finite difference derivatives

Using generalized simplex methods to approximate derivatives

  • Gabriel Jarry-Bolduc
    • Categories Nonlinear Optimization Tags , ,

    This paper presents two methods for approximating a proper subset of the entries of a Hessian using only function evaluations. These approximations are obtained using the techniques called generalized simplex Hessian and generalized centered simplex Hessian. We show how to choose the matrices of directions involved in the computation of these two techniques depending on … Read more

    Estimating Derivatives of Noisy Simulations

  • Jorge MorĂ©
  • Stefan M. Wild
    • Categories Nonlinear Optimization, Optimization Software and Modeling Systems, Other Topics Tags , ,

    We employ recent work on computational noise to obtain near-optimal finite difference estimates of the derivatives of a noisy function. Our analysis employs a stochastic model of the noise without assuming a specific form of distribution. We use this model to derive theoretical bounds for the errors in the difference estimates and obtain an easily … Read more