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Re: [Help-gsl] Numerical Differentiation

From: Brian Gough
Subject: Re: [Help-gsl] Numerical Differentiation
Date: Tue, 5 Apr 2005 15:32:46 +0100

Mathias Wagner writes:
 > I have to do some numerical derivatives (first and second). I need
 > good precision, because I have to calculate the derivatives in the
 > vicinity of a singularity.  The algorithm used in GSL uses an
 > adaptive way to calculate an optimal h.  Can anybody send me some
 > more information on this algorithm. Unfortunately our library
 > doesn't have the book by Conte[1] cited in the documentation.
 > Does anyone know who to expand this algorithm to the second
 > derivative?

Hopefully you are using the "deriv" functions and not the older "diff"

If you look in the source for deriv/ there should be some comments
which explain the algorithm.  It is a simple optimisation of the sum
of round-off error and truncation error.

The book isn't really needed, it is more of a general reference.


Brian Gough

Network Theory Ltd,
Publishing Free Software Manuals ---

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