Advanced Engineering

Mathematics
A.Emamzadeh
Spring 2009


Syllabus
#
Topic Reference Duration (weeks)
1
Numerical solution of ODE [1] Chapter 5 & 11 2
2
Numerical solution of PDE [1] Chapter 12 2
3
Matrix Algebra [1] Chapters 6, 7 and 10 2
4
Integral equations [2] Chapter 16 1
5
Fourier series and Integrals [3] Chapter 1 1
6
Partial differential equations [3] Chapters 2 to 6 2
7
Special functions [4] Appendix B 1
8
Complex functions [5] Chapter 2 to 10 2
9
Monte Carlo method [2] Chapter 19 1
10
Integral transforms [4] Chapter 13 1
Total 15
Reference texts
Reference texts
[1] Faires & Burden Numerical Methods 3
rd
ed. ,Brooks/Cole 2003
[2] Froberg
Introductions to Numerical Analysis, Addison-
Wesley
[3] Powers Boundary Value Problems
[4] Pipes & Harvill
Applied Mathematics for Engineers and
Physicists, McGraw-Hill
[5] Churchill Complex variable and applications
Ordinary Differential Equations
1) Introduction
2) Initial Value Problems (IVP)
3) Boundary Value Problems (BVP)

1) Introduction
1- Sources of errors
1.1- Initial data error
1.2- Round off error
1.3- Truncation error
2- Type of problems
2.1- well behaved
2.2- ill conditioned
3- Stability
4- Big Oh
2) Methods of solving IVP
1- Introduction
2- Taylor series method
3- Single step methods
4- Multi step methods
5- Extrapolation methods
3) Methods of solving BVP
1- Shooting methods
2- Finite difference methods
3- Variational methods
4- Eigen Value Problems (EVP)
Types of problems in IVP
Single first order equation
System of n first order equations
Single n th order equation
Single first order equation
, with initial condition (IC),
) , ( y x f y =
'
0 0
) ( y x y =
To find y at x
1
to a specified accuracy.
System of n first order equations
), ,..., , (
) ,..., , (
1
1 1 1
n n n
n
y y x f y
y y x f y
=
'
=
'

With initial conditions

0 0
10 0 1
) (
) (
n n
y x y
y x y
=
=

To find y
1
,y
n
at x
1
to a specified accuracy.
Where
| |
t
n 1
y , , y Y =
and
| |
t
n 1
f , , f F =
In matrix form
0 0
Y ) Y(x
Y) F(x, Y
=
=
'
Single n th order equation
), , , , , , (
) 1 ( ) (
' ' '
=
n n
y y y y x f y
with initial conditions
0 0
) 1 (
10 0
) ( , , ) (
n
n
y x y y x y = =

This equation with the given initial conditions can be

transformed into a system of n first order equations
as follows,
Let
n
n
y y y y y y = =
'
=
) 1 (
2 1
then
( )
n n
y y y x f y , , , ,
2 1
=
'
and
0 0 10 0 1
) ( , ) (
n n
y x y y x y = =
The whole system can be written in the matrix form
0 0
) (
) , (
Y x Y
Y x F Y
=
=
'
Where
| | | |
t
n
t
n
f y y y F y y Y , , , , , ,
3 2 1
= = and
Finally we are dealing with the form
0 0
) (
) , (
y x y
y x f y
=
=
'
as a single first order equation or
as a system of n first order equations
Taylor series method
0 0
) (
) , (
y x y
y x f y
=
=
'
To find y at x
1
correct to md
Let x
1
x
0
= h then the Taylor expansion of y about
x = x
0
is

( ) ( ) +
' ' '
+
' '
+
'
+ = + = y
h
y
h
y h y h x y x y
! 3 ! 2
3
0
2
0 0 0 1
0
0
0
0
0 0 0
0
) , (
(

|
|
.
|

\
|
c
c
+
c
c
c
c
+
|
|
.
|

\
|
c
c
+
c
c
c
c
=
' ' '
(

c
c
+
c
c
=
' '
=
'
y
f
f
x
f
y
f
y
f
f
x
f
x
y
y
f
f
x
f
y
y x f y
y given is here
( )
( ) 2 0
1 0
3
2
=
'
=
+ =
' '
y
y
y x y Given
: Example
on so and
Find y(h) correct to 2d where h=0.1, 0.5,1 and 2.
( )
( ) 14 ) 0 ( 3 2
12 ) 0 ( 2
5 ) 0 ( 2 1
2 ) 0 (
) 5 ( ) 5 (
) 4 ( 2 ) 4 (
=
' ' '
+
' ' '
=
=
' '
+
'
=
=
' ' '

'
=
' ' '
=
' '
y y y y y y
y y y y y
y y y y
y have we
( ) + + + + =
5 4 3 2
60
7
2
1
6
5
2 1 h h h h h h y
Taking number of terms n=6
When h=0.1 y(0.1)=.8107845000
h=0.5 y(0.5)=.3265625000
h=1 y(1)=.4500000000
h=2 y(2)=3.400000000
Taking number of terms n=7
y(0.1)= .8107846111
y(0.5)= .3282986111
y(1)= .5611111111
y(2)= 10.51111111
Taking n=10
y(0.1)= .8107846019
y(0.5)= .3276448999
y(1.0)= .4951609347
y(2.0)= 9.887477949

Compare the accuracy
Single step methods
Def.:
Local truncation error
Global truncation error
Order of a method
First order method (Euler's method)
Statement of the problem

( )
( )
0 0
,
y x y
y x f y
=
=
'
given
To find y at x=b correct to md
Let b-x
0
=h then
( ) ( ) ( )
2
0 0 0 0 0
, h y x f h y y h y b y o + + =
'
+ =
Here O(h
2
) is the local truncation error
In the standard form
( ) , 1 , 0 ,
1
1 1
= =
+ =
+
n y x f h k
k y y
n n
n n
where
Second order methods
( )
( )
( ) error truncati on gl obal the i s and
where 1.
2
1
2
1
2
2 1
2
,
2
,
h O
k
y
h
x f h k
y x f h k
h O k y y
n n
n n
n n
|
.
|

\
|
+ + =
=
+ + =
+
( )
( )
( )
( ) g.t.e. before as
where 2.
2
1 2
1
2
2 1 1
,
,
2
1
2
1
h O
k y h x f h k
y x f h k
h O k k y y
n n
n n
n n
+ + =
=
+ + + =
+
A third order method
( ) ( )
( )
( )
1 2 3
1
2
1
3
3 2 1 1
2 ,
2
,
2
,
, 2 , 1 4
6
1
k k y h x f h k
k
y
h
x f h k
y x f h k
n h O k k k y y
n n
n n
n n
n n
+ + =
|
.
|

\
|
+ + =
=
= + + + + =
+
where

A 4
th
order method (runge kutta)
( ) ( )
( )
( )
3 4
2
3
1
2
1
4
4 3 2 1 1
,
2
,
2
2
,
2
,
2 2
6
1
k y h x f h k
k
y
h
x f h k
k
y
h
x f h k
y x f h k
h O k k k k y y
n n
n n
n n
n n
n n
+ + =
|
.
|

