f (x) a Newton's backward formula
1

Numerical dierentiation
This section discusses numerical methods for approximating the derivative(s) f(k)(x), k \ge 1 of a given function f(x). Start with Nweton's forward interpolation formula 1) 2 u2) 3 y = y0 + uy0 + u(u y0 + u(u1)( y0 + . . . 2! 3! xa whereu = h and dierentiate by u to get dy 2u1 2 3u2 6u+2 3 y0 + . . . du = y0 + 2! y0 + 3! 1 Then du = and we get dx h
dy du 2u1 2 1 3u 6u+2 3 = du y0 + . . . dx = h y0 + 2! y0 + 3! For seond derivative we use dy dy du d2 y d 2u1 2 d 1 3u2 6u+2 3 = y0 + . . . 2 dx dx dx = du dx dx = h y0 + 2! y0 + 3! 1 2 3u 6u+2 3 y0 + 2u y0 + . . . 2! y0 + 3! Otherwise we can start from E = ehD or 1 + = ehD This gives 2 3 4 hD = log(1 + ) = 2 + 3 4 + ... so 2 1 3 4 D= h 2 + 3 4 + ... . Similarly 1 h2
2

dy dx

1 h

D2 = and D3 =

1 h2 1 h3

2 2

3 3

4 4

+ ...

1 h2

2 3 +

11 4 12

55 5 6

+ ...

4 3 3 2 + . . .

Maxima and minima of a tabulated functions

Since maxima and minima of y = f(x) can be found by equating dy/x to zero and solving the equation for the argument x, the same method can be used to determine maxima and minima of tabulated function by dierentiating the interpolating polynomial. For example, if Newton's forward dierence formula is used, we have 1) 2 u2) 3 y0 + u(u1)( y0 + . . . y = y0 + uy0 + u(u 2! 3! Dierentiating with respect to u we get 2u1) 2 dy 3u2 6u+2 3 y0 + . . . du = y0 + 2! y0 + 3! Ignoring terms of order 3 or higher we get a quadratic equation which can be solved for extremum/

Newton Cotes formulae

Let the interval of integration (a, b) be divided into n equal sub-intervals, each of a width h = b n = so that x0 = a, x1 = x0 +h, x2 = x0 +2h, . . . , xn = x0 +nh = b. 2

Consider b x +nh x=x0 +rh n I = a f (x)dx = x00 f (x) = h 0 f (x0 + rh)drf By Newton's forward interpolation formula n r +2) 3 +1) 2 y0 + r(r+1)( y0 + . . . dr I = h 0 y0 + ry0 + r(r2 3! so n 2 r3 r2 1 r4 3 2 I = h ry0 + r2 y0 + 1 2 y0 + 3! 3 y0 + . . . 2 3 2 4 r +r 0 giving nally 2 n(2n3) 2 2) I = nh y0 + n y0 + n(n24 3 y 0 + . . . . 2 y 0 + 12 For n = 1, 2, 3, 4 and 6 we get trapezoidal rule, Simpson's one-third and three-eighth rules, Boole rule and Weddle's rule respectively. n = 1 x +h h 1 I = x00 f (x) = h y0 + 1 2 y0 = 2 (2y0 + y1 y0 ) = 2 (y0 + y1 ) n=2 Simpson's one third x +2h 1 2 h I = x00 f (x) = 2h y0 + y0 + 6 y0 = 26 [6y0 + 6(y1 y0 ) + (y2 2y1 + y0 )] = h 2 (y0 + 4y1 + y2 ) n=3

Euler-MacLaurin's formula
Assume that the function f (x) is the dierence function of F (x) F (x) = f (x). Then F (x) = (E 1)1 f (x) = (ehD 1)1 f (x) = 1 1 1 ( x) = f (x) = hD 2 D2 3 D3 1+hD + h 2! + h 3! +... 1 hD h2 D2 1+ + + ... 2! 3! Now develop
1 1+x

= 1 x + x2 x3 + . . . so we get
hD 2

F (x) =
1 1 hD

D 1 h

+
3

h2 D 2 12
3

h4 D 4 720

+ . . . f (x) =

...

