Python implementation of the algorithm presented in:
This algorithm can estimate the coefficients of the finite difference formula
used to estimate any derivative of an unidimensional function at a point x_0
given a grid of points (mostly neighbors of x_0
). The accuracy level is
determined by the number of grid points used in each estimation.
- Grid points do not have to be equally spaced.
x_0
does not have to be one of the grid points.- As a result of 2., the algorithm can also be used to interpolate a function
at a point
x_0
, by using the coefficients of the derivative of order zero. - In a single
M
order derivative approximation the coefficients needed to estimate the derivative at any order from zero toM
are calculated.