Optimal numerical differentiation using three function evaluations

Author:

Ash J. Marshall,Jones Roger L.

Abstract

Approximation of f ( x ) f’ (x) by a difference quotient of the form \[ h 1 [ a 1 f ( x + b 1 h ) + a 2 f ( x + b 2 h ) + a 3 f ( x + b 3 h ) ] {h^{ - 1}}[{a_1}f(x + {b_1}h) + {a_2}f(x + {b_2}h) + {a_3}f(x + {b_3}h)] \] is found to be optimized for a wide class of real-valued functions by the surprisingly asymmetric choice of b = ( b 1 , b 2 , b 3 ) = ( 1 / 3 1 , 1 / 3 , 1 / 3 + 1 ) {\mathbf {b}} = ({b_1},{b_2},{b_3}) = (1/\sqrt 3 - 1,1/\sqrt 3 ,1/\sqrt 3 + 1) . The nearly optimal choice of b = ( 2 , 3 , 6 ) {\mathbf {b}} = ( - 2,3,6) is also discussed.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,Computational Mathematics,Algebra and Number Theory

Reference3 articles.

1. Formulae for numerical differentiation;Bickley, W. G.;Math. Gaz.,1941

2. Differentiation formulas for analytic functions;Lyness, J. N.;Math. Comp.,1968

3. Optimal points for numerical differentiation;Salzer, Herbert E.;Numer. Math.,1960

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