\
|
+ + =
|
.
|

\
|
+ + =
=
+ + + + + =
+
where
Example:
( )
( ) ( ) 2 0 , 1 0
2 sin
=
'
=
'
+ + =
' '
y y
y y x y
Find y(0.1) and y(0.1) using h=0.1 and a 2
nd
order
method.
( )
( )
( ) 2 0
1 0
2 sin
=
=
+ + =
'
=
'
p
y
p y x p
p y then Let
Take k for the slope of y and l for the slope of p
then
( )
( )
( )
( ) ( ) ( ) ( ) | |
1 0 1 0 0 2 1 0 2
0 0 0 1 0 1
2 1 0 1
2 1 0 1
2 sin
2 sin
2
1
2
1
l p k y h x h l l p h k
p y x h l p h k
l l p p
k k y y
+ + + + + = + =
+ + = =
+ + =
+ + =
where
Now calculate [Note the argument of sine must the in
radiance].
Modified Euler's method
( )
( ) ( ) | | ( )
( ) g.t.e. the i s where
2
2
1 1 1
1
, ,
2
,
h O
h O y x f y x f
h
y y
y x f h y y
p
n n n n n
c
n
n n n
p
n
+ + + =
+ =
+ + +
+
( ) ( )
( ) error. truncati on l ocal the i s where
2
2
1
, 2
h O
h O y x hf y y
n n n n
+ + =
+1
Mid - Point rule
How to control the truncation error
1) By lowering the step size and repeat the
whole calculations: Runge-Kutta method
2) By considering the 1
st
neglected term in
the Taylor expansion:

Mersons method
A 2
nd
and third order method
Fehlberges method

A single-step method with error estimator
Mersons method
( ) ( )
( )
( )
5 4 3 1
4
3 1
5
3 1
4
2 1
3
1
2
1
5
5 4 1 1
8 9 2
30
1
2
2
3
2
,
8
3
8
,
2
6 6
,
3
3
,
3
,
4
6
1
k k k k E
k
k k
y h x hf k
k k
y
h
x hf k
k k
y
h
x hf k
h
y
h
x hf k
y x hf k
h O k k k y y
n n
n n
n n
n n
n n
n n
+ =
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + =
=
+ + + + =
+
where
Fehlberg method
( )
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + =
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + =
=
+ + + =
+ + + + =
+
+
5 4 3 2 1 6
4 3 2 1 5
3 2 1 4
2 1 3
1 2
1
5 4 3 1 1
6 5 4 3 1 1
~
40
11
4104
1859
2565
3544
2
27
8
,
2
4104
845
513
3680
8
216
439
,
2197
7296
2197
7200
2197
1932
,
13
12
32
9
32
3
,
8
3
4
1
,
4
,
5
1
4104
2197
2565
1408
216
25
55
2
50
9
56430
28561
12825
6656
135
16
k k k k k y
h
x hf k
k k k k y h x hf k
k k k y
h
x hf k
k k y
h
x hf k
k y
h
x hf k
y x hf k
k k k k y y
k k k k k y y
n n
n n
n n
n n
n n
n n
n n
n n
where
Multi step methods
Predictor formulas
Corrector formulas


Predictor formulas
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + =
|
.
|

\
|
+ + =
|
.
|

\
|
+ =
+ =
+
+
+
+
+
+
5 4 3 2 1 1
4 3 2 1 1
3 2 1 1
2 1 1
1 1
1
1440
475
1440
2877
1440
7298
1440
9982
1140
7923
1140
4277
720
251
720
1274
720
2616
720
2774
720
1901
24
9
24
37
24
59
24
55
12
5
12
16
12
23
2
1
2
3
n n n n n n n n
n n n n n n n
n n n n n n
n n n n n
n n n n
n n n
f f f f f f h y y
f f f f f h y y
f f f f h y y
f f f h y y
f f h y y
f h y y
Corrector formulas
|
.
|

\
|
+ + + + =
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + + =
|
.
|

\
|
+ + =
|
.
|

\
|
+ + =
+ +
+ +
+ +
+ +
+ +
4 3 2 1 1 1
3 2 1 1 1
2 1 1 1
1 1 1
1 1
1440
27
1440
173
1440
482
1440
798
1440
1427
1440
475
720
19
720
106
720
264
720
646
720
251
24
1
24
5
24
19
24
9
12
1
12
8
12
5
2
1
2
1
n n n n n n n n
n n n n n n n
n n n n n n
n n n n n
n n n n
f f f f f f h y y
f f f f f h y y
f f f f h y y
f f f h y y
f f h y y
Extrapolation methods
1.Introduction:
Consider calculating t as the area of a unit circle
(Fig.1), by calculation of the area of n sided
polygon inscribed in the circle.
n
u
1
Fig. 1
n
A
0
Let
be the area of n sided polygon.
|
.
|

\
|
= =
n
n n
A
n
n
t
u
2
sin
2
sin
2
0
Using Taylor expansion of Sin x

+ + + + =
(
(
(
(

+
|
.
|

\
|

|
.
|

\
|
+
|
.
|

\
|
=
6
6
4
4
2
2
7 5 3
0
! 7
2
! 5
2
! 3
2
2
2
n
a
n
a
n
a
n n n
n
n
A
n
t
t t t
t
Where a
2
, a
4
, a
6
, are constants, do not depend on n.
Now if we double n then
+ + + + =
6
6
4
4
2
2
2
0
64 16 4 n
a
n
a
n
a
A
n
t
To form a linear combination of
in such away that in the linear combination
the first term be t and the second term
vanishes, that is, for some o and |
n n
A A
2
0 0
and
+ + + + = = +
8
8
6
6
4
4
1
2
0 0
n
b
n
b
n
b
A A A
n
say
n n
t | o
Where b
4
, b
6
, b
8
, are constants, do not depend on n.
0
4
1 = + = +
|
o | o and Then
The implies that
3
4
3
1
= = | o and
To go further we can repeat the same procedure
by doubling the sides again and hence.
+ + + + =
8
8
6
6
4
4
2
1
256 64 16 n
b
n
b
n
b
A
n
t
Again to form a linear combination of
in such away that in the linear combination the first term be
p and the second term vanishes, that is for some o and |.
n n
A A
2
1 1
and
,
8
8
6
6
2
2
1 1
+ + + = = +
n
c
n
c
A A A
n
say
n n
t | o
Where c
6
, c
8
, are constants, do not depend
on n.
,
8
8
6
6
2
2
1 1
+ + + = = +
n
c
n
c
A A A
n
say
n n
t | o
1,2, n for
and general In
and that i mpl i es thi s
and Then
=