hD h D h 2 + 12 720 + . . . f (x) On the other hand, cancellation n1 n1 = F (xn ) F (x0 ) i=1 f (xi ) = i=1 [F (xi+1 ) F (xi )] so nally 1 h3 D 3 hD h3 D 3 1 1 1 1 F (xn )F (x0 ) = h D 2 + hD 1 12 720 + . . . f (xn ) h D 2 + 12 720 + . . . f (x0 ) = 1 h h3 1 xn h x0 f (x)dx 2 [f (xn ) f (x0 )]+ 12 [f (xn ) f (x0 )]+ 720 [f (xn ) f (x0 )]+

Now nally xn n1 h2 h4 f (x)dx = h i=1 yi + h 2 (y0 + yn ) 12 (y n y 0 ) + 720 (yn y0 ) + . . . x0 which is exactly the trapezoidal rule. This formula is often used to nd the sum of a series of the form y (x0 ) + y (x0 + h) + y (x0 + 2h) + + y (x0 + nh).

Predictor-Corrector Methods.
Modied Euler's method
The modied Euler's method of solving the initial value problem, y = f (x, y ), y (x0 ) = y0 In Euler's method we advance from point (x0 , y0 ) to (x1 , y1 ) where y1 = y0 + (x0 x1 )f (x0 , y0 ). We can improve by using not the slope at (x1 , y1 ), but the average of the slopes at (x0 , y0 ) and at (x1 , y1 ). p In order to prevent confusion we denote the result of the rst step as y1 , i.e. a predicted value. p y1 = y0 + (x0 x1 )f (x0 , y0 ) c Then we get the corrected or improved value y1 p x 0 x 1 c y1 = y0 + 2 [f (x0 , y0 ) + f (x1 , y1 )] This is a typical case of Predictor-Corrector Method.

Milne's Predictor-Corrector Method

We assume that we have equidistant points, so xi+1 xi = h. For each step we use 4 previous points. so assume we start with x0 ,x1 , x2 and x3 . We integrate the Newton's forward interpolation formula for y over the interval [x0 , x4 ] . x0 For convenience we denote x by u. h

Predictor

x +4h 4 y4 y0 = x00 y dx = h 0 y du = 4 u2) 3 1) 2 y0 + u(u1)( y0 + y0 + uy0 + u(u2 3! 0

u(u1)(u2)(u3) 4 y0 4!

+ . . . du

which gives 8 3 28 4 2 h y0 + 8y0 + 20 3 y0 + 3 y0 + 90 y0 + . . . which expressed by = E 1 operator gives 8 2 3 h y0 + 8(E 1)y0 + 20 3 (E 1) y0 + 3 (E 1) y0 + After expansion we get h 4 y4 y0 = 43 (2y1 y2 + 2y3 ) + 28 90 y0 + . . .

28 90 (E

1)4 y0 + . . .

Corrector
We integrate Newton's forward formula from x0 to x2 + 2h and we get h 4 y2 y0 = h 3 (y0 + 4y1 + y2 ) 90 y0 + . . . But we want to apply it from x2 to x4 +2h so the algorithm becomes: Assume y0 ,y1 ,y3 computed. Then, if we remember that yi = f (xi , yi ), we have h yp = y0 + 43 (2y1 y2 + 2y3 ) h yc = y2 + 3 (y2 + 4y3 + f (x4 , yp )) 4

y4 = yc Test case y = x + y withy (0) = 1 from x = 0.20 to x = 0.30 with h = 0.05. The exact solution is y = 2ex x 1 (so we can use them as rst values)

AdamsMoultonPredictor Formula
Start with Newton's backward interpolation formula which is integrated from x0 to x0 + h for f (x, y ): 1 u+2) 3 +1) 2 f0 + u(u+1)( f0 + . . . du y1 = y0 + h 0 f0 + uf0 + u(u2 3! which results in 1 5 3 y1 = y0 + h f0 + 2 f0 + 12 2 f0 + 3 8 f0 + . . . du Now replacing f0 = f0 f1 2 f0 = f0 2f1 + f2 3 f0 = f0 3f1 + 3f2 f3 we get p h (55f0 59f1 + 37f2 9f3 ) y1 = y0 + 24 The correction goes with the same computation for y' h c y1 = y0 + 24 (55y0 59y1 + 37y2 9y3 )