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Rick Chartrand, "Numerical differentiation of noisy, nonsmooth data", Submitted, 2007

Abstract

We consider the problem of differentiating a function specified by noisy data. Regularizing the differentiation process avoids the noise amplification of finite-difference methods. We use total-variation regularization, which allows for discontinuous solutions. The resulting simple algorithm accurately differentiates noisy functions, including those which have a discontinuous derivative.

BibTeX Entry

@unpublished{chartrand-2007-numerical,
author = {Rick Chartrand},
title = {Numerical differentiation of noisy, nonsmooth data},
year = {2007},
urlpdf = {http://math.lanl.gov/Research/Publications/Docs/chartrand-2007-numerical.pdf},
note = {Submitted}
}