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Numerical differentiation

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Differential quadrature is the approximation of derivatives by using weighted sums of function values. Differential quadrature is of practical interest because its allows one to compute derivatives from noisy data. The name is in analogy with
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is small enough. If too large, the calculation of the slope of the secant line will be more accurately calculated, but the estimate of the slope of the tangent by using the secant could be worse.
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was developed by Abate and Dubner. An algorithm that can be used without requiring knowledge about the method or the character of the function was developed by Fornberg.
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The complex-step derivative formula is only valid for calculating first-order derivatives. A generalization of the above for calculating derivatives of any order employs
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Using complex variables for numerical differentiation was started by Lyness and Moler in 1967. Their algorithm is applicable to higher-order derivatives.
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apart. In this regard, since most decimal fractions are recurring sequences in binary (just as 1/3 is in decimal) a seemingly round step such as
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is a tool that can be used to generate derivative approximation methods for any stencil with any derivative order (provided a solution exists).
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this is a more accurate approximation to the tangent line than the one-sided estimation. However, although the slope is being computed at
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Lantoine, G.; Russell, R. P.; Dargent, Th. (2012). "Using multicomplex variables for automatic computation of high-order derivatives".
2236:{\displaystyle f^{(n)}(x)\approx {\frac {{\mathcal {C}}_{n^{2}-1}^{(n)}(f(x+\mathrm {i} ^{(1)}h+\cdots +\mathrm {i} ^{(n)}h))}{h^{n}}}} 3070: 1063:
facilities may fail to attend to the details of actual computer arithmetic and instead apply the axioms of mathematics to deduce that
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extracts the last, “most imaginary” component. The method can be applied to mixed derivatives, e.g. for a second-order derivative
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The symmetric difference quotient is employed as the method of approximating the derivative in a number of calculators, including
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The slope of this secant line differs from the slope of the tangent line by an amount that is approximately proportional to
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is the limit of the value of the difference quotient as the secant lines get closer and closer to being a tangent line:
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Ahnert, Karsten; Abel, Markus (2007). "Numerical differentiation of experimental data: local versus global methods".
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Numerical Differentiation of Analytic Functions, B Fornberg – ACM Transactions on Mathematical Software (TOMS), 1981.
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Differential Quadrature and Its Application in Engineering: Engineering Applications, Chang Shu, Springer, 2000,
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will be changed (by rounding or truncation) to a nearby machine-representable number, with the consequence that
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The classical finite-difference approximations for numerical differentiation are ill-conditioned. However, if
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h  := sqrt(eps) * x; xph  := x + h; dx  := xph - x; slope := (F(xph) - F(x)) / dx;
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approaches zero, the slope of the secant line approaches the slope of the tangent line. Therefore, the true
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Using Complex Variables to Estimate Derivatives of Real Functions, W. Squire, G. Trapp – SIAM REVIEW, 1998.
3487: 3164: 2822:{\displaystyle f^{(n)}(a)={\frac {n!}{2\pi i}}\oint _{\gamma }{\frac {f(z)}{(z-a)^{n+1}}}\,\mathrm {d} z,} 1641:{\displaystyle f^{(n)}(x)=\lim _{h\to 0}{\frac {1}{h^{n}}}\sum _{k=0}^{n}(-1)^{k+n}{\binom {n}{k}}f(x+kh)} 1106:
Higher-order methods for approximating the derivative, as well as methods for higher derivatives, exist.
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Abate, J; Dubner, H (March 1968). "A New Method for Generating Power Series Expansions of Functions".
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Martins, J. R. R. A.; Sturdza, P.; Alonso, J. J. (2003). "The Complex-Step Derivative Approximation".
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methods. For example, the first derivative can be calculated by the complex-step derivative formula:
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Boost. Math numerical differentiation, including finite differencing and the complex step derivative
3492: 3169: 1301:{\displaystyle f'(x)={\frac {-f(x+2h)+8f(x+h)-8f(x-h)+f(x-2h)}{12h}}+{\frac {h^{4}}{30}}f^{(5)}(c),} 346: 2861: 1700: 204: 17: 3513: 3296: 3182: 2891: 1833: 1110: 746: 370: 208: 73: 42: 1821:{\displaystyle f'(x)={\frac {\Im (f(x+\mathrm {i} h))}{h}}+O(h^{2}),\quad \mathrm {i^{2}} :=-1.} 3505: 3453: 3436: 3259: 3100: 3066: 3009: 2984: 2980: 2954: 2840: 1084: 943: 34: 3534: 393:
Another two-point formula is to compute the slope of a nearby secant line through the points
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Ablowitz, M. J., Fokas, A. S.,(2003). Complex variables: introduction and applications.
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due to numbers being represented and calculations being performed in limited precision.
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Lyness, J. N.; Moler, C. B. (1967). "Numerical differentiation of analytic functions".
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The recommended step size to obtain accurate derivatives for a range of conditions is
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almost certainly will not be exactly representable in that precision. This means that
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Tamara Lefcourt Ruby; James Sellers; Lisa Korf; Jeremy Van Horn; Mike Munn (2014).
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that balances the rounding error against the secant error for optimum accuracy is
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An important consideration in practice when the function is calculated using
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using values of the function and perhaps other knowledge about the function.
