Numerical differentiation with annihilators in noisy environment

Mamadou Mboup (1, 2) , Cédric Join (2, 3) , Michel Fliess (2, 4)

1 UPD5 Mathématiques Informatique - Université Paris Descartes - UFR de Mathématiques et Informatique
2 ALIEN - Algebra for Digital Identification and Estimation
3 CRAN - Centre de Recherche en Automatique de Nancy
4 LIX - Laboratoire d'informatique de l'École polytechnique [Palaiseau]

Numerical differentiation in noisy environment is revised through an algebraic approach. For each given order, an explicit formula yielding a pointwise derivative estimation is derived, using elementary differential algebraic operations. These expressions are composed of iterated integrals of the noisy observation signal. We show in particular that the introduction of delayed estimates affords significant improvement. An implementation in terms of a classical finite impulse response (FIR) digital filter is given. Several simulation results are presented.

Domaines: Traitement du signal et de l'image [eess.SP]; Traitement du signal et de l'image [eess.SP]

Mamadou Mboup, Cédric Join, Michel Fliess. Numerical differentiation with annihilators in noisy environment. Numerical Algorithms, 2009, 50 (4), pp.439-467. ⟨10.1007/s11075-008-9236-1⟩. ⟨inria-00319240⟩