函数
f
f
f在点
x
x
x处的导数定义为极限如下:
f
′
(
x
)
=
lim
h
→
0
f
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x
+
h
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−
f
(
x
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h
\begin{equation} \begin{aligned} f^{'}(x)=\lim_{h\rightarrow0}{\dfrac{f(x+h)-f(x)}{h}} \end{aligned} \end{equation}
f′(x)=h→0limhf(x+h)−f(x)也就是说,这个
f
(
x
+
h
)
−
f
(
x
)
h
{\dfrac{f(x+h)-f(x)}{h}}
hf(x+h)−f(x)差分是导数
f
′
(
x
)
f'(x)
f′(x)的近似,
h
h
h越小,导数的近似效果越好。近似结果的误差与
h
h
h有关,它们的关系可以通过泰勒公式给出:
f
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+
h
)
=
f
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x
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+
h
f
′
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x
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+
h
2
f
′
′
(
ξ
)
2
!
\begin{equation} \begin{aligned} f(x+h)=f(x)+hf^{'}(x)+h^2\dfrac{f^{''}(\xi)}{2!} \end{aligned} \end{equation}
f(x+h)=f(x)+hf′(x)+h22!f′′(ξ)其中
ξ
\xi
ξ是介于
x
x
x和
x
+
h
x+h
x+h之间的数,由此我们得到误差与
h
h
h的关系:
f
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x
+
h
)
−
f
(
x
)
h
−
f
′
(
x
)
=
h
f
′
′
(
ξ
)
2
\begin{equation} \begin{aligned} \dfrac{f(x+h)-f(x)}{h}-f^{'}(x)=h\dfrac{f^{''}(\xi)}{2} \end{aligned} \end{equation}
hf(x+h)−f(x)−f′(x)=h2f′′(ξ)通过该式可以看出,误差的大小与
h
h
h的一阶成正比,由此我们称该格式是一阶近似差分格式。
当
h
h
h大于0时,令
h
=
Δ
x
h=\Delta x
h=Δx,其中
Δ
x
\Delta x
Δx是一个有限的正数,然后我们称:
f
(
x
+
Δ
x
)
−
f
(
x
)
Δ
x
\begin{equation} \begin{aligned} \dfrac{f(x+\Delta x)-f(x)}{\Delta x} \end{aligned} \end{equation}
Δxf(x+Δx)−f(x)为导数
f
′
(
x
)
f^{'}(x)
f′(x)的一阶
O
(
Δ
x
)
\Omicron(\Delta x)
O(Δx)前向差分形式,当
h
h
h小于0时,令
h
=
−
Δ
x
h=-\Delta x
h=−Δx,可以得到:
f
(
x
+
h
)
−
f
(
x
)
h
=
f
(
x
)
−
f
(
x
−
Δ
x
)
Δ
x
\begin{equation} \begin{aligned} \dfrac{f(x+h)-f(x)}{h}=\dfrac{f(x)-f(x-\Delta x)}{\Delta x} \end{aligned} \end{equation}
hf(x+h)−f(x)=Δxf(x)−f(x−Δx)称上式为导数
f
′
(
x
)
f^{'}(x)
f′(x)的一阶
O
(
Δ
x
)
\Omicron(\Delta x)
O(Δx)后向差分形式。通过组合不同形式的泰勒展开形式,我们得到各种导数的不同差分格式,例如:
f
(
x
+
Δ
x
)
=
f
(
x
)
+
Δ
x
f
′
(
x
)
+
Δ
x
2
f
′
′
(
x
)
2
!
+
Δ
x
3
f
′
′
′
(
ξ
1
)
3
!
,
其中
ξ
1
∈
(
x
,
x
+
Δ
x
)
①
f
(
x
−
Δ
x
)
=
f
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x
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−
Δ
x
f
′
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x
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+
Δ
x
2
f
′
′
(
x
)
2
!
−
Δ
x
3
f
′
′
′
(
ξ
2
)
3
!