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Advanced Differential Quadrature Methods, Yingyan Zhang, CRC Press, 2009,
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For computer calculations the problems are exacerbated because, although
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For basic central differences, the optimal step is the cube-root of
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Windows on Teaching Math: Cases of Middle and Secondary Classrooms
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Equivalently, the slope could be estimated by employing positions
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A simple two-point estimation is to compute the slope of a nearby
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will not be a round number in binary; it is 0.000110011001100...
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The simplest method is to use finite difference approximations.
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A C++ implementation of multicomplex arithmetics is available.
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Given below is the five-point method for the first derivative (
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Use of numerical analysis to estimate derivatives of functions
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In general, derivatives of any order can be calculated using
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For other stencil configurations and derivative orders, the
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that is small without producing a large rounding error is
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and due to cancellation will produce a value of zero if
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Martins, Joaquim R. R. A.; Ning, Andrew (2021-10-01).
1994: 1947: 2697: 2506: 2451: 2409: 2389: 2369: 2327: 2314:{\displaystyle \mathrm {i} ^{(1)}\equiv \mathrm {i} } 2284: 2249: 2078: 1876: 1836: 1709: 1685: 1661: 1487: 1385: 1314: 1119: 946: 868: 814: 687: 661: 641: 568: 526: 447: 349: 241: 143: 790:. For the numerical derivative formula evaluated at 2839:A method based on numerical inversion of a complex 1038:; the two function evaluations will not be exactly 2860:, where weighted sums are used in methods such as 2821: 2674: 2492: 2437: 2395: 2375: 2355: 2313: 2270: 2235: 2058: 1858: 1820: 1691: 1667: 1640: 1466: 1356: 1300: 972: 932: 827: 775:. In fact, all the finite-difference formulae are 699: 673: 647: 627: 539: 506: 362: 325: 191: 2909: – Methods of calculating definite integrals 1611: 1598: 1517: 1407: 767:of finite precision is the choice of step size, 628:{\displaystyle R={\frac {-f^{(3)}(c)}{6}}h^{2},} 263: 2383:th component of a multicomplex number of level 3541:NAG Library numerical differentiation routines 3039: 3037: 2894: – A point and its four nearest neighbors 2493:{\displaystyle {\mathcal {C}}_{n^{2}-1}^{(n)}} 2949:Richard L. Burden, J. Douglas Faires (2000), 8: 759:due to both rounding error and formula error 507:{\displaystyle {\frac {f(x+h)-f(x-h)}{2h}}.} 3027: 3025: 2872:. Differential quadrature is used to solve 755:Example showing the difficulty of choosing 3491: 3168: 3157:ACM Transactions on Mathematical Software 3051: 3049: 2913:Numerical ordinary differential equations 2808: 2807: 2792: 2759: 2753: 2726: 2702: 2696: 2664: 2638: 2633: 2608: 2603: 2575: 2570: 2564: 2563: 2559: 2546: 2514: 2507: 2505: 2478: 2465: 2460: 2454: 2453: 2450: 2423: 2418: 2412: 2411: 2408: 2388: 2368: 2341: 2336: 2330: 2329: 2326: 2306: 2291: 2286: 2283: 2278:denote the multicomplex imaginary units; 2256: 2251: 2248: 2225: 2199: 2194: 2169: 2164: 2136: 2123: 2118: 2112: 2111: 2107: 2083: 2077: 2072:, resulting in multicomplex derivatives. 