Finite difference and numerical differentiation: General formulae from deferred corrections

Abstract: This paper provides a new approach to derive various arbitrary high order finite difference formulae for the numerical differentiation of analytic functions. In this approach, various first and second order formulae for the numerical approximation of analytic functions are given with error terms explicitly expanded as Taylor series of the analytic function. These lower order approximations are successively improved by one or two (two order improvement for centered formulae) to give finite difference formulae of arbitrary high order. The new approach allows to recover the standard backward, forward, and centered finite difference formulae which are given in terms of formal power series of finite difference operators. Examples of new formulae suited for deferred correction methods are given.