Recurrence relation

In mathematics, a recurrence relation is an equation according to which the th term of a sequence of

numbers is equal to some combination of the previous terms. Often, only previous terms of the sequence
appear in the equation, for a parameter that is independent of ; this number is called the order of the
relation. If the values of the first numbers in the sequence have been given, the rest of the sequence can
be calculated by repeatedly applying the equation.

In linear recurrences, the n th term is equated to a linear function of the previous terms. A famous
example is the recurrence for the Fibonacci numbers,

where the order is two and the linear function merely adds the two previous terms. This example is a
linear recurrence with constant coefficients, because the coefficients of the linear function (1 and 1) are
constants that do not depend on . For these recurrences, one can express the general term of the sequence
as a closed-form expression of . As well, linear recurrences with polynomial coefficients depending on
are also important, because many common elementary and special functions have a Taylor series whose
coefficients satisfy such a recurrence relation (see holonomic function).

The concept of a recurrence relation can be extended to multidimensional arrays, that is, indexed families
that are indexed by tuples of natural numbers.

Contents
Definition
Examples
Factorial
Logistic map
Fibonacci numbers
Binomial coefficients
Difference operator and difference equations
From sequences to grids
Solving
Solving linear recurrence relations with constant coefficients
Solving first-order non-homogeneous recurrence relations with variable coefficients
Solving general homogeneous linear recurrence relations
Solving first-order rational difference equations
Stability
Stability of linear higher-order recurrences
Stability of linear first-order matrix recurrences
Stability of nonlinear first-order recurrences
Relationship to differential equations
 Applications
Biology
Computer science
Digital signal processing
Economics
See also
References
Footnotes
Bibliography
External links

Definition
A recurrence relation is an equation that expresses each element of a sequence as a function of the
preceding ones. More precisely, in the case where only the immediately preceding element is involved, a
recurrence relation has the form

where

is a function, where X is a set to which the elements of a sequence must belong. For any , this
defines a unique sequence with as its first element, called the initial value.[1]

It is easy to modify the definition for getting sequences starting from the term of index 1 or higher.

This defines recurrence relation of first order. A recurrence relation of order k has the form

where is a function that involves k consecutive elements of the sequence.

In this case, k
initial values are needed for defining a sequence.

Examples

Factorial

The factorial is defined by the recurrence relation

and the initial condition

Logistic map

An example of a recurrence relation is the logistic map:

with a given constant ; given the initial term each subsequent term is determined by this relation.

Solving a recurrence relation means obtaining a closed-form solution: a non-recursive function of .

Fibonacci numbers

The recurrence of order two satisfied by the Fibonacci numbers is the canonical example of a homogeneous
linear recurrence relation with constant coefficients (see below). The Fibonacci sequence is defined using
the recurrence

with initial conditions

Explicitly, the recurrence yields the equations

etc.

We obtain the sequence of Fibonacci numbers, which begins

0, 1, 1, 2, 3, 5, 8, 13, 21, 34, 55, 89, ...

The recurrence can be solved by methods described below yielding Binet's formula, which involves
powers of the two roots of the characteristic polynomial ; the generating function of the
sequence is the rational function

Binomial coefficients

A simple example of a multidimensional recurrence relation is given by the binomial coefficients ,

which count the ways of selecting elements out of a set of elements.
They can be computed by the
recurrence relation
with the base cases . Using this formula to compute the values of all binomial coefficients
generates an infinite array called Pascal's triangle. The same values can also be computed directly by a
different formula that is not a recurrence, but uses factorials, multiplication and division, not just additions:

The binomial coefficients can also be computed with a uni-dimensional recurrence:

with the initial value (The division is not displayed as a fraction for emphasizing that it must be
computed after the multiplication, for not introducing fractional numbers).
This recurrence is widely used in
computers because it does not require to build a table as does the bi-dimensional recurrence, and does
involve very large integers as does the formula with factorials (if one uses all involved
integers are smaller than the final result).

Difference operator and difference equations

The difference operator is an operator that maps sequences to sequences, and, more generally, functions
to functions. It is commonly denoted and is defined, in functional notation, as

It is thus a special case of finite difference.