,
其中
ξ
2
∈
(
x
,
x
+
Δ
x
)
②
\begin{equation} \begin{aligned} f(x+\Delta x)=f(x)+\Delta xf^{'}(x)+\Delta x^2\dfrac{f^{''}(x)}{2!}+\Delta x^3\dfrac{f^{'''}(\xi_1)}{3!},\quad 其中\xi_1\in(x,x+\Delta x)\qquad ① \\ f(x-\Delta x)=f(x)-\Delta xf^{'}(x)+\Delta x^2\dfrac{f^{''}(x)}{2!}-\Delta x^3\dfrac{f^{'''}(\xi_2)}{3!},\quad 其中\xi_2\in(x,x+\Delta x)\qquad ② \end{aligned} \end{equation}
f(x+Δx)=f(x)+Δxf′(x)+Δx22!f′′(x)+Δx33!f′′′(ξ1),其中ξ1∈(x,x+Δx)①f(x−Δx)=f(x)−Δxf′(x)+Δx22!f′′(x)−Δx33!f′′′(ξ2),其中ξ2∈(x,x+Δx)②用①-②式,可以得到
f
(
x
+
Δ
x
)
−
f
(
x
−
Δ
x
)
=
2
Δ
x
f
′
(
x
)
+
Δ
x
3
f
′
′
′
(
ξ
1
)
+
f
′
′
′
(
ξ
2
)
6
f
(
x
+
Δ
x
)
−
f
(
x
−
Δ
x
)
2
Δ
x
−
f
′
(
x
)
=
Δ
x
2
f
′
′
′
(
ξ
1
)
+
f
′
′
′
(
ξ
2
)
12
\begin{equation} \begin{aligned} f(x+\Delta x)-f(x-\Delta x)=2\Delta xf^{'}(x)+\Delta x^3\dfrac{f^{'''}(\xi_1)+f^{'''}(\xi_2)}{6}\\ \dfrac{f(x+\Delta x)-f(x-\Delta x)}{2\Delta x}-f^{'}(x)=\Delta x^2\dfrac{f^{'''}(\xi_1)+f^{'''}(\xi_2)}{12} \end{aligned} \end{equation}
f(x+Δx)−f(x−Δx)=2Δxf′(x)+Δx36f′′′(ξ1)+f′′′(ξ2)2Δxf(x+Δx)−f(x−Δx)−f′(x)=Δx212f′′′(ξ1)+f′′′(ξ2)这里误差与
Δ
x
2
\Delta x^2
Δx2成正比,
f
(
x
+
Δ
x
)
−
f
(
x
−
Δ
x
)
2
Δ
x
\dfrac{f(x+\Delta x)-f(x-\Delta x)}{2\Delta x}
2Δxf(x+Δx)−f(x−Δx)为导数
f
′
(
x
)
f^{'}(x)
f′(x)的二阶或
O
(
Δ
x
2
)
\Omicron(\Delta x^2)
O(Δx2)的中心差分近似。
如果我们使用有更多项的展开式,就可以推导出高阶近似,在这里求解二次导数的二阶和四阶中心差分近似格式:
二阶中心差分近似格式
f
(
x
+
Δ
x
)
=
f
(
x
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+
Δ
x
f
′
(
x
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+
Δ
x
2
f
′
′
(
x
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2
!
+
Δ
x
3
f
′
′
′
(
x
)
3
!
+
Δ
x
4
f
(
4
)
(
ξ
1
)
4
!
①
f
(
x
−
Δ
x
)
=
f
(
x
)
−
Δ
x
f
′
(
x
)
+
Δ
x
2
f
′
′
(
x
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2
!
−
Δ
x
3
f
′
′
′
(
x
)
3
!
+
Δ
x
4
f
(
4
)
(
ξ
2
)
4
!
②
\begin{equation} \begin{aligned} f(x+\Delta x)&=f(x)+\Delta xf^{'}(x)+\Delta x^2\dfrac{f^{''}(x)}{2!}+\Delta x^3\dfrac{f^{'''}(x)}{3!}+\Delta x^4\dfrac{f^{(4)}(\xi_1)}{4!}&\qquad ① \\ f(x-\Delta x)&=f(x)-\Delta xf^{'}(x)+\Delta x^2\dfrac{f^{''}(x)}{2!}-\Delta x^3\dfrac{f^{'''}(x)}{3!}+\Delta x^4\dfrac{f^{(4)}(\xi_2)}{4!}&\qquad ② \\ \end{aligned} \end{equation}
f(x+Δx)f(x−Δx)=f(x)+Δxf′(x)+Δx22!f′′(x)+Δx33!f′′′(x)+Δx44!f(4)(ξ1)=f(x)−Δxf′(x)+Δx22!f′′(x)−Δx33!f′′′(x)+Δx44!f(4)(ξ2)①②计算
(
①
+
②
)
(①+②)
(①+②),可得:
[
f
(
x
+
Δ
x
)
+
f
(
x
−
Δ
x
)
]
=
2
f
(
x
)
+
Δ
x
2
f
′
′
(
x
)
+
Δ
x
4
[
f
(
4
)
(
ξ
1
)
+
f
(
4
)
(
ξ
2
)
]
24
f
(
x
+
Δ
x
)
−
2
f
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x
)
+
f
(
x
−
Δ
x
)
Δ
x
2
−
f
′
′
(
x
)
=
Δ
x
2
[
f
(
4
)
(
ξ
1
)
+
f
(
4
)
(
ξ
2
)
]
24
\begin{equation} \begin{aligned} &\left[f(x+\Delta x)+f(x-\Delta x)\right]=2f(x)+\Delta x^2f^{''}(x)+\Delta x^4\dfrac{\left[f^{(4)}(\xi_1)+f^{(4)}(\xi_2)\right]}{24}\\ &\dfrac{f(x+\Delta x)-2f(x)+f(x-\Delta x)}{\Delta x^2}-f^{''}(x)=\Delta x^2\dfrac{\left[f^{(4)}(\xi_1)+f^{(4)}(\xi_2)\right]}{24} \end{aligned} \end{equation}
[f(x+Δx)+f(x−Δx)]=2f(x)+Δx2f′′(x)+Δx424[f(4)(ξ1)+f(4)(ξ2)]Δx2f(x+Δx)−2f(x)+f(x−Δx)−f′′(x)=Δx224[f(4)(ξ1)+f(4)(ξ2)]由此我们得到了二次导数
f
′
′
(
x
)
f{''}(x)
f′′(x)的二阶中心差分近似格式为
f
(
x
+
Δ
x
)
−
2
f
(
x
)
+
f
(
x
−
Δ
x
)
Δ
x
2
\begin{equation} \dfrac{f(x+\Delta x)-2f(x)+f(x-\Delta x)}{\Delta x^2} \end{equation}
Δx2f(x+Δx)−2f(x)+f(x−Δx)
四阶中心差分近似格式
f
(
x
+
Δ
x
)
=
f
(
x
)
+
Δ
x
f
′
(
x
)
+
Δ
x
2
f
′
′
(
x
)
2
!
