A new approach to numerical differentiation (Q843125)

A new approach to the numerical differentiation of perturbed functions is presented. For given \(g\in H^1[0,1]\), to find \(f=g'\) is equivalent to the solution of the Volterra integral equation \[ (K_1 f)(s) = \int_0^1 f(t)\,{\mathrm d}t = g(s) - g(0) \quad (s\in [0,\,1])\,. \] First, the disadvantage of \(K_1\) is shown by the authors. Since a singular system of a restriction of \(K_1\) can be easily obtained, the authors use the truncated singular value decomposition for the solution of the ill-posed problem of numerical differentiation. If perturbed data of \(g\in H^1[0,1]\) are given at equidistant nodes, then this method can be realized by fast algorithms of discrete sine transforms. Numerical examples show the performance of this method.