When using the index notation for sequences, the definition becomes

The parentheses around and are generally omitted, and must be understood as the term of
index n in the sequence and not applied to the element

Given sequence the first difference of a is

The second difference is A simple computation shows that

More generally: the kth difference is defined recursively as and one has

This relation can be inverted, giving

A difference equation of order k is an equation that involves the k first differences of a sequence or a
function, in the same way as a differential equation of order k relates the k first derivatives of a function.

The two above relations allow transforming a recurrence relation of order k into a difference equation of
order k, and, conversely, a difference equation of order k into recurrence relation of order k. Each
transformation is the inverse of the other, and the sequences that are solution of the difference equation are
exactly those that satisfies the recurrence relation.

For example, the difference equation

is equivalent to the recurrence relation

in the sense that the two equations are satisfied by the same sequences.

As it is equivalent for a sequence to satisfy a recurrence relation or to be the solution of a difference

equation, the two terms "recurrence relation" and "difference equation" are sometimes used
interchangeably. See Rational difference equation and Matrix difference equation for example of uses of
"difference equation" instead of "recurrence relation"

Difference equations resemble to differential equations, and this resemblance is often used to mimic
methods for solving differentiable equations to apply to solving difference equations, and therefore
recurrence relations.

Summation equations relate to difference equations as integral equations relate to differential equations. See
time scale calculus for a unification of the theory of difference equations with that of differential equations.

From sequences to grids

Single-variable or one-dimensional recurrence relations are about sequences (i.e. functions defined on one-
dimensional grids). Multi-variable or n-dimensional recurrence relations are about -dimensional grids.
Functions defined on -grids can also be studied with partial difference equations.[2]

Solving

Solving linear recurrence relations with constant coefficients

Solving first-order non-homogeneous recurrence relations with variable

coefficients

Moreover, for the general first-order non-homogeneous linear recurrence relation with variable coefficients:

there is also a nice method to solve it:[3]

Let

Then

If we apply the formula to and take the limit , we get the formula
for first order linear differential equations with variable coefficients; the sum becomes an integral, and the
product becomes the exponential function of an integral.

Solving general homogeneous linear recurrence relations

Many homogeneous linear recurrence relations may be solved by means of the generalized hypergeometric
series. Special cases of these lead to recurrence relations for the orthogonal polynomials, and many special
functions. For example, the solution to

is given by

the Bessel function, while

is solved by
the confluent hypergeometric series. Sequences which are the solutions of linear difference equations with
polynomial coefficients are called P-recursive. For these specific recurrence equations algorithms are
known which find polynomial, rational or hypergeometric solutions.

Solving first-order rational difference equations

A first order rational difference equation has the form . Such an equation can be solved by
writing as a nonlinear transformation of another variable which itself evolves linearly. Then standard
methods can be used to solve the linear difference equation in .

Stability

Stability of linear higher-order recurrences

The linear recurrence of order ,

has the characteristic equation

The recurrence is stable, meaning that the iterates converge asymptotically to a fixed value, if and only if
the eigenvalues (i.e., the roots of the characteristic equation), whether real or complex, are all less than unity
in absolute value.

Stability of linear first-order matrix recurrences

In the first-order matrix difference equation

with state vector and transition matrix , converges asymptotically to the steady state vector if and
only if all eigenvalues of the transition matrix (whether real or complex) have an absolute value which is
less than 1.

Stability of nonlinear first-order recurrences

Consider the nonlinear first-order recurrence

This recurrence is locally stable, meaning that it converges to a fixed point from points sufficiently close
to , if the slope of in the neighborhood of is smaller than unity in absolute value: that is,
A nonlinear recurrence could have multiple fixed points, in which case some fixed points may be locally
stable and others locally unstable; for continuous f two adjacent fixed points cannot both be locally stable.

A nonlinear recurrence relation could also have a cycle of period for . Such a cycle is stable,
meaning that it attracts a set of initial conditions of positive measure, if the composite function

with appearing times is locally stable according to the same criterion:

where is any point on the cycle.

