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What type of sensor can measure distances less than 1 inch?  I'd like at least 20 steps as it moves from 1/4" to 1".  It should work when there is ambient light.  What is the accuracy of the common sonar sensors in this close range?
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Can't you use a mechanical one (potentiometer, spring, kind of lever)? Commonly used ultrasonic sensors don't work in that range and are by far not accurate enough (at 40kHz best you get is about 1cm/0.4" in theory, practically it's over 1").
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Sometimes the most obvious answer is best, but this will not have the Wow I'm looking for.  Can anyone think of another solution? 
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Can you attach a small magnet, and use a hall sensor?
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40kHz in air is around 8.5mm.
Phase comparison?
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@AWOL - I can't find any links using Google.  Can you provide one?

A small magnet sounds like the way to go!  Thanks!
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More detail of your app usually inspires ideas from readers.

Do you, say, have a mass suspended on a string, hanging (mostly) still by a wall, and want to know when it swings slightly, or, say, a black bar on a roof, fixed at one end, with the other end near another solid wall, and you want to watch the bar expand and contract as its temperature changes? Etc....

What are the "things" which are close? Why do they move? How fast? Etc...

Then we might have ideas as to how to detect the movement.
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I'd like to detect a face or hand as it moves closer from 6" to 1/2".  So no magnet or mechanical lever.  Both are a great idea for another project I have, but not this one.  Any more ideas?
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http://www.sparkfun.com/search/results?term=proximity&what=products
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@Magician - Didn't find much that is useful in your list, thanks for trying!

How about this?
https://www.adafruit.com/products/466
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Why? You don't like this one:
Quote
Infrared Proximity Sensor Short Range - Sharp GP2D120XJ00F
 
Description: Infrared proximity sensor made by Sharp. Part # GP2D120XJ00F has an analog output that varies from 3.1V at 3cm to 0.3V at 30cm
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Quote

If the sensor holds what the datasheet promises it an almost ideal candidate for your project, I guess.
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@Magician - Doesn't go much below 2" not at all below 1"
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Even the "professional" companies won't help much...
http://www.sick.com/us/en-us/home/products/product_news/distance_sensors/Pages/um30_2.aspx

The UM30-2 Ultrasonic Distance Measurement Sensors feature a new EasyTouch display and keypad that enables easier setup, configuration, and access to advanced problem solving features


If you pull the data sheet -- down to 30mm -- but no better -- decent resolution of 0.18mm  but not the range.

Maybe they have other sensors.


Maybe do a little looking at digikey
http://www.digikey.ca/PTM/PTMMaster.page?site=ca&lang=en

Some of the Product Training modules may have some ideas on how to go about this easily and cheaply.
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This sensor should works at small distances, sensing even more accurate when distance getting smaller:
http://interface.khm.de/index.php/lab/experiments/theremin-as-a-capacitive-sensing-device/

Though could be an issue to get equal results for different in size and shape faces  smiley
 I wonder, why someone would measure distance to face accurately at all, it's not flat surface. Distance to nose or distance to lips is always variable.
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