Taylor Series

Taylor Series general formula

'' (n )
' y (a ) 2 f ( a) n
y ( x )= y ( a ) + y ( a ) ( x−a ) + ( x−a ) +…+ ( x−a )
2! n!
Fourth Order Method
2 3 4
h ' ' h ' ' ' h (4 )
yi + y i + y i [ 4 thorder ]
'
y i+ 1= y i+ h y i+
2! 3! 4!

Review Questions
All single-step methods are self-starting (they only require the value of y and its derivatives of the
preceding point)

Define the order of a numerical method to solve the IVP

Let T i+1 define the truncation error of the numerical method. The order of a method is the largest
1
T i+1=O ( h )
p
integer p for which
h

Disadvantage of Taylor Series:

It requires the computation of higher-order derivatives:
' '' ''' 2
y =f ( x , y ) , y =f x +f f y , y =f xx +2 f f xy + f f yy + f y ( f x + f f y ) ,…

Bound on Truncation Error

BOTE of the Taylor Series method of order p:

| |
p+1 p+1
h ( p+1 ) h ( p+1 )
T p+1= y ( x i +θh ) ≤ M p +1 , M p+ 1= max y ( x )
( p+1 ) ! ( p+1 ) ! x ≤ x≤ b 0

Truncation Error
Define the truncation error of a single-step method for the solution of the initial value problem
'
y =f ( x , y ) , y ( x 0 )= y 0

y i+ 1= y i+ hϕ ( x i+ 1 , x i , y i+1 , y i , h )
PQs
2020/21 Question 1.i.

2 3
x x
2 2
¿ is 2 e not 2 e

y =x ( y+ 1 )=xy + x y ' ' =x y ' + y +1 y (3 )=x y '' +2 y ' y ( 4)= x y ' '' +3 y ''
'

2 3 4
h ' ' h ' ' ' h (4 )i=0 , x =0 , y =1 '
y i+ 1= y i+ h y i+
'
yi + y i + y i 0 0 y 0=x 0 ( y 0 +1 ) =0 ( 1+ 1 )=0
2! 3! 4!
'' ' ' '' '' ' ( 4) ' '' ''
y 0 =x 0 y 0 + y 0 +1=0 ( 0 ) +1+1=2 y 0 =x 0 y 0 +2 y 0=0 ( 2 ) + 0=0 y = x0 y 0 +3 y 0 =0 ( 0 ) +3 ( 2 )=6
2 3 4 2 4
' h ' ' h '' ' h (4 ) 0.1 0.1
y 1= y 0 + h y 0 + y0 + y0 + y 0 y 1=1+0+ 2+ 6=1.010025
2! 3! 4! 2 4!

i=1 , x1 =0.1 , y 0 =1.010025 y '1=x 1 ( y 1+1 )=0.1 ( 1.010025+1 )=0.2010025

'' '
y 1 =x 1 y 1 + y 1+ 1=0.1 ( 0.2010025 ) +1.0120025+1=2.03210275
' '' '' '
y 1 =x 1 y 1 +2 y 1=0.1 ( 2.03210275 ) +2 ( 0.2010025 )=0.605215275
( 4) '' ' ''
y = x1 y 1 +3 y 1 =0.1 ( 0.605215275 )+3 ( 2.03210275 )=6.1568298
2 3 4
' h ' ' h ' ' ' h (4)
y 2= y 1 +h y 1 + y 1 + y 1 + y 1
2! 3! 4!
2 3 4
0.1 0.1 ( 0.1
y 2=1.010025+ 0.1 ( 0.2010025 )+ 2.03210275+ 0.605215275 ) + 6.1568298
2 3! 4!
2
x
y 2=1.04041229
Actual : y=−1+2 e y ( 0.1 )=1.0010025042 , y ( 0.2 )=1.04040268
2

2021/22 Question 2.c.

