Lagrange Interpolation in Matrix Form for Numerical Differentiation and Integration

Abstract

Numerical differentiation has been widely applied in engineering practice due to its remarkable simplicity in the approximation of derivatives. Existing formulas rely on only three-point interpolation to compute derivatives when dealing with irregular sampling intervals. However, it is widely recognized that employing five-point interpolation yields a more accurate estimation compared to the three-point method. Thus, the objective of this study is to develop formulas for numerical differentiation using more than three sample points, particularly when the intervals are irregular. Based on Lagrange interpolation in matrix form, formulas for numerical differentiation are developed, which are applicable to both regular and irregular intervals and can use any desired number of points. The method can also be extended for numerical integration and for finding the extremum of a function from its samples. Moreover, in the proposed formulas, the target point does not need to be at a sampling point, as long as it is within the sampling domain. Numerical examples are presented to illustrate the accuracy of the proposed method and its engineering applications. It is demonstrated that the proposed method is versatile, easy to implements, efficient, and accurate in performing numerical differentiation and integration, as well as the determination of extremum of a function.