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.
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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