Differentiation via logarithmic expansions

DOI10.1142/S0217595919500349MaRDI QIDQ5216802zbMATH OpenOpenAlexFDO

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)

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

zbMATH Keywords

sensitivity analysisdirectional derivativenumerical differentiationTaylor series expansionsfinite difference algorithm

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31)

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.

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Cites work

• scientific article; zbMATH DE number 3203993 (Why is no real title available?)
• Error bounds and comparison results: the Markov reward approach for queueing networks
• Generation of Finite Difference Formulas on Arbitrarily Spaced Grids
• Reversion of Power Series
• Stochastic simulation: Algorithms and analysis

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