=

=
= =
= + = +
1 4
4
1 4
1
15
16
15
1
, 0
16
1
n
n
n
| o
| o
|
o | o
The result of above operations can be
presented in an extrapolation table as
follows.
n n n n
n n n
n n
n
A A A A
A A A
A A
A
3
2
2
4
1
8
0
2
2
1
4
0
1
2
0
0 3
1

3
4
15
1

15
16
Note that truncation error of the columns respectively are
on. so and ,
1
,
1
,
1
6 4 2
|
.
|

\
|
|
.
|

\
|
|
.
|

\
|
n
O
n
O
n
O
63
1

63
64
Numerically
1. Starting with a triangle (the least accuracy),
we have
Are these coefficients (o and |) general?
=
3
0
A
=
6
0
A
=
12
0
A
=
24
0
A
=
48
0
A
1.299038
2.598077
3.000001
3.105829
3.132629
3.03109
3.133975
3.141105
3.141563
3.140834
3.141581
3.141593
3.141593
3.141593 3.141593
=
4
0
A
=
8
0
A
=
16
0
A
=
32
0
A
=
64
0
A
2
2.828427
3.061468
3.121446
3.136549
3.10457
3.139148
3.141439
3.141584
3.141453
3.141591
3.141593
3.141593
3.141593 3.141593
=
5
0
A
=
10
0
A
=
20
0
A
=
40
0
A
=
80
0
A
2. 377642

2.938927
3.09017
3.12869
3.138364
3.126022
3.140584
3.3014153
3.141489
3.141555
3.141593
3.141593
3.141593
3.141594 3.141594
=
160
0
A 3.140786 3.141593 3.141593 3.141593 3.141593 3.141593
=
10
0
A
=
20
0
A
=
40
0
A
=
80
0
A
=
160
0
A
2. 938926

3.09017
3.12869
3.138364
3.140786
3.140584
3.14153
3.141589
3.141593
3.141593
3.141593
3.141593
3.141593
3.141593 3.141593
=
320
0
A 3.141391 3.141593 3.141593 3.141593 3.141593 3.141593
1. yes, whenever the accuracy parameter
is changed by factor of 2. and the terms
of the Taylor expansion are alternatively
zero.
2. No otherwise
Extrapolation in differentiation
Starting with central difference formula for
the first and second derivative
( )
( ) ( )
( )
( )
( ) ( ) ( )
( ) ) 2 (
2
) 1 (
2
2
2
2
h O
h
h x f x f h x f
x f
h O
h
h x f h x f
x f
+
+ +
=
' '
+
+
=
'
Denote the RHS of (1) as and the RHS of (2) as
h
F
0
h
S
0
Similar extrapolation table looks like
h
h h
h
h
h
F F F
F F
F
2
2
1
4
0
1
2
0
0
3
1

3
4
15
1

15
16
The truncation error of the columns in order are
( ) ( ) ( ) . on so and and
6 4 2
, h O h O h O
Similarly for the second derivative
Extrapolation in integration
Consider the trapezoidal rule
( ) ( )
(

+ + =
+ =

=
1
1
0 0
2
0
2
2
n
i
i n
h
h
b
a
f f f
h
T
h O T dx x f
where
h
h h
h
h
h
T T T
T T
T
2
2
1
4
0
1
2
0
0
3
1

3
4
15
1

15
16
Extrapolation in IVP
Suppose y
'
=f(x,y) , y(x
0
)=y
0
to find y(b)
correct to md, with extrapolation method.
Start with Mid-Point rule
( ) ( )
2
0 0 1 1
, 2 h O y x hf y y + + =

Either y
-1
is known previously or it should be
calculated by, say, Euler's method and corrected by
modified Euler's method to have the same accuracy
as O(h
2
)
therefore with h<0
( )
( ) ( ) | |
E c
E
y x f y x f
h
y y
y x hf y y
1 1 0 0 0 1
0 0 0 1
, ,
2
,

+ =
=
and
If we denote then in extrapolation notation
h
Y y
0 1
by
h
h h
h
h
h
Y Y Y
Y Y
Y
2
2
1
4
0
1
2
0
0
3
1

3
4
15
1

15
16
And so on.
Compare this method with single step
methods and multi step methods.
Example
Consider y
'
=y , y(0)=1 . To find y(1)
correct to 3d .
start with h=1 , y
0
=1 , x
0
=0
| |
2
1
0 2 1
1 1
1
0
1 1
8
21
8
13
1
8
13
1
8
5
8
5
2
1
1
4
1
1
2
1
2
1
1
2
1
5 . 2 2
2
1
2
1
0 1
2
1
1 , 0
Y y y
y y
h
Y
y y
c E
c E
= = + = = + =
=
(

+ = = =
=
= + =
= + = =


wi th
To continue calculate and and
extrapolate.
6666 . 2
6
16
2
7
6
5
8
21
3
4
2
5
3
1
3
4
3
1
2
1
0
1
0
1
1
= = + =
|
.
|

\
|
+
|
.
|

\
|
=
+ = Y Y Y
4
1
0
Y
8
1
0
Y
Shooting methods
Statement of a boundary value problem
( )
( ) ( )

= =
'
=
' '
| o b y a y
y y x f y
,
, ,
Given
Find y for a<x<b correct to md.
Shooting method changes the BVP into an IVP by assuming
a value for y
'
(a) , say S, then using a root finder to find the
root of y(b,S)-|=0 up to a desired accuracy.
1. Secant method
2. Newtons method
Let us start with secant method as the root finder
Step 1. Guess S
0
=y
'
(a)
Step 2. Solve the IVP
( ) ( ) ( ) , , , , ,
0
S a y a y y y x f y =
'
=
'
=
' '
o
to find y(b, S
0
) .
Is y(b, S
0
)=| ? if yes then stop, otherwise continue
( ) ( )
( ) ( ) |
|
> <
'
=
< >
'
=
0 0 1
0 0 1
,
,
S b y if S a y S
S b y if S a y S otherwise Guess
Step 4. Solve the IVP
( ) ( ) ( ) , , , , ,
1
S a y a y y y x f y =
'
=
'
=
' '
o
to find y(b, S
1
).
Step 3.
Is y(b, S
1
)=| ? If yes then stop, otherwise continue.
Step 5. Find the next S
n+1
,using secant method.
( ) | |( )
( ) ( )
, 2 , 1
, ,
,
1
1
1
=

+
n
S b y S b y
S S S b y
S S
n n
n n n
n n
|
Step 6. Solve the IVP
( ) ( ) ( )
( )
1
1
,
, , , , ,
+
+
=
'
=
'
=
' '
n
n
S b y
S a y a y y y x f y
find to
o
Step 7. Test for convergence
( ) stop then yes if Is Tol S b y
n
<
+
|
1
,
Step 8. Go to step 5.
Example 1:
Given ( )
( ) 3 1 , 3
2
1
2
2
= =
|
.
|

