Finite Difference Algorithm

In numerical analysis, finite-difference methods are a class of numerical techniques for solving differential equations by approximating derivatives with finite differences .

Finite difference methods convert ordinary differential equations or partial differential equations, which may be nonlinear, into a system of linear equations that can be solved by matrix algebra techniques .

Sources:

Peter Olver. Introduction to Partial Differential Equations. Springer. Chapter 5: Finite differences, 2013. – 655