Differentiation via logarithmic expansions

DOI10.1142/S0217595919500349zbMATH Open1432.90148arXiv1608.07770OpenAlexW2973124012MaRDI QIDQ5216802FDOQ5216802

Authors: Michael C. Fu, Haralambie Leahu, Felisa J. Vázquez-Abad, Bernd Heidergott 

Publication date: 20 February 2020

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Abstract: In this note, we introduce a new finite difference approximation called the Black-Box Logarithmic Expansion Numerical Derivative (BLEND) algorithm, which is based on a formal logarithmic expansion of the differentiation operator. BLEND capitalizes on parallelization and provides derivative approximations of arbitrarily precision, i.e., our analysis can be used to determine the number of terms in the series expansion to guarantee a specified number of decimal places of accuracy. Furthermore, in the vector setting, the complexity of the resulting directional derivative is independent of the dimension of the parameter.

Full work available at URL: https://arxiv.org/abs/1608.07770

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zbMATH Keywords

sensitivity analysisdirectional derivativenumerical differentiationTaylor series expansionsfinite difference algorithm

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31)

Cites Work

• Stochastic simulation: Algorithms and analysis
• Generation of Finite Difference Formulas on Arbitrarily Spaced Grids
• Error bounds and comparison results: the Markov reward approach for queueing networks
• Title not available (Why is that?)
• Reversion of Power Series

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