\
|

'
=
' '
y y
y
x
y
[note that this is a linear differential equation]
To find y for
1
2
1
< < x
correct to 3d.
( )
( )
| |
( ) 0001 . 3 , 1
2
7500 . 3 6250 . 3
2
1
3 6250 . 3
2
1
6250 . 3 , 1
2
1
7500 . 3 , 1 1
2
2
0 1
0 0
=
=

|
.
|

\
|

=
= =
= =
S y
S
S y S
S y S
x y
0.5 3
0.6 2.8667
0.7 2.8287
0.8 2.8501
0.9 2.9112
1 3.0001
Example 2:
Given
( ) ( ) 8 2 , 4 1
2 1
= =
|
|
.
|

\
| '
+
'
=
' '
y y
y
y
x
y y
[this is a nonlinear differential equation]
To find y for 1<x<2 correct to 3d.
( ) ( )
( ) | |( )
( ) ( )
, 2 , 1
, 2 , 2
8 , 2
0 8 , 2
1
1
1
=

=
= =

+
n
S y S y
S S S y
S S
S y S F
n n
n n n
n n
( )
( )
( )
( )
( )
( )
( ) 000000 . 8 , 2 333333 . 1
9902356 . 7 , 2 3331706 . 1
9688716 . 7 , 2 328125 . 1
2580645 . 8 , 2 375 . 1
111111 . 7 , 2 16667 . 1
4 . 6 , 2 1
16 , 2 2
6 6
5 5
4 4
3 3
2 2
1 1
0 0
= =
= =
= =
= =
= =
= =
= =
S y S
S y S
S y S
S y S
S y S
S y S
S y S
x y
1 4
1.1 4.1450
1.2 4.3165
1.9 7.0793
2 7.9994

In case of Newton's method as the root finder the steps will be
as follows
Step 1. Guess S
0
=y
'
(a)
Step 2. Solve the system
( )
( )
( )
( )
( )

=
c
'
c
=
c
c
=
'
=
c
'
c

'
c
c
+
c
c

c
c
=
c
' '
c
'
=
' '
1
0
, ,
0
S
a y
S
a y
S a y
a y
S
y
y
f
S
y
y
f
S
y
y y x f y
o
(1)
By any IVP method find y(b, S
0
), y
'
(b, S
0
) and
( ) ( )
0 0
, , , S b
S
y
S b
S
y
c
'
c
c
c
Step 3. Find a new S
n
using Newtons method
( )
( )
, 1 , 0
,
,
1
=
c
c

=
+
n
S b
s
y
S b y
S S
n
n
n n
|
Step 4. Solve the system(1) with new S
n
=y
'
(a)
Step 5. Test for convergence, i.e.
( ) stop then yes if Tol S b y
n
< | ,
Step 6. Go to step 3.
Example: Find y for 1<x<2, given
( ) ( )
then and denote us l et
system(1) sol ve to now
guess
U
S
y
Y
S
y
S
y y
y
y
x
y y
=
c
'
c
=
c
c
=
= =
|
|
.
|

\
| '
+
'
=
' '
2
8 2 , 4 1
2 1
0
if
( )
( )
( )
( ) 1 1
0 1
1
4 1
4 1 2
2 1
0
2
2
=
=
=
=

|
|
.
|

\
|
+ + =
'
=
'
|
|
.
|

\
|
+ =
'
=
'
U
Y
S p
y
U
y
p
x
Y
y
p
U
U Y
y
p
x
p p
p y then
Solve by 4
th
order Runge-Kutta with h=0.01 (say) then
( ) ( )
66666667 . 1
24 , 2 16 , 2
1
0 0
=
=
c
c
=
S
S
S
y
S y
i mpl i es thi s
and
Next five iterations yields
( ) ( )
( ) ( )
( ) ( )
( ) ( )
( ) ( ) 000000 . 6 , 2 000000 . 8 , 2 33333333 . 1
00018279 . 6 , 2 00012208 . 8 , 2 333353689 . 1
04715063 . 6 , 2 03137248 . 8 , 2 33854166 . 1
82666667 . 6 , 2 5333333 . 8 , 2 416666667 . 1
6666667 . 10 , 2 6666667 . 10 , 2 66666667 . 1
5 5 5
4 4 4
3 3 3
2 2 2
1 1 1
=
c
c
= =
=
c
c
= =
=
c
c
= =
=
c
c
= =
=
c
c
= =
S
S
y
S y S
S
S
y
S y S
S
S
y
S y S
S
S
y
S y S
S
S
y
S y S
Finite difference methods
Statement of the problem:
Given the BVP
( )
( ) ( ) | o = =
'
=
' '
b y a y
y y x f y
,
, ,
Find y for a<x<b correct to md.
There are two cases:
1. Linear equation, in general
( ) ( ) ( )
( ) ( ) | o = =
+ +
'
=
' '
b y a y
x r y x q y x p y
,
2. Non linear equation
( )
( ) ( ) | o = =
'
=
' '
b y a y
y y x f y
,
, ,
The above two cases are called BVPs with separated
boundary conditions.
BVP with general linear boundary values are of the
form
( )
( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
5 4 3 2 1
5 4 3 2 1
, ,
B b y B b y B a y B a y B
A b y A b y A a y A a y A
y y x f y
=
'
+ +
'
+
=
'
+ +
'
+
'
=
' '
BVP with general boundary conditions are of
the form
( )
( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) 0 , , , ,
0 , , , ,
, ,
2
1
=
' '
=
' '
'
=
' '
b y b y a y a y b g
b y b y a y a y a g
y y x f y
The idea of finite difference methods is to discretise
the equation by dividing the interval [a,b] into n
equal divisions, i.e.
h
n
a b
say
==

b x n i ih x x a x
n i
= = + = = , 1 , , 1 ,
0 0
then
The BVP becomes
( )
| o = = =
'
=
' '
n
i i i i
y y a x
y y x f y
, ,
, ,
0 0
Now we replace the derivatives by an approximate
value of finite difference such as:
4
2 1 1 2
3
2 1 1 2
2
1 1
1 1
4 6 4
2
2 2
2
2
h
y y y y y
y
h
y y y y
y
h
y y y
y
h
y y
y
i i i i i
i
i i i i
i
i i i
i
i i
i
+ +
+ +
+
+
+ +
=
' ' ' '
+
=
' ' '
+
=
' '

=
'
Central-difference expressions with error of order h
2
Central-difference expressions with error of order h
4
4
3 2 1 1 2 3
3
3 2 1 1 2 3
2
2 1 1 2
2 1 1 2
6
12 39 56 39 12
8
8 13 13 8
12
16 30 16
12
8 8
h
y y y y y y y
y
h
y y y y y y
y
h
y y y y y
y
h
y y y y
y
i i i i i i i
i
i i i i i i
i
i i i i i
i
i i i i
i
+ + +
+ + +
+ +
+ +
+ + +
=
' ' ' '
+ + +
=
' ' '
+ +
=
' '
+ +
=
'
Forward-difference expressions with error of order h

