Computing Finite-Difference Approximations to Derivatives for Numerical Optimization.
Abstract
Finite-difference approximations to derivatives are useful not only in optimization algorithms, but also in other circumstances such as sensitivity analysis. In this paper we discuss methods for estimating the relative cancellation error and relative truncation error in a finite-difference approximation and propose a technique for computing the finite-difference interval so that the bounds upon the errors are balanced. We also propose a method for choosing the finite-difference interval in a quasi-Newton algorithm for unconstrained minimization that uses function values only. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- May 01, 1980
- Accession Number
- ADA087428
Entities
People
- Margaret H. Wright
- Michael Saunders
- Philip Edward Gill
- Walter Murray
Organizations
- Stanford University