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Title: Complex-step derivative approximation in noisy environment
Authors: Nikolovski, Filip
Stojkovska, Irena 
Keywords: Derivative approximation
Complex-step derivative approximation
Nonmonotone line-search methods
Noisy environment
Issue Date: 1-Jan-2018
Publisher: Elsevier BV
Journal: Journal of Computational and Applied Mathematics
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.
DOI: 10.1016/
Appears in Collections:Faculty of Natural Sciences and Mathematics: Journal Articles

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