4
1 2 3 4
3
1 2 3
2
1 1 2
1
4 6 4
3 3
2
h
y y y y y
y
h
y y y y
y
h
y y y
y
h
y y
y
i i i i i
i
i i i i
i
i i i
i
i i
i
+ +
=
' ' ' '
+ +
=
' ' '
+
=
' '

=
'
+ + + +
+ + +
+ +
+
4
1 2 3 4 5
3
1 2 3 4
2
1 2 3
1 2
3 14 26 24 11 2
2
5 18 24 14 3
2 5 4
2
3 4
h
y y y y y y
y
h
y y y y y
y
h
y y y y
y
h
y y y
y
i i i i i i
i
i i i i i
i
i i i i
i
i i i
i
+ + +
=
' ' ' '
+ +
=
' ' '
+ +
=
' '
+ +
=
'
+ + + + +
+ + + +
+ + +
+ +
Forward-difference expressions with error of order h
2
Backward-difference expressions with error of order h

4
4 3 2 1
3
3 2 1
2
1 1
1
4 6 4
3 3
2
h
y y y y y
y
h
y y y y
y
h
y y y
y
h
y y
y
i i i i i
i
i i i i
i
i i i
i
i i
i

+ +
=
' ' ' '
+
=
' ' '
+
=
' '

=
'
4
5 4 3 2 1
3
4 3 2 1
2
3 2 1
2 1
2 11 24 26 14 3
2
3 14 24 18 5
4 5 2
2
4 3
h
y y y y y y
y
h
y y y y y
y
h
y y y y
y
h
y y y
y
i i i i i i
i
i i i i i
i
i i i i
i
i i i
i




+ +
=
' ' ' '
+ +
=
' ' '
+
=
' '
+
=
'
Backward-difference expressions with error of order h
2
In linear case we have, using the central difference
forms with truncation error of O(h
2
),
( ) ( ) ( )
1 , , 1 ,
2
2
0
1 1
2
1 1
= = =
+ +

=
+
+ +
n i y y
x r y x q
h
y y
x p
h
y y y
n
i i i
i i
i
i i i
| o
After some simplifications
1 , , 1 ,
0
1 1
= = =
= + +
+
n i y y
D y C y B y A
n
i i i i i i i
| o
Where
i i
i i
i i
i i
r h D
hp C
q h B
hp A
2
2
2
2
2 4
2
=
+ =
=
=
In matrix form
(
(
(
(
(
(

=
(
(
(
(
(
(

(
(
(
(
(
(

|
o
1 1
2
1 1
1
2
1
1 1
2 2 2
1 1
n n n
n n
C D
D
A D
y
y
y
B A
C B A
C B
O
O

This linear system can be solved by
1. Direct methods (gauss elimination, )
2. Iterative methods (Jacobi's method, Gauss
Seidel method, Successive Over Relaxation
method, SOR).
Example:
( )
( )
3d. to correct for Fi nd 1
2
1
3 1 , 3
2
1
2
2
< <
= =
|
.
|

\
|

'

=
' '
x y
y y
y
x
y
Take n=5

h=0.1 then
(
(
(
(

=
(
(
(
(

(
(
(
(

96 . 2
04 . 0
04 . 0
46 . 1
8 . 1 8 . 0 0 0
9 . 0 6 . 1 7 . 0 0
0 8 . 0 4 . 1 6 . 0
0 0 7 . 0 2 . 1
4
3
2
1
y
y
y
y
Using Gauss elimination method
91111111 . 2 85000000 . 2
8285714 . 2 866666667 . 2
4 3
2 1
= =
= =
y y
y y
In non linear case, using central difference
formulas with truncation error O(h
2
)
( ) ( )
1 , , 1 , ,
2 / , , 2
0
1 1
2
1 1
= = =
= +
+ +
n i y y
h y y y x f h y y y
n
i i i i i i i
| o
Using simple iteration method, with suitable initial
guess
( )

, 1 , 0
1 , , 1 ,
2
, ,
2 2
1
0
) 1 (
1
) (
1
) (
2
) (
1
) 1 (
1
1
=
= = =
|
|
.
|

\
|

+ =
+
+
+
+

+
k
n i y y
h
y y
y x f
h
y y y
n
k
i
k
i
k
i i
k
i
k
i
k
i
| o
Example:
( ) ( ) 8 2 , 4 1
2 1
= =
|
|
.
|

\
| '
+
'
=
' '
y y
y
y
x
y y
Find y for 1<x<2 correct to 5d.
Upon discritisation we have,
( )
, 1 , 0 , 1 , , 1 8 , 4
1
2 2 2
1
0
) (
) 1 (
1
) (
1
) 1 (
1
) (
1
2
) (
1
) 1 (
1
) 1 (
= = = =
(

+
(

+ =
+
+
+
+
+
+

+
k n i y y
y h
y y
x h
y y h
y y y
n
k
i
k
i
k
i
i
k
i
k
i
k
i
k
i
k
i
Now, take
N=5
h=0.2

After k= 50 iterations and Tol=

6
10

1.2 4.30868851
1.4 4.74347837
1.6 5.37398310
1.8 6.34221887
i
x
i
y
Take N=10

h=0.1
After k= iterations
1.1
1.2 4.31464627
1.3
1.4 4.75747894
1.5
1.6 5.39795103
1.7
1.8 6.37355180
1.9
i
x
i
y
To improve the accuracy
1. Either increase n smaller h
Larger system of equations
2. Use extrapolation,
In the above example

Improved
( )
3
1
4 . 1 = y
less accurate ( )
3
4
4 . 1 + y more accurate y(1.4)
( ) ( )
( )
4
762145797 . 4
75747894 . 4
3
4
74347837 . 4
3
1
h O + =
+ =
Continue to improve accuracy.
Iterative methods for system of linear equations.
To solve
1) Ax=b
Where
(
(
(
(

=
(
(
(
(

=
(
(
(
(

=
n n nn n
n
b
b
b
x
x
a a
a a
A

1 1
1
1 11
, , x
2)
n n nn n
n n
b x a x a
b x a x a
= + +
= + +

1 1
1 1 1 11
3)
n i b x a
n i b x a x a
n
j
i j ij
i n in i
, , 1
, , 1
1
1 1

= =
= = + +

=
4)
Pivoting , Scaling
Jacobis method: guess n i x
i
, , 1
) 0 (
=

=
=
(
(
(

=

=
=
+

, 1 , 0
, , 1
1
1
) ( ) 1 (
k
n i
x a b
a
x
n
i j
j
k
j ij i
ii
k
i
Test for convergence at each iteration
Tol x x
k
j
k
j
<
+ ) ( ) 1 (
For all j=1,,n
Guess Seidel method

, 1 , 0 , , , 1
1
, , 1
1
) (
1
1
) 1 ( ) 1 (
) 0 (
= =
(

=
=

+ =

=
+ +
k n i
x a x a b
a
x
n i x
n
i j
k
j ij
i
j
k
j ij i
ii
k
i
i
Guess
Test for convergence
Successive Over Relaxation (SOR)
method

