Lec 22 to 24

Numerical Differentiation
Forward Difference Approximation of the First Derivative
Taylor Series Approximation
f 00 (x)(∆x)2 f 000 (x)(∆x)3
f (x + ∆x) = f (x) + f 0 (x)∆x + + + ··· (1)
2! 3!
On rearranging some terms in Eq.(1)

f (x + ∆x) − f (x) f 00 (x)(∆x) f 000 (x)(∆x)2

= f 0 (x) + + + ··· (2)
∆x 2! 3!
Eq.(2) can also be written as,

f (x + ∆x) − f (x)
= f 0 (x) + O(∆x) (3)
∆x
On truncating the term in Eq.(3) after first derivative gives,

f (x + ∆x) − f (x)
f 0 (x) ≈ (4)
∆x

2 / 15
Backward Difference Approximation of the First Derivative
Taylor Series Approximation
f 00 (x)(∆x)2 f 000 (x)(∆x)3
f (x − ∆x) = f (x) − f 0 (x)∆x + − + ··· (5)
2! 3!
Rearranging Eq.(5)

f (x) − f (x − ∆x) f 00 (x)(∆x) f 000 (x)(∆x)2

= f 0 (x) − + − ··· (6)
∆x 2! 3!
Eq.(6) can also be written as,

f (x) − f (x − ∆x)
= f 0 (x) + O(∆x) (7)
∆x
On truncating the term in Eq.(7) after first derivative gives,

f (x) − f (x − ∆x)
f 0 (x) ≈ (8)
∆x

3 / 15
Graphical Representation

Figure 1: Graphical representation of forward difference approximation of

first order derivative.

4 / 15
Figure 2: Graphical representation of backward difference approximation of
first order derivative.

5 / 15
Centered Difference Approximation of the First Derivative

Subtract Eq.(5) from Eq.(1)

f 000 (x)(∆x)3
f (x + ∆x) − f (x − ∆x) = 2f 0 (x)∆x + 2 + ··· (9)
3!
Rearrangement of Eq.(9) gives,

f (x + ∆x) − f (x − ∆x) f 000 (x)(∆x)2

= f 0 (x) + + ··· (10)
2∆x 3!
Eq.(10) can also be written as,

f (x + ∆x) − f (x − ∆x)
= f 0 (x) + O(∆x 2 ) (11)
2∆x
On truncating the term in Eq.(11) after first derivative gives,

f (x + ∆x) − f (x − ∆x)
f 0 (x) ≈ (12)
2∆x

6 / 15
Figure 3: Graphical representation of centered difference approximation of
first order derivative.

7 / 15
Finite Difference Approximations of Higher Derivatives

The Taylor series expansion for f (x + 2∆x) in terms of f (x) is

expressed as,

f 00 (x)(2∆x)2
f (x + 2∆x) = f (x) + f 0 (x)(2∆x) + + ··· (13)
2!
Similarly, the Taylor series expansion for f (x + ∆x) is given by,

f 00 (x)(∆x)2
f (x + ∆x) = f (x) + f 0 (x)∆x + + ··· (14)
2!
Multiply Eq.(14) by 2 and then subtract it from Eq.(13) gives,

f 00 (x)(2∆x 2 )
f (x + 2∆x) − 2f (x + ∆x) = −f (x) + + ··· (15)
2!

11 / 15
Eq.(15) can also be written as,

f (x + 2∆x) − 2f (x + ∆x) + f (x)

= f 00 (x) + O(∆x) (16)
∆x 2

On truncating the higher order terms, Eq.(16) becomes,

f (x + 2∆x) − 2f (x + ∆x) + f (x)

f 00 (x) = + O(∆x) (17)
∆x 2

Eq.(17) is the forward difference approximation of second derivative.

In a similar way, backward difference approximation of second deriva-

tive can be derived and written as,

f (x) − 2f (x − ∆x) + f (x − 2∆x)

f 00 (x) = + O(∆x) (18)
∆x 2

12 / 15
Similarly, second-order central difference approximation can be repre-
sented as,

f (x + ∆x) − 2f (x) + f (x − ∆x)

f 00 (x) = + O(∆x 2 ) (19)
∆x 2

As was the case with the first-derivative approximations, the centered

case is more accurate. Alternatively, Eq.(19) can also be expressed
as,

f (x+∆x)−f (x)
− f (x)−f∆x
(x−∆x)
f 00 (x) ≈ ∆x
(20)
∆x

As second derivative is a derivative of a derivative, the second divided

difference approximation is a difference of two first divided differences.

13 / 15