diff --git a/doc/differentiation/numerical_differentiation.qbk b/doc/differentiation/numerical_differentiation.qbk index 857627bd4..6f7956b8d 100644 --- a/doc/differentiation/numerical_differentiation.qbk +++ b/doc/differentiation/numerical_differentiation.qbk @@ -10,10 +10,10 @@ LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) [heading Synopsis] `` -#include +#include -namespace boost::math::tools { +namespace boost { namespace math { namespace differentiation { template Real complex_step_derivative(const F f, Real x); @@ -21,19 +21,19 @@ namespace boost::math::tools { template Real finite_difference_derivative(const F f, Real x, Real* error = nullptr); -} // namespaces +}}} // namespaces `` [heading Description] -The function `finite_difference_derivative` calculates a finite-difference approximation to the derivative of of a function /f/ at point /x/. +The function `finite_difference_derivative` calculates a finite-difference approximation to the derivative of a function /f/ at point /x/. A basic usage is auto f = [](double x) { return std::exp(x); }; double x = 1.7; double dfdx = finite_difference_derivative(f, x); -Finite differencing is complicated, as finite-difference approximations to the derivative are /infinitely/ ill-conditioned. +Finite differencing is complicated, as differentiation is /infinitely/ ill-conditioned. In addition, for any function implemented in finite-precision arithmetic, the "true" derivative is /zero/ almost everywhere, and undefined at representables. However, some tricks allow for reasonable results to be obtained in many cases. diff --git a/include/boost/math/differentiation/finite_difference.hpp b/include/boost/math/differentiation/finite_difference.hpp new file mode 100644 index 000000000..c7615b6b2 --- /dev/null +++ b/include/boost/math/differentiation/finite_difference.hpp @@ -0,0 +1,266 @@ +// (C) Copyright Nick Thompson 2018. +// Use, modification and distribution are subject to the +// Boost Software License, Version 1.0. (See accompanying file +// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) + +#ifndef BOOST_MATH_DIFFERENTIATION_FINITE_DIFFERENCE_HPP +#define BOOST_MATH_DIFFERENTIATION_FINITE_DIFFERENCE_HPP + +/* + * Performs numerical differentiation by finite-differences. + * + * All numerical differentiation using finite-differences are ill-conditioned, and these routines are no exception. + * A simple argument demonstrates that the error is unbounded as h->0. + * Take the one sides finite difference formula f'(x) = (f(x+h)-f(x))/h. + * The evaluation of f induces an error as well as the error from the finite-difference approximation, giving + * |f'(x) - (f(x+h) -f(x))/h| < h|f''(x)|/2 + (|f(x)|+|f(x+h)|)eps/h =: g(h), where eps is the unit roundoff for the type. + * It is reasonable to choose h in a way that minimizes the maximum error bound g(h). + * The value of h that minimizes g is h = sqrt(2eps(|f(x)| + |f(x+h)|)/|f''(x)|), and for this value of h the error bound is + * sqrt(2eps(|f(x+h) +f(x)||f''(x)|)). + * In fact it is not necessary to compute the ratio (|f(x+h)| + |f(x)|)/|f''(x)|; the error bound of ~\sqrt{\epsilon} still holds if we set it to one. + * + * + * For more details on this method of analysis, see + * + * http://www.uio.no/studier/emner/matnat/math/MAT-INF1100/h08/kompendiet/diffint.pdf + * http://web.archive.org/web/20150420195907/http://www.uio.no/studier/emner/matnat/math/MAT-INF1100/h08/kompendiet/diffint.pdf + * + * + * It can be shown on general grounds that when choosing the optimal h, the maximum error in f'(x) is ~(|f(x)|eps)^k/k+1|f^(k-1)(x)|^1/k+1. + * From this we can see that full precision can be recovered in the limit k->infinity. + * + * References: + * + * 