2026: 2016: 1996: 1993: 1967: 1946: 1918: 1889: 1875: 1847: 1835: 1802: 1797: 1784: 1751: 1730: 1708: 1684: 1660: 1610: 1597: 1595: 1583: 1564: 1553: 1541: 1532: 1520: 1492: 1486: 1422: 1410: 1384: 1369:Finite Difference Coefficients Calculator 1313: 1274: 1259: 1253: 1140: 1118: 945: 887: 878: 867: 815: 813: 686: 660: 640: 616: 585: 575: 567: 531: 525: 448: 446: 350: 348: 278: 266: 240: 192:{\displaystyle {\frac {f(x+h)-f(x)}{h}}.} 144: 142: 2438:{\displaystyle {\mathcal {C}}_{0}^{(n)}} 2356:{\displaystyle {\mathcal {C}}_{k}^{(n)}} 1077:and similar languages, a directive that 750: 2942: 2924: – Algorithm to smooth data points 2922:Numerical smoothing and differentiation 2900: – Algorithm to smooth data points 828:{\displaystyle {\sqrt {\varepsilon }}x} 3551:Differentiation With(out) a Difference 3264:: CS1 maint: archived copy as title ( 3257: 3200:Differentiation With(out) a Difference 7: 3334:"mcx (multicomplex algebra library)" 3142:Elementary Real and Complex Analysis 3130:Abramowitz & Stegun, Table 25.2. 1379:Using Newton's difference quotient, 730:, all of which use this method with 3006:Kaplan AP Calculus AB & BC 2015 2971:Katherine Klippert Merseth (2003). 2931:List of numerical-analysis software 1053:A possible approach is as follows: 989:representable floating-point number 3008:. Kaplan Publishing. p. 299. 2979:. Teachers College Press. p.  2809: 2634: 2604: 2547: 2540: 2511: 2307: 2287: 2271:{\displaystyle \mathrm {i} ^{(k)}} 2252: 2195: 2165: 1997: 1919: 1890: 1866:. This formula can be obtained by 1799: 1752: 1733: 1602: 707:. This error does not include the 25: 18:Adaptive numerical differentiation 991:in some precision (32 or 64-bit, 562:The estimation error is given by 2445:extracts the real component and 1474:the following can be shown (for 3472:Computer Physics Communications 3059:Engineering Design Optimization 1796: 555:, the value of the function at 3065:. Cambridge University Press. 2874:partial differential equations 2829:where the integration is done 2789: 2776: 2771: 2765: 2720: 2714: 2709: 2703: 2656: 2653: 2645: 2639: 2615: 2609: 2593: 2587: 2582: 2576: 2535: 2523: 2485: 2479: 2430: 2424: 2348: 2342: 2298: 2292: 2263: 2257: 2217: 2214: 2206: 2200: 2176: 2170: 2154: 2148: 2143: 2137: 2101: 2095: 2090: 2084: 2044: 2038: 2033: 2027: 1987: 1981: 1940: 1934: 1912: 1906: 1897: 1880: 1790: 1777: 1762: 1759: 1742: 1736: 1724: 1718: 1635: 1620: 1580: 1570: 1524: 1510: 1504: 1499: 1493: 1455: 1449: 1440: 1428: 1414: 1400: 1394: 1351: 1321: 1292: 1286: 1281: 1275: 1236: 1221: 1212: 1200: 1188: 1176: 1164: 1149: 1134: 1128: 961: 955: 918: 912: 899: 893: 603: 597: 592: 586: 487: 475: 466: 454: 363:{\displaystyle {\frac {0}{0}}} 311: 305: 296: 284: 270: 256: 250: 177: 171: 162: 150: 1: 1102:Finite difference coefficient 846:is typically of the order of 518:symmetric difference quotient 516:This formula is known as the 207:(also known as a first-order 133:represents a small change in 547:. Hence for small values of 441:. The slope of this line is 3314:Verheyleweghen, A. (2014). 1859:{\displaystyle h=10^{-200}} 3596: 3354:Cambridge University Press 2953:, (7th Ed), Brooks/Cole. 1099: 744: 125:. Choosing a small number 71: 3535:Numerical Differentiation 3502:10.1016/j.cpc.2007.03.009 2886:Automatic differentiation 2689:Cauchy's integral formula 1059:However, with computers, 765:floating-point arithmetic 47:numerical differentiation 1651:Complex-variable methods 973:{\displaystyle f''(x)=0} 37:estimation of derivative 3293:10.1145/2168773.2168774 3085:Sauer, Timothy (2012). 