Standard and Corrected Numerical Differentiation Formulae

Abstract

Standard numerical differentiation rules that might be established by the method of undetermined coefficients are revisited. Best truncation error bounds are established by a direct method and by the method of integration by parts "backwards". A new method to increase the order of the truncation error using a primitive is presented. This approach leads to corrected numerical differentiation rules. Differentiation formulae and numerical tests are presented.

Keywords

• absolutely continuous function
• method of undetermined coefficients
• numerical differentiation rules
• peano kernel
• taylor's expansion