Higher order numerical differentiation on the Infinity Computer

Abstract

There exist many applications where it is necessary to approximate numerically derivatives of a function which is given by a computer procedure. In particular, all the fields of optimization have a special interest in such a kind of information. In this paper, a new way to do this is presented for a new kind of a computer—the Infinity Computer—able to work numerically with finite, infinite, and infinitesimal numbers. It is proved that the Infinity Computer is able to calculate values of derivatives of a higher order for a wide class of functions represented by computer procedures. It is shown that the ability to compute derivatives of arbitrary order automatically and accurate to working precision is an intrinsic property of the Infinity Computer related to its way of functioning. Numerical examples illustrating the new concepts and numerical tools are given.