2847:Differential quadrature 3281:ACM Trans. Math. Softw 2823: 2676: 2494: 2439: 2397: 2377: 2363:operator extracts the 2357: 2315: 2272: 2237: 2060: 1860: 1822: 1693: 1669: 1642: 1569: 1468: 1358: 1302: 974: 934: 839: = 0), where the 829: 760: 701: 675: 655:is some point between 649: 629: 541: 508: 364: 327: 193: 38: 3580:Differential calculus 3356:. Check theorem 2.6.2 3179:10.1145/838250.838251 2907:Numerical integration 2898:Savitzky-Golay filter 2870:Savitzky–Golay filter 2858:numerical integration 2824: 2677: 2495: 2440: 2398: 2378: 2358: 2316: 2273: 2238: 2061: 1861: 1823: 1694: 1670: 1643: 1549: 1469: 1359: 1357:{\displaystyle c\in } 1303: 1100:Further information: 1061:compiler optimization 975: 935: 830: 754: 702: 676: 650: 630: 542: 540:{\displaystyle h^{2}} 509: 365: 328: 194: 72:Further information: 58:mathematical function 33: 3332:Bell, I. H. (2019). 2695: 2504: 2449: 2407: 2387: 2367: 2325: 2282: 2247: 2076: 2070:multicomplex numbers 1874: 1834: 1707: 1683: 1677:holomorphic function 1659: 1485: 1383: 1312: 1117: 1096:Higher-order methods 987:necessarily holds a 944: 866: 812: 685: 659: 639: 566: 524: 445: 347: 239: 141: 3484:2007CoPhC.177..764A 3415:1968SJNA....5..102A 3403:SIAM J. Numer. Anal 3380:1967SJNA....4..202L 3368:SIAM J. Numer. Anal 2586: 2489: 2434: 2352: 2147: 1113:in one dimension): 1087:will prevent this. 1073:are the same. With 700:{\displaystyle x+h} 674:{\displaystyle x-h} 205:difference quotient 199:This expression is 85:through the points 3575:Numerical analysis 3087:Numerical Analysis 2951:Numerical Analysis 2892:Five-point stencil 2819: 2672: 2562: 2490: 2452: 2435: 2410: 2393: 2373: 2353: 2328: 2311: 2268: 2233: 2110: 2056: 2010: 1961: 1856: 1818: 1689: 1665: 1638: 1531: 1464: 1421: 1375:Higher derivatives 1354: 1298: 1111:five-point stencil 970: 930: 825: 761: 747:Adaptive step size 697: 671: 645: 625: 537: 504: 371:indeterminate form 360: 335:Since immediately 323: 277: 209:divided difference 189: 74:Finite differences 68:Finite differences 43:numerical analysis 39: 3458:978-1-4200-8248-7 3441:978-1-85233-209-9 3101:Numerical Recipes 3089:. Pearson. p.248. 3015:978-1-61865-686-5 2990:978-0-8077-4279-2 2841:Laplace transform 2805: 2747: 2670: 2554: 2396:{\displaystyle n} 2376:{\displaystyle k} 2231: 2009: 1960: 1769: 1699:, then there are 1692:{\displaystyle x} 1668:{\displaystyle f} 1609: 1547: 1516: 1462: 1406: 1268: 1248: 1085:volatile variable 940:(though not when 928: 922: 835:(though not when 820: 648:{\displaystyle c} 610: 559:is not involved. 499: 358: 318: 262: 184: 35:Finite difference 16:(Redirected from 3587: 3537:from wolfram.com 3522: 3521: 3495: 3467: 3461: 3450: 3444: 3433: 3427: 3426: 3398: 3392: 3391: 3363: 3357: 3350: 3344: 3343: 3329: 3323: 3322: 3320: 3311: 3305: 3304: 3276: 3270: 3269: 3263: 3255: 3253: 3252: 3246: 3240:. Archived from 3239: 3231: 3225: 3221:blog, posted by 3212: 3206: 3197: 3191: 3190: 3172: 3152: 3146: 3145: 3140:Shilov, George. 3137: 3131: 3128: 3122: 3116: 3110: 3096: 3090: 3083: 3077: 3076: 3064: 3053: 3044: 3041: 3032: 3029: 3020: 3019: 3001: 2995: 2994: 2978: 2968: 2962: 2947: 2927: 2918: 2903: 2866:Trapezoidal rule 2862:Simpson's method 2828: 2826: 2825: 2820: 2812: 2806: 2804: 2803: 2802: 2774: 2760: 2758: 2757: 2748: 2746: 2735: 2727: 2713: 2712: 2681: 2679: 2678: 2673: 2671: 2669: 2668: 2659: 2649: 2648: 2637: 2619: 2618: 2607: 2585: 2574: 2569: 2568: 2560: 2555: 2553: 2538: 2519: 2518: 2508: 2499: 2497: 2496: 2491: 2488: 2477: 2470: 2469: 2459: 2458: 2444: 2442: 2441: 2436: 2433: 2422: 2417: 2416: 2402: 2400: 2399: 2394: 2382: 2380: 2379: 2374: 2362: 2360: 2359: 2354: 2351: 2340: 2335: 2334: 2320: 2318: 2317: 2312: 2310: 2302: 2301: 2290: 2277: 2275: 2274: 2269: 2267: 2266: 2255: 2242: 2240: 2239: 2234: 2232: 2230: 2229: 2220: 2210: 2209: 2198: 2180: 2179: 2168: 2146: 2135: 2128: 2127: 2117: 2116: 2108: 2094: 2093: 