It is while since I wrote this code-snippet, but at the time many DataGrid experts said it could not be done. After about twenty minutes of trying to understand some DataGrid events a working solution was found:

if (this.dataGrid.EditItemIndex > -1)
{
// Update the DataGrid
this
.dataGrid_UpdateCommand(
this
.dataGrid,
new
DataGridCommandEventArgs(
this.dataGrid.Items[this
.dataGrid.EditItemIndex],
this
.dataGrid,
new System.Web.UI.WebControls.CommandEventArgs("Update", ""
)));
}

Not a pretty event call but it works. On my last ASP.Net project several pages used one Update Button to perform updates on three or more DataGrids simultaneously. If your code forces users to click several update buttons, then use of this code may just make them a little happier.