, 1 , 0 , , , 1
, , 1
) (
1
1
) 1 ( ) ( ) 1 (
) 0 (
= =
(

+ =
=

=

=
+ +
k n i
x a x a b
a
x x
n i x
n
i j
k
j ij
i
j
k
j ij i
ii
k
i
k
i
i
e
Guess
Test for convergence
requi red? i s or
b opt
e e
.
1. No general formula for
2. depends on the form of A.
3. 0< <2
When 1< <2 we have over relaxation and when
0< <1 we have under relaxation
4. to be calculated numerically.

b
e
b
e
b
e
b
e
b
e
b
e
Example: solve
(
(
(
(

=
(
(
(
(

(
(
(
(

96 . 2
04 . 0
46 . 1
8 . 1 8 . 0 0 0
9 . 0 6 . 1 7 . 0 0
0 8 . 0 4 . 1 6 . 0
0 0 7 . 0 2 . 1
4
3
2
1

x
x
x
x
w 1 1.1 1.2 1.3 1.4 1.5 1.6
k 34 27 21 15 18 24 30
b
w
Minimum
When
k=14
28 . 1 = e
Variational methods
Introduction
Distance between two points


| | ( ) ( )
} }
|
.
|

\
|
+ = + =
2
1
2
1
2
2 2
1
x
x
x
x
dx
dx
dy
dy dx y I
To minimize I[y] set its derivative to zero.
There are certain restrictions on each y which must
pass through ,etc.
( ) ( )
2 2 1 1
, , y x y x &
2
y
1
y
1
x
2
x
4
y
3
y
2
y
1
y
E-L eqn. ( ) ( ) y y x F
y
y y x F
y dx
d
'
c
c
=
(

'
'
c
c
, , , ,
If F is independent of 0 =
c
c

'
y
F
y
If F is independent of C
y
F
y
F
dx
d
y =
'
c
c
=
|
|
.
|

\
|
'
c
c
0
If F is independent of
0 =
(

'
c
c
'

=
'
c
c
'

y
F
y F
dx
d
C
y
F
y F x
or
Now to solve the BVP
( ) | | ( ) ( )
( ) ( ) 0 1 0 = =
= +
'
'

y y
x f y x q y x p
The Rayleigh - Ritz method minimizes the E-L
equation
| | ( ) ( ) | | ( ) ( ) | | ( ) ( ) { }
}
+
'
=
1
0
2 2
2 dx x u x f x u x q x u x p u I
Choose u to be a linear combination of some basis
function such as few first terms of Taylor expansion
or in general

=
i i
c u |
Where are chosen in such away to satisfy the
boundary conditions
Now for minimization find
and equate to zero
These are called the normal equations which can be
solved by a method of linear systems.
i
|
( ) ( ) | | 0 1 0 = =
i i
| |
n i
c
I
i
, , 1 =
c
c
n i
c
I
i
, , 1 0 = =
c
c
Example:
Let us choose the basis to be the linear functions
( )

s <
s <

< <

s s
=
+
+
+

1 0
0 0
1
1
1
1
1
1
1
x x
x x x
h
x x
x x x
h
x x
x x
x
i
i i
i
i i
i i
i
i
i
i
|
( ) x
i
|
x
0
1
1 i
x
i
x
1 + i
x
1
The normal equations yield a tridiagonal linear
system which can be solved by previously
introduced methods.
Example:
( ) ( ) 0 1 0
4 2 2
2 2
= =
= +
'

' '

y y
x y y x y x Given
Use h=0.1 and linear approximation.
Now given
( )
( ) ( ) 0 = =
= +
' '
b y a y
x f Qy y
Then E-L equation
| | | | { }
}
+
'
=
b
a
dx fu Qu u u I 2
2
2
to be minimized.
B.C. & If
2
2 1 0
x c x c c u + + =
2 1 0
2 1 0
, 0 , 0 , 0 c c c
c
I
c
I
c
I
gi ves then =
c
c
=
c
c
=
c
c
B.C. & If
3
3
2
2 1 0
x c x c x c c u + + + =
on. so &
gives then 3 , 2 , 1 , 0 3 , 2 , 1 , 0 0 = = =
c
c
i c i
c
I
i
i
Eigen Value Problems
(Homogeneous BVP)
Consider the problem:
( ) ( ) 0 1 0
2
= =
=
' '
y y
y y
To find the nontrivial solution of the above system
( )
( )
{ }

, 2 , 1
, 2 , 1 0 sin 0 sin
0 1
sin
0 0
sin cos
= =
= = = =
=
=
=
+ =
k k
k k B
y
x B y
y
x B x A y
k
t
t

B.C. &
B.C. &
The Eigen Values are
and are the Eigen functions.
Let us use finite difference method

2 2 2
t k
k
=
x B y
k k k
sin =
1 , , 1 0
2
0
2 2
1 1
= = =
= =
+
n i y y
y h y y y
n
i i i i

In matrix form, let

t h = +
2 2
2
(
(
(
(
(
(

=
(
(
(
(
(
(

(
(
(
(
(
(

0
0
1
1
1
1 1
1
1
1

n
y
y
t
t
t
O
O
This homogeneous linear system has nontrivial
solution when
( ) 0
1
1
1 1
1
det = =
t
t
t
A
O
O


Choosing n=2 then
2
1
= h
and an approximation
to the analytical value
8 0
2
= = t
8696 . 9
2 2
1
= = t
Choosing n=4 then
4
1
= h

= + =
=
= =
=
6274 . 54 2 2
32
3726 . 9 2 2
0
1 0
1 1
0 1
2
3
2
2
2
1

t
t
t
and
The analytical value of
8264 . 88
4784 . 39
8696 . 9
2
3
2
2
2
1
=
=
=

Again for improvement there are two

methods
1) To increase n and have smaller h leading
to a higher degree polynomial equation
and hence more round off error.
2) To use extrapolation technique.
In this case
Improved ( ) ( )
( ) ( )
8301 . 9
3726 . 9
3
4
8
3
1
3
4
3
1
2
1
2
1
2
1
=
+ =
+ = accurate more accurate l ess
Numerical Solution of PDE
(Finite difference method)
We are going to consider
1) Heat equation
2) Steady State equation
3) Wave equation
Consider the heat equation in the form
( ) ( )
( ) ( )
( ) ( ) x f t x u
t t b u
t t a u
t b x a
x
u
D
t
u
=
=
=
> < <
c
c
=
c
c
,
,
,
0 ,
2
2

|
To find u(x,t) using finite difference method.
1. Explicit method
As before let
n i x i x x a x
i
, , 1 , 0 ,
0 0
= A + = =
and
( )
ij j i
j
u t x u
j t j t t t
=
= A + = =
,
, 1 , 0 , 0
0 0
denote

The partial derivatives will be as,

( )
( )
( ) ( ) ) di fference (central
) di fference (forward
2
2
1
2
2
1
2
x O
x
u u u
x
u
t O
t
u u
t
u
j i ij ij i
ij
ij ij
ij
A +
A
+
=
|
|
.
|

