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First and second order numerical differentiation with Tikhonov regularization |
| LU Shuai1, WANG Yanbo2 |
| 1.Institute of Mathematics, Fudan University, Shanghai 200433, China; 2.Department of Mathematics, Fudan University, Shanghai 200433, China |
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Abstract This work deals with the numerical differentiation for an unknown smooth function whose data on a given set are available. The numerical differentiation is an ill-posed problem. In this work, the first and second derivatives of the smooth function are approximated by using the Tikhonov regularization method. It is proved that the approximate function can be chosen as a minimizer to a cost functional. The existence and uniqueness theory of the minimizer is established. Errors in the derivatives between the smooth unknown function and the approximate function are obtained, which depend on the mesh size of the grid and the noise level in the data. The numerical results are provided to support the theoretical analysis of this work.
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Issue Date: 05 September 2006
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