[Top][All Lists]
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
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"
functions.
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.
--
regards
Brian Gough
Network Theory Ltd,
Publishing Free Software Manuals --- http://www.network-theory.co.uk/