In a chaotic recurrence relation, the variable stays in a bounded region but never converges to a fixed
point or an attracting cycle; any fixed points or cycles of the equation are unstable. See also logistic map,
dyadic transformation, and tent map.

Relationship to differential equations

When solving an ordinary differential equation numerically, one typically encounters a recurrence relation.
For example, when solving the initial value problem

with Euler's method and a step size , one calculates the values

by the recurrence

Systems of linear first order differential equations can be discretized exactly analytically using the methods
shown in the discretization article.

Applications

Biology

Some of the best-known difference equations have their origins in the attempt to model population
dynamics. For example, the Fibonacci numbers were once used as a model for the growth of a rabbit
population.

The logistic map is used either directly to model population growth, or as a starting point for more detailed
models of population dynamics. In this context, coupled difference equations are often used to model the
interaction of two or more populations. For example, the Nicholson–Bailey model for a host-parasite
interaction is given by
with representing the hosts, and the parasites, at time .

Integrodifference equations are a form of recurrence relation important to spatial ecology. These and other
difference equations are particularly suited to modeling univoltine populations.

Computer science

Recurrence relations are also of fundamental importance in analysis of algorithms.[4][5] If an algorithm is

designed so that it will break a problem into smaller subproblems (divide and conquer), its running time is
described by a recurrence relation.

A simple example is the time an algorithm takes to find an element in an ordered vector with elements, in
the worst case.

A naive algorithm will search from left to right, one element at a time. The worst possible scenario is when
the required element is the last, so the number of comparisons is .

A better algorithm is called binary search. However, it requires a sorted vector. It will first check if the
element is at the middle of the vector. If not, then it will check if the middle element is greater or lesser than
the sought element. At this point, half of the vector can be discarded, and the algorithm can be run again on
the other half. The number of comparisons will be given by

the time complexity of which will be .

Digital signal processing

In digital signal processing, recurrence relations can model feedback in a system, where outputs at one time
become inputs for future time. They thus arise in infinite impulse response (IIR) digital filters.

For example, the equation for a "feedforward" IIR comb filter of delay is:

where is the input at time , is the output at time , and controls how much of the delayed signal is
fed back into the output. From this we can see that

etc.

Economics

Recurrence relations, especially linear recurrence relations, are used extensively in both theoretical and
empirical economics.[6][7] In particular, in macroeconomics one might develop a model of various broad
sectors of the economy (the financial sector, the goods sector, the labor market, etc.) in which some agents'
actions depend on lagged variables. The model would then be solved for current values of key variables
(interest rate, real GDP, etc.) in terms of past and current values of other variables.

See also
Holonomic sequences
Iterated function
Orthogonal polynomials
Recursion
Recursion (computer science)
Lagged Fibonacci generator
Master theorem (analysis of algorithms)
Circle points segments proof
Continued fraction
Time scale calculus
Combinatorial principles
Infinite impulse response
Integration by reduction formulae
Mathematical induction

References

Footnotes
1. Jacobson, Nathan , Basic Algebra 2 (2nd ed.), § 0.4. pg 16.
2. Partial difference equations (https://books.google.com/books?id=1klnDGelHGEC), Sui Sun
Cheng, CRC Press, 2003, ISBN 978-0-415-29884-1
3. "Archived copy" (http://faculty.pccu.edu.tw/%7Emeng/Math15.pdf) (PDF). Archived (https://w
eb.archive.org/web/20100705023731/http://faculty.pccu.edu.tw/~meng/Math15.pdf) (PDF)
from the original on 2010-07-05. Retrieved 2010-10-19.
4. Cormen, T. et al, Introduction to Algorithms, MIT Press, 2009
5. R. Sedgewick, F. Flajolet, An Introduction to the Analysis of Algorithms, Addison-Wesley,
2013
6. Stokey, Nancy L.; Lucas, Robert E., Jr.; Prescott, Edward C. (1989). Recursive Methods in
Economic Dynamics (https://books.google.com/books?id=BgQ3AwAAQBAJ). Cambridge:
Harvard University Press. ISBN 0-674-75096-9.
7. Ljungqvist, Lars; Sargent, Thomas J. (2004). Recursive Macroeconomic Theory (https://archi
ve.org/details/recursivemacroec02edljun) (Second ed.). Cambridge: MIT Press. ISBN 0-262-
12274-X.