+
Δ
x
3
f
′
′
′
(
x
)
3
!
+
Δ
x
4
f
(
4
)
(
4
)
4
!
+
Δ
x
5
f
(
5
)
(
x
)
5
!
+
Δ
x
6
f
(
6
)
(
ξ
1
)
6
!
①
f
(
x
−
Δ
x
)
=
f
(
x
)
−
Δ
x
f
′
(
x
)
+
Δ
x
2
f
′
′
(
x
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2
!
−
Δ
x
3
f
′
′
′
(
x
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3
!
+
Δ
x
4
f
(
4
)
(
4
)
4
!
−
Δ
x
5
f
(
5
)
(
x
)
5
!
+
Δ
x
6
f
(
6
)
(
ξ
2
)
6
!
②
f
(
x
+
2
Δ
x
)
=
f
(
x
)
+
2
Δ
x
f
′
(
x
)
+
4
Δ
x
2
f
′
′
(
x
)
2
!
+
8
Δ
x
3
f
′
′
′
(
x
)
3
!
+
16
Δ
x
4
f
(
4
)
(
4
)
4
!
+
32
Δ
x
5
f
(
5
)
(
x
)
5
!
+
64
Δ
x
6
f
(
6
)
(
ξ
3
)
6
!
③
f
(
x
−
2
Δ
x
)
=
f
(
x
)
−
2
Δ
x
f
′
(
x
)
+
4
Δ
x
2
f
′
′
(
x
)
2
!
−
8
Δ
x
3
f
′
′
′
(
x
)
3
!
+
16
Δ
x
4
f
(
4
)
(
4
)
4
!
−
32
Δ
x
5
f
(
5
)
(
x
)
5
!
+
64
Δ
x
6
f
(
6
)
(
ξ
4
)
6
!
④
\begin{equation} \begin{aligned} f(x+\Delta x)&=f(x)+\Delta xf^{'}(x)+\Delta x^2\dfrac{f^{''}(x)}{2!}+\Delta x^3\dfrac{f^{'''}(x)}{3!}+\Delta x^4\dfrac{f^{(4)}(4)}{4!}+\Delta x^5\dfrac{f^{(5)}(x)}{5!}+\Delta x^6\dfrac{f^{(6)}(\xi_1)}{6!}&\qquad ① \\ f(x-\Delta x)&=f(x)-\Delta xf^{'}(x)+\Delta x^2\dfrac{f^{''}(x)}{2!}-\Delta x^3\dfrac{f^{'''}(x)}{3!}+\Delta x^4\dfrac{f^{(4)}(4)}{4!}-\Delta x^5\dfrac{f^{(5)}(x)}{5!}+\Delta x^6\dfrac{f^{(6)}(\xi_2)}{6!}&\qquad ② \\ f(x+2\Delta x)&=f(x)+2\Delta xf^{'}(x)+4\Delta x^2\dfrac{f^{''}(x)}{2!}+8\Delta x^3\dfrac{f^{'''}(x)}{3!}+16\Delta x^4\dfrac{f^{(4)}(4)}{4!}+32\Delta x^5\dfrac{f^{(5)}(x)}{5!}+64\Delta x^6\dfrac{f^{(6)}(\xi_3)}{6!}&\qquad ③ \\ f(x-2\Delta x)&=f(x)-2\Delta xf^{'}(x)+4\Delta x^2\dfrac{f^{''}(x)}{2!}-8\Delta x^3\dfrac{f^{'''}(x)}{3!}+16\Delta x^4\dfrac{f^{(4)}(4)}{4!}-32\Delta x^5\dfrac{f^{(5)}(x)}{5!}+64\Delta x^6\dfrac{f^{(6)}(\xi_4)}{6!}&\qquad ④ \end{aligned} \end{equation}
