Finite Difference (FD) methods approximate derivatives of a function by local arguments (such as du(x) / dx ≈ (u(x + h) − u(x − h))/2h, where h is a small grid spacing) – these methods are typically designed to be exact for polynomials of low orders. This approach is very reasonable: since the derivative is a local property of a function, it makes little sense (and is costly) to invoke many function values far away from the point of interest.

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