Accuracy and stability of computing high-order derivatives of analytic functions by Cauchy integrals

DOI10.1007/S10208-010-9075-ZzbMATH Open1213.65039arXiv0910.1841OpenAlexW3100091305MaRDI QIDQ626444FDOQ626444

Folkmar Bornemann

Publication date: 18 February 2011

Published in: Foundations of Computational Mathematics (Search for Journal in Brave)

Abstract: High-order derivatives of analytic functions are expressible as Cauchy integrals over circular contours, which can very effectively be approximated, e.g., by trapezoidal sums. Whereas analytically each radius r up to the radius of convergence is equal, numerical stability strongly depends on r. We give a comprehensive study of this effect; in particular we show that there is a unique radius that minimizes the loss of accuracy caused by round-off errors. For large classes of functions, though not for all, this radius actually gives about full accuracy; a remarkable fact that we explain by the theory of Hardy spaces, by the Wiman-Valiron and Levin-Pfluger theory of entire functions, and by the saddle-point method of asymptotic analysis. Many examples and non-trivial applications are discussed in detail.

Full work available at URL: https://arxiv.org/abs/0910.1841

zbMATH Keywords

stabilityalgorithmcondition numberHardy spacesnumerical stabilityanalytic functionsaccuracynumerical differentiationCauchy integralFredholm determinantround-off errorsentire functions of perfectly and completely regular growthoptimal radiusrandom matrix ensemble

Mathematics Subject Classification ID

General theory of numerical methods in complex analysis (potential theory, etc.) (65E05) Roundoff error (65G50) Special classes of entire functions of one complex variable and growth estimates (30D15) Integration, integrals of Cauchy type, integral representations of analytic functions in the complex plane (30E20) Numerical differentiation (65D25)

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Cited In (28)

• An Hermite-Obreshkov method for 2nd-order linear initial-value problems for ODE. With special attention paid to the Mathieu equation
• Constructing New Time Integrators Using Interpolating Polynomials
• Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
• A Stirling-type formula for the distribution of the length of longest increasing subsequences
• Sharp error bounds for turning point expansions
• Detection of the singularities of a complex function by numerical approximations of its Laurent coefficients
• The ``phase function method to solve second-order asymptotically polynomial differential equations
• Euler–Maclaurin expansions without analytic derivatives
• Numerical Methods for the Discrete Map $$Z^a$$ Z a
• On Volterra functions and Ramanujan integrals
• Fast barycentric rational interpolations for complex functions with some singularities
• Computation of asymptotic expansions of turning point problems via Cauchy's integral formula: Bessel functions
• Fast and stable contour integration for high order divided differences via elliptic functions
• Construction and implementation of asymptotic expansions for Jacobi-type orthogonal polynomials
• A fast and simple algorithm for the computation of Legendre coefficients
• Quaternionic step derivative: machine precision differentiation of holomorphic functions using complex quaternions
• Parameter inference with analytical propagators for stochastic models of autoregulated gene expression
• Asymptotic expansions relating to the distribution of the length of longest increasing subsequences
• Quantifying the ill-conditioning of analytic continuation
• Finite difference formulas in the complex plane
• Quasi-analytical root-finding for non-polynomial functions
• Adaptive FCC+ rules for oscillatory integrals
• A fast algorithm for simulating vesicle flows in three dimensions
• Numerical initial data deformation exploiting a gluing construction: I. Exterior asymptotic Schwarzschild
• Singular Values of Products of Ginibre Random Matrices
• Jensen polynomials are not a plausible route to proving the Riemann hypothesis
• From Painlevé to Zakharov–Shabat and beyond: Fredholm determinants and integro-differential hierarchies
• Time-dependent propagators for stochastic models of gene expression: an analytical method

Uses Software

• Algorithm 413
• mctoolbox

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