Find the first two non-zero terms in the Taylor series method for the solution of the initial value
problem y ' =x 2 + y 2 , y ( 0 )=0

y 0=0 , x 0=0→ y ' =x 2+ y 2 =0+0=0 y (2 )=2 x+2 y y ' → y (2 )=0 y (3 )=2+2 (( y ' )2 + y y ' ' ) → y (03 )=2
y ( 4)=4 y ' y '' +2 ( y ' y ' ' + y y ' '' ) =2 y y ' '' +6 y ' y ' ' → y (04 )=0
y =2 ( y y + y y ) +6 ( ( y ) + y y )=8 y y +2 y y + 6 ( y ) → y 0 =0
(5 ) ' ''' ( 4) '' ' '' ' 2
' ' '' (4) '' ( 5) 2

y (6 )=8 ( y ' y (4 ) + y ' ' y ' ' ' ) +2 ( y ' y ( 4 )+ y y (5 ) ) +12 y ' ' y ' ' ' =10 y ' y ( 4) +20 y ' ' y ' ' ' +2 y y (5)→ y 0 =0
(6 )

2 ( ) 2
y (7 )=10 ( y y (5) + y y ( 4 )) + 20 ( y (3 )) +20 y ( 2) y ( 4 )+ 2 ( y y (6 ) + y y (5 )) y 0 =20 ( 2 ) =80
' '' '' 7

'' (n )
' y (a ) 2 f ( a) n
y ( x )= y ( a ) + y ( a ) ( x−a ) + ( x−a ) +…+ ( x−a ) at a=0
2! n!
 '' (n ) ( 3) (7 )
' y0 2 y0 n y 0 3 y 0 7 2 3 80 7 x 3 x 7
y ( x )= y 0 + y 0 x+ x +… x y ( x )= x + x = x+ x = +
2! n! 3! 7! 3! 7! 3 63
Multi-Step Methods
Review Question:
Are the multi-step methods self-starting?
Solution Multi step methods are not self-starting, since a k-step multi step method requires the k
previous values yi , yi – 1, ... , yi – k +1. The k values that are required for starting the application of
the method are obtained using some single step method.

2nd Order
Explicit Scheme

( ) ( ) ( )
k i 2
x−x n x−x n x−x n
y ( x )=∑ a i =a0 + a1 + a2 + …k =n ( coll+∫ points )−1
i=0 h h h
a 2 a ( x −x ) a
y n= y ( x=x n ) −( 1 ) → y n=a0−( 2 ) y ' ( x )= 1 + 2 2 n − ( 3 ) → F n= y ' ( x n ) = 1 −( 4 ) → a1 =h F n
h h h
a 2a
F n−1= y ( x=x n −h ) { x n−i=x n−ih } y ' ( xn −h ) = 1 − 2
'

h h
2 a2 h
→ F n−1=F n− → a2= ( Fn −Fn−1 ) −( 5 ) y n +1= y ( x=x n+ h )=a0 +a 1+ a2
h 2
h h
→ y n+1= y n+ h F n + ( F n−F n−1 ) → y n+ 1= y n + ( 3 F n−F n−1 )
2 2
Implicit Scheme
Ditto from explicit derivation till the collocation point F n+1= y ( x=x n +h ) { x n−i=x n−ih }
'

a1 2 a 2 2 a2 h
→ a2 = ( F n+1−F n )−( 5 ) y n +1= y ( x=x n+ h )=a0 +a 1+ a2
'
y ( xn + h )= + → F n +1=F n+
h h h 2
h h
→ y n+1= y n+ h F n + ( F n+1−F n ) → y n+1= y n + ( F n + F n+1 )
2 2

Features of LMM
Stability
An LMM is stable iff the root of the first characteristic polynomial, |r| ≤ 1

Explicit
h h
y n +1= y n + ( 3 F n−F n−1 ) → y n+1− y n= ( 3 F n−F n−1 )r −1=0 {Characteristic : y n +a=r a }r =1
2 2
Implicit
h h
y n +1= y n + ( F n−1+ F n ) y n +1− y n= ( F n +1+ F n )r −1=0r =1
2 2

Consistency of LMM
A LMM iff ρ ( 1 )=0 and ρ' ( 1 )=σ (1)
Explicit
h
y n +1− y n= ( 3 F n−F n−1 ) ρ ( r )=r−1=0→ ρ ( 1 )=1−1=0
2
3 1 3 1
ρ ( r )=1 , σ ( r )= − {Characteristic : F n+a=r }σ ( 1 )= − =1
' a
2 2r 2 2
Implicit
h
y n +1− y n= ( F n + F n+1 ) ρ ( r )=r−1=0→ ρ ( 1 )=1−1=0
2
1 r 1 1
ρ ( r )=1 , σ ( r )= + {Characteristic : F n +a=r }σ ( 1 )= + =1
' a
2 2 2 2

