Algorithmic Differencing
Louis B. Rall and Thomas W. Reps
An algorithmic representation of a function is a step-by-step
specification of its evaluation in terms of known operations and
functions, such as a computer program. In addition to function
values, the algorithmic representation can be used to compute related
quantities such as derivatives of the function. A process similar to
automatic (or algorithmic) differentiation will be applied to obtain
differences and divided differences of functions. Advantages of this
approach are that it often reduces the sometimes catastrophic
cancellation errors in computation of differences and divided
differences and provides numerical convergence of divided differences
to derivatives.
University of Wisconsin