J. J. More' and S. M. Wild, "Estimating Derivatives of Noisy Simulations," Preprint ANL/MCS-P1785-0810, August 2010. [pdf]
We employ recent work on computational noise to obtain near-optimal finite difference estimates of the derivatives of a noisy function. Our analysis employs a stochastic model of the noise without assuming a specific form of distribution. We use this model to derive theoretical bounds for the errors in the difference estimates and obtain an easily computable difference parameter that is provably near-optimal. Numerical results closely resemble the theory and show that we obtain accurate derivative estimates even when the noisy function is deterministic.