1) Fornberg, Bengt. "Generation of finite difference formulas on arbitrarily spaced grids." Mathematics of computation 51.184 (1988): 699-706. + * + * + * The second algorithm, the complex step derivative, is not ill-conditioned. + * However, it requires that your function can be evaluated at complex arguments. + * The idea is that f(x+ih) = f(x) +ihf'(x) - h^2f''(x) + ... so f'(x) \approx Im[f(x+ih)]/h. + * No subtractive cancellation occurs. The error is ~ eps|f'(x)| + eps^2|f'''(x)|/6; hard to beat that. + * + * References: + * + * 1) Squire, William, and George Trapp. "Using complex variables to estimate derivatives of real functions." Siam Review 40.1 (1998): 110-112. + */ + +#include +#include + +namespace boost{ namespace math{ namespace differentiation { + +namespace detail { + template + Real make_xph_representable(Real x, Real h) + { + using std::numeric_limits; + // Redefine h so that x + h is representable. Not using this trick leads to large error. + // The compiler flag -ffast-math evaporates these operations . . . + Real temp = x + h; + h = temp - x; + // Handle the case x + h == x: + if (h == 0) + { + h = boost::math::nextafter(x, (numeric_limits::max)()) - x; + } + return h; + } +} + +template +Real complex_step_derivative(const F f, Real x) +{ + // Is it really this easy? Yes. + // Note that some authors recommend taking the stepsize h to be smaller than epsilon(), some recommending use of the min(). + // This idea was tested over a few billion test cases and found the make the error *much* worse. + // Even 2eps and eps/2 made the error worse, which was surprising. + using std::complex; + using std::numeric_limits; + constexpr const Real step = (numeric_limits::epsilon)(); + constexpr const Real inv_step = 1/(numeric_limits::epsilon)(); + return f(complex(x, step)).imag()*inv_step; +} + +namespace detail { + + template + struct fd_tag {}; + + template + Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<1>&) + { + using std::sqrt; + using std::pow; + using std::abs; + using std::numeric_limits; + + const Real eps = (numeric_limits::epsilon)(); + // Error bound ~eps^1/2 + // Note that this estimate of h differs from the best estimate by a factor of sqrt((|f(x)| + |f(x+h)|)/|f''(x)|). + // Since this factor is invariant under the scaling f -> kf, then we are somewhat justified in approximating it by 1. + // This approximation will get better as we move to higher orders of accuracy. + Real h = 2 * sqrt(eps); + h = detail::make_xph_representable(x, h); + + Real yh = f(x + h); + Real y0 = f(x); + Real diff = yh - y0; + if (error) + { + Real ym = f(x - h); + Real ypph = abs(yh - 2 * y0 + ym) / h; + // h*|f''(x)|*0.5 + (|f(x+h)+|f(x)|)*eps/h + *error = ypph / 2 + (abs(yh) + abs(y0))*eps / h; + } + return diff / h; + } + + template + Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<2>&) + { + using std::sqrt; + using std::pow; + using std::abs; + using std::numeric_limits; + + const Real eps = (numeric_limits::epsilon)(); + // Error bound ~eps^2/3 + // See the previous discussion to understand determination of h and the error bound. + // Series[(f[x+h] - f[x-h])/(2*h), {h, 0, 4}] + Real h = pow(3 * eps, static_cast(1) / static_cast(3)); + h = detail::make_xph_representable(x, h); + + Real yh = f(x + h); + Real ymh = f(x - h); + Real diff = yh - ymh; + if (error) + { + Real yth = f(x + 2 * h); + Real ymth = f(x - 2 * h); + *error = eps * (abs(yh) + abs(ymh)) / (2 * h) + abs((yth - ymth) / 2 - diff) / (6 * h); + } + + return diff / (2 * h); + } + + template + Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<4>&) + { + using std::sqrt; + using std::pow; + using std::abs; + using std::numeric_limits; + + const Real eps = (numeric_limits::epsilon)(); + // Error