2065: 2063: 2062: 2057: 2037: 2036: 2021: 2020: 2011: 2008: 2000: 1995: 1980: 1972: 1971: 1962: 1959: 1948: 1933: 1922: 1893: 1865: 1863: 1862: 1857: 1855: 1854: 1827: 1825: 1824: 1819: 1808: 1807: 1806: 1789: 1788: 1770: 1765: 1755: 1731: 1717: 1698: 1696: 1695: 1690: 1674: 1672: 1671: 1666: 1647: 1645: 1644: 1639: 1616: 1615: 1614: 1601: 1594: 1593: 1568: 1563: 1548: 1546: 1545: 1533: 1530: 1503: 1502: 1480: 1473: 1471: 1470: 1465: 1463: 1458: 1423: 1420: 1393: 1363: 1361: 1360: 1355: 1307: 1305: 1304: 1299: 1285: 1284: 1269: 1264: 1263: 1254: 1249: 1247: 1239: 1141: 1127: 1082: 1072: 1068: 1048: 1041: 1037: 1029: 1014: 1004: 986: 979: 977: 976: 971: 954: 939: 937: 936: 931: 929: 927: 923: 921: 911: 902: 888: 879: 861: 858:. A formula for 856:double precision 853: 851: 845: 834: 832: 831: 826: 821: 816: 807: 803: 793: 782: 770: 758: 736: 706: 704: 703: 698: 680: 678: 677: 672: 654: 652: 651: 646: 634: 632: 631: 626: 621: 620: 611: 606: 596: 595: 576: 558: 554: 550: 546: 544: 543: 538: 536: 535: 513: 511: 510: 505: 500: 498: 490: 449: 440: 416: 389: 385: 369: 367: 366: 361: 359: 351: 342: 332: 330: 329: 324: 319: 314: 279: 276: 249: 233: 229: 221: 217: 198: 196: 195: 190: 185: 180: 145: 136: 132: 128: 124: 100: 21: 3595: 3594: 3590: 3589: 3588: 3586: 3585: 3584: 3565: 3564: 3555:Nicholas Higham 3531: 3526: 3525: 3493:10.1.1.752.3843 3478:(10): 764–774. 3469: 3468: 3464: 3451: 3447: 3434: 3430: 3423:10.1137/0705008 3400: 3399: 3395: 3388:10.1137/0704019 3365: 3364: 3360: 3351: 3347: 3331: 3330: 3326: 3318: 3313: 3312: 3308: 3278: 3277: 3273: 3256: 3250: 3248: 3244: 3237: 3235:"Archived copy" 3233: 3232: 3228: 3213: 3209: 3204:Nicholas Higham 3198: 3194: 3170:10.1.1.141.8002 3154: 3153: 3149: 3139: 3138: 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749: 743: 731: 683: 682: 657: 656: 637: 636: 612: 581: 577: 564: 563: 556: 552: 548: 527: 522: 521: 491: 450: 443: 442: 418: 394: 387: 377: 345: 344: 340: 280: 242: 237: 236: 231: 225: 219: 215: 146: 139: 138: 134: 130: 126: 102: 86: 76: 70: 28: 23: 22: 15: 12: 11: 5: 3593: 3591: 3583: 3582: 3577: 3567: 3566: 3563: 3562: 3548: 3543: 3538: 3530: 3529:External links 3527: 3524: 3523: 3462: 3445: 3428: 3409:(1): 102–112. 3393: 3374:(2): 202–210. 3358: 3345: 3324: 3306: 3271: 3226: 3207: 3192: 3163:(3): 245–262. 3147: 3132: 3123: 3111: 3091: 3078: 3072:978-1108833417 3071: 3045: 3033: 3021: 3014: 2996: 2989: 2963: 2941: 2940: 2938: 2935: 2934: 2933: 2928: 2919: 2910: 2904: 2895: 2889: 2881: 2878: 2848: 2845: 2818: 2815: 2811: 2801: 2798: 2795: 2791: 2787: 2784: 2781: 2778: 2773: 2770: 2767: 2764: 2756: 2752: 2745: 2742: 2739: 2734: 2731: 2725: 2722: 2719: 2716: 2711: 2708: 2705: 2701: 2667: 2663: 2658: 2655: 2652: 2647: 2644: 2641: 2636: 2631: 2628: 2625: 2622: 2617: 2614: 2611: 2606: 2601: 2598: 2595: 2592: 2589: 2584: 2581: 2578: 2573: 2567: 2558: 2552: 2549: 2545: 2542: 2537: 2534: 2531: 2528: 2525: 2522: 2517: 2513: 2487: 2484: 2481: 2476: 2473: 2468: 2464: 2457: 2432: 2429: 2426: 2421: 2415: 2392: 2372: 2350: 2347: 2344: 2339: 2333: 2309: 2305: 2300: 2297: 2294: 2289: 2265: 2262: 2259: 2254: 2228: 2224: 2219: 2216: 2213: 2208: 2205: 2202: 2197: 2192: 2189: 2186: 2183: 2178: 2175: 2172: 2167: 2162: 2159: 2156: 2153: 2150: 2145: 2142: 2139: 2134: 2131: 2126: 2122: 2115: 2106: 2103: 2100: 2097: 2092: 2089: 2086: 2082: 2055: 2052: 2049: 2046: 2043: 2040: 2035: 2032: 2029: 2025: 2019: 2015: 2007: 2004: 1999: 1992: 1989: 1986: 1983: 1979: 1976: 1970: 1966: 1958: 1955: 1951: 1945: 1942: 1939: 1936: 1932: 1929: 1925: 1921: 1917: 1914: 1911: 1908: 1905: 1902: 1899: 1896: 1892: 1888: 1885: 1882: 1879: 1853: 1850: 1846: 1842: 1839: 1817: 1814: 1811: 1805: 1801: 1795: 1792: 1787: 1783: 1779: 1776: 1773: 1768: 1764: 1761: 1758: 