\
|
c
c
A +
A

=
|
.
|

\
|
c
c
+
+
Finally, let
( )
2
.
x
D t
r
A
A
=
Upon substitution in the equation,
( ) ( ) ( )
2
1 1 1
2 x t O u u u r u u
j i ij j i ij ij
A + A + + =
+ +
Stability condition is
When
2
1
s r
2
1
= r
( )
j i j i ij
u u u
1 1 1
2
1
+ +
+ =
The explicit method looks like
i, j i-1, j i+1, j
i, j+1
In the whole problem
ij
u
a
b
x
t
Problem: show that when the local
truncation error will reduce to
The restriction on r causes higher number of
operations which leads to higher round off error.
Hence we move to implicit procedures.
6
1
= r
( ) ( ) ( )
4 2
x t O A + A
2.Implicit methods
Let us replace by a linear combination of
the known time step and the unknown (next)
time step as follows,
|
|
.
|

\
|
c
c
2
2
x
u
( )
1 0
1
1
2
2
2
2
s s
(
(

|
|
.
|

\
|
c
c
+
|
|
.
|

\
|
c
c
=
|
.
|

\
|
c
c
+
u
u u
where
ij ij
ij
x
u
x
u
D
t
u
When u=1 then we have the Explicit method.
When u= then we have the Implicit Crank -
Nicolson method
2
1
When u=0 then we have the fully implicit method
(backward difference method)
Implicit Crank Nicolson method

| |
1 1 1 1 1 1 1 1
2 2
2
+ + + + + +
+ + + =
j i ij j i j i ij j i ij ij
u u u u u u
r
u u
The diagram of this method looks like
i-1j+1 ij+1 i+1j+1
i-1j ij i+1j
Rearrangement of the equation yields
( )
( )
, 1 , 0 , 1 , , 2 , 1
2
1
2
2
1
2
1 1
1 1 1 1 1
= =
+ + =
= + +
+
+ + + +
j n i
u
r
u r u
r
b
b u
r
u r u
r
j i ij j i ij
ij j i ij j i
where
This system of (n-1) equation in (n-1) unknown must
be solved for each time step j . Therefore j can be
omitted at each time step, that is
For each j=0,1,
( )
1 , , 2 , 1
2
1
2
1 1
=
= + +
+
n i
b u
r
u r u
r
i i i i

Taking into consideration the boundary conditions

then in matrix form,
(
(
(
(
(
(
(

+
+
=
(
(
(
(
(
(

(
(
(
(
(
(
(
(
(

+
+
+

n n
n
u
r
b
b
u
r
b
u
u
r
r
r
r
r
r
r
O
O
2
2
1
2
2
1
2
2
1
1
2
0 1
1
1

This system can be solved by SOR method,
For each j=0,1,
( )
, 1 , 0 ; 1 , , 2 , 1
2
1
2 1
) (
1
) ( ) 1 (
1
) ( ) 1 (
= =
(

+ + +
+
+ =
+
+

+
k n i
u
r
u r u
r
b
r
u u
k
i
k
i
k
i i
k
i
k
i
e
k is the number of iterations
In this special case is found to be
. opt
e
n r
r
b
t

e cos
1
,
1 1
2
2
+
=
+
=
Example
Given
( )
( )
( )
( )

< <
< <
=
> =
= > =
> < <
c
c
=
c
c
20 10 20
10 0
0 ,
0 100 , 20
16 . 0 , 0 0 , 0
0 , 20 0
2
2
x x
x x
x u
t t u
D t t u
t x
x
u
D
t
u
Find at x=4,8,12,16
and at x=2,4,,18
( ) , x u
As you know

Take r=1 and then and for
each j

( )
2
16 . 0
x
t
r
A
A
=
4 = Ax 100 = At
0 0
4
6
6
4
2 5 . 0 0 0
5 . 0 2 5 . 0 0
0 5 . 0 2 5 . 0
0 0 5 . 0 2
5 0
4
3
2
1
= =
(
(
(
(

=
(
(
(
(

(
(
(
(

u u
u
u
u
u
& that note
100
27273 . 3
09091 . 5
09091 . 5
27273 . 3
4
3
2
1
=

=
=
=
=
t
u
u
u
u
at
For the next time step and 0
0
= u
100
5
= u
545455 . 52
18182 . 4
18182 . 4
545455 . 2
4
3
2
1
=
=
=
=
b
b
b
b
Now at t=200
7373 . 55
8582 . 17
33188 . 7
1057 . 3
50
4
3
2
1
4
3
2
1
4
3
2
1
=
=
=
=

(
(
(
(

+
=
(
(
(
(

u
u
u
u
b
b
b
b
u
u
u
u
A
& so on.
Elliptic Problems
Consider the Poisson equation
( ) ( )
( ) ( )
m j n i
jk c y ih a x
y x g y x u
d y c b x a
y x f
y
u
x
u
y x u
j i
, , 1 , 0 , , 1 , 0
, ,
,
, ,
2
2
2
2
2
= =
+ = = =
=
< < < <
=
c
c
+
c
c
= V
and for
and l et
boundari es the on wi th
on
a x =
0
1
x
2
x
3
x
4
x
n
x b =
c y =
0
1
y
2
y
d y
m
=

y
x
Let us use the central differential formula for both
derivatives, then
( ) ( ) ( )
1 , , 1 ; 1 , , 1
2
2 2
2 2 2 2
1 1
2
1 1
2
2
1 1
2
1 1
= =
= + + + +
=
+
+
+
+ +
+ +
m j n i
f k h u k h u u h u u k
f
k
u u u
h
u u u
ij ij ij ij j i j i
ij
ij ij ij j i ij j i

or
The diagram looks like
ij+1
i+1j ij
i-1j
ij-1
Five point formula.
This linear system of (n-1)(m-1) equations and
unknowns can be solved by Gauss Seidel
method or by SOR method with
(

|
.
|

\
|
+
|
.
|

\
|
=
+
=
m n
c
c
b
t t
e
cos cos
2
1
1 1
2
2
where
Example:
Find , given the Poisson equation ( )
j i
y x u ,
8 0 , 6 0 2
2
2
2
2
< < < < =
c
c
+
c
c
y x
y
u
x
u
u=0 on the boundaries.
Take a) h=k=2
b) h=k=1
For the case a) there are
6 unknowns
ij
u
i=1,2 ; j=1,2,3
21 11
22 21
23 31
u u
u u
u u
8
6 x
y
| |
3 , 2 , 1 , 2 , 1
8
4
1
1 1 1 1
= =
+ + + + =
+ +
j i
u u u u u
ij ij j i j i ij
Using the symmetric property (in this particular
problem) we have
56 . 4 56 . 4
72 . 5 72 . 5
56 . 4 56 . 4
23 13
22 12
21 11
= =
= =
= =
u u
u u
u u
For the case b) there are 35 linear equations in
35 unknowns 7 , , 1 ; 5 , , 1 ? = = = j i u
ij
Using the symmetric property the system will be
reduced to 12 equations in 12 unknowns.
x x x
x x x
x x x
x x x
8
6 x
y
Preparing the system to be solved by SOR it looks
like
| |
=
= =
+ + + + + =
+
+
+
+