Order of LMM
The LMM is of order p iff c 0=c1 =c 2=0 and c p +1 ≠ 0

Explicit
h h
y n +1= y n + ( 3 F n−F n−1 ) → y n+1− y n− ( 3 F n−F n−1 ) =0 Expansion :
2 2
2 3 4
h '' h ' '' h ( 4) −3 h F n −3 h F n
y n + y n + y n +…− y n=− y n
'
y n +1= y n +h y n + =
2! 3! 4! 2 2

( )
2 3 2 '
h h ' h ' ' h ' '' h y h y n h3 ' ' h4 ' ' '
F n−1= y n−h y n + y n − y n +… y n−1= n − + y − y +…
2 2 2! 3! 2 2 2∙ 2! n 2 ∙ 3! n
c 0=h =1 ( take the coefficient of terms without h )c 0=1−1=0
0

3 1
c 1=h =h ( take the coeff of terms withh )c 1=1− + =0c 2=h 2 ( take the coeff of terms with h2 )
1
2 2
1 1 1 1 5
c 2= − =0c 3=h3 (take the coeff of terms withh 3)c 3= + = ≠ 0 → c 2+1 ≠ 0 → p=2
2 2 6 4 12
3 '''
5 h yn
ε=
12
Implicit
2 3
h h
y n +1= y n + ( F n+ Fn +1 ) y n +1− y n− ( F n + F n+1 )=0 y n +1= y n +h y 'n + h y 'n' + h y 'n' ' +… − y n=− y n
2 2 2 3!
h Fn h
( )
2 3
h h h ' ' h '' '
F n+1= y n +h y n + y n + y n + … c 0 :h =1c 0=1−1=0c 1 : h =h
' 0 1
F n=
2 2 2 2 2 3!

c 1=1− ( )
1 1
2 2
1 1
2 2
1 1 −1 −h3 y ''n '
+ =0c 2 : h2c 2= − =0c 3 :h3c 3= −
6 4
= ε=
12 12 ()
3RD ORDER
Explicit Scheme

( ) ( ) ( )
k i 2
x−x n x−x n x−x n
y ( x )=∑ a i =a0 + a1 + a2 +…
i=0 h h h

( ) ( ) ( )
2 3
x−x n x−x n x−x n
y ( x )=a 0+ a1 +a2 +a3 k =n ( coll+∫ points )−1=4−1=3
h h h
2
a 2 a ( x −x ) 3 a ( x−x ) a
y n= y ( x=x n ) → y n=a 0 y ' ( x )= 1 + 2 2 n + 3 3 n → F n= y ' ( x=x n )= 1 → a1=h F n
h h h h
F n−1= y ( x=x n −h ) , F n−2= y ( x=x n−2 h ) { x n−i=x n−ih }
' '

' a1 2 a2 3 a 3
y ( xn −h ) = − + → a1−2 a2 +3 a 3=h Fn −1
h h h
a1 2 (−2 ) a2 3 (−2 )2 a3 a1 4 a2 12 a3
'
y ( xn −2 h )= + + = − + → a1−4 a 2+12 a3 =h Fn −2
h h h h h h
2 a2 3 a3
→ F n−1=F n−
h
+
h
, F n−2=F n +2
h
+(
−2 a2 6 a 3
h )
→ h ( Fn−1−F n ) =−2 a2 +3 a3− [ 1 ] , h ( F n−2−F n )=−4 a2+ 12 a3−[ 2 ]2 ∙ Eqn 1−Eqn 2
→ 2 ( 2 a 2 )−(−4 a 2) + 6 a3−12 a 3=2 h ( F n−1−F n )−h ( Fn−2−F n )
h
→−6 a3=h ( 2 F n−1−Fn −Fn−2 ) → a3= ( Fn −2 F n−1 + Fn−2 )−2 a2 +3 a3 =h ( F n−1 −Fn )
6