1754: 1750: 1747: 1744: 1741: 1738: 1735: 1729: 1726: 1723: 1720: 1716: 1713: 1688: 1664: 1652: 1649: 1637: 1634: 1631: 1628: 1625: 1622: 1619: 1613: 1608: 1605: 1600: 1592: 1589: 1586: 1582: 1578: 1575: 1572: 1567: 1562: 1559: 1556: 1552: 1544: 1540: 1536: 1529: 1526: 1523: 1519: 1515: 1512: 1509: 1506: 1501: 1498: 1495: 1491: 1461: 1457: 1454: 1451: 1448: 1445: 1442: 1439: 1436: 1433: 1430: 1427: 1419: 1416: 1413: 1409: 1405: 1402: 1399: 1396: 1392: 1389: 1376: 1373: 1353: 1350: 1347: 1344: 1341: 1338: 1335: 1332: 1329: 1326: 1323: 1320: 1317: 1297: 1294: 1291: 1288: 1283: 1280: 1277: 1273: 1267: 1262: 1258: 1252: 1246: 1243: 1238: 1235: 1232: 1229: 1226: 1223: 1220: 1217: 1214: 1211: 1208: 1205: 1202: 1199: 1196: 1193: 1190: 1187: 1184: 1181: 1178: 1175: 1172: 1169: 1166: 1163: 1160: 1157: 1154: 1151: 1148: 1145: 1139: 1136: 1133: 1130: 1126: 1123: 1097: 1094: 1092: 1089: 1055: 1050: 1025:) −  969: 966: 963: 960: 957: 953: 950: 926: 920: 917: 914: 910: 907: 901: 898: 895: 892: 886: 882: 877: 874: 871: 824: 819: 773:rounding error 742: 739: 709:rounding error 696: 693: 690: 670: 667: 664: 644: 624: 619: 615: 609: 605: 602: 599: 594: 591: 588: 584: 580: 574: 571: 534: 530: 503: 497: 494: 489: 486: 483: 480: 477: 474: 471: 468: 465: 462: 459: 456: 453: 357: 354: 322: 317: 313: 310: 307: 304: 301: 298: 295: 292: 289: 286: 283: 275: 272: 269: 265: 261: 258: 255: 252: 248: 245: 224:derivative of 188: 183: 179: 176: 173: 170: 167: 164: 161: 158: 155: 152: 149: 69: 66: 26: 24: 14: 13: 10: 9: 6: 4: 3: 2: 3592: 3581: 3578: 3576: 3573: 3572: 3570: 3560: 3556: 3552: 3549: 3547: 3544: 3542: 3539: 3536: 3533: 3532: 3528: 3519: 3515: 3511: 3507: 3503: 3499: 3494: 3489: 3485: 3481: 3477: 3473: 3466: 3463: 3459: 3455: 3449: 3446: 3442: 3438: 3432: 3429: 3424: 3420: 3416: 3412: 3408: 3404: 3397: 3394: 3389: 3385: 3381: 3377: 3373: 3369: 3362: 3359: 3355: 3349: 3346: 3341: 3340: 3335: 3328: 3325: 3317: 3310: 3307: 3302: 3298: 3294: 3290: 3286: 3282: 3275: 3272: 3267: 3261: 3247:on 2014-01-09 3243: 3236: 3230: 3227: 3224: 3220: 3216: 3211: 3208: 3205: 3201: 3196: 3193: 3188: 3184: 3180: 3176: 3171: 3166: 3162: 3158: 3151: 3148: 3143: 3136: 3133: 3127: 3124: 3120: 3115: 3112: 3108: 3104: 3102: 3095: 3092: 3088: 3082: 3079: 3074: 3068: 3061: 3060: 3052: 3050: 3046: 3040: 3038: 3034: 3028: 3026: 3022: 3017: 3011: 3007: 3000: 2997: 2992: 2986: 2982: 2977: 2976: 2967: 2964: 2960: 2959:0-534-38216-9 2956: 2952: 2946: 2943: 2936: 2932: 2929: 2923: 2920: 2914: 2911: 2908: 2905: 2899: 2896: 2893: 2890: 2887: 2884: 2883: 2879: 2877: 2875: 2871: 2867: 2863: 2859: 2855: 2846: 2844: 2842: 2837: 2834: 2832: 2816: 2813: 2799: 2796: 2793: 2785: 2782: 2779: 2768: 2762: 2754: 2750: 2743: 2740: 2737: 2732: 2729: 2723: 2717: 2706: 2699: 2690: 2685: 2682: 2665: 2661: 2650: 2642: 2629: 2626: 2623: 2620: 2612: 2599: 2596: 2590: 2579: 2571: 2556: 2550: 2543: 2532: 2529: 2526: 2520: 2515: 2482: 2474: 2471: 2466: 2462: 2427: 2419: 2390: 2370: 2345: 2337: 2303: 2295: 2260: 2226: 2222: 2211: 2203: 2190: 2187: 2184: 2181: 2173: 2160: 2157: 2151: 2140: 2132: 2129: 2124: 2120: 2104: 2098: 2087: 2080: 2071: 2066: 2053: 2050: 2047: 2041: 2030: 2023: 2017: 2013: 2005: 2002: 1990: 1984: 1977: 1974: 1968: 1964: 1956: 1953: 1949: 1943: 1937: 1930: 1927: 1923: 1915: 1909: 1903: 1900: 1894: 1886: 1883: 1877: 1869: 1868:Taylor series 1851: 1848: 1844: 1840: 1837: 1828: 1815: 1812: 1809: 1803: 1793: 1785: 1781: 1774: 1771: 1766: 1756: 1748: 1745: 1739: 1727: 1721: 1714: 1711: 1702: 1686: 1678: 1662: 1650: 1648: 1632: 1629: 1626: 1623: 1617: 1606: 1603: 1590: 1587: 1584: 1576: 1573: 1565: 1560: 1557: 1554: 1550: 1542: 1538: 1534: 1527: 1521: 1513: 1507: 1496: 1489: 1478: 1459: 1452: 1446: 1443: 1437: 1434: 1431: 1425: 1417: 1411: 