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Mike Fagan (2005)

Optimal Stepsize Selection for Verifying Adifor Derivatives

Rice University, Department of Computational and Applied Mathematics, Technical Report(CAAM TR05-07), 6100 Main Street, Houston, TX 77005.

Divided differences are the most natural way to verify derivative values computed by Adifor. Unfortunately, the accuracy of a divided difference depends heavily on the stepsize (or stepsizes). Consequently, to reliably verify Adifor derivatives, we seek a method for selecting stepsizes that minimize the error. This technical report gives a method for selecting a stepsize that will give the 'most accurate' finite difference approximation. The mathematics that justifies the selction method is based on the work of Gill, Murray, and Wright.

by admin last modified 2007-12-10 21:06
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