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Finite differencing on non-uniform grids

  1. Oct 20, 2015 #1


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    Recently I had to find a derivative on a uniform grid. Being naive I tried the following scheme:

    Then write the [itex]f(x_{n\pm i})[/itex] in terms of [itex]f^{(n)}(x_{n})[/itex] by use of Taylor's theorem. This lead to a system of linear equations for the A,B,C,D,E which required inverting a Vandermonde matrix.

    I tried it out a couple of times and it worked okay for the first derivative but when I applied it to higher derivatives it became unstable. Does anyone know what is going wrong?

    I also tried a seven point stencil in the same way and that bizarrely was even worse.

  2. jcsd
  3. Oct 20, 2015 #2


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    It might be helpful to look at the actual matrix you get for a case that causes trouble. It's probably also a good idea to do this for the smallest system possible. If you can see the problem play out on a system you could compute by hand, it might well give you an idea about what's going wrong.
  4. Oct 20, 2015 #3


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    Possibly, but I have tested the 7 point stencil on simple examples and have not got the answers which I should have. The five point stencil however works relative well for first order derivatives but not on higher derivatives (I think)
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