1403: 1397: 1390: 1387: 1374: 1372: 1370: 1365: 1348: 1345: 1342: 1339: 1336: 1333: 1330: 1327: 1324: 1318: 1315: 1295: 1289: 1278: 1271: 1265: 1260: 1256: 1250: 1244: 1241: 1233: 1230: 1227: 1224: 1218: 1215: 1209: 1206: 1203: 1197: 1194: 1191: 1185: 1182: 1179: 1173: 1170: 1167: 1161: 1158: 1155: 1152: 1146: 1143: 1137: 1131: 1124: 1121: 1112: 1107: 1103: 1095: 1091:Other methods 1090: 1088: 1086: 1081: 1076: 1067: 1062: 1054: 1046: 1033: 1028: 1024: 1021: +  1020: 1013: 1009: 1003: 999: 994: 990: 981: 967: 964: 958: 951: 948: 924: 915: 908: 905: 896: 890: 884: 880: 875: 872: 869: 857: 842: 838: 822: 817: 802: 798: 789: 784: 778: 774: 766: 753: 748: 740: 738: 735: = 0.001 734: 729: 725: 721: 717: 712: 710: 694: 691: 688: 668: 665: 662: 642: 622: 617: 613: 607: 600: 589: 582: 578: 572: 569: 560: 532: 528: 519: 514: 501: 495: 492: 484: 481: 478: 472: 469: 463: 460: 457: 451: 438: 435: +  434: 430: 426: 423: +  422: 414: 411: −  410: 406: 402: 399: −  398: 391: 384: 381: −  380: 374: 372: 355: 352: 338: 333: 320: 315: 308: 302: 299: 293: 290: 287: 281: 273: 267: 259: 253: 246: 243: 234: 228: 212: 210: 206: 202: 186: 181: 174: 168: 165: 159: 156: 153: 147: 122: 119: +  118: 114: 110: 107: +  106: 98: 94: 90: 84: 79: 75: 67: 65: 63: 59: 55: 52:estimate the 51: 48: 44: 36: 32: 19: 3475: 3471: 3465: 3448: 3431: 3406: 3402: 3396: 3371: 3367: 3361: 3348: 3337: 3327: 3309: 3284: 3280: 3274: 3249:. Retrieved 3242:the original 3229: 3210: 3195: 3160: 3156: 3150: 3141: 3135: 3126: 3114: 3099: 3094: 3086: 3081: 3058: 3005: 2999: 2974: 2966: 2950: 2945: 2853: 2850: 2838: 2835: 2686: 2683: 2067: 1829: 1654: 1476: 1378: 1366: 1108: 1105: 1079: 1065: 1058: 1044: 1031: 1026: 1022: 1018: 1011: 1007: 1001: 997: 992: 982: 836: 800: 796: 785: 762: 732: 713: 561: 515: 436: 432: 428: 424: 420: 412: 408: 404: 400: 396: 392: 382: 378: 375: 337:substituting 334: 226: 223: 213: 120: 116: 112: 108: 104: 96: 92: 88: 80: 77: 60:or function 46: 40: 3287:(3): 1–21. 3223:Cleve Moler 3107:Chapter 5.7 2831:numerically 1870:expansion: 1047: = 0.1 343:results in 83:secant line 3569:Categories 3251:2012-11-24 3098:Following 2937:References 2856:, meaning 2854:quadrature 2243:where the 745:See also: 62:subroutine 54:derivative 50:algorithms 3510:0010-4655 3488:CiteSeerX 3219:MathWorks 3165:CiteSeerX 2783:− 2755:γ 2751:∮ 2741:π 2557:≈ 2548:∂ 2541:∂ 2512:∂ 2472:− 2304:≡ 2188:⋯ 2130:− 2105:≈ 2051:⋯ 1991:− 1944:− 1849:− 1813:− 1734:ℑ 1574:− 1551:∑ 1525:→ 1444:− 1415:→ 1328:− 1319:∈ 1228:− 1207:− 1192:− 1144:− 881:ε 818:ε 741:Step size 666:− 579:− 482:− 470:− 300:− 271:→ 166:− 3518:15129086 3301:16253562 3260:cite web 2880:See also 2403:, e.g., 1978:″ 1931:′ 1715:′ 1391:′ 1125:′ 952:″ 909:″ 247:′ 3480:Bibcode 3411:Bibcode 3376:Bibcode 3215:article 3187:7022422 2864:or the 3516:  3508:  3490:  3456:  3439:  3339:GitHub 3299:  3185:  3167:  3119:p. 263 3069:  3012:  2987:  2957:  2321:. 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As 56:of a 3559:SIAM 3506:ISSN 3454:ISBN 3437:ISBN 3266:link 3103:in C 3067:ISBN 3010:ISBN 2985:ISBN 2955:ISBN 1069:and 995:.), 854:for 794:and 681:and 417:and 386:and 101:and 3553:by 3498:doi 3476:177 3419:doi 3384:doi 3289:doi 3202:by 3175:doi 1852:200 1518:lim 1481:): 1408:lim 1080:xph 1032:not 993:etc 848:2.2 264:lim 230:at 211:). 203:'s 41:In 3571:: 3557:, 3512:. 3504:. 3496:. 3486:. 3474:. 3417:. 3405:. 3382:. 3370:. 3336:. 3295:. 3285:38 3283:. 3262:}} 3258:{{ 3181:. 3173:. 3161:29 3159:. 3105:, 3048:^ 3036:^ 3024:^ 2983:. 2981:34 2833:. 2691:: 1845:10 1816:1. 1810::= 1364:. 1266:30 1242:12 1066:dx 1010:+ 1000:+ 852:10 799:+ 737:. 726:, 722:, 718:, 439:)) 427:, 415:)) 403:, 390:. 129:, 123:)) 111:, 99:)) 91:, 45:, 3520:. 3500:: 3482:: 3460:. 3443:. 3425:. 3421:: 3413:: 3407:5 3390:. 