bound ~eps^4/5 + Real h = pow(11.25*eps, (Real)1 / (Real)5); + h = detail::make_xph_representable(x, h); + Real ymth = f(x - 2 * h); + Real yth = f(x + 2 * h); + Real yh = f(x + h); + Real ymh = f(x - h); + Real y2 = ymth - yth; + Real y1 = yh - ymh; + if (error) + { + // Mathematica code to extract the remainder: + // Series[(f[x-2*h]+ 8*f[x+h] - 8*f[x-h] - f[x+2*h])/(12*h), {h, 0, 7}] + Real y_three_h = f(x + 3 * h); + Real y_m_three_h = f(x - 3 * h); + // Error from fifth derivative: + *error = abs((y_three_h - y_m_three_h) / 2 + 2 * (ymth - yth) + 5 * (yh - ymh) / 2) / (30 * h); + // Error from function evaluation: + *error += eps * (abs(yth) + abs(ymth) + 8 * (abs(ymh) + abs(yh))) / (12 * h); + } + return (y2 + 8 * y1) / (12 * h); + } + + template + Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<6>&) + { + using std::sqrt; + using std::pow; + using std::abs; + using std::numeric_limits; + + const Real eps = (numeric_limits::epsilon)(); + // Error bound ~eps^6/7 + // Error: h^6f^(7)(x)/140 + 5|f(x)|eps/h + Real h = pow(eps / 168, (Real)1 / (Real)7); + h = detail::make_xph_representable(x, h); + + Real yh = f(x + h); + Real ymh = f(x - h); + Real y1 = yh - ymh; + Real y2 = f(x - 2 * h) - f(x + 2 * h); + Real y3 = f(x + 3 * h) - f(x - 3 * h); + + if (error) + { + // Mathematica code to generate fd scheme for 7th derivative: + // Sum[(-1)^i*Binomial[7, i]*(f[x+(3-i)*h] + f[x+(4-i)*h])/2, {i, 0, 7}] + // Mathematica to demonstrate that this is a finite difference formula for 7th derivative: + // Series[(f[x+4*h]-f[x-4*h] + 6*(f[x-3*h] - f[x+3*h]) + 14*(f[x-h] - f[x+h] + f[x+2*h] - f[x-2*h]))/2, {h, 0, 15}] + Real y7 = (f(x + 4 * h) - f(x - 4 * h) - 6 * y3 - 14 * y1 - 14 * y2) / 2; + *error = abs(y7) / (140 * h) + 5 * (abs(yh) + abs(ymh))*eps / h; + } + return (y3 + 9 * y2 + 45 * y1) / (60 * h); + } + + template + Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<8>&) + { + using std::sqrt; + using std::pow; + using std::abs; + using std::numeric_limits; + + const Real eps = (numeric_limits::epsilon)(); + // Error bound ~eps^8/9. + // In double precision, we only expect to lose two digits of precision while using this formula, at the cost of 8 function evaluations. + // Error: h^8|f^(9)(x)|/630 + 7|f(x)|eps/h assuming 7 unstabilized additions. + // Mathematica code to get the error: + // Series[(f[x+h]-f[x-h])*(4/5) + (1/5)*(f[x-2*h] - f[x+2*h]) + (4/105)*(f[x+3*h] - f[x-3*h]) + (1/280)*(f[x-4*h] - f[x+4*h]), {h, 0, 9}] + // If we used Kahan summation, we could get the max error down to h^8|f^(9)(x)|/630 + |f(x)|eps/h. + Real h = pow(551.25*eps, (Real)1 / (Real)9); + h = detail::make_xph_representable(x, h); + + Real yh = f(x + h); + Real ymh = f(x - h); + Real y1 = yh - ymh; + Real y2 = f(x - 2 * h) - f(x + 2 * h); + Real y3 = f(x + 3 * h) - f(x - 3 * h); + Real y4 = f(x - 4 * h) - f(x + 4 * h); + + Real tmp1 = 3 * y4 / 8 + 4 * y3; + Real tmp2 = 21 * y2 + 84 * y1; + + if (error) + { + // Mathematica code to generate fd scheme for 7th derivative: + // Sum[(-1)^i*Binomial[9, i]*(f[x+(4-i)*h] + f[x+(5-i)*h])/2, {i, 0, 9}] + // Mathematica to demonstrate that this is a finite difference formula for 7th derivative: + // Series[(f[x+5*h]-f[x- 5*h])/2 + 4*(f[x-4*h] - f[x+4*h]) + 27*(f[x+3*h] - f[x-3*h])/2 + 24*(f[x-2*h] - f[x+2*h]) + 21*(f[x+h] - f[x-h]), {h, 0, 15}] + Real f9 = (f(x + 5 * h) - f(x - 5 * h)) / 2 + 4 * y4 + 27 * y3 / 2 + 24 * y2 + 21 * y1; + *error = abs(f9) / (630 * h) + 7 * (abs(yh) + abs(ymh))*eps / h; + } + return (tmp1 + tmp2) / (105 * h); + } + + template + Real finite_difference_derivative(const F f, Real x, Real* error, const tag&) + { + // Always fails, but condition is template-arg-dependent so only evaluated if we get