f(x+Δx)f(x−Δx)f(x+2Δx)f(x−2Δx)=f(x)+Δxf′(x)+Δx22!f′′(x)+Δx33!f′′′(x)+Δx44!f(4)(4)+Δx55!f(5)(x)+Δx66!f(6)(ξ1)=f(x)−Δxf′(x)+Δx22!f′′(x)−Δx33!f′′′(x)+Δx44!f(4)(4)−Δx55!f(5)(x)+Δx66!f(6)(ξ2)=f(x)+2Δxf′(x)+4Δx22!f′′(x)+8Δx33!f′′′(x)+16Δx44!f(4)(4)+32Δx55!f(5)(x)+64Δx66!f(6)(ξ3)=f(x)−2Δxf′(x)+4Δx22!f′′(x)−8Δx33!f′′′(x)+16Δx44!f(4)(4)−32Δx55!f(5)(x)+64Δx66!f(6)(ξ4)①②③④计算
16
×
(
①
+
②
)
−
(
③
+
④
)
16\times(①+②)-(③+④)
16×(①+②)−(③+④),可得:
16
[
f
(
x
+
Δ
x
)
+
f
(
x
−
Δ
x
)
]
−
[
f
(
x
+
2
Δ
x
)
+
f
(
x
−
2
Δ
x
)
]
=
30
f
(
x
)
+
12
Δ
x
2
f
′
′
(
x
)
+
Δ
x
6
[
f
(
6
)
(
ξ
1
)
+
f
(
6
)
(
ξ
2
)
]
−
[
f
(
6
)
(
ξ
3
)
+
f
(
6
)
(
ξ
4
)
]
720
−
f
(
x
+
2
Δ
x
)
+
16
f
(
x
−
Δ
x
)
−
30
f
(
x
)
+
16
f
(
x
+
Δ
x
)
−
f
(
x
−
2
Δ
x
)
12
Δ
x
2
−
f
′
′
(
x
)
=
Δ
x
4
[
f
(
6
)
(
ξ
1
)
+
f
(
6
)
(
ξ
2
)
]
−
[
f
(
6
)
(
ξ
3
)
+
f
(
6
)
(
ξ
4
)
]
8640
\begin{equation} \begin{aligned} &16\left[f(x+\Delta x)+f(x-\Delta x)\right]-\left[f(x+2\Delta x)+f(x-2\Delta x)\right]=30f(x)+12\Delta x^2f^{''}(x)+\Delta x^6\dfrac{\left[f^{(6)}(\xi_1)+f^{(6)}(\xi_2)\right]-\left[f^{(6)}(\xi_3)+f^{(6)}(\xi_4)\right]}{720}\\ &\dfrac{-f(x+2\Delta x)+16f(x-\Delta x)-30f(x)+16f(x+\Delta x)-f(x-2\Delta x)}{12\Delta x^2}-f^{''}(x)=\Delta x^4\dfrac{\left[f^{(6)}(\xi_1)+f^{(6)}(\xi_2)\right]-\left[f^{(6)}(\xi_3)+f^{(6)}(\xi_4)\right]}{8640} \end{aligned} \end{equation}
16[f(x+Δx)+f(x−Δx)]−[f(x+2Δx)+f(x−2Δx)]=30f(x)+12Δx2f′′(x)+Δx6720[f(6)(ξ1)+f(6)(ξ2)]−[f(6)(ξ3)+f(6)(ξ4)]12Δx2−f(x+2Δx)+16f(x−Δx)−30f(x)+16f(x+Δx)−f(x−2Δx)−f′′(x)=Δx48640[f(6)(ξ1)+f(6)(ξ2)]−[f(6)(ξ3)+f(6)(ξ4)]由此我们得到了二次导数
f
′
′
(
x
)
f{''}(x)
f′′(x)的四阶中心差分近似格式为
−
f
(
x
+
2
Δ
x
)
+
16
f
(
x
−
Δ
x
)
−
30
f
(
x
)
+
16
f
(
x
+
Δ
x
)
−
f
(
x
−
2
Δ
x
)
12
Δ
x
2
\begin{equation} \dfrac{-f(x+2\Delta x)+16f(x-\Delta x)-30f(x)+16f(x+\Delta x)-f(x-2\Delta x)}{12\Delta x^2} \end{equation}
12Δx2−f(x+2Δx)+16f(x−Δx)−30f(x)+16f(x+Δx)−f(x−2Δx)