Compact stencil

In mathematics, especially in the areas of numerical analysis called numerical partial differential equations, a compact stencil is a type of stencil that uses only nine nodes for its discretization method in two dimensions. It uses only the center node and the adjacent nodes. For any structured grid utilizing a compact stencil in 1, 2, or 3 dimensions the maximum number of nodes is 3, 9, or 27 respectively. Compact stencils may be compared to non-compact stencils. Compact stencils are currently implemented in many partial differential equation solvers, including several in the topics of CFD, FEA, and other mathematical solvers relating to PDE's.[1][2]

A 2D compact stencil using all 8 adjacent nodes, plus the center node (in red).

Two Point Stencil Example

The two point stencil for the first derivative of a function is given by:

${\displaystyle f'(x_{0})={\frac {f\left(x_{0}+h\right)-f\left(x_{0}-h\right)}{2h}}+O\left(h^{2}\right)}$.

This is obtained from the Taylor series expansion of the first derivative of the function given by:

${\displaystyle {\begin{array}{l}f'(x_{0})={\frac {f\left(x_{0}+h\right)-f(x_{0})}{h}}-{\frac {f^{(2)}(x_{0})}{2!}}h-{\frac {f^{(3)}(x_{0})}{3!}}h^{2}-{\frac {f^{(4)}(x_{0})}{4!}}h^{3}+\cdots \end{array}}}$.

Replacing ${\displaystyle h}$ with ${\displaystyle -h}$, we have:

${\displaystyle {\begin{array}{l}f'(x_{0})=-{\frac {f\left(x_{0}-h\right)-f(x_{0})}{h}}+{\frac {f^{(2)}(x_{0})}{2!}}h-{\frac {f^{(3)}(x_{0})}{3!}}h^{2}+{\frac {f^{(4)}(x_{0})}{4!}}h^{3}+\cdots \end{array}}}$.

Addition of the above two equations together results in the cancellation of the terms in odd powers of ${\displaystyle h}$:

${\displaystyle {\begin{array}{l}2f'(x_{0})={\frac {f\left(x_{0}+h\right)-f(x_{0})}{h}}-{\frac {f\left(x_{0}-h\right)-f(x_{0})}{h}}-2{\frac {f^{(3)}(x_{0})}{3!}}h^{2}+\cdots \end{array}}}$.

${\displaystyle {\begin{array}{l}f'(x_{0})={\frac {f\left(x_{0}+h\right)-f\left(x_{0}-h\right)}{2h}}-{\frac {f^{(3)}(x_{0})}{3!}}h^{2}+\cdots \end{array}}}$.

${\displaystyle {\begin{array}{l}f'(x_{0})={\frac {f\left(x_{0}+h\right)-f\left(x_{0}-h\right)}{2h}}+O\left(h^{2}\right)\end{array}}}$.

Three Point Stencil Example

For example, the three point stencil for the second derivative of a function is given by:

${\displaystyle {\begin{array}{l}f^{(2)}(x_{0})={\frac {f\left(x_{0}+h\right)+f\left(x_{0}-h\right)-2f(x_{0})}{h^{2}}}+O\left(h^{2}\right)\end{array}}}$.

This is obtained from the Taylor series expansion of the first derivative of the function given by:

${\displaystyle {\begin{array}{l}f'(x_{0})={\frac {f\left(x_{0}+h\right)-f(x_{0})}{h}}-{\frac {f^{(2)}(x_{0})}{2!}}h-{\frac {f^{(3)}(x_{0})}{3!}}h^{2}-{\frac {f^{(4)}(x_{0})}{4!}}h^{3}+\cdots \end{array}}}$.

Replacing ${\displaystyle h}$ with ${\displaystyle -h}$, we have:

${\displaystyle {\begin{array}{l}f'(x_{0})=-{\frac {f\left(x_{0}-h\right)-f(x_{0})}{h}}+{\frac {f^{(2)}(x_{0})}{2!}}h-{\frac {f^{(3)}(x_{0})}{3!}}h^{2}+{\frac {f^{(4)}(x_{0})}{4!}}h^{3}+\cdots \end{array}}}$.

Subtraction of the above two equations results in the cancellation of the terms in even powers of ${\displaystyle h}$: ${\displaystyle {\begin{array}{l}0={\frac {f\left(x_{0}+h\right)-f(x_{0})}{h}}+{\frac {f\left(x_{0}-h\right)-f(x_{0})}{h}}-2{\frac {f^{(2)}(x_{0})}{2!}}h-2{\frac {f^{(4)}(x_{0})}{4!}}h^{3}+\cdots \end{array}}}$.

${\displaystyle {\begin{array}{l}f^{(2)}(x_{0})={\frac {f\left(x_{0}+h\right)+f\left(x_{0}-h\right)-2f(x_{0})}{h^{2}}}-2{\frac {f^{(4)}(x_{0})}{4!}}h^{2}+\cdots \end{array}}}$.

${\displaystyle {\begin{array}{l}f^{(2)}(x_{0})={\frac {f\left(x_{0}+h\right)+f\left(x_{0}-h\right)-2f(x_{0})}{h^{2}}}+O\left(h^{2}\right)\end{array}}}$.

See also

• Stencil (numerical analysis)
• Non-compact stencil
• Five-point stencil

References

1. W. F. Spotz. High-Order Compact Finite Difference Schemes for Computational Mechanics. PhD thesis, University of Texas at Austin, Austin, TX, 1995.
2. Communications in Numerical Methods in Engineering, Copyright © 2008 John Wiley & Sons, Ltd.