instantiated. + BOOST_STATIC_ASSERT_MSG(sizeof(Real) == 0, "Finite difference not implemented for this order: try 1, 2, 4, 6 or 8"); + } + +} + +template +inline Real finite_difference_derivative(const F f, Real x, Real* error = nullptr) +{ + return detail::finite_difference_derivative(f, x, error, detail::fd_tag()); +} + +}}} // namespaces +#endif diff --git a/include/boost/math/tools/numerical_differentiation.hpp b/include/boost/math/tools/numerical_differentiation.hpp index 34fef0db8..eb4bdcb44 100644 --- a/include/boost/math/tools/numerical_differentiation.hpp +++ b/include/boost/math/tools/numerical_differentiation.hpp @@ -2,266 +2,19 @@ // Use, modification and distribution are subject to the // Boost Software License, Version 1.0. (See accompanying file // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) - #ifndef BOOST_MATH_TOOLS_NUMERICAL_DIFFERENTIATION_HPP #define BOOST_MATH_TOOLS_NUMERICAL_DIFFERENTIATION_HPP +#include +#include -/* - * Performs numerical differentiation by finite-differences. - * - * All numerical differentiation using finite-differences are ill-conditioned, and these routines are no exception. - * A simple argument demonstrates that the error is unbounded as h->0. - * Take the one sides finite difference formula f'(x) = (f(x+h)-f(x))/h. - * The evaluation of f induces an error as well as the error from the finite-difference approximation, giving - * |f'(x) - (f(x+h) -f(x))/h| < h|f''(x)|/2 + (|f(x)|+|f(x+h)|)eps/h =: g(h), where eps is the unit roundoff for the type. - * It is reasonable to choose h in a way that minimizes the maximum error bound g(h). - * The value of h that minimizes g is h = sqrt(2eps(|f(x)| + |f(x+h)|)/|f''(x)|), and for this value of h the error bound is - * sqrt(2eps(|f(x+h) +f(x)||f''(x)|)). - * In fact it is not necessary to compute the ratio (|f(x+h)| + |f(x)|)/|f''(x)|; the error bound of ~\sqrt{\epsilon} still holds if we set it to one. - * - * - * For more details on this method of analysis, see - * - * http://www.uio.no/studier/emner/matnat/math/MAT-INF1100/h08/kompendiet/diffint.pdf - * http://web.archive.org/web/20150420195907/http://www.uio.no/studier/emner/matnat/math/MAT-INF1100/h08/kompendiet/diffint.pdf - * - * - * It can be shown on general grounds that when choosing the optimal h, the maximum error in f'(x) is ~(|f(x)|eps)^k/k+1|f^(k-1)(x)|^1/k+1. - * From this we can see that full precision can be recovered in the limit k->infinity. - * - * References: - * - * 1) Fornberg, Bengt. "Generation of finite difference formulas on arbitrarily spaced grids." Mathematics of computation 51.184 (1988): 699-706. - * - * - * The second algorithm, the complex step derivative, is not ill-conditioned. - * However, it requires that your function can be evaluated at complex arguments. - * The idea is that f(x+ih) = f(x) +ihf'(x) - h^2f''(x) + ... so f'(x) \approx Im[f(x+ih)]/h. - * No subtractive cancellation occurs. The error is ~ eps|f'(x)| + eps^2|f'''(x)|/6; hard to beat that. - * - * References: - * - * 1) Squire, William, and George Trapp. "Using complex variables to estimate derivatives of real functions." Siam Review 40.1 (1998): 110-112. - */ +BOOST_HEADER_DEPRECATED(""); -#include -#include - -// Make sure everyone is informed that C++17 is required: -namespace boost{ namespace math{ namespace tools { - -namespace detail { - template - Real make_xph_representable(Real x, Real h) - { - using std::numeric_limits; - // Redefine h so that x + h is representable. Not using this trick leads to large error. - // The compiler flag -ffast-math evaporates these operations . . . - Real temp = x + h; - h = temp - x; - // Handle the case x + h == x: - if (h == 0) - { - h = boost::math::nextafter(x, (numeric_limits::max)()) - x; - } - return