Tuesday, March 26, 2013

Improved Finite Difference Formula: Irregular Grid

Computing finite difference formulae on irregular grids is an O(2n^2) operation thanks algorithms developed by Bengt Fornberg. The Fortran code for the algorithm was supplied in his paper: Fornberg, Siam Rev., 40, pp 685-691, 1998.

A decent Matlab implementation is available here on the webpage of Randall J. LeVeque. The following picture may help with the nomenclature of the input arguments. The abscissa are provided as a vector xbar.

There is another matlab program available on the Scholarpedia article on this topic.

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