Complex-step derivative approximation in noisy environment

DOI10.1016/j.cam.2017.05.046zbMath1372.65065OpenAlexW2626106585MaRDI QIDQ2402384

Irena Stojkovska, Filip Nikolovski

Publication date: 7 September 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.05.046

zbMATH Keywords

algorithmnumerical resultderivative approximationnoisy environmentcomplex-step derivative approximationnonmonotone line search methods

Mathematics Subject Classification ID

Derivative-free methods and methods using generalized derivatives (90C56) Approximation in the complex plane (30E10) Numerical differentiation (65D25)

Related Items (2)

On the accuracy of the complex-step-finite-difference method ⋮ The singular value expansion of the Volterra integral equation associated to a numerical differentiation problem

Uses Software

• Algorithm 413
• KELLEY
• SDBOX
• minpack
• DFBOX_IMPR

Cites Work

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• Introduction to Stochastic Search and Optimization
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• A Nonmonotone Line Search Technique and Its Application to Unconstrained Optimization
• A Nonmonotone Line Search Technique for Newton’s Method
• Complex Blind Source Extraction From Noisy Mixtures Using Second-Order Statistics
• The complex-step derivative approximation
• Numerical Differentiation of Analytic Functions
• Benchmarking optimization software with performance profiles.
• A derivative-free algorithm for bound constrained optimization

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