Lecture 2

AE 410 / CSE 461

Computational Aerodynamics
Instructor: Prof. Marco Panesi

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 Finite Difference Method

Our goal is to approximate solutions to differential equations, i.e. , to find a

function (or some discrete approximation to this function) which satisfies a
given relationship between various of its derivatives on some given region
of space and/or time, along with some boundary conditions along the edges
of this domain.

The finite difference method proceeds by replacing the derivatives in the

differential equations by finite difference approximations. This gives a large
algebraic system of equations to be solved in place of the differential
equation, something that is easily solved on a computer.

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 Calculus Definition of a Derivative

In calculus you learned that:

This is exact if we take the limit

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Finite Difference approximation of Derivative

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 Finite Difference Approximation

Our goal is to approximate the derivative operators:

By some linear combination of

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 Finite Difference Approximation

Let us start with something simple:

We want to find which approximate:

Using Taylor expansion about ui to express ui-1 and ui+1:

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 Finite Difference Approximation

Multiply both sides by a:

Let us repeat the procedure for the other terms:

cui+1

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 Finite Difference Approximation

If we substitute in the original equation

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 Finite Difference Approximation

In order for the equation above to be satisfied we must impose conditions

on the a, b, c coefficients.

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Finite Difference Method

This can be recast in this form:

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 Finite Difference Method

This admits as a solution:

If we substitute in the original equation

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 Finite Difference Method

This admits as a solution:

Or equivalently:

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 Truncation Error

To find the truncation error we substitute a, b and c:

And we retrieve the first derivative:

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 Truncation Error

The method is second order accurate!

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 Remarks on the Truncation Error

The truncation error is composed of three parts:

1. The coefficient -1/6

1. The power of

1. The derivative in u

All three are important BUT we will focus on the second in

this class.

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 Finite Difference

Following the same approach we can build approximation of

any order. Here we will see few examples:

FIRST ORDER (Backward and Forward)

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FORWARD Finite Difference

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Backward Finite Difference

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Central Finite Difference

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 Remarks

The truncation error in finite difference is proportional to the second

derivative in the forward and backward approximation (1st order). So we
can say that FD (1st order forward and backward) are exact for linear
functions.

The central FD approximation is exact for a parabolic function.

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 Example Finite Difference 2nd Order

• Compute the truncation error for these two functions (leading

term in the Taylor expansion)

• Compare the truncation error obtained as a difference of the

analytical solution and approximate derivative

• The Function are: sin(mx) with m = 1 and m = 20

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 Functions

0.5
u(x)

-0.5

-1
0 1 2 3 4 5 6 7
x
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 EXAMPLE – Sin (x)

sin(x) ( x)2 @ 3 u
6 @x3
0.1

@u ui+1 ui 1
ert

⇡
@x i 2 x
0.05

0
0 0.2 0.4 0.6 0.8 1
Δx
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 Error as function of Grid Spacing
0
10

10
-1
sin(x)
-2
10

2
-3
10
ert

-4
10

10
-5 1
-6
10
-7
10
-8
10 -4 -3 -2 -1 0
10 10 10 10 10
Δx
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 EXAMPLE – Sin (20x)
1500

sin(20x) ( x)2 @ 3 u
6 @x3
1000 @u ui+1 ui 1
⇡
@x 2 x
ert

500

0
0 0.2 0.4 0.6 0.8 1
Δx
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 Sin(20x)

0
10
-1
10
-2
10
-3
10
ert

-4
10
-5
10
-6
10
-7
10
-8
10 -4 -3 -2 -1 0
10 10 10 10 10
Δx
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 What have we learned?

1. Numerical Differentiation using Finite Different method

1. Use of undetermined coefficients and Taylor expansion to build

approximation of any order to the derivative.

1. Concept of Truncation Error

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