Using Complex Variables to Estimate Derivatives of Real Functions
Abstract
A method to approximate derivatives of real functions using complex variables which avoids the subtractive cancellation errors inherent in the classical derivative approximations is described. Numerical examples illustrating the power of the approximation are presented.
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References
1.
Patrick Brezillon, Jean‐François Staub, Anne‐Marie Perault‐Staub, Gérard Milhaud, Numerical estimation of the first order derivative: approximate evaluation of an optimal step, Comput. Math. Appl., 7 (1981), 333–347
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J. Lyness, C. Moler, Numerical differentiation of analytic functions, SIAM J. Numer. Anal., 4 (1967), 202–210
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J. N. Lyness and G. Sande, Algorithm 413‐ENTCAF and ENTCRE: Evaluation of normalized Taylor coefficients of an analytic function, Comm. ACM 14, 10 (1971), pp. 669–675.
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SIAM Review
Pages: 110 - 112
ISSN (online): 1095-7200
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Copyright © 1998 Society for Industrial and Applied Mathematics.
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Published online: 4 August 2006
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