→ a2 =
−1
2 ( (
h
h ( F n−1−Fn ) −3 ( Fn −2 F n−1+ Fn−2 )
6 ))
a 2=
−h
4 ( 1
6 ( ))
h
2 ( F n−1−F n )−6 ( F n−2 F n−1+ F n−2 ) a 2= ( 3 F n−4 F n−1+ F n−2 )
4
h h
y n +1=a0 + a1 +a2 +a 3→ y n+1= y n+ h F n + ( 3 Fn −4 F n−1 + Fn−2 ) + ( Fn −2 F n−1+ Fn−2 )
4 6
1
y n +1= y n + ( 23 F n−16 F n−1 +5 F n−2 )
12
Features of LMM
Stability
An LMM is stable iff the root of the first characteristic polynomial, |r| ≤ 1

1 1
y n +1= y n +
12
( 23 F n−16 F n−1 +5 F n−2 ) y n +1− y n= ( 23 F n−16 F n−1 +5 F n−2 )r −1=0r =1
12
Consistency
An LMM is consistent iff ρ ( 1 )=0 and ρ' ( 1 )=σ (1)

1
y n +1− y n=
12
( 23 F n−16 F n−1 +5 F n−2 ) ρ ( r )=r−1 → ρ ( 1 )=1−1=0 , ρ' ( r )=1
1 23−16+5
σ ( r )= ( 23−16 r +5 r ) { Characteristic : F n−a=r }σ ( 1 )=
2 a
=1
12 12
Order
The LMM is of order p iff c 0=c1 =c 2=0 and c p +1 ≠ 0

1 1
y n +1= y n +
12
( 23 F n−16 F n−1 +5 F n−2 ) y n +1− y n− ( 23 F n−16 F n−1 +5 F n−2 )=0
12
2 3
h '' h ' '' h ( 4)
4
−23 h F n −23 h F n
Expansion : y n +1= y n +h y 'n + y n + y n + y n +…− y n=− y n =
2! 3! 4! 12 12

( ) ( )
2 3 4 2 3 4
16 h 16 h ' h ' ' h '' ' h 16 h ' h ' ' h ' '' h
F n−1= y n−h y n + y n − y n + … y n−1= y n−h y n+ y n − y n + …
12 12 2! 3! 4! 12 2! 3! 4!

( )
2 3
−5 −5 h ' 4 h ' ' 8 h ' ''
F n−2= y n−2 h y n+ y − y +…
12 12 2! n 3! n

( )
2 3
−5 h ' 4 h ' ' 8 h '' ' 0
y n−2= y n−2 h y n + y − y + … c 0=h =1 ( take the coefficient of terms without h )
12 2! n 3! n
23 16 5
c 0=1−1=0c 1=h 1=h ( take the coeff of terms withh )c 1=1− + − =0
12 12 12
1 16 10
c 2=h 2 ( take the coeff of terms with h2 )c 2= − + =0c 3=h3 ( take the coeff of terms withh3 )
2 12 12
1 16 20 1 16 80 3
c 3= + − =0 c 4 =h4 ( take the coeff of terms withh4 )c 4 = − + =
6 24 24 24 72 72 8
4 (4 )
3 h yn
→ c 3+1 ≠ 0 → p=3ε =
8
Implicit Scheme

( ) ( ) ( )
k i 2
x−x n x−x n x−x n
y ( x )=∑ a i =a0 + a1 + a2 +…
i=0 h h h

( ) ( ) ( )
2 3
x−x n x−x n x−x n
y ( x )=a 0+ a1 +a2 +a3 k =n ( coll+∫ points )−1=4−1=3
h h h
2
a 2 a ( x −x ) 3 a ( x−x ) a
y n= y ( x=x n ) → y n=a 0 y ' ( x )= 1 + 2 2 n + 3 3 n → F n= y ' ( x=x n )= 1 → a1=h F n
h h h h
F n+1= y ( x=x n +h ) , Fn +2= y ( x=x n+ 2h ) { x n +i=x n +ih }
' '

