A simple approximation for this is to simply evaluate the
above expression for a small, but finite, h.
d y(x+h) - y(x)
---- y = ---------------
This is known as the forward difference derivative.
Given n (x,y) points, we can then evaluate y', (or dy/dx), at
n-1 points using the above formula.
The forward difference derivative can be turned into a backward
difference derivative by using a negative value for h. Alternatively,
many consider the two point formula as a method for computing
not y'(x), but y'(x+h/2), however this is technically a
three point derivative analysis.
Notice two things about this approach. First, we have approximated a
limit by an evaluation which we hope is close to the limit. Second,
we perform a difference in the numerator of the problem. This gives us
two sources of error in the problem. Large values of h will lead to error
due to our approximation, and small values of h will lead to round-off
error in the calculation of the difference.
The error due to the finite difference approximation is
proportional to the width h. We refer to the error as being
of the order of h.
Three Point Formulas:
Three Point Methods allow us to use information from both before
and after the point to be evaluated to better evaluate the
The most common three point method is an average of a forward
and backward difference derivative. The approximation errors
in the forward and backward difference schemes cancel, leaving
approximation error of the order h2, that is, the
error is proportional to the grid width squared (remember, for
h<1, h2 is less than h).
y(x+h) - y(x-h)
y'(x) = -----------------
Notice how this reduces to the interpretation of
the two point formula more accurately representing
the value of y'(x+h/2) if one substitutes h/2 for
h in the above formula. Try this in the applet
by switching back and forth from the two point to the
three point first derivative calculation.
This method will allow you to solve for y' at
n-2 points. The endpoints cannot use this formula,
because we do not know y(x-h) for our first point, or
y(x+h) for our last point.
However, a different three point method exists which allows
us to evaluate the value of y' at the endpoints.
Notice that this can be used for the final endpoint by
replacing h with -h.
Both the standard and endpoint three point formulas have
approximation error on the order of h2.
The second derivative of a function is simply the derivative
of the derivative.
y''(x) = ---- y'(x)
y''(x) = ---- y(x)
The simplest way to calculate this is to simply apply the
forward difference formula at n points to get y'(x) at
n-1 points, and then apply the same formula to y'(x) at
n-1 points to get y''(x) at n-2 points.
Three Point Formula:
A three point formula can be constructed which uses the difference
in results of the forward and backward two point difference schemes,
and computes a three point derivative of that to get the second derivative.
The above formula suffers from the same problem at endpoints as the
three point formula for the first derivative. One approach would be
to determine the first derivative using the endpoint methods
above, and then to compute the second derivative from the
first derivative in the same fashion.
Uneven Grid Spacing:
The above formulas all assume equal grid spacing.
Equal grid spacing makes it easier to achieve higher degrees
of precision in numerical derivative calculation, and should
be used when possible.
The standard way of viewing this is by assuming a Taylor's series,
which approximates y(x) in terms of the first, second, third,
and subsequent derivatives. The idea is that in general, the
rate of change of the function y(x) says more about what is happening
at a specific instant than the rate of change of the rate of change,
or the rate of change of the rate of change of the rate of change.
As you move to higher order derivatives, the impact lessens.
Now, we mentioned above the results for even grid spacings
in terms of "averages" of the forward and backward derivatives.
Notice that by adding the above expressions for y(x + h) and
y(x - h) that we get the exact same solution (plus error terms
on the order of h4)!
However, if the grid spacing is not even, then we are no longer
adding y(x + h) and y(x -h), but y(x + h) and y(x - g) where g is
not equal to h. All of our errors which cancelled before no longer
cancel out! Also, we need to know the first derivative in order to
calculate the second derivative for unequal grid spacing. We get
higher order error both in the fact that our order h3
error no longer cancels out (the y'''(x) term), but also in
having to numerically calculate y'(x), which also no longer cancels
Burden, R. L. and Faires, J. D., Numerical Analysis, Fifth Edition. pp. 156-167. PWS Publishing Co. Boston, MA, 1993.