Finite difference

coefficient

In mathematics, to approximate a
derivative to an arbitrary order of accuracy,
it is possible to use the finite difference. A
finite difference can be central, forward or
backward.

Central finite difference

This table contains the coefficients of the
central differences, for several orders of
accuracy and with uniform grid spacing:[1]

Derivative Accuracy −5 −4 −3 −2 −1 0 1 2

2 −1/2 0 1/2

4 1/12 −2/3 0 2/3 −1/1

1
6 −1/60 3/20 −3/4 0 3/4 −3/2

8 1/280 −4/105 1/5 −4/5 0 4/5 −1/5

2 1 −2 1

4 −1/12 4/3 −5/2 4/3 −1/1

2
6 1/90 −3/20 3/2 −49/18 3/2 −3/2

8 −1/560 8/315 −1/5 8/5 −205/72 8/5 −1/5

2 −1/2 1 0 −1 1/2

3 4 1/8 −1 13/8 0 −13/8 1

6 −7/240 3/10 −169/120 61/30 0 −61/30 169/1

2 1 −4 6 −4 1

4 4 −1/6 2 −13/2 28/3 −13/2 2

6 7/240 −2/5 169/60 −122/15 91/8 −122/15 169/6

2 −1/2 2 −5/2 0 5/2 −2

5 4 1/6 −3/2 13/3 −29/6 0 29/6 −13/

6 −13/288 19/36 −87/32 13/2 −323/48 0 323/48 −13/

2 1 −6 15 −20 15 −6

6 4 −1/4 3 −13 29 −75/2 29 −13

6 13/240 −19/24 87/16 −39/2 323/8 −1023/20 323/8 −39/

For example, the third derivative with a
second-order accuracy is

where represents a uniform grid

spacing between each finite difference
interval, and .

For the -th derivative with accuracy ,

there are

central

coefficients .
These are given by the solution of the
linear equation system
where the only non-zero value on the right
hand side is in the -th row.

An open source implementation for

calculating finite difference coefficients of
arbitrary derivates and accuracy order in
one dimension is available.[2]
Forward finite difference
This table contains the coefficients of the
forward differences, for several orders of
accuracy and with uniform grid spacing:[1]
Derivative Accuracy 0 1 2 3 4 5 6

1 −1 1          

2 −3/2 2 −1/2        

3 −11/6 3 −3/2 1/3      

1
4 −25/12 4 −3 4/3 −1/4    

5 −137/60 5 −5 10/3 −5/4 1/5  

6 −49/20 6 −15/2 20/3 −15/4 6/5 −1/

1 1 −2 1        

2 2 −5 4 −1      

3 35/12 −26/3 19/2 −14/3 11/12    

2
4 15/4 −77/6 107/6 −13 61/12 −5/6  

5 203/45 −87/5 117/4 −254/9 33/2 −27/5 137/1

6 469/90 −223/10 879/20 −949/18 41 −201/10 1019/

1 −1 3 −3 1      

2 −5/2 9 −12 7 −3/2    

3 −17/4 71/4 −59/2 49/2 −41/4 7/4  

3
4 −49/8 29 −461/8 62 −307/8 13 −15/

5 −967/120 638/15 −3929/40 389/3 −2545/24 268/5 −1849/

6 −801/80 349/6 −18353/120 2391/10 −1457/6 4891/30 −561

1 1 −4 6 −4 1    

2 3 −14 26 −24 11 −2  

4 3 35/6 −31 137/2 −242/3 107/2 −19 17/

4 28/3 −111/2 142 −1219/6 176 −185/2 82/

5 1069/80 −1316/15 15289/60 −2144/5 10993/24 −4772/15 2803/

For example, the first derivative with a

third-order accuracy and the second
derivative with a second-order accuracy
are

while the corresponding backward

approximations are given by

Backward finite difference

In general, to get the coefficients of the
backward approximations, give all odd
derivatives listed in the table the opposite
sign, whereas for even derivatives the
signs stay the same. The following table
illustrates this[3]:

Derivative Accuracy −8 −7 −6 −5 −4 −3 −2 −1 0

1               −1 1

1 2             1/2 −2 3/2

3           −1/3 3/2 −3 11/6

1             1 −2 1
2
2           −1 4 −5 2

1           −1 3 −3 1
3
2         3/2 −7 12 −9 5/2

1         1 −4 6 −4 1
4
2       −2 11 −24 26 −14 3

Arbitrary stencil points

For a given arbitrary stencil points of
length with the order of derivatives
, the finite difference coefficients
can be obtained by solving the linear
equations [4]

where the are the Kronecker delta.

Example, for ,
order of differentiation :
The order of accuracy of the
approximation takes the usual form

See also
Finite difference method
Finite difference
Five-point stencil
Numerical differentiation
References
1. Fornberg, Bengt (1988), "Generation of
Finite Difference Formulas on
Arbitrarily Spaced Grids", Mathematics
of Computation, 51 (184): 699–706,
doi:10.1090/S0025-5718-1988-
0935077-0 , ISSN 0025-5718 .
2. "A Python package for finite difference
numerical derivatives in arbitrary
number of dimensions" .
3. Taylor, Cameron (12 December 2019).
"Finite Difference Coefficients
Calculator" . MIT.