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The moving stencil algorithm

Let us now describe the recursive ENO algorithm for determining the optimal stencil for the smoothest reconstruction of . All the information concerning the smoothness of can be extracted from a table of divided differences of . Employing a standard notation, see Atkinson (1988) [1], the divided difference of can be defined recursively as by:

It can be shown that if the function is smooth in the interval but is discontinous in , then, for a small enough :

Hence, we can compare the relative smoothness of the function in two intervals defined by an equal number of adjacent segments by comparing their corresponding divided differences. This fact gives us a powerful tool to select automatically the best stencil for the smoothest interpolation. Since all the points of the interpolating stencil must be contigous, to specify a stencil we need only one of the two extreme points, usually the left-most one, and the number of points in the stencil. The smoothest-possible stencil can be built in an iterative way applying the following algorithm: