| Title: | Estimating Derivatives of Noisy Simulations |
| Authors: | Jorge J. Moré, Stefan M. Wild |
| Abstract: | We employ recent work on computational noise to obtain near-optimal difference estimates of the derivative of a noisy function. Our analysis relies on 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. |
| Keywords: | Computational Noise, Deterministic Simulations, Finite Difference Derivatives |
| Thanks: | This work was supported by the Office of Advanced Scientific Computing Research, Office of Science, U.S. Department of Energy, under Contract DE-AC02-06CH11357. |
| Status: | Appears in ACM Trans. Math. Softw., Vol. 38 (3), pp. 1-21, 2012. |
| Link: |
[DOI:10.1145/2168773.2168777
]
Additional information, including codes and data, can be found on our Estimating Computational Noise page |
| BibTeX: | @article{JJMSMW11,
author = {Jorge J. Mor\'e and Stefan M. Wild},
title = {Estimating Derivatives of Noisy Simulations},
journal = {ACM Transactions on Mathematical Software},
issue_date = {April 2012},
volume = {38},
number = {3},
year = {2012},
pages = {19:1--19:21},
doi = {10.1145/2168773.2168777}
}
|