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Journal Articles Journal of Computational and Applied Mathematics Year : 2011

Multivariate numerical differentiation


We present an innovative method for multivariate numerical differentiation i.e. the estimation of partial derivatives of multidimensional noisy signals. Starting from a local model of the signal consisting of a truncated Taylor expansion, we express, through adequate differential algebraic manipulations, the desired partial derivative as a function of iterated integrals of the noisy signal. Iterated integrals provide noise filtering. The presented method leads to a family of estimators for each partial derivative of any order. We present a detailed study of some structural properties given in terms of recurrence relations between elements of a same family. These properties are next used to study the performance of the estimators. We show that some differential algebraic manipulations corresponding to a particular family of estimators leads implicitly to an orthogonal projection of the desired derivative in a Jacobi polynomial basis functions, yielding an interpretation in terms of the popular least squares. This interpretation allows one to 1) explain the presence of a spacial delay inherent to the estimators and 2) derive an explicit formula for the delay. We also show how one can devise, by a proper combination of different elementary estimators of a given order derivative, an estimator giving a delay of any prescribed value. The simulation results show that delay-free estimators are sensitive to noise. Robustness with respect to noise can be highly increased by utilizing voluntary-delayed estimators. A numerical implementation scheme is given in the form of finite impulse response digital filters. The effectiveness of our derivative estimators is attested by several numerical simulations.
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inria-00637164 , version 1 (31-10-2011)



Samer Riachy, Mamadou Mboup, Jean-Pierre Richard. Multivariate numerical differentiation. Journal of Computational and Applied Mathematics, 2011, 236 (6), pp.1069-1089. ⟨10.1016/⟩. ⟨inria-00637164⟩
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