Timeline for Numerical differentiation. What is the best method?
Current License: CC BY-SA 4.0
13 events
| when toggle format | what | by | license | comment | |
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| Mar 19 at 21:30 | history | edited | YCor | CC BY-SA 4.0 |
removed capitals from title
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| Jul 13, 2019 at 11:05 | answer | added | Daisuke K | timeline score: 5 | |
| Jul 25, 2017 at 9:28 | answer | added | F. Jatpil | timeline score: 2 | |
| Mar 10, 2017 at 4:00 | answer | added | Zurab Silagadze | timeline score: 5 | |
| Mar 10, 2017 at 3:47 | comment | added | Geoffrey Irving | It's worth noting that the complex step derivative is just a thinly disguised version of automatic differentiation. It works because real analytic functions have their derivatives baked into their complex implementations. | |
| Nov 15, 2016 at 0:36 | answer | added | Chris Rackauckas | timeline score: 10 | |
| May 12, 2011 at 4:33 | vote | accept | Yrogirg | ||
| May 8, 2011 at 18:03 | comment | added | J. M. isn't a mathematician | BTW... I trust that you only want first derivatives? The higher the derivative order, the less likely any of the proposed methods become successful... | |
| May 8, 2011 at 17:07 | comment | added | J. M. isn't a mathematician | @Gilead: The only reason why I linked to it in the comments instead of my answer is that even though I know it's good, I haven't extensively experimented with it. | |
| May 8, 2011 at 16:24 | comment | added | Gilead | Ok, I see that J.M. has linked to this method (due to Squire and Trapp) in one of the references. | |
| May 8, 2011 at 16:23 | comment | added | Gilead | J.M. has already supplied some excellent ways of performing numerical differentiation, including methods like Cauchy's formula. There is a simple method that I use that gets me first derivatives at near machine precision levels. It is the complex step derivative: $f'(x) = \mathrm{Im}(\frac{x + ih}{h})$, where $h$ can be chosen to be the machine epsilon (see citeseerx.ist.psu.edu/viewdoc/… for guidance). It is trivial to implement in any language with a complex number datatype (e.g. Fortran). | |
| May 8, 2011 at 15:33 | answer | added | J. M. isn't a mathematician | timeline score: 18 | |
| May 8, 2011 at 14:28 | history | asked | Yrogirg | CC BY-SA 3.0 |