May 26, 2018
Accurate Numerical Derivatives
Methods for calculating usually accurate numerical first and second order derivatives. Accurate calculations are done using ‘Richardson”s’ extrapolation or, when applicable, a complex step derivative is available. A simple difference method is also provided. Simple difference is usually less accurate but is much quicker than ‘Richardson”s’ extrapolation and provides a useful cross-check. Methods are provided for real scalar and vector valued functions.