Optimal Step Size

Updated 15 Sep 2026

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What it is
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  the step size $h$ that minimizes the total error in numerical differentiation, balancing two competing effects: truncation error (which grows as $h$ increases) against rounding error (which grows as $h$ shrinks, since $\epsilon/h$ blows up)
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Forward difference
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  $h_{opt} = 2\sqrt{\epsilon/M}$
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Worked example: $f(x)=\sin(x)$ , forward difference, double precision ( $\epsilon_{mach}\approx1.11\times10^{-16}$ )
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  $M = |\sin(1.0)| \approx 0.8415$
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  $h_{opt} \approx 2.30\times10^{-8}$ , giving a minimum achievable error of about $1.93\times10^{-8}$
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Key insight
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  central difference's better $O(h^2)$ truncation order means its achievable minimum error is dramatically smaller than forward difference's, even though its optimal $h$ formula looks more complex
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Related

Linked references 3