' a1 2 a 2 3 a3
y ( xn + h )= + + → a1 +2 a2 +3 a3 =h Fn +1
h h h
a1 2 ( 2 ) a2 3 ( 2 )2 a3 a1 4 a2 12 a3
'
y ( xn +2 h ) = + + = + + → a1 +4 a2 +12 a3=h F n+ 2
h h h h h h
2 a2 3 a 3
→ F n +1=F n+
h
+
h
, F n +2=F n+ 2
2 a 2 6 a3
h
+
h ( )
→ h ( Fn +1−F n )=2 a2 +3 a 3−[ 1 ] , h ( F n+2−F n )=4 a 2+12 a 3−[ 2 ]2 ∙ Eqn 1−Eqn 2
→ 2 ( 2 a 2 )−( 4 a2 ) + 6 a3−12 a3 =2 h ( F n +1−F n) −h ( F n+2−F n )
h
→−6 a3=h ( 2 F n+1−F n−F n+2 ) → a3= ( Fn −2 F n+ 1+ F n+2 )2 a2 +3 a3 =h ( F n+1−F n )
6
→ a2 =
1
2( h
6 ( ))
h
4 ( 1
(
h ( F n+1−F n )−3 ( F n−2 F n+1 + Fn +2 ) a 2= 2 ( F n+1−F n )−6 ( F n−2 F n+1 + F n+2 )
6 ))
h
a 2= (−3 Fn + 4 F n+1−F n+2 ) y n +1=a0 + a1 +a2 +a 3
4
h h
→ y n+1= y n+ h F n + (−3 F n+ 4 F n+1−F n+2 ) + ( F n−2 F n+ 1+ F n+2 )
4 6
h
y n +1= y n + ( 5 F n +8 F n+1−F n+2 )
12
Features of LMM
Stability
An LMM is stable iff the root of the first characteristic polynomial, |r| ≤ 1

h h
y n +1= y n +
12
( 5 F n +8 F n+1−F n+2 ) y n +1− y n= ( 5 F n+ 8 F n+ 1−Fn +2 )r −1=0r =1
12
Consistency
An LMM is consistent iff ρ ( 1 )=0 and ρ' ( 1 )=σ (1)

h
y n +1− y n=
12
( 5 F n+ 8 F n+ 1−Fn +2 ) ρ ( r )=r−1 → ρ ( 1 )=1−1=0 , ρ' ( r )=1
1 5+8−1
σ ( r )= ( 5+8 r−r ) {Characteristic : F n−a=r }σ ( 1 )=
2 a
=1
12 12
Order
The LMM is of order p iff c 0=c1 =c 2=0 and c p +1 ≠ 0

h h
y n +1= y n +
12
( 5 F n +8 F n+1−F n+2 ) y n +1− y n− ( 5 F n+ 8 F n+ 1−Fn +2 )=0
12
2 3
h '' h ' '' h ( 4)
4
−5 h F n −5 h F n
Expansion : y n +1= y n +h y 'n + y n + y n + y n +…− y n=− y n =
2! 3! 4! 12 12

( )
2 3 4
−8 h −2 h ' h '' h ''' h
F = y n +h y n + y n + y n + …
12 n+1 3 2! 3! 4!

( )
2 3
1 h ' 4 h '' 8h ''' 0
Fn +2= y n+ 2h y n + yn + y n +… c 0=h =1 ( take the coefficient of terms without h )
12 12 2! 3!
1 2 5
c 0=1−1=0c 1=h 1=h ( take the coeff of terms withh )c 1=1+ − − =0
12 3 12
1 2 1
c 2=h 2 ( take the coeff of terms with h2 )c 2= − + =? c 3=h3 ( take the coeff of terms withh3 )
2 3 6
1 1 4 1 1 8 1
c 3= − + =0c 4 =h4 ( take the coeff of terms withh4 )c 4 = − + = → c 3+1 ≠ 0 → p=3
6 3 24 24 9 72 24
h4 y (n4)
ε=
24
Romberg Method (Integration)
Composite Trapezium and Composite Simpson’s Method

Convergence :|x n+1 −x n|< ϵ =10−6

Trapezium Rule Derivation

b
I =∫ f ( x ) dx Let I =exact value, I T =Obtained value Error=I −I T =c 1 h2 +c 2 h4 + c3 h6 + …
a
2 4 6 6
I =I T +c h +c 2 h +c 3 h Taking c 3 h ¿ be the error term Let h=qh
→ I =I T ( h )+ c 1 h + c2 h → I −I T ( h )=c 1 h +c 2 h − [ 1 ]
2 4 2 4

→ I =I T ( qh )+ c 1 ( qh ) + c2 ( qh ) → I −I T ( qh )=c1 ( qh ) +c 2 ( qh ) −[ 2 ]
2 4 2 4

