Quaternionic Step Derivative: Machine Precision Differentiation of Holomorphic Functions using Complex Quaternions

Abstract: The known Complex Step Derivative (CSD) method allows easy and accurate differentiation up to machine precision of real analytic functions by evaluating them a small imaginary step next to the real number line. The current paper proposes that derivatives of holomorphic functions can be calculated in a similar fashion by taking a small step in a quaternionic direction instead. It is demonstrated that in so doing the CSD properties of high accuracy and convergence are carried over to derivatives of holomorphic functions. To demonstrate the ease of implementation, numerical experiments were performed using complex quaternions, the geometric algebra of space, and a $2 \times 2$ matrix representation thereof.