3386:: 3378:: 3372:4 3342:. 3321:. 3303:. 3291:: 3268:) 3254:. 3189:. 3177:: 3144:. 3121:. 3109:. 3075:. 3018:. 2993:. 2961:. 2817:, 2814:z 2810:d 2800:1 2797:+ 2794:n 2790:) 2786:a 2780:z 2777:( 2772:) 2769:z 2766:( 2763:f 2744:i 2738:2 2733:! 2730:n 2724:= 2721:) 2718:a 2715:( 2710:) 2707:n 2704:( 2700:f 2666:2 2662:h 2657:) 2654:) 2651:h 2646:) 2643:2 2640:( 2635:i 2630:+ 2627:y 2624:, 2621:h 2616:) 2613:1 2610:( 2605:i 2600:+ 2597:x 2594:( 2591:f 2588:( 2583:) 2580:2 2577:( 2572:3 2566:C 2551:y 2544:x 2536:) 2533:y 2530:, 2527:x 2524:( 2521:f 2516:2 2486:) 2483:n 2480:( 2475:1 2467:2 2463:n 2456:C 2431:) 2428:n 2425:( 2420:0 2414:C 2391:n 2371:k 2349:) 2346:n 2343:( 2338:k 2332:C 2308:i 2299:) 2296:1 2293:( 2288:i 2264:) 2261:k 2258:( 2253:i 2227:n 2223:h 2218:) 2215:) 2212:h 2207:) 2204:n 2201:( 2196:i 2191:+ 2185:+ 2182:h 2177:) 2174:1 2171:( 2166:i 2161:+ 2158:x 2155:( 2152:f 2149:( 2144:) 2141:n 2138:( 2133:1 2125:2 2121:n 2114:C 2102:) 2099:x 2096:( 2091:) 2088:n 2085:( 2081:f 2054:. 2048:+ 2045:) 2042:x 2039:( 2034:) 2031:3 2028:( 2024:f 2018:3 2014:h 2006:! 2003:3 1998:i 1988:) 1985:x 1982:( 1975:f 1969:2 1965:h 1957:! 1954:2 1950:1 1941:) 1938:x 1935:( 1928:f 1924:h 1920:i 1916:+ 1913:) 1910:x 1907:( 1904:f 1901:= 1898:) 1895:h 1891:i 1887:+ 1884:x 1881:( 1878:f 1841:= 1838:h 1804:2 1800:i 1794:, 1791:) 1786:2 1782:h 1778:( 1775:O 1772:+ 1767:h 1763:) 1760:) 1757:h 1753:i 1749:+ 1746:x 1743:( 1740:f 1737:( 1728:= 1725:) 1722:x 1719:( 1712:f 1687:x 1663:f 1636:) 1633:h 1630:k 1627:+ 1624:x 1621:( 1618:f 1612:) 1607:k 1604:n 1599:( 1591:n 1588:+ 1585:k 1581:) 1577:1 1571:( 1566:n 1561:0 1558:= 1555:k 1543:n 1539:h 1535:1 1528:0 1522:h 1514:= 1511:) 1508:x 1505:( 1500:) 1497:n 1494:( 1490:f 1477:n 1460:h 1456:) 1453:x 1450:( 1447:f 1441:) 1438:h 1435:+ 1432:x 1429:( 1426:f 1418:0 1412:h 1404:= 1401:) 1398:x 1395:( 1388:f 1352:] 1349:h 1346:2 1343:+ 1340:x 1337:, 1334:h 1331:2 1325:x 1322:[ 1316:c 1296:, 1293:) 1290:c 1287:( 1282:) 1279:5 1276:( 1272:f 1261:4 1257:h 1251:+ 1245:h 1237:) 1234:h 1231:2 1225:x 1222:( 1219:f 1216:+ 1213:) 1210:h 1204:x 1201:( 1198:f 1195:8 1189:) 1186:h 1183:+ 1180:x 1177:( 1174:f 1171:8 1168:+ 1165:) 1162:h 1159:2 1156:+ 1153:x 1150:( 1147:f 1138:= 1135:) 1132:x 1129:( 1122:f 1075:C 1071:h 1051:2 1045:h 1040:h 1036:h 1027:x 1023:h 1019:x 1017:( 1012:h 1008:x 1002:h 998:x 985:x 968:0 965:= 962:) 959:x 956:( 949:f 925:| 919:) 916:x 913:( 906:f 900:) 897:x 894:( 891:f 885:| 876:2 873:= 870:h 860:h 850:× 844:ε 837:x 823:x 806:h 801:h 797:x 792:x 781:h 769:h 757:h 733:h 695:h 692:+ 689:x 669:h 663:x 643:c 623:, 618:2 614:h 608:6 604:) 601:c 598:( 593:) 590:3 587:( 583:f 573:= 570:R 557:x 553:x 549:h 533:2 529:h 502:. 496:h 493:2 488:) 485:h 479:x 476:( 473:f 467:) 464:h 461:+ 458:x 455:( 452:f 437:h 433:x 431:( 429:f 425:h 421:x 419:( 413:h 409:x 407:( 405:f 401:h 397:x 395:( 388:x 383:h 379:x 356:0 353:0 341:h 321:. 316:h 312:) 309:x 306:( 303:f 297:) 294:h 291:+ 288:x 285:( 282:f 274:0 268:h 260:= 257:) 254:x 251:( 244:f 232:x 227:f 220:h 216:h 187:. 182:h 178:) 175:x 172:( 169:f 163:) 160:h 157:+ 154:x 151:( 148:f 135:x 131:h 127:h 121:h 117:x 115:( 113:f 109:h 105:x 103:( 97:x 95:( 93:f 89:x 87:( 20:)

Index

Adaptive numerical differentiation

Finite difference
numerical analysis
algorithms
derivative
mathematical function
subroutine
Finite differences
secant line
Newton
difference quotient
divided difference
substituting
indeterminate form
symmetric difference quotient
rounding error
TI-82
TI-83
TI-84
TI-85
Adaptive step size

floating-point arithmetic
rounding error
ill-conditioned
machine epsilon
machine epsilon
double precision
representable floating-point number

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