Eqn1 × q :q [ I −I T ( h ) ]=c1 q h +c 2 q h −[ 3 ]
2 2 2 2 2 4

2
I T ( qh )−q I T ( h )
Eqn 2−Eqn3 : ( 1−q ) I −I T ( qh ) + q I T ( h )=c 2 q h ( q −1 ) I =
2 2 2 4 2
( neglect c 2 q2 h4 )
( 1−q )2

2
( ) I T ( qh )−q I T ( h )
I ≈ I T1 ( h ) = Let q=0.5 → qh=0.5
( 1−q2 )
( 1) I T ( 0.5 h )−0.25 I T ( h ) 4 I T ( 0.5 h )−I T ( h ) 4 I ( 0.25 h ) −I T ( 0.5 h )
I T ( h )= = → I (T1) ( 0.5 h )= T
( 1−0.25 ) 3 3
1 ( 2) 16 I (T1 ) ( 0.5 h ) −I (T1) ( h )
4
Introducing the multiplicative factor of ( 0.5 ) =
I T ( h )=
16 15
→ Romberg extrapolation procedure for the composite trapezium rule:
m ( m −1 ) ( m−1 )
4 I T ( 0.5 h )−I T ( h )
,m=1, 2 , … of order O ( h )where I (T0 ) ( h ) =I T ( h )
(m ) 2m +2
I T (h )≈ m
4 −1
Simpson’s Derivation
4 6 8 4 6 8 8
I −I S=c 1 h +c 2 h + c 3 h + …I =I S +c 1 h + c2 h +c 3 h Taking c 3 h ¿ be the error term Let h=qh
→ I =I S ( h ) +c 1 h + c2 h → I −I S ( h )=c1 h + c 2 h −[ 1 ]
2 4 4 6

→ I =I S ( qh ) +c 1 ( qh ) +c 2 ( qh ) → I −I S ( qh ) =c 1 ( qh ) +c 2 ( qh ) −[ 2 ]
4 6 4 6

Eqn1 × q :q |I −I S ( h )|=c 1 q h +c 2 q h −[ 3 ]
4 4 4 4 4 6

4
I S ( qh )−q I S ( h )
Eqn 2−Eqn3 : ( 1−q ) I −I S ( qh ) +q I S ( h )=c 2 q h ( q −1 ) I =
4 4 2 6 2
( neglect O ( h6 ) )
( 1−q )
4

2
( ) I S ( qh ) −q I S ( h )
I =I S1 ( h )= Let q=0.5 → qh=0.5 , hence computation is done at h∧0.5 h
( 1−q2 )
I S ( 0.5 h ) −0.125 I S ( h ) 16 I S ( 0.5 h ) −I S ( h )
I (S1) ( h )= = Replacing h with 0.5 h
( 1−0.125 ) 15
16 I S ( 0.25 h )−I S ( 0.5 h ) 4 1
I (S1) ( 0.5 h )= Introducing the multiplicative factor of ( 0.5 ) =
15 16
(1 ) ( 1)
64 I S ( 0.5 h )−I S ( h )
I (S2) ( h )=
63

PQ
Annual Classic
1
dx
Find the approximate value of ∫ 1+ x
, using the trapezium rule with 2, 4 and 8 equal subintervals.
0
Apply Romberg’s method to improve the approximations of the values of the integrals
b−a 1 1
Taking a=0 , b=1h= = , nodes are N +1N=2: , nodes : 0 ,0.5 ,1
N N 2
1 1
N=4 : , 0 , 0.25 , 0.5 , 0.75 ,1N=8: , 0 , 0.125 ,0.25 , 0.375 , 0.5 , 0.675 , 0.75 , 0.875 ,1
4 8
1
f ( x )=
1+ x
N=2, x 0 0.5 1
f (x) 1 0.667 0.5

