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http://hdl.handle.net/20.500.12188/6661| 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. | URI: | http://hdl.handle.net/20.500.12188/6661 | DOI: | 10.1016/j.cam.2017.05.046 |
| Appears in Collections: | Faculty of Natural Sciences and Mathematics: Journal Articles |
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