noisy simulations

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