N=4 , x 0 0.25 0.5 0.75 1

f (x) 1 0.8 0.667 0.5714 0.5

N=8 , x 0 0.125 0.25 0.5 0.75 0.875 1

f (x) 1 0.8889 0.8 0.667 0.5714 0.5333 0.5

h
N=2: I 1= ( f 0 +2 f 1 + f 2 )=0.25 [ 1+2 ( 0.667 )+ 0.5 ] =0.708334
2
h
N=4 : I 2= ( f 0 +2 f 1 +2 f 2+2 f 3+ f 4 )=0.125 [ 1.0+2 {0.8+ 0.667+0.571429 }+0.5 ] =0.697024
2
h
N=8: I 3= ( f 0+ 2 f 1+ 2 f 2 +2 f 3 +2 f 4 +2 f 5 +2 f 6 + 2 f 7 +f 8 )=0.0625 [ 1.0+2 { 0.888889+0.8+ 0.727273+0.666667
2
4 I ( 0.25 )−I ( 0.25 ) 4 ( 0.697024 )−0.708334
I (1) ( 0.5 )= = =0.693254
3 3
4 I ( 0.125 )−I ( 0.125 ) 4 ( 0.694122 )−0.697024
I (1) ( 0.25 )= = =0.693155
3 3
(1 ) ( 1)
16 I ( 0.125 ) −I ( 0.5 ) 16 ( 0.693155 )−0.693254
I (2) ( 0.5 ) = = =0.693148
15 15
Error=|I −0.693148|=0.000001=10
−6

Boundary Value Problem

1st Order Equations
' 1
Forward: y i= ( y −y )
h i+1 i
 ' 1
Backward: y i= ( y −y )
h i i−1
' 1
Central: y i= (y −y )
2 h i +1 i−1

2nd Order Equations

1
Central: y i = 2 [ y i+1−2 y i + y i−1 ]
''

Derivations of 2nd Order Solutions

Ignore the y ( a ) =A , y ( b )=B. Distraction.

Central for both

1 1
y i +1− y i−1 ) , yi = 2 [ y i +1−2 y i+ y i−1 ]
' ''
y i=
2h
(
h
1 pi
y i + p y i +q y i =r i → 2 [ y i+1−2 y i + y i−1 ] + [ y i+1− y i−1 ] +q i y i=r i
'' '

h 2h
→ 2 [ y i +1−2 y i+ y i−1 ]+h pi [ y i+1− yi −1 ] +2 h2 qi y i=2 h2 r i
2 2
2 y i+1−4 y i +2 y i−1+ h pi y i+1−h p i y i−1 +2 h qi y i=2 h r i
2 2
→ 2 y i +1+ h p i y i+ 1−4 y i +2 h qi y i +2 y i−1−h p i y i−1=2 h r i
→ ( 2+h p i ) y i+1 +2 ( −2+h2 q i) yi + ( 2−h pi ) y i−1=2 h2 r i a i y i+ 1+b i y i + ci y i−1=d i
a i=2+h pi ,b i=2 (−2+h 2 q i ) , ci =2−h pi , d i=h2 r i

Central for y ’ ’ and forward for y ’

1 1
y i= ( y i+1− y i ) , y i = 2 [ y i+1−2 y i + y i−1 ]
' ''
h h
1 pi
y i + p y i +q y i =r i → 2 [ y i+1−2 y i + y i−1 ] + [ y i+1− y i ] +q i y i =r i
'' '

h h
→ [ y i+1−2 y i + y i−1 ]+ h p i [ y i+ 1− y i ]+ h qi y i=h r i
2 2

2 2
y i+ 1−2 y i + y i−1 +h pi y i+1−h pi y i+ h qi y i=h r i
2 2
→ y i+1 +h pi yi +1−2 y i−h pi y i+ h qi y i+ yi −1=h r i
→ ( 1+h p i ) y i+1 + (−2−h p i+ h2 qi ) y i + y i−1=h2 r i y i−1 +bi y i+ c i y i +1=d i
2 2
b i=−2−h pi +h q i , c i=1+ h pi , d i=h r i
Central for y ’ ’and backward for y ’
1 1
y i= ( y i− y i−1 ) , y i = 2 [ y i+ 1−2 yi + y i−1 ]
' ''
h h
1 pi
y i + p y i +q y i =r i → 2 [ y i+1−2 y i + y i−1 ] + [ y i− y i−1 ]+ qi y i=r i
'' '

h h
→ [ y i+1−2 y i + y i−1 ]+ h p i [ y i− yi −1 ] +h q i y i=h r i
2 2

2 2
y i+ 1−2 y i + y i−1 +h pi y i−h pi y i−1 +h q i y i=h r i
2 2
→ y i+1−2 y i +h pi yi +h q i y i + y i−1−h pi y i−1=h r i
 → y i+1 + (−2+ h pi +h 2 q i ) y i+ ( 1−h pi ) y i−1=h2 r i y i+ 1+b i y i +c i y i−1=d i
2 2
b i=−2+h pi +h qi , c i=1−h pi , d i=h r i

