| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5776163 | Journal of Computational and Applied Mathematics | 2018 | 27 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Filip Nikolovski, Irena Stojkovska,