Numerical Differentiation

Chapter 23

• Notion of numerical differentiation has been

introduced in Chapter 4. In this chapter more
accurate formulas that retain more terms will
be developed.

by Lale Yurttas, Texas A Chapter 23 1

&M University
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 High Accuracy Differentiation
Formulas
• High-accuracy divided-difference formulas can be
generated by including additional terms from the
Taylor series expansion.
f ( xi ) 2
f ( xi 1 )  f ( xi )  f ( xi )h  h 
2
f ( xi 1 )  f ( xi ) f ( xi )
f ( xi )   h  O(h 2 )
h 2
f ( xi  2 )  2 f ( xi 1 )  f ( xi )
f ( xi )  2
 O ( h)
h
f ( xi 1 )  f ( xi ) f ( xi  2 )  2 f ( xi 1 )  f ( xi )
f ( xi )   2
h  O ( h 2
)
h 2h
 f ( xi  2 )  4 f ( xi 1 )  3 f ( xi )
f ( xi )   O(h 2 )
by Lale Yurttas, Texas A 2h Chapter 23 2
&M University
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display.
• Inclusion of the 2nd derivative term has
improved the accuracy to O(h2).

• Similar improved versions can be developed

for the backward and centered formulas as
well as for the approximations of the higher
derivatives.

by Lale Yurttas, Texas A Chapter 23 3

&M University
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display.
 Richardson Extrapolation
• There are two ways to improve derivative
estimates when employing finite divided
differences:
– Decrease the step size, or
– Use a higher-order formula that employs more
points.
• A third approach, based on Richardson
extrapolation, uses two derivative estimates t
compute a third, more accurate approximation.

by Lale Yurttas, Texas A Chapter 23 4

&M University
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display.
 1
I  I (h2 )  2
[ I (h2 )  I (h1 )]
(h1 / h2 )  1
h2  h1 / 2
4 1
I  I (h2 )  I (h1 )]
3 3
4 1
D  D(h2 )  D(h1 )]
3 3

• For centered difference approximations with

O(h2). The application of this formula yield a
new derivative estimate of O(h4).
by Lale Yurttas, Texas A Chapter 23 5
&M University
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display.
 Derivatives of Unequally Spaced Data
• Data from experiments or field studies are often
collected at unequal intervals. One way to handle
such data is to fit a second-order Lagrange
interpolating polynomial.
2 x  xi  xi 1 2 x  xi 1  xi 1
f ( x)  f ( xi 1 )  f ( xi ) 
xi 1  xi xi 1  xi 1  xi  xi 1 xi  xi 1 
2 x  xi 1  xi
f ( xi 1 )
xi 1  xi 1 xi 1  xi 

x is the value at which you want to estimate the

derivative.
by Lale Yurttas, Texas A Chapter 23 6
&M University
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Derivatives and Integrals for Data with
Errors
Figure 23.5

by Lale Yurttas, Texas A Chapter 23 7

&M University
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