Differentiation by integration with Jacobi polynomials

DOI10.1016/J.CAM.2010.12.023MaRDI QIDQ631904zbMATH OpenOpenAlexFDO

Authors O. Gibaru, Wilfrid Perruquetti, Dayan Liu

Publication date 14 March 2011

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.5483

zbMATH Keywords

numerical examplesill-posed problemsnumerical differentiationJacobi orthogonal polynomialsorthogonal seriesintegration window

Mathematics Subject Classification ID

Numerical differentiation (65D25)

Abstract: In this paper, the numerical differentiation by integration method based on Jacobi polynomials originally introduced by Mboup, Fliess and Join is revisited in the central case where the used integration window is centered. Such method based on Jacobi polynomials was introduced through an algebraic approach and extends the numerical differentiation by integration method introduced by Lanczos. The here proposed method is used to estimate the $n^{th}$ ($ninmathbbN$) order derivative from noisy data of a smooth function belonging to at least $C^{n+1+q}$ $(qinmathbbN)$. In the recent paper of Mboup, Fliess and Join, where the causal and anti-causal case were investigated, the mismodelling due to the truncation of the Taylor expansion was investigated and improved allowing a small time-delay in the derivative estimation. Here, for the central case, we show that the bias error is $O(h^{q+2})$ where $h$ is the integration window length for $fin{C}^{n+q+2}$ in the noise free case and the corresponding convergence rate is $O(delt{a}^{fracq+1n+1+q})$ where $delta$ is the noise level for a well chosen integration window length. Numerical examples show that this proposed method is stable and effective.

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Cited in

(15)

• Higher accuracy order in differentiation-by-integration
• Survey on algebraic numerical differentiation: historical developments, parametrization, examples, and applications
• Legendre polynomials as a recommended basis for numerical differentiation in the presence of stochastic white noise
• Posteriori selection strategies of regularization parameters for Lanczos' generalized derivatives
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• Maximal generalization of Lanczos' derivative using one-dimensional integrals
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• An algebraic continuous time parameter estimation for a sum of sinusoidal waveform signals

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