Complex-step derivative approximation in noisy environment
Journal
Journal of Computational and Applied Mathematics
Date Issued
2018-01-01
Author(s)
Nikolovski, Filip
DOI
10.1016/j.cam.2017.05.046
Abstract
The complex-step derivative approximation is a powerful method for derivative approximations which has been successfully implemented in deterministic numerical algorithms. We explore and analyze its implementation in noisy environment through examples, error analysis and application to optimization methods. Numerical results show a promising performance of the complex-step gradient approximation in noisy environment.