Example
Solve the BVP y ' ' +5 y ' +4 y=1 , y ( 0 )=0 , y (1 )=0 by finite difference method. Use CD
approximations with h = 0.25. If the exact solution is
−3
−x −4 x e −e
y ( x )= A e + B e +0.25 , A= , B=−0.25−A
4 ( 1−e−3 )
Find the magnitude of the error and percentage relative error at x=0.5

b−a 1−0
h=0.25 → N = = =4x 0=0 , x 1=0.25 , x 2=0.5 , x3 =0.75 , x 4=1
h 0.25
1 pi
y + p ( x ) y +q ( x ) y=r : y + 5 y + 4 y=1 2 [ y i+1 −2 y i + y i−1 ] + [ y i+1− y i−1 ] +q i y i =r i
'' ' '' '

h 2h
1 5
2 [ i+ 1
y −2 y i + y i−1 ] + [ y i+1− y i−1 ] + 4 y i=1
( 0.25 ) 2 ( 0.25 )
16 ( y i +1−2 y i+ yi −1 ) +10 ( y i +1− y i−1 ) +4 y i=126 y i+ 1−28 y i+ 6 y i−1=1
i=1 :26 y 2−28 y 1 +6 y 0=1 → 26 y 2−28 y 1=1i=2 :26 y 3−28 y 2 +6 y 1=1

[ ][ ] [ ]
26 −28 6 y3 1 28
i=3 :26 y 4 −28 y 3 +6 y 2=1 →−28 y 3 +6 y 2=1 −28 6 0 y 2 = 1 ¿ R2 + 26 R1
0 26 −28 y 1 1 ¿

( |)
26 −28 6 1

( |)
¿ 26 −28 6 1
0 −314 84 27
26 0 −314 84 27 →
R3 + R → R3 −3304 508
314 2 0 26 −28 1 0 0
157 157
→ y 1=−0.15375 , y 2=−0.1271186 , y 3=−0.0629 y 2= y ( x 2 )=−0.1271186
−0.5 −4 ( 0.5 )
y ( 0.5 )= A e + B e + 0.25=−0.1146498
Error :| y 2− y ( 0.5 )|=|−0.1271186−(−0.1146498 )|=0.0124688

Per Error : | y ( 0.5 ) ||

y 2− y ( 0.5 ) −0.0124688
=
−0.1146498 |
=10.9 %

Example
b−a 2−1
x y + y=0 , y ( 1 )=1 , y ( 2 ) =2 ,h=0.25h=0.25 → N = = =4
''
h 0.25
x 0=1 , x1 =1.25 , x 2=1.5 , x 3=1.75 , x 4=2 x y' ' + p ( x ) y ' + q ( x )=r ( x ) : x y ' ' + y =0
xi xi
2 [ i+1
y −2 y i + y i−1 ] + y i=0 [ y i+ 1−2 y i + y i−1 ] + y i=016 x i [ y i +1−2 y i+ y i−1 ] + y i=0
h ( 0.25 )2

y i+ 1+ ( 1
16 x i )
−2 yi + y i−1=0i=1 : y 2−1.95 y 1 + y 0=0 → y 2−1.95 y 1=−1i=2 : y 3−
47
y + y =0
24 2 1
 [ ][ ] [ ]
−47
1 1
24 y3 0
55 55
i=3 : y 4 − y + y =0 →− y + y =−2 −55 y2 = −2
28 3 2 28 3 2 1 0
28 y 1 −1
0 1 −1.95

( |) ( | )
−47 −47
1 1 1 1
24 0 24 0
¿ ¿
−55 −2 → −55 −2
R3 +1.95 R1 → R3 1 0 2.81875 R 2+ R 3 → R3 1 0
28 −1 28 −6.6375
1.95 −2.81875 0 −3.58683 0 0
y 3=1.85052 , y 2=1.63495 , y 1=1.35126