Mathematics in Education, Research and Applications (MERAA), 2016(2), 1
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Received 2016-04-20 ǀ Accepted 2016-06-06 ǀ Published online 2016-10-30
DOI:http://dx.doi.org/10.15414/meraa.2016.02.01.08-14
Numerical differentiation of stochastic function
Jozef Rédl, Dušan Páleš
Slovak university of Agriculture in Nitra, Faculty of Engineering, Nitra, Slovak Republic
Article Fulltext (PDF), pp. 8–14
- In this paper we are presenting the derivation of the finite difference approximation of the first
derivative of the discrete stochastic function. The set of data was represented with time depending
stochastic function of center of gravity dislocation and velocity with constant step size. The stochastic
function was obtained from real experimental measurement and was processed with Dynstab
(Dynamic Stability) software. Applied forward, backward and central differences algorithms were
written in Microsoft Visual C#® 2010 programming language as a part of software named Dynstat
(Dynamic Statistics). These algorithms were used to calculate the first derivative of the function and
error of differentiation. We compared the results of known precise solutions with calculated results. We
also confront the results calculated of known generated trigonometric function. With this manner we
are evaluated the inaccuracy of the stochastic function numerical differentiation.
- Keywords: numerical differentiation, algorithm, programming, error evaluating
- JEL Classification: N40