h; - } +namespace boost { + namespace math { + namespace differentiation { + using finite_difference_derivative; + using complex_step_derivative; + } + } } - -template -Real complex_step_derivative(const F f, Real x) -{ - // Is it really this easy? Yes. - // Note that some authors recommend taking the stepsize h to be smaller than epsilon(), some recommending use of the min(). - // This idea was tested over a few billion test cases and found the make the error *much* worse. - // Even 2eps and eps/2 made the error worse, which was surprising. - using std::complex; - using std::numeric_limits; - constexpr const Real step = (numeric_limits::epsilon)(); - constexpr const Real inv_step = 1/(numeric_limits::epsilon)(); - return f(complex(x, step)).imag()*inv_step; -} - -namespace detail { - - template - struct fd_tag {}; - - template - Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<1>&) - { - using std::sqrt; - using std::pow; - using std::abs; - using std::numeric_limits; - - const Real eps = (numeric_limits::epsilon)(); - // Error bound ~eps^1/2 - // Note that this estimate of h differs from the best estimate by a factor of sqrt((|f(x)| + |f(x+h)|)/|f''(x)|). - // Since this factor is invariant under the scaling f -> kf, then we are somewhat justified in approximating it by 1. - // This approximation will get better as we move to higher orders of accuracy. - Real h = 2 * sqrt(eps); - h = detail::make_xph_representable(x, h); - - Real yh = f(x + h); - Real y0 = f(x); - Real diff = yh - y0; - if (error) - { - Real ym = f(x - h); - Real ypph = abs(yh - 2 * y0 + ym) / h; - // h*|f''(x)|*0.5 + (|f(x+h)+|f(x)|)*eps/h - *error = ypph / 2 + (abs(yh) + abs(y0))*eps / h; - } - return diff / h; - } - - template - Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<2>&) - { - using std::sqrt; - using std::pow; - using std::abs; - using std::numeric_limits; - - const Real eps = (numeric_limits::epsilon)(); - // Error bound ~eps^2/3 - // See the previous discussion to understand determination of h and the error bound. - // Series[(f[x+h] - f[x-h])/(2*h), {h, 0, 4}] - Real h = pow(3 * eps, static_cast(1) / static_cast(3)); - h = detail::make_xph_representable(x, h); - - Real yh = f(x + h); - Real ymh = f(x - h); - Real diff = yh - ymh; - if (error) - { - Real yth = f(x + 2 * h); - Real ymth = f(x - 2 * h); - *error = eps * (abs(yh) + abs(ymh)) / (2 * h) + abs((yth - ymth) / 2 - diff) / (6 * h); - } - - return diff / (2 * h); - } - - template - Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<4>&) - { - using std::sqrt; - using std::pow; - using std::abs; - using std::numeric_limits; - - const Real eps = (numeric_limits::epsilon)(); - // Error bound ~eps^4/5 - Real h = pow(11.25*eps, (Real)1 / (Real)5); - h = detail::make_xph_representable(x, h); - Real ymth = f(x - 2 * h); - Real yth = f(x + 2 * h); - Real yh = f(x + h); - Real ymh = f(x - h); - Real y2 = ymth - yth; - Real y1 = yh - ymh; - if (error) - { - // Mathematica code to extract the remainder: - // Series[(f[x-2*h]+ 8*f[x+h] - 8*f[x-h] - f[x+2*h])/(12*h), {h, 0, 7}] - Real y_three_h = f(x + 3 * h); - Real y_m_three_h = f(x - 3 * h); - // Error from fifth derivative: - *error = abs((y_three_h - y_m_three_h) / 2 + 2 * (ymth - yth) + 5 * (yh - ymh) / 2) / (30 * h); - // Error from function evaluation: - *error += eps * (abs(yth) + abs(ymth) + 8 * (abs(ymh) + abs(yh))) / (12 * h); - } - return (y2 + 8 * y1) / (12 * h); - } - - template - Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<6>&) - { - using std::sqrt; - using std::pow; - using std::abs; - using std::numeric_limits; - - const Real eps = (numeric_limits::epsilon)(); - // Error bound ~eps^6/7 - // Error: h^6f^(7)(x)/140 + 5|f(x)|eps/h - Real h = pow(eps / 168, (Real)1 / (Real)7); - h = detail::make_xph_representable(x, h); - - Real yh = f(x + h); - Real ymh = f(x - h); - Real y1 = yh - ymh; - Real y2 = f(x - 2 * h) - f(x + 2 * h); - Real y3 = f(x + 3 * h) - f(x - 3 * h); - - if (error) - { - // Mathematica code to generate fd scheme for 7th derivative: - // Sum[(-1)^i*Binomial[7, i]*(f[x+(3-i)*h] + f[x+(4-i)*h])/2, {i, 0, 7}] - // Mathematica to demonstrate that this is a finite difference formula for 7th derivative: - // Series[(f[x+4*h]-f[x-4*h] + 6*(f[x-3*h] - f[x+3*h]) + 14*(f[x-h] - f[x+h] + f[x+2*h] - f[x-2*h]))/2, {h, 0, 15}] - Real y7 = (f(x + 4 * h) - f(x - 4 * h) - 6 * y3 - 14 * y1 - 14 * y2) / 2; - *error = abs(y7) / (140 * h) + 5 * (abs(yh) + abs(ymh))*eps / h; - } - return (y3 + 9 * y2 + 45 * y1) / (60 * h); - } - - template - Real finite_difference_derivative(const F f, Real x, Real* error, const fd_tag<8>&) - { - using std::sqrt; - using std::pow; - using std::abs; - using std::numeric_limits; - - const Real eps = (numeric_limits::epsilon)(); - // Error bound ~eps^8/9. - // In double precision, we only expect to lose two digits of precision while using this formula, at the cost of 8 function evaluations. - // Error: h^8|f^(9)(x)|/630 + 7|f(x)|eps/h assuming 7 unstabilized additions. - // Mathematica code to get the error: - // Series[(f[x+h]-f[x-h])*(4/5) + (1/5)*(f[x-2*h] - f[x+2*h]) + (4/105)*(f[x+3*h] - f[x-3*h]) + (1/280)*(f[x-4*h] - f[x+4*h]), {h, 0, 9}] - // If we used Kahan summation, we could get the max error down to h^8|f^(9)(x)|/630 + |f(x)|eps/h. - Real h = pow(551.25*eps, (Real)1 / (Real)9); - h = detail::make_xph_representable(x, h); - - Real yh = f(x + h); - Real ymh = f(x - h); - Real y1 = yh - ymh; - Real y2 = f(x - 2 * h) - f(x + 2 * h); - Real y3 = f(x + 3 * h) - f(x - 3 * h); - Real y4 = f(x - 4 * h) - f(x + 4 * h); - - Real tmp1 = 3 * y4 / 8 + 4 * y3; - Real tmp2 = 21 * y2 + 84 * y1; - - if (error) - { - // Mathematica code to generate fd scheme for 7th derivative: - // Sum[(-1)^i*Binomial[9, i]*(f[x+(4-i)*h] + f[x+(5-i)*h])/2, {i, 0, 9}] - // Mathematica to demonstrate that this is a finite difference formula for 7th derivative: - // Series[(f[x+5*h]-f[x- 5*h])/2 + 4*(f[x-4*h] - f[x+4*h]) + 27*(f[x+3*h] - f[x-3*h])/2 + 24*(f[x-2*h] - f[x+2*h]) + 21*(f[x+h] - f[x-h]), {h, 0, 15}] - Real f9 = (f(x + 5 * h) - f(x - 5 * h)) / 2 + 4 * y4 + 27 * y3 / 2 + 24 * y2 + 21 * y1; - *error = abs(f9) / (630 * h) + 7 * (abs(yh) + abs(ymh))*eps / h; - } - return (tmp1 + tmp2) / (105 * h); - } - - template - Real finite_difference_derivative(const F f, Real x, Real* error, const tag&) - { - // Always fails, but condition is template-arg-dependent so only evaluated if we get instantiated. - BOOST_STATIC_ASSERT_MSG(sizeof(Real) == 0, "Finite difference not implemented for this order: try 1, 2, 4, 6 or 8"); - } - -} - -template -inline Real finite_difference_derivative(const F f, Real x, Real* error = nullptr) -{ - return detail::finite_difference_derivative(f, x, error, detail::fd_tag()); -} - -}}} // namespaces #endif diff --git a/test/test_numerical_differentiation.cpp b/test/test_numerical_differentiation.cpp index 01f42e16e..d49a75daa 100644 --- a/test/test_numerical_differentiation.cpp +++ b/test/test_numerical_differentiation.cpp @@ -16,12 +16,12 @@ #include #include #include -#include +#include using std::abs; using std::pow; -using boost::math::tools::finite_difference_derivative; -using boost::math::tools::complex_step_derivative; +using boost::math::differentiation::finite_difference_derivative; +using boost::math::differentiation::complex_step_derivative; using boost::math::cyl_bessel_j; using boost::math::cyl_bessel_j_prime; using boost::math::constants::half;