Bibliography
Batchelder, Paul M. (1967). An introduction to linear difference equations. Dover
Publications.
Miller, Kenneth S. (1968). Linear difference equations. W. A. Benjamin.
Fillmore, Jay P.; Marx, Morris L. (1968). "Linear recursive sequences". SIAM Rev. Vol. 10,
no. 3. pp. 324–353. JSTOR 2027658 (https://www.jstor.org/stable/2027658).
 Brousseau, Alfred (1971). Linear Recursion and Fibonacci Sequences (http://www.fq.math.c
a/linear.html). Fibonacci Association.
Thomas H. Cormen, Charles E. Leiserson, Ronald L. Rivest, and Clifford Stein. Introduction
to Algorithms, Second Edition. MIT Press and McGraw-Hill, 1990. ISBN 0-262-03293-7.
Chapter 4: Recurrences, pp. 62–90.
Graham, Ronald L.; Knuth, Donald E.; Patashnik, Oren (1994). Concrete Mathematics: A
Foundation for Computer Science (2 ed.). Addison-Wesley. ISBN 0-201-55802-5.
Enders, Walter (2010). Applied Econometric Times Series (https://web.archive.org/web/2014
1110221941/http://eu.wiley.com/WileyCDA/WileyTitle/productCd-EHEP000338.html) (3 ed.).
Archived from the original (http://eu.wiley.com/WileyCDA/WileyTitle/productCd-EHEP00033
8.html) on 2014-11-10.
Cull, Paul; Flahive, Mary; Robson, Robbie (2005). Difference Equations: From Rabbits to
Chaos. Springer. ISBN 0-387-23234-6. chapter 7.
Jacques, Ian (2006). Mathematics for Economics and Business (https://archive.org/details/m
athematicsforec00jacq) (Fifth ed.). Prentice Hall. pp. 551 (https://archive.org/details/mathem
aticsforec00jacq/page/n561)–568. ISBN 0-273-70195-9. Chapter 9.1: Difference Equations.
Minh, Tang; Van To, Tan (2006). "Using generating functions to solve linear inhomogeneous
recurrence equations" (http://www.wseas.us/e-library/conferences/2006lisbon/papers/517-4
81.pdf) (PDF). Proc. Int. Conf. Simulation, Modelling and Optimization, SMO'06. pp. 399–
404.
Polyanin, Andrei D. "Difference and Functional Equations: Exact Solutions" (http://eqworld.i
pmnet.ru/en/solutions/fe.htm). at EqWorld - The World of Mathematical Equations.
Polyanin, Andrei D. "Difference and Functional Equations: Methods" (http://eqworld.ipmnet.r
u/en/education/edu-fe.htm). at EqWorld - The World of Mathematical Equations.
Wang, Xiang-Sheng; Wong, Roderick (2012). "Asymptotics of orthogonal polynomials via
recurrence relations". Anal. Appl. 10 (2): 215–235. arXiv:1101.4371 (https://arxiv.org/abs/110
1.4371). doi:10.1142/S0219530512500108 (https://doi.org/10.1142%2FS021953051250010
8). S2CID 28828175 (https://api.semanticscholar.org/CorpusID:28828175).

External links
"Recurrence relation" (https://www.encyclopediaofmath.org/index.php?title=Recurrence_rel
ation), Encyclopedia of Mathematics, EMS Press, 2001 [1994]
Weisstein, Eric W. "Recurrence Equation" (https://mathworld.wolfram.com/RecurrenceEquati
on.html). MathWorld.
"OEIS Index Rec" (http://oeis.org/wiki/Index_to_OEIS:_Section_Rec). OEIS index to a few
thousand examples of linear recurrences, sorted by order (number of terms) and signature
(vector of values of the constant coefficients)

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