Problem 46918. Numerical differentiation with high precision
A basic approach for numerical differentiation is by calculating the difference quotient , see for example Problem 2892. Unfortunately, this approach leads to the problem that for small step sizes h a subtractive cancellation error occurs, while for large step sizes the truncation error of the numerical scheme dominates. The same problem occurs also for similar numerical schemes of higher order.
Task: Can you find a numerical approach that eliminates the subtractive cancellation error and enables accuracies up to machine accuracy for small step sizes? Inputs to your function are a function handle fun to a scalar function, as well as the point x0, at which the numerical derivative should be calculated.
Hint: If you do not have any idea, check out Cleve's Corner. Back in the year 2013, you will find an interesting article.
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