+
b
k
ij
k
ij
k
ij
k
j i
k
j i
b
k
ij
k
ij
j i
u u u u u u u
e
e
7 , , 1 5 , , 1
4 8
4
) ( ) (
1
) 1 (
1
) (
1
) 1 (
1
) ( ) 1 (

The results are as follows
(
(
(
(

647 . 6 960 . 5 181 . 3

335 . 6 686 . 5 657 . 3
319 . 5 794 . 4 123 . 3
353 . 3 047 . 3 042 . 2
Hyperbolic Problem
(Wave equation)
Two dimensional heat equation in
Cartesian coordinates
(Alternative Direction Implicit method)
ADI
Fourier Series
Power series play an integral part in real(& complex)
analysis.
Taylor Series in ODE
Fourier Series in PDE
Definition: Two nonzero f(x) and g(x) are said to be
orthogonal on the interval with respect to
the weight function e(x) if their scalar product
vanishes:
b x a s s
( ) ( ) ( )
}
=
b
a
dx x g x f x 0 e
Example
( )
| |
0 sin sin
2 , 0
1 sin sin
2
0
=
= =
}
t
t
e
dx mx nx
x n m mx nx
on arthogonal
are and
2l periodic function means
( ) ( ) x f l x f = + 2
Problem: the set of function
)
`

l
x n
l
x n t t
sin , cos , 1
are orthogonal over the interval with
respect to the weight function e(x)=1 .
l x l s s
Furthermore,
} } }

=
|
|
.
|

\
|
|
.
|

\
|
=
|
.
|

\
|
=
l
l
l
l
l
l
l dx
l
x n
dx
x n
l dx l
2
2
2
sin
2
cos ; 2
t t
Let f(x) be sufficiently smooth function defined on
and periodic with period 2l.
Then we seek to express f(x) as an infinite linear sum
of sines and cosines having the same period as f(x),
namely 2l.
We assume that
l x l s s
( )

=
(

+ + =
1
0
sin cos
2
1
n
n n
l
x n
b
l
x n
a a x f
t t
Where and the coefficients and are found
to be
0
a
n
a
n
b
( )
( )
( )
}
}
}

=
=
=
=
l
l
n
l
l
n
l
l
dx
l
x n
x f
l
b
n
dx
l
x n
x f
l
a
dx x f
l
a
t
t
sin
1
, 2 , 1
cos
1
1
0

Corollary
When f(x) is periodic, piecewise smooth function, its
Fourier series converges to [f(x+)+f(x-)]/2.
Example 1. Find the Fourier series of f(x)=x
0<x<2l and is 2l periodic

0
2
sin
1
0 0 cos
1
2
1
2
0
2
0
2
0
0
> = =
> = =
= =
}
}
}
n
n
l
dx
l
x n
x
l
b
n dx
l
x n
x
l
a
l xdx
l
a
l
n
l
n
l
t
t
t
Therefore
( )

=
(

= + =
1 1
sin
1 2
1 sin
2
n n
l
x n
n
l
l
x n
n
l
l x f
t
t
t
t
y
x
L
2L
2L
4L 6L
Example 2.
Find the Fourier series of and
is of period 2l
( ) l x l x x f s s =
2
( )
( )
( )

}
}
}

=
+ = =

+ =
> = =
>

= =
= =
1
2
2
1
2 2
2 2
2
1
2
2
2
2 2
2
2 2
2
2
2
2
0
6
1
,
1 4
3
cos
1 4
3
0 0 sin
1
0
1 4
cos
1
3
2 1
n
n
n
l
l
n
n
l
l
n
l
l
n
n
l l
l l x
l
x n
n
l l
x f
n dx
l
x n
x
l
b
n
n
l
dx
l
x n
x
l
a
l
dx x
l
a
t
t
t
t
t
t
t
hence
At
Complex Form
Knowing that
2
cos
2
sin
u u
u u
u
u
i i
i i
e e
i
e e

+
=

=
and
Then the Fourier series of f(x) takes the form
( )
l
xi n
n
n n
l
xi n
n
n n
n
l
ix n
l
ix n
n
l
xi n
l
xi n
n
e
ib a
e
ib a a
i
e e
b
e e
a
a
x f
t t
t t t t

|
.
|

\
|

+
|
.
|

\
|
+
+ =
|
|
|
.
|

\
|

+
+
+ =
1 1
0
1
0
2 2 2
2 2 2
( )
( )
}

+
=

=
=
<

=
>
+
= =
l
l
l
xi n
n
n
l
xi n
n
n n
n
n n
n
dx e x f
l
c
e c x f
n
ib a
c
n
ib a
c
a
c
t
t
2
1
0
2
0
2
,
2
0
0
where
then
and Let
Fourier Sine and Cosine Series
1. When f(x) is an even function then
( )
( )

}

=
+ =
= =
1
0
0
cos
2
0 , cos
2
n
n
l
n n
l
x n
a
a
x f
b dx
l
x n
x f
l
a
t
t
The cosine expansion of f(x)
2. When f(x) is an odd function then
( )
( )

}

=
=
= = =
1
0
0
sin
sin
2
, 0
n
n
l
n n
l
x n
b x f
dx
l
x n
x f
l
b a a
t
t
The sine expansion of f(x)
Fourier Integral
The Fourier series extension to none periodic
functions leads to Fourier Integral
Consider a periodic function of period 2l. Its
Fourier expansion is
( ) x f
l
( ) . , sin cos
2
0
l
n
x b x a
a
x f
n n n n n l
t
= + + =

where
Now let and set
that is
l
l
n n
t
= = A
+1
t
A
=
l
1
( ) ( )
( ) ( ) ( ) ( )

} }
}

A + A
+ =
1
sin sin cos cos
1
1
n
l
l
n l n
l
l
n l n
l
l
l l
du u u f x du u u f x
du u f
l
x f

t
If and f is absolutely integrable
then using the idea of definite integrals,
( ) ( ) x f x f
l
l
= lim
( ) ( ) ( )
} } }
+

+
(

+ =
0
sin sin cos cos
1

t
d du u u f x du u u f x x f
( ) ( ) ( ) | |
}

+ =
0
sin cos d x B x A x f or
( ) ( ) ( ) ( )
} }
+

+

= = du u u f B du u u f A
t

t
sin
1
, cos
1
where
Example:
Find the Fourier integral representation of the
function
( )
( ) ( )
( ) ( ) 0 sin
1
sin 2
cos
1
cos
1
1 0
1 1
1
1
= =
= = =

>
<
=
}
} }
+

+

du u u f B
du u du u u f A
x
x
x f

i f
i f
( )

t
d
x
x f
}

=
0
sin cos 2
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